Multiple datafeed with signal column

toinou222

Hello all,

I would like to backtest on multiple data feeds that already has a 'signal' column. Here is my custom data loader and sizer.

class CustomDataLoader(btfeeds.PandasData):
    lines = ("signal",)
    params = (("signal", -1),)
    datafields = btfeeds.PandasData.datafields + (["signal",])
    
df_btc = pd.read_csv('BTC_USDT_4h_with_signal.csv', infer_datetime_format=True,
        parse_dates=['datetime'],
        dtype={
            "open"  : "float",
            "high"  : "float",
            "low"   : "float",
            "close" : "float",
            "volume": "float",
            "signal": "float"
            },
        index_col=0)
df_btc.index = pd.to_datetime(df_btc.datetime, format='%Y-%m-%dT%H:%M:%S.%fZ')
df_btc = df_btc[['open', 'high', 'low', 'close', 'volume', 'signal']]

df_eth = pd.read_csv('ETH_USDT_4h_with_signal.csv', infer_datetime_format=True,
        parse_dates=['datetime'],
        dtype={
            "open"  : "float",
            "high"  : "float",
            "low"   : "float",
            "close" : "float",
            "volume": "float",
            "signal": "float"
            },
        index_col=0)
df_eth.index = pd.to_datetime(df_eth.datetime, format='%Y-%m-%dT%H:%M:%S.%fZ')
df_eth = df_eth[['open', 'high', 'low', 'close', 'volume', 'signal']]

bt_data_btc = CustomDataLoader(dataname=df_btc)
bt_data_eth = CustomDataLoader(dataname=df_eth)

class ST_sizer(bt.sizers.PercentSizer):
    params = (('percent', 20),)
    def _getsizing(self, comminfo, cash, data, isbuy):
        position = self.broker.getposition(data)
        size = self.p.percent * (1 + (position.size != 0))
        return size

The strategy goal is simple: if signal =1 go long elif signal = -1 go short

class TestStrategy(bt.SignalStrategy):
    
    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.data.datetime[0]
        print('%s, %s' % (bt.num2date(dt), txt))

    def __init__(self):
        self.orderid = None
        self.inds = dict()
        for i, d in enumerate(self.datas):
            self.inds[d] = dict()
            self.inds[d]['close'] = self.data.close
            self.inds[d]['signal'] = self.data.signal
        
    def next(self):
        for i, d in enumerate(self.datas):
            dt, dn = bt.num2date(self.datetime[0]), d._name
            print(dt, dn, self.inds[d]['signal'][0])    
            
            if self.orderid:
                return  # if an order is active, no new orders are allowed

            if not self.getposition(d).size:  # not yet in market
                if self.inds[d]['signal'][0] > 0:
                    self.buy(data=d)
                elif self.inds[d]['signal'][0] < 0:
                    self.sell(data=d)

            else:  # in the market
                if self.inds[d]['signal'][0] > 0 and self.getposition(d).size < 0:
                    self.close(data=d)
                    self.buy(data=d)
                elif self.inds[d]['signal'][0] < 0 and self.getposition(d).size > 0:
                    self.close(data=d)
                    self.sell(data=d)

    def notify_trade(self, trade):
        if trade.justopened:
            print('-' * 32, ' TRADE OPENED ', '-' * 32)
            print('{}, {}, Price: {}, Size {}, Value {}, Commission {}'.format(
                bt.num2date(trade.dtopen),
                self.data._name,
                round(trade.price, 2),
                round(trade.size, 2),
                round(trade.value, 2),
                round(trade.commission), 6))
            print('-' * 70)
        if trade.isclosed:
            print('-' * 32, ' TRADE CLOSED ', '-' * 32)
            print('{}, {}, Duration {} days, Price: {}, Commission {}, PNL {}, PNL net {}'.format(
                bt.num2date(trade.dtclose),
                self.data._name,
                round((trade.barlen)*4/24,2),
                round(self.data.open[0], 2),
                round(trade.commission,2),
                round(trade.pnl,2),
                round(trade.pnlcomm,2)))
            print('-' * 70)

# Create a cerebro entity
cerebro = bt.Cerebro()

# Add data
cerebro.adddata(bt_data_btc, name='btc')
cerebro.adddata(bt_data_eth, name='eth')

# Add sizer
cerebro.addsizer(ST_sizer)

# Add a strategy
cerebro.addstrategy(TestStrategy)

# Add broker fees
cerebro.broker.setcommission(commission=0.0004)

# Set our desired cash start
cerebro.broker.setcash(10000.0)


# Run over everything
strat = cerebro.run()

When printing logs it seems that the backtest only takes 1st datafeed (btc) signal and applies it to both feed.

Signals differs slightly from each other.

2020-07-06 16:00:00 btc -1.0
2020-07-06 16:00:00 eth -1.0
2020-07-06 20:00:00 btc -1.0
2020-07-06 20:00:00 eth -1.0
2020-07-07 00:00:00 btc -1.0
2020-07-07 00:00:00 eth -1.0
2020-07-07 04:00:00 btc -1.0
2020-07-07 04:00:00 eth -1.0
2020-07-07 08:00:00 btc -1.0
2020-07-07 08:00:00 eth -1.0
2020-07-07 12:00:00 btc -1.0
2020-07-07 12:00:00 eth -1.0
2020-07-07 16:00:00 btc -1.0
2020-07-07 16:00:00 eth -1.0
2020-07-07 20:00:00 btc -1.0
2020-07-07 20:00:00 eth -1.0
2020-07-08 00:00:00 btc -1.0
2020-07-08 00:00:00 eth -1.0
2020-07-08 04:00:00 btc -1.0
2020-07-08 04:00:00 eth -1.0
2020-07-08 08:00:00 btc -1.0
2020-07-08 08:00:00 eth -1.0
2020-07-08 12:00:00 btc -1.0
2020-07-08 12:00:00 eth -1.0
2020-07-08 16:00:00 btc -1.0
2020-07-08 16:00:00 eth -1.0
2020-07-08 20:00:00 btc -1.0
2020-07-08 20:00:00 eth -1.0
2020-07-09 00:00:00 btc -1.0
2020-07-09 00:00:00 eth -1.0
2020-07-09 04:00:00 btc -1.0
2020-07-09 04:00:00 eth -1.0
2020-07-09 08:00:00 btc -1.0
2020-07-09 08:00:00 eth -1.0
2020-07-09 12:00:00 btc -1.0
2020-07-09 12:00:00 eth -1.0
2020-07-09 16:00:00 btc -1.0
2020-07-09 16:00:00 eth -1.0
2020-07-09 20:00:00 btc -1.0
2020-07-09 20:00:00 eth -1.0
2020-07-10 00:00:00 btc -1.0
2020-07-10 00:00:00 eth -1.0
2020-07-10 04:00:00 btc -1.0
2020-07-10 04:00:00 eth -1.0
2020-07-10 08:00:00 btc -1.0
2020-07-10 08:00:00 eth -1.0
2020-07-10 12:00:00 btc -1.0
2020-07-10 12:00:00 eth -1.0
2020-07-10 16:00:00 btc -1.0
2020-07-10 16:00:00 eth -1.0
2020-07-10 20:00:00 btc -1.0
2020-07-10 20:00:00 eth -1.0
2020-07-11 00:00:00 btc -1.0
2020-07-11 00:00:00 eth -1.0
2020-07-11 04:00:00 btc -1.0
2020-07-11 04:00:00 eth -1.0
2020-07-11 08:00:00 btc -1.0
2020-07-11 08:00:00 eth -1.0
2020-07-11 12:00:00 btc -1.0
2020-07-11 12:00:00 eth -1.0
2020-07-11 16:00:00 btc -1.0
2020-07-11 16:00:00 eth -1.0
2020-07-11 20:00:00 btc -1.0
2020-07-11 20:00:00 eth -1.0
2020-07-12 00:00:00 btc -1.0
2020-07-12 00:00:00 eth -1.0
2020-07-12 04:00:00 btc -1.0
2020-07-12 04:00:00 eth -1.0
2020-07-12 08:00:00 btc -1.0
2020-07-12 08:00:00 eth -1.0
2020-07-12 12:00:00 btc -1.0
2020-07-12 12:00:00 eth -1.0
2020-07-12 16:00:00 btc -1.0
2020-07-12 16:00:00 eth -1.0
2020-07-12 20:00:00 btc -1.0
2020-07-12 20:00:00 eth -1.0
2020-07-13 00:00:00 btc -1.0
2020-07-13 00:00:00 eth -1.0
2020-07-13 04:00:00 btc -1.0
2020-07-13 04:00:00 eth -1.0
2020-07-13 08:00:00 btc -1.0
2020-07-13 08:00:00 eth -1.0
2020-07-13 12:00:00 btc -1.0
2020-07-13 12:00:00 eth -1.0
2020-07-13 16:00:00 btc -1.0
2020-07-13 16:00:00 eth -1.0
2020-07-13 20:00:00 btc -1.0
2020-07-13 20:00:00 eth -1.0
2020-07-14 00:00:00 btc -1.0
2020-07-14 00:00:00 eth -1.0
2020-07-14 04:00:00 btc -1.0
2020-07-14 04:00:00 eth -1.0
2020-07-14 08:00:00 btc -1.0
2020-07-14 08:00:00 eth -1.0
2020-07-14 12:00:00 btc -1.0
2020-07-14 12:00:00 eth -1.0
2020-07-14 16:00:00 btc -1.0
2020-07-14 16:00:00 eth -1.0
2020-07-14 20:00:00 btc -1.0
2020-07-14 20:00:00 eth -1.0
2020-07-15 00:00:00 btc -1.0
2020-07-15 00:00:00 eth -1.0
2020-07-15 04:00:00 btc -1.0
2020-07-15 04:00:00 eth -1.0
2020-07-15 08:00:00 btc -1.0
2020-07-15 08:00:00 eth -1.0
2020-07-15 12:00:00 btc -1.0
2020-07-15 12:00:00 eth -1.0
2020-07-15 16:00:00 btc -1.0
2020-07-15 16:00:00 eth -1.0
2020-07-15 20:00:00 btc -1.0
2020-07-15 20:00:00 eth -1.0
2020-07-16 00:00:00 btc -1.0
2020-07-16 00:00:00 eth -1.0
2020-07-16 04:00:00 btc -1.0
2020-07-16 04:00:00 eth -1.0
2020-07-16 08:00:00 btc -1.0
2020-07-16 08:00:00 eth -1.0
2020-07-16 12:00:00 btc -1.0
2020-07-16 12:00:00 eth -1.0
2020-07-16 16:00:00 btc -1.0
2020-07-16 16:00:00 eth -1.0
2020-07-16 20:00:00 btc -1.0
2020-07-16 20:00:00 eth -1.0
2020-07-17 00:00:00 btc -1.0
2020-07-17 00:00:00 eth -1.0
2020-07-17 04:00:00 btc -1.0
2020-07-17 04:00:00 eth -1.0
2020-07-17 08:00:00 btc -1.0
2020-07-17 08:00:00 eth -1.0
2020-07-17 12:00:00 btc -1.0
2020-07-17 12:00:00 eth -1.0
2020-07-17 16:00:00 btc -1.0
2020-07-17 16:00:00 eth -1.0
2020-07-17 20:00:00 btc -1.0
2020-07-17 20:00:00 eth -1.0
2020-07-18 00:00:00 btc -1.0
2020-07-18 00:00:00 eth -1.0
2020-07-18 04:00:00 btc -1.0
2020-07-18 04:00:00 eth -1.0
2020-07-18 08:00:00 btc -1.0
2020-07-18 08:00:00 eth -1.0
2020-07-18 12:00:00 btc -1.0
2020-07-18 12:00:00 eth -1.0
2020-07-18 16:00:00 btc -1.0
2020-07-18 16:00:00 eth -1.0
2020-07-18 20:00:00 btc -1.0
2020-07-18 20:00:00 eth -1.0
2020-07-19 00:00:00 btc -1.0
2020-07-19 00:00:00 eth -1.0
2020-07-19 04:00:00 btc -1.0
2020-07-19 04:00:00 eth -1.0
2020-07-19 08:00:00 btc -1.0
2020-07-19 08:00:00 eth -1.0
2020-07-19 12:00:00 btc -1.0
2020-07-19 12:00:00 eth -1.0
2020-07-19 16:00:00 btc -1.0
2020-07-19 16:00:00 eth -1.0
2020-07-19 20:00:00 btc -1.0
2020-07-19 20:00:00 eth -1.0
2020-07-20 00:00:00 btc -1.0
2020-07-20 00:00:00 eth -1.0
2020-07-20 04:00:00 btc -1.0
2020-07-20 04:00:00 eth -1.0
2020-07-20 08:00:00 btc -1.0
2020-07-20 08:00:00 eth -1.0
2020-07-20 12:00:00 btc -1.0
2020-07-20 12:00:00 eth -1.0
2020-07-20 16:00:00 btc -1.0
2020-07-20 16:00:00 eth -1.0
2020-07-20 20:00:00 btc -1.0
2020-07-20 20:00:00 eth -1.0
2020-07-21 00:00:00 btc -1.0
2020-07-21 00:00:00 eth -1.0
2020-07-21 04:00:00 btc -1.0
2020-07-21 04:00:00 eth -1.0
2020-07-21 08:00:00 btc -1.0
2020-07-21 08:00:00 eth -1.0
2020-07-21 12:00:00 btc -1.0
2020-07-21 12:00:00 eth -1.0
2020-07-21 16:00:00 btc -1.0
2020-07-21 16:00:00 eth -1.0
2020-07-21 20:00:00 btc -1.0
2020-07-21 20:00:00 eth -1.0
2020-07-22 00:00:00 btc -1.0
2020-07-22 00:00:00 eth -1.0
2020-07-22 04:00:00 btc -1.0
2020-07-22 04:00:00 eth -1.0
2020-07-22 08:00:00 btc -1.0
2020-07-22 08:00:00 eth -1.0
2020-07-22 12:00:00 btc -1.0
2020-07-22 12:00:00 eth -1.0
2020-07-22 16:00:00 btc -1.0
2020-07-22 16:00:00 eth -1.0
2020-07-22 20:00:00 btc -1.0
2020-07-22 20:00:00 eth -1.0
2020-07-23 00:00:00 btc 1.0
2020-07-23 00:00:00 eth 1.0
--------------------------------  TRADE CLOSED  --------------------------------
2020-07-23 04:00:00, btc, Duration 25.17 days, Price: 9517.9, Commission 14.01, PNL -975.51, PNL net -989.52
----------------------------------------------------------------------
--------------------------------  TRADE OPENED  --------------------------------
2020-07-23 04:00:00, btc, Price: 9517.9, Size 1.89, Value 17997.34, Commission 7
----------------------------------------------------------------------
--------------------------------  TRADE CLOSED  --------------------------------
2020-07-23 04:00:00, btc, Duration 25.17 days, Price: 9517.9, Commission 0.3, PNL -66.94, PNL net -67.24
----------------------------------------------------------------------
--------------------------------  TRADE OPENED  --------------------------------
2020-07-23 04:00:00, btc, Price: 264.32, Size 1.53, Value 405.0, Commission 0
----------------------------------------------------------------------
2020-07-23 04:00:00 btc 1.0
2020-07-23 04:00:00 eth 1.0
2020-07-23 08:00:00 btc 1.0
2020-07-23 08:00:00 eth 1.0

As you can see here, 'self.data._name,' is always btc... and prices seems wrong as both trades are closed at BTC price.

Sans titre.png

For exemple, ETH data switch from short to long on the '2020-07-08 16:00:00' but the switch doesn't happen until BTC switch on the '2020-07-23 04:00:00'

I would appreciate if anyone sees where my mistake is...
Let me know if data is needed to reproduce the exemple?

Thanks for your help!

run-out

I notice you don't set self.orderid anywhere. You should set it when creating an order:

self.orderid = self.buy(.etc)

and then you also need to clear it when an order is complete at the end of self.notify_order.

Have a look here at this full code.:

https://www.backtrader.com/docu/order-creation-execution/order-creation-execution/#the-full-code

toinou222

Found my error...

    def __init__(self):
        self.order = None
        self.inds = dict()
        for i, d in enumerate(self.datas):
            self.inds[d] = dict()
            self.inds[d]['close'] = d.close
            self.inds[d]['signal'] = d.signal

I was using

 self.inds[d]['close'] = self.data.close

I added the orderid as you mentionned and it works like a charm thank you!! :-)