Accessing variable defined in strategy from main Cerebro

Carson Lansdowne

Hello,

I am simply trying to access a variable I have defined as "roi" within my strategy class from the main function where I am trying to access this variable so that I can write it to a csv.

The reason I am trying to do something like this is because I don't know how to get Cerebro to tell me my % returns on only money invested during the strategy, and not my % returns based on the starting and ending values including cash. So if there is a way to do this easier, please let me know.

I tried to make it a global variable by name it at the top of each function accessing it but that didn't work and I'm unsure how to do this. Any help would be sincerely appreciated.

import backtrader as bt
import datetime
import math


class exampleSizer(bt.Sizer):
    params = (('size',1),)
    def _getsizing(self, comminfo, cash, data, isbuy):
        return self.p.size

class buynhold_1(bt.Strategy):
    params = (
        ('start_date', None),
        ('end_date', None),
        ('sizer', None),
        )
    
    def __init__(self):
        self.dataclose = self.datas[0].close()
        #self.currdate = self.datas[0].datetime.date(0)
        #if self.p.sizer is not None:
            #self.sizer = self.p.sizer

    def start(self):
        self.val_start = self.broker.get_cash()  # keep the starting cash

    def nextstart(self):
        # Buy all the available cash
        #self.buy()
        self.bar_executed = 0
    
    def within_range(self):
        date = self.datas[0].datetime.datetime(0)
        if date >= self.p.start_date and date <= self.p.end_date:
            return True
        else:
            return False
        
    def next(self):
        self.currdate = self.datas[0].datetime.datetime(0)
        print(self.currdate)
        self.duration = len(self) - self.bar_executed + 1
        
        print(self.getposition().size)
        if not self.position:
            if self.within_range():
                self.buy()
                #self.bar_executed = len(self)
        
        elif self.currdate >= self.p.end_date:
            self.value = self.broker.getvalue()-self.broker.getcash()
            self.close()
            
        #else:
            #self.duration = len(self) - self.bar_executed + 1

    def stop(self):
        global roi
        # calculate the actual returns
        print(self.value)
        roi = ((self.broker.get_value() -self.val_start) / (self.value))
        print('ROI:        {:.2f}%'.format(100.0 * self.roi))
        
        #return self.roi

and the main:

cerebro.adddata(data)

# Set our desired cash start
cerebro.broker.setcash(3000.0)

# Add strategy to Cerebro
cerebro.addstrategy(buynhold_1,
                        start_date = start_date,
                        end_date = end_date,
                        sizer = pos
                        )

#add the sizer
cerebro.addsizer(exampleSizer, size = pos)

if __name__ == '__main__':
    # Run Cerebro Engine
    start_portfolio_value = cerebro.broker.getvalue()

    result = cerebro.run()
    print(roi) #This is the value that I want 
    #cerebro.plot()


    end_portfolio_value = cerebro.broker.getvalue()
    pnl = end_portfolio_value - start_portfolio_value
    #roi = end_portfolio_value / start_portfolio_value - 1 
    print(f'Starting Portfolio Value: {start_portfolio_value:2f}')
    print(f'Final Portfolio Value: {end_portfolio_value:2f}')
    print(f'PnL: {pnl:.2f}')
    
    #write to csv for saving
    file_name = "".join((stock,"_OT.csv"))
    with open(file_name,'w',newline='') as file:
        writer = csv.writer(file)
        #writer.writerow(["Stock","Return"])
        writer.writerow(["TSLA",pnl,roi])

Soham Jain

@Carson-Lansdowne said in Accessing variable defined in strategy from main Cerebro:

Hey Carson,

def stop(self):
        global roi
        # calculate the actual returns
        print(self.value)
        roi = ((self.broker.get_value() -self.val_start) / (self.value))
        print('ROI:        {:.2f}%'.format(100.0 * self.roi))
        
        #return self.roi

This snippet is copied from your code as it was.
You have defined a new variable global roi but you are trying to access it as a class attribute. Try using roi instead of self.roi in the print statement of your method. Hope it works. :)

Carson Lansdowne

@Soham-Jain This was super helpful, but I guess I should have been more clear. I want to access this ROI variable from the main part of my code, where I am instantiating Cerebro and running my strategy -- essentially, I want to write it to the csv with my pnl at the end of that code snippet. Haven't had any luck doing this by making it a global variable..

ab_trader

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