Turtle strategy - boolean error

[Giacomo]

Hi there,

the aim of this simple script is to find the optimal interval to use in the turtle strategy,
however I am getting an error that I cannot untangle. Here the code:

import backtrader as bt
import datetime

# might want to try changing the position of this
closes = []
in_position = False

class Turtle_Strategy(bt.Strategy):
    params = (
        ('interval', 20),
        )

    def __init__(self):
        self.start_cash = self.broker.getvalue()
        self.interval = self.params.interval

    def next(self):
        closes.append(self.data.close)

        if len(closes) >= self.params.interval:
            local_min = min(closes[-self.params.interval - 1:-1])
            local_max = max(closes[-self.params.interval - 1:-1])

            if closes[-1] <= local_min:
                in_position = True
                self.buy(size=100)

            if closes[-1] >= local_max: # and in_position:
                self.sell(size=100)
                in_position = False

    def stop(self):
        pnl = round(self.broker.getvalue() - self.start_cash, 2)
        print('Interval: {} Final PnL: {}'.format(self.params.interval, pnl))


if __name__ == '__main__':

    # Variable for our starting cash
    start_cash = 10000

    # Create an instance of cerebro
    cerebro = bt.Cerebro()

    # Add our strategy
    cerebro.optstrategy(Turtle_Strategy, interval=range(14, 20))

    # data
    data = bt.feeds.GenericCSVData(dataname='/path/data.csv',

                                   # fromdate=datetime.datetime(2020, 1, 1),
                                   # todate=datetime.datetime(2020, 1, 12),

                                   dtformat='%Y-%m-%d',
                                   tmformat='%H:%M:%S',
                                   datetime=0,
                                   open=1,
                                   high=2,
                                   low=3,
                                   close=4,
                                   volume=5,
                                   time=6,
                                   openinterest=-1)
    # Add the data to Cerebro
    cerebro.adddata(data)

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

    # Run over everything
    starts = cerebro.run()

Here the error

/Users/trading_bot/env/bin/python /Users/trading_bot/turtule/turtle_optimizer.py
Interval: 16 Final PnL: 0.0
Interval: 15 Final PnL: 0.0
Interval: 17 Final PnL: 0.0
Interval: 14 Final PnL: 0.0
multiprocessing.pool.RemoteTraceback: 
"""
Traceback (most recent call last):
  File "/Users/anaconda3/lib/python3.7/multiprocessing/pool.py", line 121, in worker
    result = (True, func(*args, **kwds))
  File "/Users/giacomofederle/trading_bot/env/lib/python3.7/site-packages/backtrader/cerebro.py", line 1007, in __call__
    return self.runstrategies(iterstrat, predata=predata)
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/cerebro.py", line 1695, in _runonce
    strat._oncepost(dt0)
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/strategy.py", line 311, in _oncepost
    self.nextstart()  # only called for the 1st value
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/lineiterator.py", line 347, in nextstart
    self.next()
  File "/Users/trading_bot/turtule/turtle_optimizer.py", line 21, in next
    local_min = min(closes[-self.params.interval - 1:-1])
TypeError: __bool__ should return bool, returned LineOwnOperation
"""

The above exception was the direct cause of the following exception:

Traceback (most recent call last):
  File "/Userstrading_bot/turtule/turtle_optimizer.py", line 71, in <module>
    starts = cerebro.run()
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/cerebro.py", line 1143, in run
    for r in pool.imap(self, iterstrats):
  File "/Users/anaconda3/lib/python3.7/multiprocessing/pool.py", line 774, in next
    raise value
TypeError: __bool__ should return bool, returned LineOwnOperation

Process finished with exit code 1

Thank you very much in advance, I am looking forward to some suggestions

[hghhgghdf dfdf]

@Giacomo said in Turtle strategy - boolean error:

closes.append(self.data.close)

self.data.close is the line object. use list notation to get line values out of it.
So it's fixed by writing it like this:

closes.append(self.data.close[0])

But it's an ugly as hell solution. How I would write it:

    closes = self.data.close.get(size=20)
....
    local_min = min(closes)
....
    if self.data.close[0] <= local_min:
    
    

[run-out]

@Giacomo said in Turtle strategy - boolean error:

closes = []

You are using closes = [] as a global variable. You need to move this into the init as:

self.closes = list()

This will make it a local variable to the Strategy class. Then change all the closes in next to self.closes.

I made this change and it works fine.

You may wish to consider using self.datas[0].close.get(ago=1, size=??) instead of min(self.closes[-self.params.interval - 1:-1])

Or even better setting up local_min/local_max as indicators in init using bt.ind.MaxN and bt.ind.MinN