Early stopping of backtesting

holicst

Hi Everybody,

I'd like to use the multiprocessing feature of cerebro with optstrategy(). However, I'd like to stop backtesting, if a strategy performs poorly. So for example, if the initial cash is 100.000, then I want to stop if the total portfolio value drops below 50.000. Or maybe check if the performance after every N bars is above 90% etc.

Is there a feature like this already? I did some research but have not found anything. (Actually this is independent of using addstrategy or optstrategy)

Thanks and best regards,
Tamás

backtrader

Docs - Cerebro - See method: runstop.

Docs - Strategy - See attribute: env

holicst

@backtrader
Many thanks!

Андрей Музыкин

I just want to add some (maybe trivial) clarifications:

Since MyStrategy(bt.Strategy) is not instantiated until actual run, neither env attribute is.
Meanwhile calling for self.env of actual strategy instance (while running backtesting) is ok for defining early stop method:

class MyStrategy(bt.Strategy):
...
   def early_stop(self):
      self.env.runstop()
      print('Early stop envoked!')
   
   def next(self):
      ...
      if <early stop condition>: 
         self.early_stop()
      ...
      <some other next() computations>

Note: even if early_stop() is called somewhere inside next() body, it will not terminate imidiately, i.e. <some other next() computations> above still be executed once.

backtrader

You could always do:

      if <early stop condition>: 
         self.early_stop()
         return

No further calculations will run after return

The original poster asked how to stop during the calculations and not during instantiation (__init__). To do so see: