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Log / Print OHLC and other line variables.
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I went through a lot of examples on this forum and designed a sample code, but I am stuck with an error. All I am trying to do is log/print the date-time, open, high, low, close, DIST_ESD_ALT1_365D, DIST_SPRD_ALT_1.1_365D, DIST_SPRD_ALT_1.2_365D, signal variables of "stk0" symbol.
Similarly, just log/print the date-time, open, high, low, close, DIST_ESD_ALT1_365D, DIST_SPRD_ALT_1.1_365D, DIST_SPRD_ALT_1.2_365D, signal variables of "stk1" symbol.
I have pickled the pandas dataframe "all_values". The pickled dataframe can be downloaded from :
The code is as follows:
from __future__ import (absolute_import, division, print_function, unicode_literals) # Import the backtrader platform import backtrader as bt import pickle # Create a Stratey class TestStrategy(bt.Strategy): def log(self, txt, dt=None): ''' Logging function fot this strategy''' def __init__(self): # Keep a reference to the "close" line in the data[0] dataseries self.stk0_symbol = self.p.stk0_symbol self.stk1_symbol = self.p.stk1_symbol # Strategy params self.loss_limit = self.p.loss_limit self.consider_borrow_cost = self.p.consider_borrow_cost self.consider_commission = self.p.consider_commission # Parameters for printing self.print_bar = self.p.print_bar self.print_msg = self.p.print_msg self.print_transaction = self.p.print_transaction def next(self): # Log / Print the date-time, open, high, low, close, 'DIST_ESD_ALT1_365D', 'DIST_SPRD_ALT_1.1_365D', 'DIST_SPRD_ALT_1.2_365D', 'signal' of stk0 # Log / Print the date-time, open, high, low, close, 'DIST_ESD_ALT1_365D', 'DIST_SPRD_ALT_1.1_365D', 'DIST_SPRD_ALT_1.2_365D', 'signal' of stk1 pass class LineParam: def get_extra_df_columns(self, df, exclusion_list): lines = () for column in df.columns: if column not in exclusion_list: lines = lines + (column,) return lines def _create_data_feeder(self, lines, params): return type('PandasDataFeed', (bt.feeds.PandasData,), {'lines': lines, 'params': params}) if __name__ == '__main__': # Parameters for Overall Pair Backtest max_lookback = [220] # Number of trading days lookback_value = [52] enter_threshold_size = [2] exit_threshold_size = [0.5] loss_limit = [-0.005] consider_borrow_cost = False consider_commission = True print_msg = True print_transaction = True # Create a cerebro entity cerebro = bt.Cerebro() parameters_stk0_dict = {} parameters_stk1_dict = {} infile = open("all_values", "rb") all_values = pickle.load(infile) symbols_list = ['NAVI.O', 'EFX'] for i in range(len(symbols_list)): all_values = all_values.drop(['#RIC_' + symbols_list[i]], axis=1) all_values_column_names = list(all_values.columns.values) exclusion_list = ['Open_' + symbols_list[0], 'High_' + symbols_list[0], 'Low_' + symbols_list[0], 'Close_' + symbols_list[0], 'Open_' + symbols_list[1], 'High_' + symbols_list[1], 'Low_' + symbols_list[1], 'Close_' + symbols_list[1]] obj = LineParam() line_tuple=obj.get_extra_df_columns(all_values, exclusion_list) # Add stk0 parameters_stk0_dict = {'datetime': 'Date-Time', 'open': 'Open' + "_" + symbols_list[0], 'high': 'High' + "_" + symbols_list[0], 'low': 'Low' + "_" + symbols_list[0], 'close': 'Close' + "_" + symbols_list[0]} for i in range(len(line_tuple)): parameters_stk0_dict.update({line_tuple[i]: line_tuple[i]}) parameters_stk0_tuple = tuple(parameters_stk0_dict.items()) data_feeder = obj._create_data_feeder(line_tuple, parameters_stk0_tuple) # Add the Data Feed to Cerebro cerebro.adddata(data_feeder(dataname=all_values, name="stk0")) # Add stk1 parameters_stk1_dict = {'datetime': 'Date-Time', 'open': 'Open' + "_" + symbols_list[1], 'high': 'High' + "_" + symbols_list[1], 'low': 'Low' + "_" + symbols_list[1], 'close': 'Close' + "_" + symbols_list[1]} for i in range(len(line_tuple)): parameters_stk1_dict.update({line_tuple[i]: line_tuple[i]}) parameters_stk1_tuple = tuple(parameters_stk1_dict.items()) data_feeder = obj._create_data_feeder(line_tuple, parameters_stk1_tuple) # Add the Data Feed to Cerebro cerebro.adddata(data_feeder(dataname=all_values, name="stk1")) backtest_config_dict = \ {'stk0_symbol': symbols_list[0], 'stk1_symbol': symbols_list[1], 'loss_limit': loss_limit, 'consider_borrow_cost': consider_borrow_cost, 'consider_commission': consider_commission, 'print_msg': print_msg, 'print_transaction': print_transaction} # Add a strategy cerebro.addstrategy(TestStrategy, stk0_symbol=backtest_config_dict['stk0_symbol'], stk1_symbol=backtest_config_dict['stk1_symbol'], loss_limit=backtest_config_dict['loss_limit'], consider_borrow_cost=backtest_config_dict['consider_borrow_cost'], consider_commission=backtest_config_dict['consider_commission'], print_msg=backtest_config_dict['print_msg'], print_transaction=backtest_config_dict['print_transaction'] ) # Set our desired cash start cerebro.broker.setcash(100000.0) # Print out the starting conditions print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) # Run over everything cerebro.run() # Print out the final result print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())Though I have not written the log/print code, but when I run this code, I get the following error :
Traceback (most recent call last): File "C:\Program Files\JetBrains\PyCharm 2020.2\plugins\python\helpers\pydev\pydevd.py", line 1448, in _exec pydev_imports.execfile(file, globals, locals) # execute the script File "C:\Program Files\JetBrains\PyCharm 2020.2\plugins\python\helpers\pydev\_pydev_imps\_pydev_execfile.py", line 18, in execfile exec(compile(contents+"\n", file, 'exec'), glob, loc) File "C:/Users/prate/Dropbox/01 Prateek Otto/Paper 3/Cerebro/Sample.py", line 159, in <module> cerebro.run() File "C:\Python37\lib\site-packages\backtrader\cerebro.py", line 1127, in run runstrat = self.runstrategies(iterstrat) File "C:\Python37\lib\site-packages\backtrader\cerebro.py", line 1212, in runstrategies data.preload() File "C:\Python37\lib\site-packages\backtrader\feed.py", line 438, in preload while self.load(): File "C:\Python37\lib\site-packages\backtrader\feed.py", line 479, in load _loadret = self._load() File "C:\Python37\lib\site-packages\backtrader\feeds\pandafeed.py", line 255, in _load line[0] = self.p.dataname.iloc[self._idx, colindex] File "C:\Python37\lib\site-packages\backtrader\linebuffer.py", line 222, in __setitem__ self.array[self.idx + ago] = value TypeError: must be real number, not Timestamp Process finished with exit code 1Can someone please help me. Thanks
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self.array[self.idx + ago] = value TypeError: must be real number, not Timestampself.idx or ago is an Timestamp and must be real number (int)
try thisif you create a dict with exact same names as parameters like
backtest_config_dict = \ {'stk0_symbol': symbols_list[0], 'stk1_symbol': symbols_list[1], 'loss_limit': loss_limit, 'consider_borrow_cost': consider_borrow_cost, 'consider_commission': consider_commission, 'print_msg': print_msg, 'print_transaction': print_transaction} # Add a strategy cerebro.addstrategy(TestStrategy, stk0_symbol=backtest_config_dict['stk0_symbol'], stk1_symbol=backtest_config_dict['stk1_symbol'], loss_limit=backtest_config_dict['loss_limit'], consider_borrow_cost=backtest_config_dict['consider_borrow_cost'], consider_commission=backtest_config_dict['consider_commission'], print_msg=backtest_config_dict['print_msg'], print_transaction=backtest_config_dict['print_transaction'] )you can go like
cerebro.addstrategy(TestStrategy, **backtest_config_dict )
