Based on signal from 1 stock trade another stock

[doomdaam]

I am using the default template for creating own strategy.

Goal of the strategy is:

if index_sma is above the index SMA,
and macro_sma is above macro SMA,
and rente_sma is above the rente SMA

we BUY VO (and sell ^TNX if we have a ^TNX position open)

else if:
index_sma is below index SMA,
and macro_sma is below macro SMA,
and rente_sma is below rente SMA

we SELL VO and buy ^TNX.

I am having a hard time implementing this. I tried but I am not sure where to include how to sell and buy VO and TNX.

import datetime
import matplotlib 
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind

class MultiDataStrategy(bt.Strategy):
    '''
    This strategy operates on 2 datas. The expectation is that the 2 datas are
    correlated and the 2nd data is used to generate signals on the 1st

      - Buy/Sell Operationss will be executed on the 1st data
      - The signals are generated using a Simple Moving Average on the 2nd data
        when the close price crosses upwwards/downwards

    The strategy is a long-only strategy
    '''
    params = dict(
        printout=True,
    )

    def log(self, txt, dt=None):
        if self.p.printout:
            dt = dt or self.data.datetime[0]
            dt = bt.num2date(dt)
            print('%s, %s' % (dt.isoformat(), txt))

    def notify_order(self, order):
        if order.status in [bt.Order.Submitted, bt.Order.Accepted]:
            return  # Await further notifications

        if order.status == order.Completed:
            if order.isbuy():
                buytxt = 'BUY COMPLETE, %.2f' % order.executed.price
                self.log(buytxt, order.executed.dt)
            else:
                selltxt = 'SELL COMPLETE, %.2f' % order.executed.price
                self.log(selltxt, order.executed.dt)

        elif order.status in [order.Expired, order.Canceled, order.Margin]:
            self.log('%s ,' % order.Status[order.status])
            pass  # Simply log

        # Allow new orders
        self.orderid = None

    def __init__(self):
        # To control operation entries
        self.orderid = None

        index_sma = btind.MovAv.SMA(self.data0, period=200)
        macro_sma = btind.MovAv.SMA(self.data1, period=100)        
        rente_sma = btind.MovAv.SMA(self.data3, period=100)
        
        self.index_signal = btind.CrossOver(self.data0.close, index_sma)

        
    def next(self):
        if self.orderid:
            return  

        if not self.position:  # not yet in market
            if self.index_signal == 1:
                #if self.index_signal is above 200SMA buy the VO stocks
                self.log('BUY CREATE , %.2f' % self.data4.close[0])
                self.buy()

        elif self.index_signal == 0:
            #if self.index_signal is below 200SMA sell the VO stock and buy ^TNX
                self.log('SELL CREATE , %.2f' % self.data4.close[0])
                self.sell()

    def stop(self):
        print('==================================================')
        print('Starting Value - %.2f' % self.broker.startingcash)
        print('Ending   Value - %.2f' % self.broker.getvalue())
        print('==================================================')

Here is my data load and cerebro settings:

cerebro = bt.Cerebro()

 # Get the dates 
fromdate = datetime.datetime(2015,1,1)
todate = datetime.datetime(2021,5,1)

data0 = bt.feeds.YahooFinanceData(dataname='^DJI', fromdate=fromdate,
                                  todate=todate)

data1 = bt.feeds.YahooFinanceData(dataname='CL=F', fromdate=fromdate,
                                  todate=todate)

data2 = bt.feeds.YahooFinanceData(dataname='GC=F', fromdate=fromdate,
                                  todate=todate)

data3 = bt.feeds.YahooFinanceData(dataname='^TNX', fromdate=fromdate,
                                  todate=todate)

data4 = bt.feeds.YahooFinanceData(dataname='VO', fromdate=fromdate,
                                  todate=todate)

# Add the 1st data to cerebro
cerebro.adddata(data0)
cerebro.adddata(data1)
cerebro.adddata(data2)
cerebro.adddata(data3)
cerebro.adddata(data4)

 # Add the strategy
cerebro.addstrategy(MultiDataStrategy)

cerebro.addsizer(bt.sizers.PercentSizer, percents=20)
cerebro.run()

[doomdaam]

@doomdaam Sorry I made a mistake. It is not supposed to trade ^TNX at all only VO.

^TNX is the rente sma.