Backtest running but no trade happening



  • Hi,
    I am running this code below, with simple strategy, which should result in lots of buy/sell, but i don't see any happening and end portfolio values stays same.

    from __future__ import (absolute_import, division, print_function,
                            unicode_literals)
    
    import datetime  # For datetime objects
    import os.path  # To manage paths
    import sys  # To find out the script name (in argv[0])
    
    # Import the backtrader platform
    import backtrader as bt
    import backtrader.feeds as btfeeds
    
    
    # Create a Stratey
    class TestStrategy(bt.Strategy):
        params = (
            ('maperiod', 15),
        )
    
        def log(self, txt, dt=None):
            ''' Logging function fot this strategy'''
            dt = dt or self.datas[0].datetime.date(0)
            print('%s, %s' % (dt.isoformat(), txt))
    
        def __init__(self):
            # Keep a reference to the "close" line in the data[0] dataseries
            self.dataclose = self.datas[0].close
    
            # To keep track of pending orders and buy price/commission
            self.order = None
            self.buyprice = None
            self.buycomm = None
    
            # Add a MovingAverageSimple indicator
            self.sma = bt.indicators.SimpleMovingAverage(
                self.datas[0], period=self.params.maperiod)
            self.ADX= bt.indicators.DirectionalMovementIndex(self.data,period=12)
            self.ATR= bt.indicators.ATR(self.data,period=12)
            # Indicators for the plotting show
            bt.indicators.ExponentialMovingAverage(self.datas[0], period=25)
            '''
            bt.indicators.WeightedMovingAverage(self.datas[0], period=25,
                                                subplot=True)
            bt.indicators.StochasticSlow(self.datas[0])
            bt.indicators.MACDHisto(self.datas[0])
            rsi = bt.indicators.RSI(self.datas[0])
            bt.indicators.SmoothedMovingAverage(rsi, period=10)
            bt.indicators.ATR(self.datas[0], plot=False)
            '''
    
        def notify_order(self, order):
            if order.status in [order.Submitted, order.Accepted]:
                # Buy/Sell order submitted/accepted to/by broker - Nothing to do
                return
    
            # Check if an order has been completed
            # Attention: broker could reject order if not enougth cash
            if order.status in [order.Completed]:
                if order.isbuy():
                    self.log(
                        'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                        (order.executed.price,
                         order.executed.value,
                         order.executed.comm))
    
                    self.buyprice = order.executed.price
                    self.buycomm = order.executed.comm
                else:  # Sell
                    self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                             (order.executed.price,
                              order.executed.value,
                              order.executed.comm))
    
                self.bar_executed = len(self)
    
            elif order.status in [order.Canceled, order.Margin, order.Rejected]:
                self.log('Order Canceled/Margin/Rejected')
    
            # Write down: no pending order
            self.order = None
    
        def notify_trade(self, trade):
            if not trade.isclosed:
                return
    
            self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                     (trade.pnl, trade.pnlcomm))
    
        def next(self):
            # Simply log the closing price of the series from the reference
            self.log('Close, %.2f' % self.dataclose[0])
    
            # Check if an order is pending ... if yes, we cannot send a 2nd one
            if self.order:
                return
    
            # Check if we are in the market
            if not self.position:
                
    
                # Not yet ... we MIGHT BUY if ...
              if (self.ADX[-1] > 35  
                      and self.ADX.DIplus[-1]>25 ):
                  self.log('BUY CREATE, %.2f' % self.dataclose[0])
                  self.order = self.buy()
    
    
                  
                     
                   
            else:
                
                 if (self.ADX[-1] > 35 
                      and self.ADX.DIminus[-1]>25 ):
                     self.log('SELL CREATE, %.2f' % self.dataclose[0])
                     self.order = self.sell()
                     
    
                
                    
    
    
    if __name__ == '__main__':
        # Create a cerebro entity
        cerebro = bt.Cerebro()
    
        # Add a strategy
        cerebro.addstrategy(TestStrategy)
    
        # Datas are in a subfolder of the samples. Need to find where the script is
        # because it could have been called from anywhere
        modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
        datapath = os.path.join(modpath, 'data/gbpusd 1min data.csv')
         # Create a Data Feed
        data = btfeeds.GenericCSVData(
        dataname= datapath,
    
        fromdate=datetime.datetime(2016, 3, 1),
        todate=datetime.datetime(2016,4 , 1),
    
        nullvalue=0.0,
    
        dtformat=('%d.%m.%Y %H:%M:%S.%f'),
    
        datetime=0,
        open=1,
        high=2,
        low=3,
        close=4,
        volume=5,
        openinterest=-1)
    
        # Add the Data Feed to Cerebro
        cerebro.adddata(data)
    
        # Set our desired cash start
        cerebro.broker.setcash(1000.0)
    
        # Add a FixedSize sizer according to the stake
        cerebro.addsizer(bt.sizers.FixedSize, stake=10)
    
        # Set the commission
        cerebro.broker.setcommission(commission=0.0)
    
        # 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())
    
        # Plot the result
        cerebro.plot()
    

    Is something wrong with my strategy?
    Thanks


  • administrators

    Most probably with your data. But there is no sample



  • Hi,
    I changed data to yahoo finance data

     modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
        datapath = os.path.join(modpath, 'data/s&p500 daily.csv')
        
        data = btfeeds.YahooFinanceCSVData(
                
                
                dataname=datapath,
                #reversed=True,
                fromdate=datetime.datetime(2016, 5, 31),
                todate=datetime.datetime(2017, 5, 26),
                timeframe=bt.TimeFrame.Days,
                compression=1,
                name='GSPC'
                )
    

    Got this error

     dt = date(int(dttxt[0:4]), int(dttxt[5:7]), int(dttxt[8:10]))
    
    ValueError: invalid literal for int() with base 10: '31/0'
    

    Thanks


  • administrators

    Obviously the data you are feeding to YahooFinanceCSVData is not compatible with the expected date format.

    In any case it seems in all your examples that you never configure timeframe and compression for the data feeds, which unless it happens to be the default (Days/1) will obviously not produce the desired effects.


  • administrators

    You may want to read the Community - FAQ where timeframe and compression are specifically mentioned



  • I got it, for the genericCSVdata i did not put timeframe, but the the data for yahooFinanceCSVData is downloaded from yahoo historical prices and it does have time frame and compression, so why am i getting the error.
    Also, i just put the time frame and compression on my genericCSVdata code and run it, but the same result, no buy sell.


  • administrators

    The Yahoo prices have this format: YYYY-MM-DD. It has always been so with the dead API and it seems so far to be the with the new.

    What was fed into the YahooFinanceCSVData has apparently this format: DD/MM/YY??. It might be that you downloaded it from Yahoo or may be not, or it was a tool that changed the format.

    The situation here is that the data is the key to the problems shown here and the only thing for which not a single sample line is shown.



  • Thanks,
    The format of my data is DD/MM/YYYY, downloaded from yahoo historical prices, i didn't make any change afterwards. I actually don't need yahoo data, was just trying out...
    So, my main problem is loading genericCSVdata, the data i have is 1 min time frame data, shall i download tick data (instrument/date/bid/ask format) and let backtrader resample?

    This is my 1 min data

    0_1496077702230_e7b24477-ef88-445b-abf6-327b8055f95e-image.png

    Local time	Open	High	Low	Close	Volume
    29.02.2016 00:00:00.000	1.38606	1.38614	1.38591	1.38593	97.64
    29.02.2016 00:01:00.000	1.38593	1.38616	1.38591	1.38598	142.93
    29.02.2016 00:02:00.000	1.38599	1.38606	1.38596	1.38597	101.98
    
    

    This is tick data

    0_1496077984610_a9bed27c-4f44-4810-b32a-b9cbdfeb8e9e-image.png

    GBP/USD	20160601 00:00:00.133	1.44831	1.44842
    GBP/USD	20160601 00:00:00.134	1.44831	1.44842
    GBP/USD	20160601 00:00:00.294	1.44831	1.44842
    GBP/USD	20160601 00:00:00.300	1.44831	1.44842
    

    What changes do I need to make for it to work, please?


  • administrators

    If your data is already in 1-minute format you have to tell GenericCSVData that the timeframe=bt.TimeFrame.Minutes.

    The data feed cannot magically know what the timeframe of your data is. And even if you thing it should, because it could scan the file and apply heuristics, that would take time and could not be applied to dynamic data feeds.



  • I understand your point, but why is it not trading after putting the the timeframe and compression? what can be still wrong with the data?


  • administrators

    Dataless based diagnostics are impossible. Let's elaborate:

    • You have a strategy which is not producing trades
    • The data is apparently loaded with the wrong timeframe (default is Days, but the data is Minutes)
      • Which would confuse the broker if the timespan is too short
    • Once the timeframe is correctly specified, the following could for example happen:

      • The minimum period calculated by the indicators is too large for the the input data to move into actual next (i.e.: it remains in the prenext phase)

      • The conditions for the trades are never met (regardless of whether they were correctly or incorrectly specified)

    Your strategy has a

    self.log('Close, %.2f' % self.dataclose[0])
    

    By simply seeing if that statement produces output, you can rule out if you never make it to next.

    You could also not only print the close price, but also print the value of the indicators or look at the plotted chart to see if the values are being met.

    Using a writer (with csv) activated can save you some time into getting the indicator values printed out. See:

    For each indicator for which you want output you need to do:

    myind.csv = True
    


  • Thanks for elaborating, this is the output;

    016-03-31, Close, 1.44
    2016-03-31, Close, 1.44
    2016-03-31, Close, 1.44
    2016-03-31, Close, 1.44
    2016-03-31, Close, 1.44
    2016-03-31, Close, 1.44
    2016-03-31, Close, 1.44
    2016-03-31, Close, 1.44
    2016-04-01, Close, 1.44
    Final Portfolio Value: 1000.44
    

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