Backtest running but no trade happening
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) # 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.datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def __init__(self): # Keep a reference to the "close" line in the data dataseries self.dataclose = self.datas.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, 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, period=25) ''' bt.indicators.WeightedMovingAverage(self.datas, period=25, subplot=True) bt.indicators.StochasticSlow(self.datas) bt.indicators.MACDHisto(self.datas) rsi = bt.indicators.RSI(self.datas) bt.indicators.SmoothedMovingAverage(rsi, period=10) bt.indicators.ATR(self.datas, 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) # 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) self.order = self.buy() else: if (self.ADX[-1] > 35 and self.ADX.DIminus[-1]>25 ): self.log('SELL CREATE, %.2f' % self.dataclose) 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)) 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?
Most probably with your data. But there is no sample
I changed data to yahoo finance data
modpath = os.path.dirname(os.path.abspath(sys.argv)) 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'
Obviously the data you are feeding to
YahooFinanceCSVDatais not compatible with the expected date format.
In any case it seems in all your examples that you never configure
compressionfor the data feeds, which unless it happens to be the default (
Days/1) will obviously not produce the desired effects.
You may want to read the Community - FAQ where
compressionare 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.
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
YahooFinanceCSVDatahas 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.
mahbubk9 last edited by backtrader
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
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
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?
If your data is already in
1-minuteformat you have to tell
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?
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
- 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
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)
By simply seeing if that statement produces output, you can rule out if you never make it to
You could also not only print the
closeprice, 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