Backtest running but no trade happening

mahbubk9

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

backtrader

Most probably with your data. But there is no sample

mahbubk9

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

backtrader

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.

backtrader

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

mahbubk9

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.

backtrader

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.

mahbubk9

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?

backtrader

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.

mahbubk9

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?

backtrader

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

mahbubk9

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