Strategy with Signals

KT

I read through "strategy with signals" section of the documentation. However, I don't really understand how to code using those signals.

Let say I would like to have a strategy that :

goes into a long position if today's closing price is lower than yesterday's
goes into a short position if today's closing price is higher than yesterday's

How do I use the signal? Do I still have to use self.sell and self.buy? Thankss :)

backtrader

You are referring to: Docs - Strategy with Signals

No. You don't have to use sell or buy. The signals tell the system to execute operations.

A Signal is basically an Indicator. It simply has to deliver values which are 0, >= 1 or <= -1 depending on the intended usage (a single Signal delivering the three values can be used for long/short strategies). A signal of that type is for example a moving average cross over

class MySignal(bt.Signal):
    params = dict(p1=10, p2=30)
    def __init__(self):
        self.lines.signal = bt.ind.CrossOver(bt.ind.SMA(period=self.p.p1), bt.ind.SMA(period=self.p.p2))

And you only have to insert the signal in the system with:

cerebro.addsignal(bt.signal.SIGNAL_LONGSHORT, MySignal

If you want finer control you can override bt.SignalStrategy as is actually done in the example in the HomePage

    from datetime import datetime
    import backtrader as bt
    
    class SmaCross(bt.SignalStrategy):
        params = (('pfast', 10), ('pslow', 30),)
        def __init__(self):
            sma1, sma2 = bt.ind.SMA(period=self.p.pfast), bt.ind.SMA(period=self.p.pslow)
            self.signal_add(bt.SIGNAL_LONG, bt.ind.CrossOver(sma1, sma2))
    
    cerebro = bt.Cerebro()
    
    data = bt.feeds.YahooFinanceData(dataname='YHOO', fromdate=datetime(2011, 1, 1),
                                     todate=datetime(2012, 12, 31))
    cerebro.adddata(data)

    cerebro.addstrategy(SmaCross)
    cerebro.run()
    cerebro.plot()

You can add multiple signals for each possible condition (LONG, SHORT, EXITLONG) ... it's all about experimenting.

KT

Thanks @backtrader

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