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    Data range change results in different backtesting results

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    • A
      ad26kr last edited by

      I ran the following code block in the 'Quick start' and found that the results differ with different date range(I mean the overlapped period)

      case 1: fromdate=datetime.datetime(2000, 1, 1), todate=datetime.datetime(2000, 1, 10)
      BUY CREATE at 2000-01-05, which is actually the third business day in the data range, and also the trading condition is satisfied.

      case 2: fromdate=datetime.datetime(2000, 1, 1), todate=datetime.datetime(2000, 3, 20)
      BUY CREATE at 2000-01-03, which is actually the first business day in the data range (which is wrong)

      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
      
      
      # Create a Stratey
      class TestStrategy(bt.Strategy):
      
          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
      
          def next(self):
              # Simply log the closing price of the series from the reference
              self.log('Close, %.2f' % self.dataclose[0])
      
              if self.dataclose[0] < self.dataclose[-1]:
                  # current close less than previous close
      
                  if self.dataclose[-1] < self.dataclose[-2]:
                      # previous close less than the previous close
      
                      # BUY, BUY, BUY!!! (with all possible default parameters)
                      self.log('BUY CREATE, %.2f' % self.dataclose[0])
                      self.buy()
      
      
      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, '../../datas/orcl-1995-2014.txt')
      
          # Create a Data Feed
          data = bt.feeds.YahooFinanceCSVData(
              dataname=datapath,
              # Do not pass values before this date
              fromdate=datetime.datetime(2000, 1, 1),
              # Do not pass values before this date
              todate=datetime.datetime(2000, 12, 31),
              # Do not pass values after this date
              reverse=False)
      
          # Add the Data Feed to Cerebro
          cerebro.adddata(data)
      
          # Set our desired cash start
          cerebro.broker.setcash(100000.0)
      
          # 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())```
      1 Reply Last reply Reply Quote 0
      • A
        ad26kr last edited by

        I pasted a wrong code block.
        Actually is:

        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
        
        
        # Create a Stratey
        class TestStrategy(bt.Strategy):
        
            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
        
            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 enough 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')
        
                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.dataclose[0] < self.dataclose[-1]:
                            # current close less than previous close
        
                            if self.dataclose[-1] < self.dataclose[-2]:
                                # previous close less than the previous close
        
                                # BUY, BUY, BUY!!! (with default parameters)
                                self.log('BUY CREATE, %.2f' % self.dataclose[0])
        
                                # Keep track of the created order to avoid a 2nd order
                                self.order = self.buy()
        
                else:
        
                    # Already in the market ... we might sell
                    if len(self) >= (self.bar_executed + 5):
                        # SELL, SELL, SELL!!! (with all possible default parameters)
                        self.log('SELL CREATE, %.2f' % self.dataclose[0])
        
                        # Keep track of the created order to avoid a 2nd order
                        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, '../../datas/orcl-1995-2014.txt')
        
            # Create a Data Feed
            data = bt.feeds.YahooFinanceCSVData(
                dataname=datapath,
                # Do not pass values before this date
                fromdate=datetime.datetime(2000, 1, 1),
                # Do not pass values before this date
                todate=datetime.datetime(2000, 12, 31),
                # Do not pass values after this date
                reverse=False)
        
            # Add the Data Feed to Cerebro
            cerebro.adddata(data)
        
            # Set our desired cash start
            cerebro.broker.setcash(100000.0)
        
            # Set the commission - 0.1% ... divide by 100 to remove the %
            cerebro.broker.setcommission(commission=0.001)
        
            # 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())
        
        1 Reply Last reply Reply Quote 0
        • A
          ad26kr last edited by

          I found that:
          self.dataclose[-1] represents the price of todate and self.dataclose[-2] represents the price of previous day of todate.

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