Cash balance as a trading condition

Jinwook Jang

Hello all,

I searched this community to figure out whether a strategy based on my cash balance is possible.

Let's say I have 100K cash, I want to throttle stock buying based on my current cash balance.
It seems getcash() is part of broker class. Can I use this to implement what I explained?

Thank you!

Jinwook Jang

@jinwook-jang I went through the documentation. Now I have a better understanding. Does anybody know whether creating an Indicator out of getcash() is possible?

Jinwook Jang

@jinwook-jang I think I have to use "dynamic indictor". https://www.backtrader.com/blog/posts/2018-02-06-dynamic-indicator/dynamic-indicator/

run-out

@jinwook-jang Have you looked here in the docs?

Jinwook Jang

@run-out Thank you run-out! Yes. I was playing with it.

I noticed one thing. I was trying to copy and reuse the dynamic indicator example.

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

class DynamicHighest(bt.Indicator):
    lines = ('dyn_highest',)
    params = dict(tradeopen=False)

    def next(self):
        print('Indicator next execution')
        if self.p.tradeopen:
            self.lines.dyn_highest[0] = max(self.data[0], self.dyn_highest[-1])

class MyStrategy(bt.Strategy):
    def __init__(self):
        self.dyn_highest = DynamicHighest(self.data.high)

    def notify_trade(self, trade):
        self.dyn_highest.p.tradeopen = trade.isopen

    def next(self):
        if self.dyn_highest > 150.00:
            self.buy()
            print('ABOUT TO DO SOMETHING')
            
            
if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(MyStrategy)

    # 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.getcwd()
    datapath = os.path.join(modpath, 'TQQQ.csv')

    # Create a Data Feed
    data = bt.feeds.YahooFinanceCSVData(
        dataname=datapath,
        # Do not pass values before this date
        fromdate=datetime.datetime(2020, 1, 1),
        # Do not pass values before this date
        todate=datetime.datetime(2020, 1, 10),
        # 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(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()

It appears next() function of Indicator runs first and then the Strategy next() runs. Here is the print out from the source code.
I expected Indicator.next()->Strategy.next()->.... Indicator.next()->Strategy.next(). However this is finishing the Indicator next() first, and then doing Strategy next().

Starting Portfolio Value: 1000.00
Indicator next execution
Indicator next execution
Indicator next execution
Indicator next execution
Indicator next execution
Indicator next execution
Strategy next execution
Strategy next execution
Strategy next execution
Strategy next execution
Strategy next execution
Strategy next execution
Final Portfolio Value: 1000.00

I think this is not expected behavior, right?

Jinwook Jang

@jinwook-jang Ok. I found the answer. runonce=False is required.

cerebro = bt.Celibro(runonce=False)