Multiple Data Feeds - Only buy()'s on the first two feeds though

[Michael Tomlin]

I'm struggling hard here. I've always used backtrader on one symbol at a time, and figured it was time to save myself some time and input multiple symbols worth of data. For now, I feed it a list of symbols, and iterates through and puts into a Pandas df. But when I iterate through in strategy.next(), it will only buy the first two symbols in symbols[]. It is getting a buy signal, because I have put a print statement to verify. Anyone have any ideas. main and strategy are posted below.

#main
import backtrader as bt
import multiSqueeze
from alpaca_trade_api.rest import REST, TimeFrame
import config
import pandas as pd
import quantstats


api = REST(config.API_KEY, config.SECRET_KEY, base_url=config.API_URL)

#***************************************
start = "2020-01-01"
end = "2022-02-08"
symbols=['AA','SWCH','MSFT']
strat = multiSqueeze.TTMSqueeze
#***************************************

startcash = 10000
cerebro = bt.Cerebro()
cerebro.addstrategy(strat)
datalist=[]
for i in range(len(symbols)):
  data=api.get_bars(symbols[i],TimeFrame.Day,start,end,adjustment='raw').df
  v2_data=data.drop(['trade_count','vwap'], axis=1)   #DROP UNUSED COLUMNS
  insert = [v2_data,symbols[i]]
  datalist.append(insert)
for i in range(len(datalist)):
    data = bt.feeds.PandasData(dataname=datalist[i][0])
    cerebro.adddata(data, name=datalist[i][1])

cerebro.broker.setcash(startcash)
strategies = cerebro.run()
import pyfolio as pf
cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')
portvalue = cerebro.broker.getvalue()
print('Final Value: ${}'.format(round(portvalue,2)))
print(" ")

strategy is next

import backtrader as bt
import math

class TTMSqueeze(bt.Strategy):
  params =  (("period", 20),
              ("devfactor", 2),
              ("atr_factor",1.5), 
              ("size", 100), 
              ("debug", False),
              ("risk", 0.05), 
              ("stop_dist", .1), 
              ("notify", False), 
              ('oneplot', True),
              ("momentum", 10))

  def __init__(self):
    self.inds = dict()
    self.o = dict()  # orders per data (main, stop, limit, manual-close)
    for i, d in enumerate(self.datas):
      self.inds[d] = dict()
      self.inds[d]['boll'] = bt.indicators.BollingerBands(d.close, period=self.p.period,devfactor=self.p.devfactor)
      self.inds[d]['mom'] = bt.indicators.Momentum(d.close, period=12)
      self.inds[d]['atr'] = bt.indicators.ATR(period=12)
      self.inds[d]['sma'] = bt.indicators.SimpleMovingAverage(d.close,period=20)

      if i > 0: #Check we are not on the first loop of data feed:
        if self.p.oneplot == True:
          d.plotinfo.plotmaster = self.datas[0]

  def next(self):
    for i, d in enumerate(self.datas):
      dt, dn = self.datetime.date(), d._name
      pos = self.getposition(d).size
      cash = self.broker.get_cash()
      stop_price = (d.close[0] * (1 - self.p.stop_dist))
      qty = math.floor((cash * self.p.risk) / (d.close[0] - stop_price))
      if not pos and  not self.o.get(d, None):
        if self.inds[d]['boll'].lines.top[-1] < (self.inds[d]['sma'].sma[-1]+(self.inds[d]['atr'].lines.atr[-1]*self.p.atr_factor)) and self.inds[d]['boll'].lines.bot[-1] > (self.inds[d]['sma'].sma[-1]-(self.inds[d]['atr'].lines.atr[-1]*self.p.atr_factor)):
          if self.inds[d]['boll'].lines.top[0] > (self.inds[d]['sma'].sma[0]+(self.inds[d]['atr'].lines.atr[0]*self.p.atr_factor)) or self.inds[d]['boll'].lines.bot[0] < (self.inds[d]['sma'].sma[-1]-(self.inds[d]['atr'].lines.atr[0]*self.p.atr_factor)):
            print('Date: {}     Symbol: {}      Price: ${} '.format(dt,dn,round(d.close[0],2)))
            self.o[d] = [self.buy(data=d,size=qty)]
            self.sell(data=d, exectype=bt.Order.Stop,size=qty,price=stop_price,parent=self.o[d])
            self.bar_executed = len(self)
      else:
        if self.inds[d]['mom'].lines.momentum[0] < self.inds[d]['mom'].lines.momentum[-1]:
          if self.inds[d]['mom'].lines.momentum[-1] < self.inds[d]['mom'].lines.momentum[-2]:
            o = self.close(data=d)
            self.o[d].append(o)
            #self.order = self.close()

  def notify_trade(self, trade):
    dt = self.data.datetime.date()
    if trade.isclosed:
      if self.p.notify:
        print('Date: {} Symbol: {}  PnL: ${} Size: {} Days: {}'.format(
                                            dt,
                                            trade.data._name,
                                            round(trade.pnl,2),
                                            trade.size,
                                            trade.barlen))

[run-out]

@michael-tomlin said in Multiple Data Feeds - Only buy()'s on the first two feeds though:

qty = math.floor((cash * self.p.risk) / (d.close[0] - stop_price))

I'm not sure this line is doing what you want. You are taking your cash * your risk, so in this case .05 of the cash value, which is fine.

But then you divide by close - stop_price, which is a small number in the denominator, resulting in a large quantity. Your first couple of purchases likely max out your cash due to this.

[Michael Tomlin]

@run-out
Thanks for your input. That was definitely a mistake, but the program is still doing the same. I added in the following to test out if symbol[] of index => 2 will work. It does not.

if not pos and i==2

  def next(self):
    for i, d in enumerate(self.datas):
      dt, dn = self.datetime.date(), d._name
      pos = self.getposition(d).size
      cash = self.broker.get_cash()
      stop_price = (d.close[0] * (1 - self.p.stop_dist))
      qty = math.floor((cash * self.p.risk) / d.close[0])
      if not pos and i==1:
        if self.inds[d]['boll'].lines.top[-1] < (self.inds[d]['sma'].sma[-1]+(self.inds[d]['atr'].lines.atr[-1]*self.p.atr_factor)) and self.inds[d]['boll'].lines.bot[-1] > (self.inds[d]['sma'].sma[-1]-(self.inds[d]['atr'].lines.atr[-1]*self.p.atr_factor)):
          if self.inds[d]['boll'].lines.top[0] > (self.inds[d]['sma'].sma[0]+(self.inds[d]['atr'].lines.atr[0]*self.p.atr_factor)) or self.inds[d]['boll'].lines.bot[0] < (self.inds[d]['sma'].sma[-1]-(self.inds[d]['atr'].lines.atr[0]*self.p.atr_factor)):
            print('Date: {}     Symbol: {}      Price: ${}    Qty: {} '.format(dt,dn,round(d.close[0],2),qty))
            self.o[d] = [self.buy(data=d,size=qty)]
            self.sell(data=d, exectype=bt.Order.Stop,size=qty,price=stop_price,parent=self.o[d])
            self.bar_executed = len(self)
      else:
        if self.inds[d]['mom'].lines.momentum[0] < self.inds[d]['mom'].lines.momentum[-1]:
          if self.inds[d]['mom'].lines.momentum[-1] < self.inds[d]['mom'].lines.momentum[-2]:
            #o = self.close(data=d)
            #self.o[d].append(o)
            self.order = self.close(data=d)

if i==0 or i==1, it outputs correctly. If i==2, it just prints out the final portfolio value. Any ideas? Thank you for the help btw

[run-out]

@michael-tomlin I would try this before anything, comment out all of your code in next, and try to just log/print or debug the datas list to ensure you have more than to datas in there.

for i in range(len(datas)): 
    print(i, self.datas[i].close[0])

This will tell you for sure you if you have more than two datas. If you do indeed have more, please show all of your code so I can help debug without guessing the other parts. Thanks.