optstrategy not working in Jupyter

Søren Pallesen

Im trying to run a simple example using optstrategy in a Jyputer notebook and it simply just hangs. Any ideas?

Here is the code:

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):
    params = (('BBandsperiod', 20),)

    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
        self.redline = None
        self.blueline = None

        # Add a BBand indicator
        self.bband = bt.indicators.BBands(self.datas[0], period=self.params.BBandsperiod)

    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, order.Canceled, order.Margin]:
            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
                pass
#                 self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
#                          (order.executed.price,
#                           order.executed.value,
#                           order.executed.comm))

            self.bar_executed = len(self)

        # 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

        if self.dataclose < self.bband.lines.bot and not self.position:
        	self.redline = True

        if self.dataclose > self.bband.lines.top and self.position:
        	self.blueline = True

        if self.dataclose > self.bband.lines.mid and not self.position and self.redline:        	
        	# BUY, BUY, BUY!!! (with all possible 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()

        if self.dataclose > self.bband.lines.top and not self.position:
            # BUY, BUY, BUY!!! (with all possible 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()

        if self.dataclose < self.bband.lines.mid and self.position and self.blueline:
            # SELL, SELL, SELL!!! (with all possible default parameters)
            #self.log('SELL CREATE, %.2f' % self.dataclose[0])
            self.blueline = False
            self.redline = False
            # 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)
    cerebro.optstrategy(TestStrategy, BBandsperiod=(18, 22))


    # 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, 'TSLA-USD.csv')

    # Create a Data Fee
    data = bt.feeds.GenericCSVData(
        dataname='data/BTC_USDT_poliniex_1d_2017.csv',
        dtformat='%Y-%m-%d', 
        # dtformat='%Y-%m-%d %H:%M:%S',
        # dtformat='%d.%m.%Y %H:%M:%S.%f',
        # tmformat='%H%M%S',  # already the default value
        # datetime=0,  # position at default
        time=-1,  # position of time
        open=1,  # position of open
        high=2,
        low=3,
        close=4,
        volume=5,
        openinterest=-1,  # -1 for not present
        timeframe=bt.TimeFrame.Days)

    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(1000000.0)

    # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize, stake=5)

    # Set the commission
    cerebro.broker.setcommission(commission=0.002)

    # 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()

Here is the output from the Jupyter console:

ab_trader

@Søren-Pallesen I've heard that jupyter doesn't support multiprocessing. This can be a reason of the error.

Paska Houso

See this: https://community.backtrader.com/topic/612/optimzation-question/

Any shell which hijacks the initialization of the Python kernel is bound to have problems with the multiprocessing module under Windows. Google shows some other references from the past:

Søren Pallesen

Thx for prompt answers. Love this community for that. Any way to use optstrategy without multiprocessing?

Paska Houso

Option 1: maxcpus=1 (disable using multiple cores)
Option 2: You give GvR a call and tell him that in 2017 (with 2018 not being that far away) the GIL may no longer be such a good idea. It may be worth a try.

Søren Pallesen

Funny and knowleble. Rare combo 🤣. Thx again will give maxcpus a shot. Shame though when you have a 12 core i7 ...