Request for code review

Trade Prophet

Hello,
since these are my first lines of code in backtrade(and Python),can anyone run a quick code review and post comments?
a few words about the logic:

rank the stocks in a list according to volatility(r_squared of last 90 days linear regression)
open the first ones with positive linear regression slope
close the ones with negative linear regression slope

comments are highly appreciated,go brutal...

imports ...
class TestStrategy(bt.Strategy):
    params = (
        ('atr_parameter', 20),
        ('rank_period', 90),
    )

    def __init__(self):
        self.atrs = {data._name: bt.indicators.ATR(data, period=self.p.atr_parameter)
                     for data in self.datas}

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            return

        dt = self.datas[0].datetime.date(0)
        order_type = None
        order_value = None
        if order.status in [order.Completed]:
            if order.isbuy():
                order_type= 'buy'
                order_value = order.executed.value
            else:  # Sell
                order_type= 'sell'
                order_value = order.executed.pnl
            print('%s : %s %s, (#%d@%.2f$),%.2f$' %(dt.isoformat(), order_type, order.data._name, order.executed.size, order.executed.price, order_value))

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            print('Order Canceled/Margin/Rejected')

    def next(self):
        open_candiates = []
        close_positions = []
        for ticker in self.getdatanames():
            symbol_quotes = self.getdatabyname(ticker)
            rank_period_quotes=list(symbol_quotes)[-self.p.rank_period:]
            x = np.arange(len(rank_period_quotes))
            slope, intercept, r_value, p_value, std_err = stats.linregress(x, rank_period_quotes)
            if(slope <= 0):
                close_positions.append(ticker)
            else:
                ticker_values = {}
                ticker_values['ticker_r'] = r_value**2
                ticker_values['position_size'] = 0.001 * self.broker.getvalue()/self.atrs[ticker][0]
                ticker_values['ticker']=ticker
                open_candiates.append(ticker_values)

        open_candiates.sort(key=itemgetter('ticker_r'), reverse=True)

        # close positions
        for ticker in close_positions:
            if(0 != self.broker.getposition(data = self.getdatabyname(ticker)).size):
                self.close(data=self.getdatabyname(ticker))

        # open position
        for ticker in open_candiates:
            ticker_data = self.getdatabyname(ticker['ticker'])
            current_size = self.broker.getposition(data = ticker_data).size
            if(0 == current_size):
                self.buy(data = ticker_data, size=ticker['position_size'])

if __name__ == '__main__':
    isOptimizing = False    # backtesting and not optimizing
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # load symbol list from file
    with open('ticker_list.txt', 'r') as f:
        reader = csv.reader(f)
        tickers = list(reader)

    for ticker in tickers:
        print("Loading .csv for %s" % ticker[0])
        # Create a Data Feed
        data = bt.feeds.QuandlCSV(
            dataname=ticker[0]+'.csv',
            fromdate=datetime.datetime(2013, 1, 1),
            todate=datetime.datetime(2016, 12, 29),
            adjclose=False, reverse=True)
        # Add the Data Feed to Cerebro
        cerebro.adddata(data=data,name=ticker[0])

    # Add a strategy
    if(isOptimizing):
        strats = cerebro.optstrategy(TestStrategy,maperiod=range(10, 31))
    else:
        cerebro.addstrategy(TestStrategy)

    cerebro.broker.setcash(100000.0)
    cerebro.broker.setcommission(commission=0.0015)
    cerebro.run()

ab_trader

go brutal...

You've asked. Why don't you debug your code by yourself?

Trade Prophet

Thank you for the reply,
I'm not looking to debug the code, I'm looking for reviews, such as :

could I have done things differently? using other backtrader (excellent) components?
Could the purpose of ranking be done another way?
What are the potential pitfalls in the code?
Did I use backtrader the way it was supposed to be used?

Paska Houso

@Trade-Prophet said in Request for code review:

            symbol_quotes = self.getdatabyname(ticker)
            rank_period_quotes=list(symbol_quotes)[-self.p.rank_period:]

Out of curiosity ... what's the intention of that. I imagine:

list(symbolquotes) uses the fact that a data feed has a __len__ (one can say len(data)) and __getitem__ (one can use data[x]

But given that backtrader doesn't use standard indexing (starting and 0 and growing), but the built-in mechanisms in Python don't know it and will construct the list by iterating from 0 -> len(data) ... this probably won't deliver the expected result ... which seems to gather all data and then slice.

@Trade-Prophet said in Request for code review:

if(0 == current_size):

That isn't very Pythonic ... if not current_size would be. But each uses his/her own patterns.

Trade Prophet

Thank you very much for your reply
and you are absolutely right! the lines you have mentioned do not produce the expected result, I'm constructing an indicator to provide linear regression data(slope,r squared) instead of the current code.
coming from C++ lines like "if(0 == current_size):" make sense to me but I will gladly honor the Pythonic tradition.
Thanks for the time and the professional review

Paska Houso

@Paska-Houso said in Request for code review:

list(symbolquotes) uses the fact that a data feed has a __len__ (one can say len(data)) and __getitem__ (one can use data[x])

See this recent thread. You probably want to use data.get(ago=x, size=y). The results will be in the expected order.

https://community.backtrader.com/topic/753/indicator-slicing/