How to Plot Renko

vensaiten

Hi everyone,

I have just started exploring Backtrader and I already got a question. How could I use Renko on strategy and to plot? I used the strategy from "Quickstart" as a starter but got an error ('Plot_OldSync' object has no attribute 'mpyplot'). Please let me know what I am doing wrong and how I could improve. Thanks!

import backtrader as bt
from datetime import datetime

class quickStrategy(bt.Strategy): 
    def __init__(self):
        self.dataclose = self.datas[0].close
        
    def next(self):
        if self.dataclose[0] < self.dataclose[-1]:
            if self.dataclose[-1] < self.dataclose[-2]:
                self.buy()
    
# Variable for the starting cash
startcash = 10000.0

# Create an instance of cerebro
cerebro = bt.Cerebro()

# Add the strategy
cerebro.addstrategy(quickStrategy)

# Get Apple data from Yahoo Finance
data = bt.feeds.YahooFinanceData(
    dataname = 'AAPL',
    fromdate = datetime(2016,1,1),
    todate = datetime(2017,1,1),
    buffered = True
    )

# Convert to Renko
data.addfilter(bt.filters.Renko, size=20, align=10)

#Add the data to Cerebro
cerebro.adddata(data)
 
# Set desired cash start
cerebro.broker.setcash(startcash)
 
# Run over everything
cerebro.run()

#Plot
cerebro.plot()

Paska Houso

@vensaiten said in How to Plot Renko:

# Get Apple data from Yahoo Finance
data = bt.feeds.YahooFinanceData(
    dataname = 'AAPL',
    fromdate = datetime(2016,1,1),
    todate = datetime(2017,1,1),
    buffered = True
    )

If I had to bet that is returning no usable data. It is well-known that Yahoo has crippled the API (shut down the old and made the new one unusable)

@vensaiten said in How to Plot Renko:

    def next(self):
        if self.dataclose[0] < self.dataclose[-1]:
            if self.dataclose[-1] < self.dataclose[-2]:
                self.buy()

You could try to print the closing values there to check what's happening.

Solution: use a different data file (a csv file is good enough)

vensaiten

This time, as been told, I used the csv file as data feed and also used the logging strategy from "Quickstart" to I find where the problem is.

import backtrader as bt
from datetime import datetime # For datetime objects
import os.path  # To manage paths

class logging(bt.Strategy):

    def log(self, txt, dt=None):
        ''' Logging function for 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])

# Variable for the starting cash
startcash = 10000

# Create an instance of cerebro
cerebro = bt.Cerebro()

# Add the strategy
cerebro.addstrategy(logging)

# Path to Data Feed File
modpath = os.path.dirname(os.path.abspath('__file__'))
datapath = os.path.join(modpath, 'USDJPY_D_BID_2016.12.31-2018.01.12.csv')

# Data Feed
data = bt.feeds.GenericCSVData(
    dataname=datapath,
    
    timeframe = bt.TimeFrame.Days, 
    
    fromdate=datetime(2017, 1, 1),
    todate=datetime(2017, 12, 31),

    nullvalue=0.0,

    dtformat=('%d.%m.%Y %H:%M:%S.%f'),
    tmformat=('%d.%m.%Y %H:%M:%S.%f'),
    
    datetime=0,
    high=2,
    low=3,
    open=1,
    close=4,
    volume=5,
    openinterest=-1
)

#Add the data to Cerebro
cerebro.adddata(data)
 
# Set our desired cash start
cerebro.broker.setcash(startcash)
 
# 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())

Above code gave me expected logs of close price:

Starting Portfolio Value: 10000.00
2017-01-01, Close, 117.51
2017-01-02, Close, 117.74
.
.
.
2017-12-29, Close, 112.66
2017-12-30, Close, 112.66
Final Portfolio Value: 10000.00

But when I inserted the line of data.addfilter(bt.filters.Renko, size=20, align=1) before cerebro.adddata(data), it showed just the portfolio values and no log:

Starting Portfolio Value: 10000.00
Final Portfolio Value: 10000.00

So I am guessing I am not adding the Renko filter properly. How can I fix this?

Paska Houso

Just by looking at the values it would seem that your data doesn't move 20 points altogether in an entire year. You need to fine tune the Renko filter to your data set. There is no one size fits all for it.

https://www.backtrader.com/blog/posts/2017-06-26-renko-bricks/renko-bricks.html

vensaiten

Thanks for the insight! That did the job. Happy coding :)