3. simple momentum strategy
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simple momentum strategy

  • F

    hey everyone
    i have problem with the code i have written for a simple momentum strategy. i would be thankful if someone helps.
    i have fed cerebro with 4 data feeds and re sampled them to monthly. the code is supposed to calculate monthly returns and buy the stock with largest return and sell the one with the least return and keep this position till next month. heres the code:

                     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
   # Create a Stratey
          class TestStrategy(bt.Strategy):
          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.dataone=self.datas[0]
    self.datatwo=self.datas[1] 
    self.datathree=self.datas[2]  
    self.datafour=self.datas[3]

    # To keep track of pending orders and buy price/commission
    self.order = None
    self.buyprice = None
    self.buycomm = None
            
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 enough cash
    if order.status in [order.Completed]:
        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
            self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                     (order.executed.price,
                      order.executed.value,
                      order.executed.comm))

        self.bar_executed = len(self)

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

    # 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):
    
    def maxchoice(datas, i):
        for i in self.datas[i]:
            self.rtrn[i]=bt.indicators.PercentChange(self.datas[i])
            return self.bt.indicators.Highest(self.rtrn[i])  
                     
            
    def minchoice(datas, i):
        for i in self.datas[i]:
            self.rtrn[i]=bt.indicators.PercentChange(self.datas[i])
            return self.bt.indicators.Lowest(self.rtrn[i]) 
    # Simply log the closing price of the series from the reference
    self.log('Close, %.2f' % self.data[i])

    # Check if an order is pending ... if yes, we cannot send a 2nd one
    if self.order:
        return

    # Check if we are in the market
    if not self.position:
        for i in self.datas[i]:
            if maxchoice(datas, i) != 0:

                        # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.2f' % self.datas[i])

                        # Keep track of the created order to avoid a 2nd order
                self.order = self.buy()

    else:
        for i in self.datas[i]:
            if minchoice(datas, i) != 0:
                    
                        # SELL, SELL, SELL!!! (with all possible default parameters)
                self.log('SELL CREATE, %.2f' % self.datas[i])

                        # 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)

# 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]))
datapathone = os.path.join(modpath, 'C:\\Users\\Queen\\gc1.csv')
datapathtwo = os.path.join(modpath, 'C:\\Users\\Queen\\gc2.csv')
datapaththree = os.path.join(modpath, 'C:\\Users\\Queen\\gc3.csv')
datapathfour = os.path.join(modpath, 'C:\\Users\\Queen\\gc4.csv')


# Create a Data Feed
dataone = bt.feeds.YahooFinanceCSVData(
    dataname=datapathone,
    # Do not pass values before this date
    fromdate=datetime.datetime(2014, 2, 9),
    # Do not pass values before this date
    todate=datetime.datetime(2018, 2, 15),
    # Do not pass values after this date
    reverse=False)
datatwo = bt.feeds.YahooFinanceCSVData(
    dataname=datapathtwo,
    # Do not pass values before this date
    fromdate=datetime.datetime(2014, 2, 9),
    # Do not pass values before this date
    todate=datetime.datetime(2018, 2, 15),
    # Do not pass values after this date
    reverse=False)
datathree = bt.feeds.YahooFinanceCSVData(
    dataname=datapaththree,
    # Do not pass values before this date
    fromdate=datetime.datetime(2014, 2, 9),
    # Do not pass values before this date
    todate=datetime.datetime(2018, 2, 15),
    # Do not pass values after this date
    reverse=False)
datafour = bt.feeds.YahooFinanceCSVData(
    dataname=datapathfour,
    # Do not pass values before this date
    fromdate=datetime.datetime(2014, 2, 9),
    # Do not pass values before this date
    todate=datetime.datetime(2018, 2, 15),
    # Do not pass values after this date
    reverse=False)

# Add the Data Feed to Cerebro
cerebro.resampledata(dataone, timeframe = bt.TimeFrame.Months)
cerebro.resampledata(datatwo, timeframe = bt.TimeFrame.Months)
cerebro.resampledata(datathree, timeframe = bt.TimeFrame.Months)
cerebro.resampledata(datafour, timeframe = bt.TimeFrame.Months)

# Set our desired cash start
cerebro.broker.setcash(100000000.0)

# Add a FixedSize sizer according to the stake
cerebro.addsizer(bt.sizers.FixedSize, stake=100)

# Set the commission
cerebro.broker.setcommission(commission=0.007575)

# 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()

    after running this code i get this error:
    UnboundLocalError: local variable 'i' referenced before assignment
    do you know what should i do?

    0

  • The way you use i in your for loop doesn't make any sense. i cannot be on both sides of the loop.

    1
    F
     1 Reply
  • F

    @ab_trader
    could you please show me the right way of using it?

    0

  • Use different indexing variables in different loops. Also right now your i looks like a data object, and you use it as index of the list. Might be a source of errors later.

    1
    F
     1 Reply
  • B
    administrators

    Let me be blunt. It will hopefully save you time and money with algotrading:

    • You need to learn Python.
    • You need to properly format your code

    If you cannot understand the error and why it is produced and cannot properly put code in a text field (and read the notice above about the ``` for code blocks) is because you are really far away from doing algotrading.

    for i in self.datas[i]

    which is repeated several times in the code is wrong. And not only in Python, but the equivalent in several programming languages would also be a disaster.

    Let me repeat myself: learn Python properly.

    0
  • F

    @ab_trader thanks ill do it to see if it works

    0
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