3. Need help with problem with positions closing code.
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Need help with problem with positions closing code.

  • V

    Hi,

    I am trying to code strategy based on SuperTrend indicator where the initial transaction is done with BUY or Sell Order but subsequent transactions are done with stop order used for switching the positions.

    But the code seems to be working with some parameters and fail with other for the same daily data. Below is both indicator code and Strategy Code.

    import backtrader as bt
import numpy as np


class SuperTrend(bt.Indicator):
    lines = ('overunder',)
    plotinfo = dict(subplot=False)
    params = dict(period=7, multiplier=3, ticksize=0.01)

    def __init__(self):
        self.addminperiod(self.params.period)
        self.atr = bt.ind.ATR(period=self.params.period)
        #self.l.overunder = ( self.data.high + self.data.low ) / 2
        self.__tick = self.params.ticksize
        decimal = str(self.params.ticksize).split('.')
        if len(decimal) is not 1:
            self.__decimal = len(decimal[1])
        else:
            self.__decimal = 0
        self.__prevClose = 0
        self.__prevFUP = 0
        self.__prevFDN = 0
        self.__prevSuperTrend = 0
        self.__prevHL = 0
        
    def next(self):
        HL =  ( self.datas[0].high.get(size=1).tolist()[0] + self.datas[0].low.get(size=1).tolist()[0] ) / 2
        Close = self.datas[0].close.get(size=1).tolist()[0]
        FUP = 0.00
        FDN = 0.00
        SuperTrend = Close
        mul = self.params.multiplier
        atr = np.around(self.atr[0],self.__decimal)
        
        if atr is not None:
            UPPER = HL+(mul*np.around(atr,self.__decimal))
            LOWER = HL-(mul*np.around(atr,self.__decimal))
            if( UPPER < self.__prevFUP or self.__prevClose > self.__prevFUP ):
                FUP = self.roundSP(np.around(UPPER,self.__decimal))
            else:
                FUP = self.__prevFUP
                
            if( LOWER > self.__prevFDN or self.__prevClose < self.__prevFDN ):
                FDN = self.roundSP(np.around(LOWER,self.__decimal))
            else:
                FDN = self.__prevFDN
                
            if( self.__prevSuperTrend == self.__prevFUP and Close <= FUP ):
                SuperTrend = FUP
            else:
                if( self.__prevSuperTrend == self.__prevFUP and Close >= FUP ):
                    SuperTrend = FDN
                else:
                    if( self.__prevSuperTrend == self.__prevFDN and Close >= FDN ):
                        SuperTrend = FDN
                    else:
                        if( self.__prevSuperTrend == self.__prevFDN and Close <= FDN ):
                            SuperTrend = FUP
                
            self.__prevFUP = FUP
            self.__prevFDN = FDN
            self.__prevSuperTrend = SuperTrend
                
        
        self.__prevClose = Close
        self.l.overunder[0] = SuperTrend
        
    def roundSP( self, num ):
        return np.around((np.around((num+(self.__tick/2))/self.__tick)*self.__tick)-self.__tick,self.__decimal)

    # -*- coding: utf-8 -*-
"""
Created on Sun Apr  1 04:58:49 2018

@author: Vithal Patil
"""

from datetime import datetime
import backtrader as bt
import backtrader.analyzers as btanalyzers
import backtrader.strategies as btstrats
import numpy as np
import btSupertrend

class SuperTrendStrategy(bt.SignalStrategy):
    params = (('pfast', 10), ('pslow', 30),)
    
    def __init__(self):
        self.dataclose = self.datas[0].close
        self.supertrend = btSupertrend.SuperTrend(period=7, multiplier=2, ticksize=1)
        self.trade = None
        self.buystop_order = None
        self.sellstop_order = None
        self.qty = 1
        
    def next(self):
        if self.supertrend[0] < self.dataclose:
            if self.trade == None:
                self.buy()
                #self.log('LONG %s ' % ( self.trade ))
            elif self.trade == 'buy_stop':
                if self.buystop_order:
                    self.cancel(self.buystop_order)
                self.buystop_order = self.sell(exectype=bt.Order.Stop, price=self.supertrend[0], size=self.qty) 
                #self.log('SHORT STOP %s ' % ( self.trade ))
        if self.supertrend[0] > self.dataclose:
            if self.trade == None:
                self.sell()
                #self.log('SHORT %s ' % ( self.trade ))
            elif self.trade == 'sell_stop':
                if self.sellstop_order:
                    self.cancel(self.sellstop_order)
                self.sellstop_order = self.buy(exectype=bt.Order.Stop, price=self.supertrend[0], size=self.qty) 
                #self.log('SHORT STOP %s ' % ( self.trade ))
                
    def notify_order(self, order):
        if not order.status == order.Completed:
            #self.log('LONG @ %s and qty %s' % ( order.executed.price,order.executed.size ))
            return  # discard any other notification
        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')
        else:
            if order.isbuy():
                if self.trade == None or self.trade == 'buy_hit':
                    if self.supertrend[0] < self.dataclose:
                        self.trade = 'buy_stop'
                        self.qty = 2
                        self.log('FRESH LONG STARTED, @ %s and qty %s  Trade %s  varTrade %s' % ( order.executed.price, order.executed.size, self.position.size, self.trade ))
                    if self.supertrend[0] > self.dataclose:
                        self.sell(size=self.qty)
                        self.trade = 'sell_hit'
                        self.log('BUY STOP HIT, @ %s and qty %s Trade %s varTrade %s' % ( order.executed.price, order.executed.size, self.position.size, self.trade ))
                if self.trade == 'sell_stop':
                    if self.supertrend[0] > self.dataclose:
                        self.sell(size=self.qty)
                        self.trade = 'sell_hit'
                        self.log('BUY STOP HIT, @ %s and qty %s Trade %s varTrade %s' % ( order.executed.price, order.executed.size, self.position.size, self.trade ))
                    if self.supertrend[0] < self.dataclose:
                        self.trade = 'buy_stop'
                        self.log('LONG SWITCH, @ %s and qty %s  Trade %s  varTrade %s' % ( order.executed.price, order.executed.size, self.position.size, self.trade ))
            if order.issell():
                if self.trade == None or self.trade == 'sell_hit':
                    if self.supertrend[0] > self.dataclose:
                        self.qty = 2
                        self.trade = 'sell_stop'
                        self.log('FRESH SHORT STARTED, @ %s and qty %s Trade %s varTrade %s' % ( order.executed.price, order.executed.size, self.position.size, self.trade ))
                    if self.supertrend[0] < self.dataclose:
                        self.buy(size=self.qty)
                        self.trade = 'buy_hit'
                        self.log('SELL STOP HIT, @ %s and qty %s Trade %s varTrade %s' % ( order.executed.price, order.executed.size, self.position.size, self.trade ))
                if self.trade == 'buy_stop':
                    if self.supertrend[0] < self.dataclose:
                        self.buy(size=self.qty)
                        self.trade = 'buy_hit'
                        self.log('SELL STOP HIT, @ %s and qty %s Trade %s varTrade %s' % ( order.executed.price, order.executed.size, self.position.size, self.trade ))
                    if self.supertrend[0] > self.dataclose:
                        self.trade = 'sell_stop'
                        self.log('SHORT SWITCH, @ %s and qty %s Trade %s varTrade %s' % ( order.executed.price, order.executed.size, self.position.size, self.trade ))

                        

                
                
        #self.log('STATUS %s' % ( self.position.size ))
            
    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))

cerebro = bt.Cerebro()
data = bt.feeds.GenericCSVData(
    dataname='GOLDPETAL.csv',
    fromdate=datetime(2012, 10, 29),
    todate=datetime(2018, 4, 20),
    nullvalue=0.0,
    dtformat=('%Y-%m-%d'),
    tmformat=('%H:%M:%S'),
    datetime=0,
    time=1,
    high=3,
    low=4,
    open=2,
    close=5,
    volume=6,
    openinterest=-1,
    decimals=0,
    compression=1,
    timeframe=bt.TimeFrame.Days
)
cerebro.adddata(data)

cerebro.addstrategy(SuperTrendStrategy)

cerebro.broker.setcommission(mult=1)
cerebro.addanalyzer(btanalyzers.AnnualReturn, _name='annualreturns')
cerebro.addanalyzer(btanalyzers.DrawDown, _name='drawdown')
cerebro.addanalyzer(btanalyzers.Returns, _name='positionvalue')
cerebro.addanalyzer(btanalyzers.SQN, _name='sqn')
cerebro.addanalyzer(btanalyzers.TradeAnalyzer, _name='trades')
thestrats = cerebro.run()
thestrat = thestrats[0]

ar = thestrat.analyzers.annualreturns.get_analysis()
print('\n\nAnnual Returns:\n')
for key, value in ar.items():
    print("%s - %s" % (key, value))
    
draw = thestrat.analyzers.drawdown.get_analysis()
print('\n\nDrawDown:\n')
for key, value in draw.items():
    print("%s - %s" % (key, value))
    
returns = thestrat.analyzers.positionvalue.get_analysis()
print('\n\nReturns:\n')
for key, value in returns.items():
    print("%s - %s" % (key, value))
    
sqn = thestrat.analyzers.sqn.get_analysis()
print('\n\nSQN:\n')
for key, value in sqn.items():
    print("%s - %s" % (key, value))
    
cerebro.plot(iplot=False,style='bar',volume=True)

    Also below the screenshot for the reference with SuperTrend with params as 7 -- 3 and 7 -- 2 respectively.

    1_1522837843068_SuperTrend 7 and 3.png

    0_1522837843068_SuperTrend 7 and 2.png .

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