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asservir

I am optimizing a simple SMA crossover strategy in M30 timeframe for one year. When I set moving average period parameters 10 to 30 and 20 to 60, my code work fine.

But it will out of memory when the parameter is large, e.g. 10 to 200 and 20 to 400.

Can I reduce the memory cost on backtrader optimization?

asservir

@nicktids thx for reply. I found the problem and it should be a typing mistake lol.

for bracket order function:
limitprice <- should be take profit
stopprice <- should be stop loss

asservir

Hey everyone, I am confused about using bracket order. As I know, the expectation of result should be similar profit and loss in every trades. The following is my code snippet and result. Any advises?

def next(self):
    if not self.position:
        if self.sma_fast[-1] > self.sma_slow[-1] and self.sma_fast[-2] < self.sma_slow[-2]:
            # self.log('BUY CREATE, %.5f' % self.dataclose[0])
            # self.order = self.buy()
            entry = self.data.close[0]
            long_tp = entry + 1000 * self.vpoint
            long_sl = entry - 1000 * self.vpoint
            print('[ORDER_SEND] BUY >> entry_price: %.5f tp: %.5f sl: %.5f' %
                  (entry, long_tp, long_sl))
            self.order = self.buy_bracket(
                price=entry, stopprice=long_tp, limitprice=long_sl)
            pass

        elif self.sma_fast[-1] < self.sma_slow[-1] and self.sma_fast[-2] > self.sma_slow[-2]:
            # self.log('SELL CREATE, %.5f' % self.dataclose[0])
            # self.order = self.sell()
            entry = self.data.close[0]
            short_tp = entry - 1000 * self.vpoint
            short_sl = entry + 1000 * self.vpoint
            print('[ORDER_SEND] SELL >> entry: %.5f tp: %.5f sl: %.5f' %
                  (entry, short_tp, short_sl))
            self.order = self.sell_bracket(
                price=entry, stopprice=short_tp, limitprice=short_sl)
            pass

RESULT:

[ORDER_SEND] SELL >> entry: 1.16470 tp: 1.15470 sl: 1.17470
[NOTIFY_ORDER] 2017-10-27: Order ref: 31 / Type Sell / Status Submitted
[NOTIFY_ORDER] 2017-10-27: Order ref: 32 / Type Buy / Status Submitted
[NOTIFY_ORDER] 2017-10-27: Order ref: 33 / Type Buy / Status Submitted
[NOTIFY_ORDER] 2017-10-27: Order ref: 31 / Type Sell / Status Accepted
[NOTIFY_ORDER] 2017-10-27: Order ref: 32 / Type Buy / Status Accepted
[NOTIFY_ORDER] 2017-10-27: Order ref: 33 / Type Buy / Status Accepted
[NOTIFY_ORDER] 2017-10-27: Order ref: 31 / Type Sell / Status Completed
[NOTIFY_ORDER] 2017-10-27: Order ref: 32 / Type Buy / Status Completed
[NOTIFY_ORDER] 2017-10-27: Order ref: 33 / Type Buy / Status Canceled
[NOTIFY_TRADE] 2017-10-27 23:59:59.999989, Close Price: 1.1647, Profit, Gross 9.3, Net 9.3

[ORDER_SEND] BUY >> entry_price: 1.17653 tp: 1.18653 sl: 1.16653
[NOTIFY_ORDER] 2017-11-17: Order ref: 34 / Type Buy / Status Submitted
[NOTIFY_ORDER] 2017-11-17: Order ref: 35 / Type Sell / Status Submitted
[NOTIFY_ORDER] 2017-11-17: Order ref: 36 / Type Sell / Status Submitted
[NOTIFY_ORDER] 2017-11-17: Order ref: 34 / Type Buy / Status Accepted
[NOTIFY_ORDER] 2017-11-17: Order ref: 35 / Type Sell / Status Accepted
[NOTIFY_ORDER] 2017-11-17: Order ref: 36 / Type Sell / Status Accepted
[NOTIFY_ORDER] 2017-11-17: Order ref: 34 / Type Buy / Status Completed
[NOTIFY_ORDER] 2017-11-17: Order ref: 35 / Type Sell / Status Completed
[NOTIFY_ORDER] 2017-11-17: Order ref: 36 / Type Sell / Status Canceled
[NOTIFY_TRADE] 2017-11-17 23:59:59.999989, Close Price: 1.17653, Profit, Gross 13.0, Net 13.0

[ORDER_SEND] SELL >> entry: 1.17751 tp: 1.16751 sl: 1.18751
[NOTIFY_ORDER] 2017-12-12: Order ref: 37 / Type Sell / Status Submitted
[NOTIFY_ORDER] 2017-12-12: Order ref: 38 / Type Buy / Status Submitted
[NOTIFY_ORDER] 2017-12-12: Order ref: 39 / Type Buy / Status Submitted
[NOTIFY_ORDER] 2017-12-12: Order ref: 37 / Type Sell / Status Accepted
[NOTIFY_ORDER] 2017-12-12: Order ref: 38 / Type Buy / Status Accepted
[NOTIFY_ORDER] 2017-12-12: Order ref: 39 / Type Buy / Status Accepted
[NOTIFY_ORDER] 2017-12-12: Order ref: 37 / Type Sell / Status Completed
[NOTIFY_ORDER] 2017-12-12: Order ref: 38 / Type Buy / Status Completed
[NOTIFY_ORDER] 2017-12-12: Order ref: 39 / Type Buy / Status Canceled
[NOTIFY_TRADE] 2017-12-12 23:59:59.999989, Close Price: 1.17752, Profit, Gross 45.7, Net 45.7

[ORDER_SEND] BUY >> entry_price: 1.18710 tp: 1.19710 sl: 1.17710
[NOTIFY_ORDER] 2017-12-26: Order ref: 40 / Type Buy / Status Submitted
[NOTIFY_ORDER] 2017-12-26: Order ref: 41 / Type Sell / Status Submitted
[NOTIFY_ORDER] 2017-12-26: Order ref: 42 / Type Sell / Status Submitted
[NOTIFY_ORDER] 2017-12-26: Order ref: 40 / Type Buy / Status Accepted
[NOTIFY_ORDER] 2017-12-26: Order ref: 41 / Type Sell / Status Accepted
[NOTIFY_ORDER] 2017-12-26: Order ref: 42 / Type Sell / Status Accepted
[NOTIFY_ORDER] 2017-12-26: Order ref: 40 / Type Buy / Status Completed
[NOTIFY_ORDER] 2017-12-26: Order ref: 41 / Type Sell / Status Completed
[NOTIFY_ORDER] 2017-12-26: Order ref: 42 / Type Sell / Status Canceled
[NOTIFY_TRADE] 2017-12-26 23:59:59.999989, Close Price: 1.1871, Profit, Gross -0.1, Net -0.1

asservir

@asservir

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