Posts made by backtrader

@abyaby said in backtrader.linebuffer.LineBuffer object at:

I dont know which Buy and Sell price I am getting

Neither do we.

@abyaby said in backtrader.linebuffer.LineBuffer object at:

As you can see I used price = self.data.close instead self.data.close[0]

I guess you already realized that's wrong.

@abyaby said in backtrader.linebuffer.LineBuffer object at:

How could I go live, if I tested my strategies with self.data.close ?

If could means you already did ... I hope you had luck.

If could means you plan to ... I would do proper backtesting.

@abyaby said in backtrader.linebuffer.LineBuffer object at:

Is buy price, "buy at closing price of next bar" ?
Sell = "selling at closing price of next bar"?

Your orders are Limit and your data is unknown ... my guess is as good as any other as to what you got.

If this is a contest, here is my list:

• FPGA programming
• Assembly for Motorola and Intel (MASM, TASM and gas)
• m4
• sh
• C ... down to the OS kernel
• C++
• Pascal
• Modula-2
• C64 Basic (No ... the Motorola Assembly was not on a C64)
• Python
• Javascript
• PHP
• Visual Basic
• SQL
• dBase III (you could create fairly complicated things with nice character based GUIs)

Under SunOS, Solaris, Linux, DOS, Win32, IRIX, C64, Web Browsers and Proprietary Environments (not all at the same time, not with all the languages obviously)

And that's why I learnt that to ask for help/support I had to post something which was what I was actually trying to run (or running but with problems), what the input/output was, what I thought the problem was, what error was being shown., ...

Now that the "mine is larger" contest is over ...

• An isolated and redacted piece of code which isn't executable and has obviously never been put to the test to see if it executes ... doesn't help.

@kav said in Switch off limit price matching rule on open:

Is there anyway to switch this behavior off?

No.

@kav said in Switch off limit price matching rule on open:

Say for cases when the OHLC bars are constructed from intraday data?

There will still be an open price for the bar, regardless of how it is constructed

@kav said in Switch off limit price matching rule on open:

Alternatively, would it be possible to have BT ignore the open price altogether?

Yes. Write a broker and plug it in.

data is the target and NOT a price. The doc says that the argument price is where you put the price. Although for some orders, there is more than once price.

You probably want to read about the execution types, to understand when you can and you cannot determine the price.

You have diagnosed it down to the negative prices. Use positive prices (there is for sure some strange market where the spread can be negative ... but not here)

Try self.data1()

@eric said in Help with plotting issue:

class CustomDataLoader(btfeeds.PandasData):
    lines = ('datetime', 'open', 'high', 'low', 'close', 'volume',)

You are adding this lines to the existing lines in PandasData possible overriding them with the wrong order (I couldn't tell, it never occurred to me to repeat the same lines declaration overriding the existing lines)

You only need to define the parameters to given them fixed known (to you) values and only new lines.

You cannot. The testing approach is result based not unit based.

Didn't have the time to get to this before. It is a nice presentation, but I guess it is a user choice ow to present the data. And not everybody uses InfluxDB.

Nice charts though!

One is telling you the leverage that will be applied to an asset when acquiring it.

The other is telling you the actual leverage of your account, which is obviously 1 if nothing has been bought.

It's in the topic you link to:

@backtrader said in get_leverage() calls:

@ThatBlokeDave said in get_leverage() calls:

However, self.broker.get_leverage() appears to be doing a different calculation

It's not a different calculation. It's different altogether. Invoking that method, which is intended for user consumption unlike the one above, reports the actual leverage level in the market.

See the adddata reference - Docs - Cerebro

That's an observer called Broker.

• Which direction?

• What's the problem your code poses?

Obviously you haven't run that code, because to start with you have something called self.crsi which doesn't exist but it is being put in a zip statement.

@rudi said in In need of support with more indicators in a screener:

I've been trying several ways, but my python skills are not sufficient I think.

Let me be blunt. Programming skills are a pre-condition.

Your problem is probably fully clear in your mind ...

But your explanation is confusing (at least for me, others may disagree), doesn't make any sense and lacks basics like: separate things in different lines/bullet points, presenting data, code and logs.

@cremaking said in Computing pnl for sub-periods:

strat[0].broker.logical_trade_counts.

You may want to enlighten us and let us know where that comes from. There isn't such a thing.

@cremaking said in Computing pnl for sub-periods:

I'd like to analyze the daily pnl and trade counts. Is there a standard expected way to get this information

Analyzers?

• Docs - Analyzers
• Docs - Analyzers Reference

Teddy Koker asked for comments on the usage of backtrader in the very fine post about a Momentum Strategy

• https://cookbook.backtrader.com/recipes/articles/2019-05-20-momentum-strategy/momentum-strategy/

A link to the original is included.

@han-chen said in Stop loss and profit taker orders triggered on the same candlestick?:

My question rephrased is that are orders in backtrader tied to a specific data timeframe? If I added 4h timeframe and 1 min timeframe, will backtrader choose to execute orders on 1min timeframe ? Which data timeframe the order execution relies on?

Let me comment on this, because you stated above that "other platforms" and "influence the decision" and "help backtrader decide"

I don't know what other platforms do (actually I have used some but I prefer to abstract myself from them), but backtrader doesn't make decisions for you. It has some defaults which allow to use it quickly without having to think about which is the target, like in the case in which you only have 1 data feed and it would seem rather pointless to have to specify what's the target of an operation.

And you cannot "influence" or "help" backtrader. You can add bits and pieces (like smaller timeframe data, your own commission schemes, your Sizers and others) to try to model your backtesting and get it as close as possible to what real execution would be. But how backtrader works is to stick to simple rules as to how things actually work in the real world.

If you send 2 orders to a broker they will be EVALUATED with a FIFO approach. Notice the EVALUATED term. Because depending on the nature of the orders, the 2nd one could actually be executed first. But evaluation will always be FIFO based.

@han-chen said in Stop loss and profit taker orders triggered on the same candlestick?:

there is a data parameter for buy/sell api which I was not aware of.. that solves my issue

@backtrader said in Stop loss and profit taker orders triggered on the same candlestick?:

You should read the reference of buy / sell. You decide the target. Docs - Strategy

@han-chen said in Stop loss and profit taker orders triggered on the same candlestick?:

My orders are placed at the same time. My issue is that orders are not filling the same way as it is in a real-life tick-by-tick data stream. For example, the profit order price should get hit first so the stop order is canceled, but backtrader hit my stop order and cancels my profit order.

This is simply plainly wrong. Your expectation is that you get the same behavior from a tick-by-tick stream as you get from backtesting with a higher timeframe.

Orders are not executed according to the nature you assign to them (take-profit and stop-loss). They are executed in a FIFO order. Full stop. Just like a broker does. Your problem is "timeframe".

@han-chen said in Stop loss and profit taker orders triggered on the same candlestick?:

The reason is if both my stop and profit price fall on a 4h candle, there's no way to decided which price get hit first,

Yes there is FIFO. Your problem is "timeframe".

@han-chen said in Stop loss and profit taker orders triggered on the same candlestick?:

Some back testing framework handles this situation in a conservative way - hit stop order and mark this trade as loss

Wrong biased behavior.

@han-chen said in Stop loss and profit taker orders triggered on the same candlestick?:

That's why I want to add a lower timeframe data, will that help backtrader decide if price hit the stop or target first?

Your point of view is biased because of the biased implementations you have seen (according to your previous point).

backtrader doesn't get help (or need it) to decide how to execute orders. Orders are executed using FIFO.

A smaller timeframe CAN HELP YOU in achieving a simulation which is closer to the reality.

Sorry if I am blunt, but thinking that trying to help the system decide which order gets hit first ... is a wrong way to approach backtesting.

There is no good method because the implementation is not meant to retrieve pending/open orders.

You need to write a custom broker.