Posts made by backtrader

@kam-dorra said in IndexError: array index out of range:

and

bt.And exists because and cannot be overloaded. But you can pass any number of arguments to bt.And or nest them.

@PatrikMuniak said in sell a position after 2 days:

I want to buy a position and sell it after 2 days

Notice that using anything which is datetime related won't usually work unless you don't mind weekends and trading holidays adding days to the count.

Without really understanding what you mean with "rates", it seems the value of your asset moves around 1.14-1.15 with a very small variation.

The variation is so small that matplotlib changes the representation to accommodate such a small variation, indicating the reference value at the top with 1.145

You will have to dig in the matplotlib documentation to understand how this may be changed.

Indeed. Each broker implementation is responsible for such an action.

@kam-dorra said in IndexError: array index out of range:

x = bt.If(d(-3) > e(-2) > f(-1), d(-1), float('Inf'))  # new error here

The magic of "overloading" cannot handle the chained comparison: d(-3) > e(-2) > f(-1). Hence

condition = bt.And(d(-3) > e(-2), e(-2) > f(-1))
bt.If(condition, result_if_True, result_if_False)

@da-zhang said in Cancel order problems:

From my point of view,

Interesting point of view. Go to any exchange, send a Market order and try to cancel it.

Come then back and let us know how things worked out.

@da-zhang said in Cancel order problems:

why not cancel on present bar in backtesting?

Because "present" in "present bar" is a fallacy. That bar is already the PAST, because if you see that it has ALREADY happened.

If you go to the market thinking in terms of bars your money will be gone very soon. The market is made of TICKS which is a single price point representing an execution (in FOREX not even that, as most data providers provide the Bid price even if no execution has happened).

Your Market order may actually be the one that generates the next tick.

Using bars is simply a representation of the market.

NOTE: The StopTrail order as sent to the broker is also immediately executed because it will be immediately triggered with the given parameters.

You can

• Track it with the notifications of notify_order or notify_trade - https://www.backtrader.com/docu/strategy/
• Use the TradeAnalyzer which already includes this calculation - https://www.backtrader.com/docu/analyzers-reference/#tradeanalyzer
• Write a custom analyzer which only tracks that value.

The strategy getposition method relies always on the information provided by the broker instance. It's in the broker code.

Cerebro returns the strategy instances that have run.

The definition of what's returned is in the Cerebro reference: https://www.backtrader.com/docu/cerebro/, section Returning the Results

You may pass a dataframe and later get it from the executed strategy.

@Roger-Bos said in Full example of custom indicator:

import backtrader.indicator as btind

Notice that the original problem is the lack on an s. The code is importing backtrader.indicator and not backtrader.indicators

And yes, MovAv.Simple and all other aliases aforementioned, do exist.

By the way ... in all cases it's a very bad idea to go All-In (no, All-In is not the new black)

If you use futures and try to go All-In, the slightest move against your entry price will have your broker closing your position until you meet the margin again (read the documentation from your broker), which means you can no longer 100% recover.

Use proper position sizing.

@Developing-Coder said in Unable to Figure out Leverage:

I am working with BitMEX perpetual contracts.

You are using futures. Configure the platform for FUTURES.

@Developing-Coder said in Unable to Figure out Leverage:

I'm assuming that funding fees are balancing themselves out over the long run and hence should not be included in the calculation.
I'm also assuming that if I use 4x leverage then I can use up to 4x the funds I have for both longs and shorts.
I'm also assuming that by just allowing leverage, my bet sizes will not change.

Stop assuming and start by configuring things right, before claiming a BUG is there.

If you have futures and you have the link above (and there links close to it about "Futures")

• Margin? Where is that in your code? It's one of the vital things when operating with futures
• Multiplier? Futures have NO leverage, they have a MULTIPLIER. No, it's not the same thing.

Read the futures specification on Bitmex and find out about those details.

Read how to work with FUTURES.

• Docs - Commission Schemes - https://www.backtrader.com/docu/commission-schemes/commission-schemes/

You will now clearly see that the bug is in your code, which isn't properly configuring the platform for the trading scenario you are simulating.

@Developing-Coder said in Unable to Figure out Leverage:

Everything looks pretty much as I'd expect it to. Green arrow for first entry is not visible on main plot but that's minor.

Ok. So you think there is some artificial intelligence at work that will do as you please. You may also read the docs and understand how you can plot and get the arrow plotted. But hey, it is much better to claim that there is a "bug" that shows up when using leverage.

With regards to leverage ... what amazes me is that you apparently want to run a leverage strategy using the standard shorting of stocks that pumps money into your account.

What is your expectation here? To go to the broker sell 100 stocks of A and get for free 4 times the money they are worth? That would be fantastic. I pay interest on 100 stocks but may money on the value of 4 x 100 stocks.

You could start by stating what type of asset that is, how it behaves ...

One important thing about algotrading is knowing how to trade. Not so long ago you didn't even know that shorting pumps money in your account (when shorting stocks, the same doesn't happen when selling a future which is also going short) => https://community.backtrader.com/topic/1887/spikes-in-cash

@Developing-Coder said in Unable to Figure out Leverage:

2018-01-02T17:10:00, BUY EXECUTED, Price: 67.58, Cost: 199766.48, Comm: 199.77
2018-01-03T14:35:00, SELL EXECUTED, Price: 67.72, Cost: -600954.80, Comm: 1000.90
2018-01-03T14:35:00, PNL: GROSS 413.84, NET 13.89
2018-01-03T17:25:00, Status: Margin

What price is going to be bought or sold? What size? Not the results ... but the intent, plus how much cash is there, the account value, ...

@vaclavku said in Zero division error on developed indicators:

I've found the issue with condition bt.If (in this nice threat: https://community.backtrader.com/topic/531/indicator-development-missing-a-key-piece/3),

I guess your intention is to say that you have found out how to address your issue with information from that thread.

The issue at hand is that you are not managing the division by zero condition. You need DivByZero, which executes a division with parts (i.e.: lines) working inside backtrader and delivers a specific result if a division by zero happens.

See here: https://community.backtrader.com/topic/1179/min-period-for-custom-stochasticrsi-indicator/4

@kr said in Limit order trade entry not correct:

    def notify_trade(self, trade):
        print("TRADE:", self.datetime.datetime(ago=0), trade.status, self.data0.close[0])

and

Adding to the answers above.

t

@kr said in Limit order trade entry not correct:

ORDER: 2019-01-01 00:00:02.247996 2 4 1.00367
TRADE: 2019-01-01 00:00:02.247996 1 1.00367

That's NOT the trade time or the order execution time. That's the current datetime kept by the strategy by tracking the latest timestamp reported by the different data feeds.

Order execution data is kept in the attribute order.executed.

See: Docs - Order - https://www.backtrader.com/docu/order/

Furthermore, an order has different states notified and the code is accounting for none to understand when the execution is reported as Complete.

The same with trade.

See: Docs - Trade - https://www.backtrader.com/docu/trade/

@Developing-Coder said in Unable to Figure out Leverage:

Seems to me there are several bugs in Backtrader.

1st post: NON-WORKING BROKEN CODE

2nd post: CORRECTION WHICH STILL RENDERS THE CODE AS NON-WORKING

3rd post: The bugs are in the platform. Proof: NONE.

Sample data? No

Logs? No

That's not something which can be customized out of the box. Commissions are connected to the assets and this is clearly something a broker does.

Hence a custom broker would be needed.

https://www.backtrader.com/docu/dataautoref/#genericcsvdata

You have to indicate the position in which column each field is and which fields are not present (with -1)

In your loading example not a single column is specified and the code tries to find the values in the default column ordering (datetime, OHLCV)

In any case, your data is NOT tick data. Your data is bid/ask, which isn't the same. You have to choose in which fields you want to load the data.

That's called cheat-on-close. See: Docs - Broker - https://www.backtrader.com/docu/broker/

An example which uses leverage

• https://www.backtrader.com/blog/posts/2016-12-28-btfd-bites/btfd-bites/