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barton05

Hi Admin,

I would like to get an analyzer to get overall commission in the strategy.
Tried to look into internet and manual but no luck, nearest one i find is the get_analysis but seems it does not provide such info. Not sure anyway i can do it?

barton05

@backtrader Thanks man, tried but unfortunately not working. At the end I used one more bar to settle the trade and initiate a new trade one day later. Let me know if you have any clever solution.

*I further change multi-feed back to one feed

def next_open(self):
        pos = self.getposition(self.data).size
        self.log('{} Close:{}, SMA:{:.2f}/{:.2f}/{:.2f}, Size:{}, V:{}'.format(data._name, 
               self.data.close[0],self.inds['sma1'][0],self.inds['sma2'][0],self.inds['cross'][0], pos, self.broker.getvalue()))
        #no position
        if not pos:
            if self.inds['cross'][0] == 1 or self.inds['cross'][-1] == 1:
                # Keep track of the created order to avoid a 2nd order
                self.o = self.order_target_percent(data=self.data,target=1,price=data.open)
                self.log('{} Initial Buy - Order No:{} Size:{}'.format(data._name, self.o.ref,self.o.size)) 
            elif self.inds['cross'][0] ==-1 or self.inds['cross'][-1] == -1:
                # Keep track of the created order to avoid a 2nd order
                self.o = self.order_target_percent(data=self.data,target=-1,price=data.open)
                self.log('{} Initial Sell - Order No:{} Size:{}'.format(data._name, self.o.ref,self.o.size)) 
        else:
            if self.inds['cross'][0] == 1:
                self.o = self.close()
                #self.o = self.order_target_percent(data=self.data,target=1,price=data.open)
                self.log('{} Reverse Buy - Order No:{} Size:{}'.format(data._name, self.o.ref,self.o.size)) 
            elif self.inds['cross'][0] == -1:
                self.o = self.close()
                #self.o = self.order_target_percent(data=self.data,target=-1,price=data.open)
                self.log('{} Reverse Sell - Order No:{} Size:{}'.format(data._name, self.o.ref,self.o.size))

2017-04-17, GOOGL Close:855.13, SMA:847.50/846.58/0.00, Size:0, V:1000000.0
2017-04-18, GOOGL Close:853.99, SMA:846.64/847.32/-1.00, Size:0, V:1000000.0
2017-04-18, GOOGL Initial Sell - Order No:1 Size:-1172
2017-04-18 Order 1 Status Accepted
2017-04-18 Order 1 Status Completed
2017-04-19, GOOGL Close:856.51, SMA:845.94/847.99/0.00, Size:-1172, V:998300.5999999999
2017-04-20, GOOGL Close:860.08, SMA:846.26/848.69/0.00, Size:-1172, V:995347.1599999999
2017-04-21, GOOGL Close:858.95, SMA:846.77/849.31/0.00, Size:-1172, V:991163.1199999999
2017-04-24, GOOGL Close:878.93, SMA:847.74/849.89/0.00, Size:-1172, V:992487.4799999999
2017-04-25, GOOGL Close:888.84, SMA:849.93/850.87/0.00, Size:-1172, V:969070.9199999999
2017-04-26, GOOGL Close:889.14, SMA:852.44/851.95/1.00, Size:-1172, V:957456.3999999999
2017-04-26, GOOGL Reverse Buy - Order No:2 Size:1172
2017-04-26 Order 2 Status Accepted
2017-04-26 Order 2 Status Completed
2017-04-26, OPERATION PROFIT, GROSS -45532.20, NET -45532.20
2017-04-27, GOOGL Close:891.44, SMA:854.87/852.95/0.00, Size:0, V:954467.7999999998
2017-04-27, GOOGL Initial Buy - Order No:3 Size:1072
2017-04-27 Order 3 Status Accepted
2017-04-27 Order 3 Status Completed
2017-04-28, GOOGL Close:924.52, SMA:856.95/853.98/0.00, Size:1072, V:956011.4799999999
2017-05-01, GOOGL Close:932.82, SMA:860.70/855.72/0.00, Size:1072, V:991473.2399999998

barton05

Wow that's fast reply and truly thank you for answering my question!

Back to the question...I tried to add the broker.set_checksubmit(False) and run the simulation again.
Those Margin trade are now become partial and size become 0
I think should have enough cash given this trade needs $952,119, and my cash value should be $957456.40 after liquidating the -1172 short position? <---Please let me know if I'm wrong on this one

Is there any way it turns back to +1071 instead of 0?

2017-04-17, GOOGL Close:855.13, SMA:847.50/846.58/0.00, Size:0, V:1000000.0
2017-04-18, GOOGL Close:853.99, SMA:846.64/847.32/-1.00, Size:0, V:1000000.0
2017-04-18, GOOGL Initial Sell - Order No:1 Size:-1172
Ref: 1
OrdType: 1
OrdType: Sell
Status: 2
Status: Accepted
Size: -1172
Price: 852.54
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 736437.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
2017-04-18, GOOGL Order 1 Status Accepted
Ref: 1
OrdType: 1
OrdType: Sell
Status: 4
Status: Completed
Size: -1172
Price: 852.54
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x0000017D4CBA7FD0>
End of Session: 736437.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: False
2017-04-18, GOOGL Order 1 Status Completed: Size:-1172 Price:$852.54
2017-04-19, GOOGL Close:856.51, SMA:845.94/847.99/0.00, Size:-1172, V:998300.6
2017-04-20, GOOGL Close:860.08, SMA:846.26/848.69/0.00, Size:-1172, V:995347.2
2017-04-21, GOOGL Close:858.95, SMA:846.77/849.31/0.00, Size:-1172, V:991163.1
2017-04-24, GOOGL Close:878.93, SMA:847.74/849.89/0.00, Size:-1172, V:992487.5
2017-04-25, GOOGL Close:888.84, SMA:849.93/850.87/0.00, Size:-1172, V:969070.9
2017-04-26, GOOGL Close:889.14, SMA:852.44/851.95/1.00, Size:-1172, V:957456.4
2017-04-26, GOOGL Reverse Buy - Order No:2 Size:2243
Ref: 2
OrdType: 0
OrdType: Buy
Status: 2
Status: Accepted
Size: 2243
Price: 891.39
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
2017-04-26, GOOGL Order 2 Status Accepted
Ref: 2
OrdType: 0
OrdType: Buy
Status: 3
Status: Partial
Size: 2243
Price: 891.39
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x0000017D4CBA7FD0>
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
2017-04-26, GOOGL Order 2 Status Partial
Ref: 2
OrdType: 0
OrdType: Buy
Status: 7
Status: Margin
Size: 2243
Price: 891.39
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x0000017D4CBA7FD0>
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: False
2017-04-26, GOOGL Order 2 Status Margin
2017-04-26, OPERATION PROFIT, GROSS -45532.20, NET -45532.20
2017-04-27, GOOGL Close:891.44, SMA:854.87/852.95/0.00, Size:0, V:954467.8
2017-04-28, GOOGL Close:924.52, SMA:856.95/853.98/0.00, Size:0, V:954467.8
2017-05-01, GOOGL Close:932.82, SMA:860.70/855.72/0.00, Size:0, V:954467.8

barton05

Before asking my question, would like to thank you for making such a wonderful backtesting program!

I tried to create a sma crossover strategy for 1 stock. After purchasing the first order. The reverse order cannot be fulfilled and shown as "Margin" since order require more cash..Below is the code and example:

class allWeather(bt.Strategy):
    #Single Stock
    stockParams={'GOOGL':100}

    params =(('sma1', 20),('sma2', 50),('oneplot', False))

def log(self, txt, dt=None, doprint=False):
    ''' Logging function fot this strategy'''
    dt = dt or self.datas[0].datetime.date(0)
    print('%s, %s' % (dt.isoformat(), txt))
    
def notify_order(self, order):
    print(order)
    if order.status == order.Submitted:
        return
    elif order.status ==order.Completed:
        dt, dn = self.datetime.date(), order.data._name
        self.log('{} Order {} Status {}: Size:{} Price:${}'.format(dn, order.ref, order.getstatusname(), order.size,order.executed.price))
    else:
        dt, dn = self.datetime.date(), order.data._name
        self.log('{} Order {} Status {}'.format(dn, order.ref, order.getstatusname()))
    

def __init__(self):
    self.o=dict()  # orders per data (main, stop, limit, manual-close)
    self.inds = dict()
    for i, d in enumerate(self.datas):
        self.inds[d] = dict()
        self.inds[d]['sma1'] = bt.indicators.SimpleMovingAverage(
            d.close, period=self.params.sma1)
        self.inds[d]['sma2'] = bt.indicators.SimpleMovingAverage(
            d.close, period=self.params.sma2)
        self.inds[d]['cross'] = bt.indicators.CrossOver(self.inds[d]['sma1'],self.inds[d]['sma2'])

def next_open(self):
    for i, d in enumerate(self.datas):
        pos = self.getposition(d).size
        dn = d._name
        percent = self.stockParams[dn]/100
        self.log('{} Close:{}, SMA:{:.2f}/{:.2f}/{:.2f}, Size:{}, V:{:.2f}'.format(dn, 
               d.close[0],self.inds[d]['sma1'][0],self.inds[d]['sma2'][0],self.inds[d]['cross'][0], pos, self.broker.getvalue()))
        # Check if we are in the market, not pos = no position
        if not pos:
            if self.inds[d]['cross'][0] == 1:
                # Keep track of the created order to avoid a 2nd order
                self.o[d] = self.order_target_percent(data=d,target=percent,price=d.open[0])
                self.log('{} Initial Buy - Order No:{} Size:{}'.format(dn, self.o[d].ref,self.o[d].size))
            if self.inds[d]['cross'][0] == -1:
                # Keep track of the created order to avoid a 2nd order
                self.o[d] = self.order_target_percent(data=d,target=-percent,price=d.open[0])
                self.log('{} Initial Sell - Order No:{} Size:{}'.format(dn, self.o[d].ref,self.o[d].size)) 
        else:
            if self.inds[d]['cross'][0] == 1:
                self.o[d] = self.order_target_percent(data=d,target=percent,price=d.open[0])
                self.log('{} Reverse Buy - Order No:{} Size:{}'.format(dn, self.o[d].ref,self.o[d].size)) 
            elif self.inds[d]['cross'][0] == -1:
                self.o[d] = self.order_target_percent(data=d,target=-percent,price=d.open[0])
                self.log('{} Reverse Sell - Order No:{} Size:{}'.format(dn, self.o[d].ref,self.o[d].size)) 

                
def notify_trade(self, trade):
    if not trade.isclosed:
        return
    self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
             (trade.pnl, trade.pnlcomm)) 

def stop(self):
    self.close()
    self.log('Ending Portfolio Value %.2f' %(self.broker.getvalue()))

Here is the log, in the format as follow:
(Date, Stock, Close, SMA 20, SMA 50, SMA Indicator, Size, Portfolio Value)

Extract Stock Data: GOOGL from 20170102 to 20190201
2017-03-17, GOOGL Close:872.37, SMA:853.93/839.82/0.00, Size:0, V:1000000.00
2017-03-20, GOOGL Close:867.91, SMA:855.44/841.12/0.00, Size:0, V:1000000.00
2017-03-21, GOOGL Close:850.14, SMA:856.51/842.21/0.00, Size:0, V:1000000.00
2017-03-22, GOOGL Close:849.8, SMA:856.55/842.71/0.00, Size:0, V:1000000.00
2017-03-23, GOOGL Close:839.65, SMA:856.47/843.16/0.00, Size:0, V:1000000.00
2017-03-24, GOOGL Close:835.14, SMA:855.91/843.44/0.00, Size:0, V:1000000.00
2017-03-27, GOOGL Close:838.51, SMA:855.27/843.54/0.00, Size:0, V:1000000.00
2017-03-28, GOOGL Close:840.63, SMA:854.72/843.72/0.00, Size:0, V:1000000.00
2017-03-29, GOOGL Close:849.87, SMA:854.50/843.92/0.00, Size:0, V:1000000.00
2017-03-30, GOOGL Close:849.48, SMA:854.16/844.36/0.00, Size:0, V:1000000.00
2017-03-31, GOOGL Close:847.8, SMA:854.14/844.77/0.00, Size:0, V:1000000.00
2017-04-03, GOOGL Close:856.75, SMA:854.07/845.24/0.00, Size:0, V:1000000.00
2017-04-04, GOOGL Close:852.57, SMA:854.55/845.81/0.00, Size:0, V:1000000.00
2017-04-05, GOOGL Close:848.91, SMA:854.62/845.98/0.00, Size:0, V:1000000.00
2017-04-06, GOOGL Close:845.095, SMA:854.38/845.96/0.00, Size:0, V:1000000.00
2017-04-07, GOOGL Close:842.1, SMA:853.75/845.70/0.00, Size:0, V:1000000.00
2017-04-10, GOOGL Close:841.7, SMA:852.78/845.40/0.00, Size:0, V:1000000.00
2017-04-11, GOOGL Close:839.88, SMA:851.64/845.33/0.00, Size:0, V:1000000.00
2017-04-12, GOOGL Close:841.46, SMA:850.33/845.65/0.00, Size:0, V:1000000.00
2017-04-13, GOOGL Close:840.18, SMA:848.99/846.08/0.00, Size:0, V:1000000.00
2017-04-17, GOOGL Close:855.13, SMA:847.50/846.58/0.00, Size:0, V:1000000.00
2017-04-18, GOOGL Close:853.99, SMA:846.64/847.32/-1.00, Size:0, V:1000000.00
2017-04-18, GOOGL Initial Sell - Order No:1 Size:-1172
Ref: 1
OrdType: 1
OrdType: Sell
Status: 1
Status: Submitted
Size: -1172
Price: 852.54
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 736437.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
Ref: 1
OrdType: 1
OrdType: Sell
Status: 2
Status: Accepted
Size: -1172
Price: 852.54
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 736437.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
2017-04-18, GOOGL Order 1 Status Accepted
Ref: 1
OrdType: 1
OrdType: Sell
Status: 4
Status: Completed
Size: -1172
Price: 852.54
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x000002944C666FD0>
End of Session: 736437.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: False
2017-04-18, GOOGL Order 1 Status Completed: Size:-1172 Price:$852.54
2017-04-19, GOOGL Close:856.51, SMA:845.94/847.99/0.00, Size:-1172, V:998300.60
2017-04-20, GOOGL Close:860.08, SMA:846.26/848.69/0.00, Size:-1172, V:995347.16
2017-04-21, GOOGL Close:858.95, SMA:846.77/849.31/0.00, Size:-1172, V:991163.12
2017-04-24, GOOGL Close:878.93, SMA:847.74/849.89/0.00, Size:-1172, V:992487.48
2017-04-25, GOOGL Close:888.84, SMA:849.93/850.87/0.00, Size:-1172, V:969070.92
2017-04-26, GOOGL Close:889.14, SMA:852.44/851.95/1.00, Size:-1172, V:957456.40
2017-04-26, GOOGL Reverse Buy - Order No:2 Size:2243
Ref: 2
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 2243
Price: 891.39
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
Ref: 2
OrdType: 0
OrdType: Buy
Status: 7
Status: Margin
Size: 2243
Price: 891.39
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: False
2017-04-26, GOOGL Order 2 Status Margin
2017-04-27, GOOGL Close:891.44, SMA:854.87/852.95/0.00, Size:-1172, V:957104.80
2017-04-28, GOOGL Close:924.52, SMA:856.95/853.98/0.00, Size:-1172, V:954409.20
2017-05-01, GOOGL Close:932.82, SMA:860.70/855.72/0.00, Size:-1172, V:915639.44

First order filled with short size -1172, when reverse it would fill with size 2243 as to settle 1172 short and new order 1071 unit. The Portfolio value should be enough (957456.40/891.39 = 1074 unit) and there is no commission in my trade. However it got "margin" and my wild guessing is there is not enough cash when executing the new order even the shorted position should be liquidated to cash in this case?

barton05

@barton05

Posts made by barton05