Hey @ab_trader
thank you or your help. :) You are absolutely right.. I should add more logging messages..
I think you know a lot about coding with Backtrader. Do you have a concrete tip for me how to set 3 different timeframes in one script with some symbols?
Can you maby give me something like an example code, how I could do that.. Just the logic.. So that I understand how to do this in a simple war.
best regards
Christian
Hello @Rumen-Nenov,
I have a common problem. Here is my code:
import backtrader as bt
import backtrader.feeds as btfeeds
#import backtrader.indicators as btind
import pandas as pd
import math
#gutes Forum Problem 2 Timeframes und mehrere datenfeeds (aktien)
# https://community.backtrader.com/topic/2285/multiple-timeframes-with-multiple-datafeeds
class simpleStrategy1307(bt.Strategy):
params = (
('Risk_perTrade', 0.01),
)
def __init__(self):
self.m60_data = self.datas[::2]
self.d1_data = self.datas[1::2]
self.inds = dict()
for i, d in enumerate(self.m60_data):
self.inds[d] = dict()
self.inds[d]['atr'] = bt.indicators.ATR(d)
#self.inds[d]['stoch'] = bt.indicators.Stochastic(d)
self.daily_inds = dict()
for i, d in enumerate(self.d1_data):
self.daily_inds[d] = dict()
self.daily_inds[d]['d_atr'] = bt.indicators.ATR(d)
print("__init__ durchlaufen :)")
def next(self):
print("Hallo")
# d = 60min & d1 = Daily Data
# dn = 60Minuten Sock Name & d1n ist Daily Stock Name
for i, (d, d1) in enumerate(zip(self.m60_data, self.d1_data)):
dt, (dn, d1n) = self.datetime.datetime(), (d._name, d1._name)
if self.inds[d]['atr'] > self.inds[d1]['atr']:
self.buy(d)
else:
self.sell(d)
#print(d)
#print(dn)
#print(d.date)
def runstrat():
cerebro = bt.Cerebro()
cerebro.addstrategy(simpleStrategy1307)
# get all symbols
# read symbols from csv and read path of Stock and Index
sheet = pd.read_csv("/Users/christianbrendel/Desktop/allgemein/Visual Studio/Grap StockData/Aktiensymbole/SPX_für_Tiingo Kopie.csv")
Stock_60min_path = "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/"
Index_Daily_path = "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/Index EOD Data/^GSPC.csv"
#erstelle excel
w, h = 2, len(sheet.index)
symbols = [[0 for x in range(w)] for y in range(h)]
for i in range (0,len(sheet.index)):
# in erste Spalte path z.B. "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/A"
symbols[i][0] = Stock_60min_path + sheet.iloc[i][0] + ".csv"
# in der zeiten spalte den Name z.B. "A" einfügen
symbols[i][1] = sheet.iloc[i][0]
for i in range(len(symbols)):
dataframe = pd.read_csv(symbols[i][0], index_col=1,
parse_dates=True,
dayfirst=True,
infer_datetime_format=True,
)
#stock_prices = pd.read_csv(path, index_col=1, parse_dates=True, infer_datetime_format=True)
m60_data = bt.feeds.PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Minutes, compression=60)
cerebro.adddata(m60_data, name=symbols[i][1])
Indexdataframe = pd.read_csv(Index_Daily_path, index_col=0,
parse_dates=True,
dayfirst=True,
infer_datetime_format=True,
)
Indexdata = bt.feeds.PandasData(dataname=Indexdataframe, timeframe=bt.TimeFrame.Days)
cerebro.adddata(Indexdata, name="SPX")
#print('Starting Portfolio Value: {0:8.2f}'.format(cerebro.broker.getvalue()))
cerebro.run()
if __name__ == "__main__":
runstrat()
print("data added to Cerebro :)")
#print('Starting Portfolio Value: {0:8.2f}'.format(cerebro.broker.getvalue()))
The code starts and than nothing happens..
1. Do you think my way to fill my data feed is correct?
2. Is my init Method right?
3. Can I use my data feed like I have done in the next function?
thank you for your help!
best regards
Christian
I managed it to pass the error message with the symbol:
I just declared the symbol like this:
w, h = 2, len(sheet.index)
symbols = [[0 for x in range(w)] for y in range(h)]
The code is running now, but I think it stops anywhere, because if I plot the equity it just plotts it ones and than nothing happens and the code don't stop running.
What do you think about the 3 functions? Do you see something what is wrong?
Hey guys,
I am new to backtrader and I have trouble to fill in my data feed correct.
So first of all I found really good Informations about Multitimeframe and Multisymbol Datafeed in the forum ( https://community.backtrader.com/topic/2285/multiple-timeframes-with-multiple-datafeeds
). In my case I orientated my coding style on this forum post.
Here is my whole script to get an complete overview:
import backtrader as bt
import backtrader.feeds as btfeeds
#import backtrader.indicators as btind
import pandas as pd
import math
class simpleStrategy1307(bt.Strategy):
params = (
('Risk_perTrade', 0.01),
)
def __init__(self):
self.m60_data = self.datas[::2]
self.d1_data = self.datas[1::2]
self.inds = dict()
for i, d in enumerate(self.m60_data):
self.inds[d] = dict()
self.inds[d]['atr'] = bt.indicators.ATR(d)
self.inds[d]['stoch'] = bt.indicators.Stochastic(d)
self.daily_inds = dict()
for i, d in enumerate(self.d1_data):
self.daily_inds[d] = dict()
self.daily_inds[d]['d_atr'] = bt.indicators.ATR(d)
def next(self):
# d = 60min & d1 = Daily Data
# dn = 60Minuten Sock Name & d1n ist Daily Stock Name
for i, (d, d1) in enumerate(zip(self.m60_data, self.d1_data)):
dt, (dn, d1n) = self.datetime.datetime(), (d._name, d1._name)
if self.inds[d]['atr'] > self.inds[d1]['atr']:
self.buy(d)
else:
self.sell(d)
def runstrat():
cerebro = bt.Cerebro()
cerebro.addstrategy(simpleStrategy1307)
# get all symbols
# read symbols from csv and read path of Stock and Index
sheet = pd.read_csv("/Users/christian/Desktop/allgemein/Visual Studio/Grap StockData/Aktiensymbole/SPX_für_Tiingo.csv")
Stock_60min_path = "/Users/christian/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/.csv"
Index_Daily_path = "/Users/christian/Desktop/allgemein/Visual Studio/Stock Data/Index EOD Data/.csv"
#make excel
symbols
for i in range (0,len(sheet.index)):
# in first column path f.e. "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/A"
symbols[i][0] = Stock_60min_path + sheet.iloc[i][0]
# in second column name f.e. "A" einfügen
symbols[i][1] = sheet.iloc[i][0]
# here I want to add Datafeed of all Stocks 60min
for i in range(len(symbols)):
dataframe = pandas.read_csv(symbols[i][0], index_col=0,
parse_dates=True,
dayfirst=True
)
data = PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Minutes, compression=60)
cerebro.adddata(data, name=symbols[i][1])
# here I want to add the IndexDatafeed (Daily)
Indexdataframe = pandas.read_csv(Index_Daily_path, index_col=0,
parse_dates=True,
dayfirst=True
)
Indexdata = PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Days)
cerebro.adddata(Indexdata, name="SPX")
cerebro.run()
if __name__ == "__main__":
runstrat()
Because I have a lot trouble in more parts, I am going to show you now each part with my detailed thinkings.
1. I First I just added two Indicators into the strategy in the init. The ATR indicator and the stochastic indicator. I added them to the 60 Minutes and Daily timeframe.
Is this way to implement 2 Dataframes correct? I just copied this passage but I am not 100% sure..
def __init__(self):
self.m60_data = self.datas[::2]
self.d1_data = self.datas[1::2]
self.inds = dict()
for i, d in enumerate(self.m60_data):
self.inds[d] = dict()
self.inds[d]['atr'] = bt.indicators.ATR(d)
self.inds[d]['stoch'] = bt.indicators.Stochastic(d)
self.daily_inds = dict()
for i, d in enumerate(self.d1_data):
self.daily_inds[d] = dict()
self.daily_inds[d]['d_atr'] = bt.indicators.ATR(d)
2. in the Next function I make a for loop, which should go through every data feed and calculates just a simple buy for the strategy. Is this way to go through all datafeeds in the "next" function correct?
def next(self):
# d = 60min & d1 = Daily Data
# dn = 60Minuten Sock Name & d1n ist Daily Stock Name
for i, (d, d1) in enumerate(zip(self.m60_data, self.d1_data)):
dt, (dn, d1n) = self.datetime.datetime(), (d._name, d1._name)
if self.inds[d]['atr'] > self.inds[d1]['atr']:
self.buy(d)
else:
self.sell(d)
def runstrat():
cerebro = bt.Cerebro()
cerebro.addstrategy(simpleStrategy1307)
# get all symbols
# read symbols from csv and read path of Stock and Index
sheet = pd.read_csv("/Users/christianbrendel/Desktop/allgemein/Visual Studio/Grap StockData/Aktiensymbole/SPX_für_Tiingo.csv")
Stock_60min_path = "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/.csv"
Index_Daily_path = "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/Index EOD Data/.csv"
#erstelle excel
symbols
for i in range (0,len(sheet.index)):
# in erste Spalte path z.B. "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/A"
symbols[i][0] = Stock_60min_path + sheet.iloc[i][0]
# in der zeiten spalte den Name z.B. "A" einfügen
symbols[i][1] = sheet.iloc[i][0]
for i in range(len(symbols)):
dataframe = pandas.read_csv(symbols[i][0], index_col=0,
parse_dates=True,
dayfirst=True
)
data = PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Minutes, compression=60)
cerebro.adddata(data, name=symbols[i][1])
Indexdataframe = pandas.read_csv(Index_Daily_path, index_col=0,
parse_dates=True,
dayfirst=True
)
Indexdata = PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Days)
cerebro.adddata(Indexdata, name="SPX")
cerebro.run()
thank you in advance, I know the question is a long one, but I just can't get anywhere with this problem alone. I have tried to ask the question as structured as possible.
best regards
Christian
@ab_trader if I take this code, than the strategy works. With this code it trades long, with an pending Order own the Donchian High,:
if self.position.size == 0:
self.buy(exectype=bt.Order.Stop, price=price, size=size)
else:
if self.data[0] < stop_price:
self.sell(size=self.position.size)
# Stop Order like this with pending does not work... :
#self.sell(exectype=bt.Order.Stop, price=stop_price, size=self.position.size)
but the only problem ist, that it just goes out of the trade, when it closes under the Donchian Low.. And in my Case I want it to close, when it triggers the DonchianLow line..
Do you know a solution for closing a trade on a Stop Line like the DonchianLow?
best regards Christian
Hey @ab_trader thank you for your tip.
So I want to buy with an limit Order, when the market goes above the DocnhianHigh.
If I change the Limit and the Stop Order as you said, than the code again don't buy on the high and sell not the low..
it would look like this
if self.position.size == 0:
self.buy(exectype=bt.Order.Stop, price=price, size = size)
else:
self.close(exectype=bt.Order.Limit, price=stop_price)
And the result is this:
Hey @run-out what do you say to my code? Where could be the error?
best regards
Christian
@chhrissi2909 shit sorry, I tried something with difference...
so normally the price = price like this:
self.buy(exectype=bt.Order.Limit, price=price, size = size)
@run-out okay so that's the Indicator Class:
import math
import backtrader as bt
import numpy as np
# ---- Hier werden auch alle Zeicheneigenschaften eines Indikators erklärt! ----
# Quelle:
#https://www.backtrader.com/docu/inddev/
class Donchian(bt.ind.PeriodN):
# Lines erzeugt den Indikator in einem SUbchart, wenn in init aufgerufen
lines = ("DonchianHigh","DonchianLow")
#params macht legt variablen für Indikator fest
params = (('DonchianEntryPeriod', 30),('DonchianStopPeriod', 15))
# plotinfo sagt ob unten in der Box geplottet werden soll oder im Chart
plotinfo = dict(subplot=False) # plot along with data
#Mit plotlines können den Linien explizite Eigenschafte wie
# Farbe, Struktur usw. zugewiesen werden
plotlines = dict(
# würde die Linieanart auf gestrichelt ändern.
#DonchianHigh=dict(ls='--'),
DonchianHigh=dict(color = "green"), # use same color as prev line (dcm)
DonchianLow=dict(color = "red"), # use same color as prev line (dch)
)
def __init__(self):
self.lines.DonchianHigh = bt.indicators.Highest(self.data.high,
period=self.p.DonchianEntryPeriod)
self.lines.DonchianLow = bt.indicators.Lowest(self.data.low,
period=self.p.DonchianStopPeriod)
and that's the Strategy Class:
import math
import backtrader as bt
from Donchian_Indicator import Donchian
class DonchianStrategy(bt.Strategy):
# in die __init__ müssen die allgemeinen deklarationen
def __init__(self):
self.MyDonchian = Donchian()
# in die next muss die logik der strategie
def next(self):
price = self.MyDonchian.DonchianHigh[-1]
stop_price = self.MyDonchian.DonchianLow[-1]
size = int((self.broker.get_cash()*0.01) / self.data)
difference = price - self.datas[0].close
if self.position.size == 0:
self.buy(exectype=bt.Order.Limit, price=difference, size = size)
else:
self.close(exectype=bt.Order.Stop, price=stop_price)
Hey @run-out,
sorry I just tased this line out of my indicator, so in my original strategy I use my DonchianIndicator like this:
def __init__(self):
self.MyDonchian = Donchian()
and than I take the values like this:
entry_price = self.MyDonchian.DonchianHigh[-1]
stop_price = self.MyDonchian.DonchianLow[-1]
and than I use these values for my entry...
Even If I just put as a entry value just 250.0, than the system just buys and buys and buys, even if the price is under 250..... And I do not know why..?