Best posts made by CptanPanic

I have set up back testing to work so far, and plan to set it up for at least live manual trade signals if not just full automated trading. I have seen a few questions, but was wondering if anyone has created a live data feed and/or broker for an exchange like gdax, bitfinex, etc.

So I am new to backtrader, and have setup an initial strategy. I have a few analyzer added, and the other ones give a value, but the SharpeRatio one gives me 'None' Any ideas?

cerebro = bt.Cerebro()

cerebro.broker.setcash(1000.0)


print('STart Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Add a strategy
cerebro.addstrategy(TestStrategy)
    
# Pass it to the backtrader datafeed and add it to the cerebro
#data_feed = bt.feeds.PandasData(dataname=data['USDT_ETH'])

# Create a Data Feed
data_feed = bt.feeds.InfluxDB(
    dataname="USDT_ETH",
    username="admin",
    password="conStant",
    database="finance",
    host="192.168.1.82",
    open="open",
    close="close",
    high="high",
    low="low",
    # Do not pass values before this date
    fromdate=datetime.datetime(2017, 1, 1),
    # Do not pass values after this date
    todate=datetime.datetime(2017, 12, 31))

cerebro.adddata(data_feed)

data_feed = bt.feeds.InfluxDB(
    dataname="USDT_BTC",
    username="admin",
    password="conStant",
    database="finance",
    host="192.168.1.82",
    open="open",
    close="close",
    high="high",
    low="low",
    # Do not pass values before this date
    fromdate=datetime.datetime(2017, 1, 1),
    # Do not pass values after this date
    todate=datetime.datetime(2017, 12, 31))

cerebro.adddata(data_feed)


# Analyzer
cerebro.addanalyzer(btanalyzers.SharpeRatio, _name='mysharpe')
cerebro.addanalyzer(btanalyzers.AnnualReturn, _name='annual')

thestrats = cerebro.run()
thestrat = thestrats[0]

cerebro.plot()


print('Sharpe Ratio:', thestrat.analyzers.mysharpe.get_analysis())
print('Anual Ratio:', thestrat.analyzers.annual.get_analysis())
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

'''

@ricpruss Actually that library ccxt looks great, it has support for tons of exchanges and is updated frequently. Would make sense to make a backtrader broker that just takes a ccxt object, and backtrader wouldn't have to worry about individual exchanges at all.

I'm just wondering what you mean by pyfolio tear-sheets are 'iffy'?

If i call get_pf_items, the positions does not show positions from all data sources. Looking at source, the suspect line is https://github.com/mementum/backtrader/blob/master/backtrader/analyzers/pyfolio.py#L130
the v[-2:] is assuming there is only one data, and should be based on number of datas.