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.
Best posts made by CptanPanic
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Anyone use backtrader to do live trading on Bitcoin exchange?
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Why do I get 'None' as value for SharpeRatio?
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()) '''
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RE: Anyone use backtrader to do live trading on Bitcoin exchange?
@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.
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RE: Tearsheets - QSTrader
I'm just wondering what you mean by pyfolio tear-sheets are 'iffy'?
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PyFolio analyzer multiple data sources not working.
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.