Hi,

I want to laod string data into backtrader (eg. the industry for each stock', I am trying to do so using CustomBTStockLoader(btfeeds.PandasData) however I get a float error:

Traceback (most recent call last):
  File "T:/Google Drive/PyCharm/Modules/Backtrader.py", line 683, in <module>
    timer = RunStrategy(timer,minholddays=vars.minholddays,buyscore=vars.buyscore,mode=mode)
  File "T:/Google Drive/PyCharm/Modules/Backtrader.py", line 619, in RunStrategy
    results = cerebro.run(runonce=False, writer=True, quicknotify=False)
  File "C:\Program Files\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Program Files\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1212, in runstrategies
    data.preload()
  File "C:\Program Files\Anaconda3\lib\site-packages\backtrader\feed.py", line 435, in preload
    while self.load():
  File "C:\Program Files\Anaconda3\lib\site-packages\backtrader\feed.py", line 476, in load
    _loadret = self._load()
  File "C:\Program Files\Anaconda3\lib\site-packages\backtrader\feeds\pandafeed.py", line 255, in _load
    line[0] = self.p.dataname.iloc[self._idx, colindex]
  File "C:\Program Files\Anaconda3\lib\site-packages\backtrader\linebuffer.py", line 222, in __setitem__
    self.array[self.idx + ago] = value
TypeError: a float is required

Is their any way I can load string data as a line? My current step to load is as follows:

class CustomBTStockLoader(btfeeds.PandasData):
    #  None : column not present
    #  -1 : autodetect position or case-wise equal name
    #  >= 0 : numeric index to the colum in the pandas dataframe
    #  string : column name (as index) in the pandas dataframe

    # Force OPEN = HIGH = LOW = CLOSE_ADJ... because Morningstar's OHL data is shit
    params = (
                 ('openinterest', None),
                 ('open', 'Close_adj'),
                 ('high', 'Close_adj'),
                 ('low', 'Close_adj'),
                 ('close','Close_adj')
             ) \
             + tuple((e,-1) for e in vars.analysiscols)   #<--- this loads my custom data columns.

    if vars.Custom_Alg == True:
        lines = tuple(vars.analysiscols) #('Opportunity',)
        datafields = btfeeds.PandasData.datafields + vars.analysiscols
    else:
        datafields = btfeeds.PandasData.datafields

vars.analysiscols is a list like so: analysiscols = ['Close_adj','GICSsector','blacklist']

Hi,

How can I update backtester data during "Next"?
For example - if a price hasn't changed in over a month, I want to 'mark' this stock from that point on a "blacklist" column... so I can filter it our of the back test and stock buying/holding it. There are also other criteria I would like to use to "blacklist" a stock.

Also - once the strategy is complete, I would like to save a pandas dataframe of this data. How can I pass a dataframe out of "Next" so I can save to_csv?

Thanks,
CWSE

hmm..

Thanks @ab_trader.

So using the above, when my sell orders complete, they seem to be using the next days close price.

Does Backtrader use the next day's open when completing a sell on the current day? This shouldn't happen?

NB: I do NOT have "Cheat on open" configured.

cheers, CWE

Hi,

Is it possible to set the commission as a fixed dollar value, instead of a %? E.g $10 per trade?

Thanks,
CWSE

@backtrader I would ideally like the same output as "Time Return" which gives by year. Is there a simple way I can code this using the existing SharpeRatio analyzer?

Hi,

Is it possible for the Sharpe Ratio analyzer to produce a table of the sharpe ratios per year? At present I can only produce a single sharpe ratio figure for all the years of data (I am looking at about 15 years, so would like 15 SRs). Eg:

Year 1: SR1
Year 2: SR2
Year 3: SR3...

Current Sharpe ratio code:

cerebro.addanalyzer(bt.analyzers.SharpeRatio, timeframe=bt.TimeFrame.Years, riskfreerate=0.03, annualize=True)
sharperatio = strat0.analyzers.getbyname('sharperatio')
sharperatio.get_analysis()

Thanks!
cwse

@backtrader the above appears to work as I would expect. Can you please confirm this is a reasonable approach and is indeed setting O = H = L = Close?

Thanks!

Thanks!!

Hi,

My data source has OHLC values, how can I make it so Backtrader only looks at the "Close" column, i.e. Backtrader sets Open = High = Low = Close.

I am using a Pandas custom data loader, is the following appropriate?

class CustomBTStockLoader(btfeeds.PandasData):

    params = (
                 ('openinterest', None),
                 ('open', 'Close'),
                 ('high', 'Close'),
                 ('low', 'Close'),
             ) 
    datafields = btfeeds.PandasData.datafields

... and then later on:

data = CustomBTStockLoader(dataname=datarange) #allows load additional "Opportunity" column
            data.plotinfo.plot=False
            cerebro.adddata(data, name=ticker)

Thank you!

Hi,

What price do "Close" orders execute at?

EG:

 o = self.close(data=d)
self.o[d].append(o)

Will this close the position at tomorrows "Close" or the "Open"/"High"/"Low"?

Thanks!