Posts made by Giacomo

Hi there,

the aim of this simple script is to find the optimal interval to use in the turtle strategy,
however I am getting an error that I cannot untangle. Here the code:

import backtrader as bt
import datetime

# might want to try changing the position of this
closes = []
in_position = False

class Turtle_Strategy(bt.Strategy):
    params = (
        ('interval', 20),
        )

    def __init__(self):
        self.start_cash = self.broker.getvalue()
        self.interval = self.params.interval

    def next(self):
        closes.append(self.data.close)

        if len(closes) >= self.params.interval:
            local_min = min(closes[-self.params.interval - 1:-1])
            local_max = max(closes[-self.params.interval - 1:-1])

            if closes[-1] <= local_min:
                in_position = True
                self.buy(size=100)

            if closes[-1] >= local_max: # and in_position:
                self.sell(size=100)
                in_position = False

    def stop(self):
        pnl = round(self.broker.getvalue() - self.start_cash, 2)
        print('Interval: {} Final PnL: {}'.format(self.params.interval, pnl))


if __name__ == '__main__':

    # Variable for our starting cash
    start_cash = 10000

    # Create an instance of cerebro
    cerebro = bt.Cerebro()

    # Add our strategy
    cerebro.optstrategy(Turtle_Strategy, interval=range(14, 20))

    # data
    data = bt.feeds.GenericCSVData(dataname='/path/data.csv',

                                   # fromdate=datetime.datetime(2020, 1, 1),
                                   # todate=datetime.datetime(2020, 1, 12),

                                   dtformat='%Y-%m-%d',
                                   tmformat='%H:%M:%S',
                                   datetime=0,
                                   open=1,
                                   high=2,
                                   low=3,
                                   close=4,
                                   volume=5,
                                   time=6,
                                   openinterest=-1)
    # Add the data to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(start_cash)

    # Run over everything
    starts = cerebro.run()

Here the error

/Users/trading_bot/env/bin/python /Users/trading_bot/turtule/turtle_optimizer.py
Interval: 16 Final PnL: 0.0
Interval: 15 Final PnL: 0.0
Interval: 17 Final PnL: 0.0
Interval: 14 Final PnL: 0.0
multiprocessing.pool.RemoteTraceback: 
"""
Traceback (most recent call last):
  File "/Users/anaconda3/lib/python3.7/multiprocessing/pool.py", line 121, in worker
    result = (True, func(*args, **kwds))
  File "/Users/giacomofederle/trading_bot/env/lib/python3.7/site-packages/backtrader/cerebro.py", line 1007, in __call__
    return self.runstrategies(iterstrat, predata=predata)
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/cerebro.py", line 1695, in _runonce
    strat._oncepost(dt0)
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/strategy.py", line 311, in _oncepost
    self.nextstart()  # only called for the 1st value
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/lineiterator.py", line 347, in nextstart
    self.next()
  File "/Users/trading_bot/turtule/turtle_optimizer.py", line 21, in next
    local_min = min(closes[-self.params.interval - 1:-1])
TypeError: __bool__ should return bool, returned LineOwnOperation
"""

The above exception was the direct cause of the following exception:

Traceback (most recent call last):
  File "/Userstrading_bot/turtule/turtle_optimizer.py", line 71, in <module>
    starts = cerebro.run()
  File "/Users/trading_bot/env/lib/python3.7/site-packages/backtrader/cerebro.py", line 1143, in run
    for r in pool.imap(self, iterstrats):
  File "/Users/anaconda3/lib/python3.7/multiprocessing/pool.py", line 774, in next
    raise value
TypeError: __bool__ should return bool, returned LineOwnOperation

Process finished with exit code 1

Thank you very much in advance, I am looking forward to some suggestions

Hi,

I'm learning how to use the backtest, I have the most simple strategy in order to keep the script short

import backtrader as bt
import datetime

class RSIStrategy(bt.Strategy):

    def __init__(self):
        self.rsi = bt.talib.RSI(self.data, period=14)

    def next(self):
        if self.rsi < 30 and not self.position:
            self.buy(size=1)
        if self.rsi > 70 and self.position:
            self.close(size=1)


Cerebro = bt.Cerebro()

fromdate = datetime.datetime.strptime('2020-01-01', '%Y-%m-%d')
todate = datetime.datetime.strptime('2020-01-05', '%Y-%m-%d')

data = bt.feeds.GenericCSVData(dataname='/path/2020_1minute.csv',
                               dtformat=('%Y-%m-%d'),
                               tmformat=('%H:%M:%S'),
                               datetime=0,
                               open=1,
                               high=2,
                               low=3,
                               close=4,
                               volume=5,
                               time=6,
                               openinterest=-1,
                               compression=1,
                               timeframe=bt.TimeFrame.Minutes,
                               fromdate=fromdate,
                               todate=todate
                               )

Cerebro.adddata(data)

Cerebro.addstrategy(RSIStrategy)

Cerebro.run()

Cerebro.plot()

When I run it I get the following error

Process finished with exit code 139 (interrupted by signal 11: SIGSEGV)

The data csv file looks like this

2020-01-01,7195.24000000,7196.25000000,7183.14000000,7186.68000000,51.64281200,00:00:00
2020-01-01,7187.67000000,7188.06000000,7182.20000000,7184.03000000,7.24814800,00:01:00
2020-01-01,7184.41000000,7184.71000000,7180.26000000,7182.43000000,11.68167700,00:02:00
2020-01-01,7183.83000000,7188.94000000,7182.49000000,7185.94000000,10.02539100,00:03:00
2020-01-01,7185.54000000,7185.54000000,7178.64000000,7179.78000000,14.91110500,00:04:00
2020-01-01,7179.76000000,7182.51000000,7178.20000000,7179.99000000,12.46324300,00:05:00

If I comment out Cerebro.plot() everything runs smoothly but I get no useful output. Any idea of what might be causing this error?

Thank you very much

Solved

self.rsi = bt.indicators.RSI_SMA(self.data.close, period=self.params.period, safediv=True)

@vladisld thank you! That did made a difference.

Now I'm dividing by zero somewhere apparently

ZeroDivisionError: float division by zero

I know that the problem is with the bt.feeds.GenericCSVData part, because if I replace that bit with a feed from yahoo it works

@rajanprabu thank you very much for pointing out the index mix up.
I changed the csv file to have it looking as follow

date,open,high,low,close,volume,time
2020-01-01,7195.24000000,7196.25000000,7183.14000000,7186.68000000,51.64281200,00:00:00
2020-01-01,7187.67000000,7188.06000000,7182.20000000,7184.03000000,7.24814800,00:01:00

I also added cerebtro.run()

However the same error persists.

Here my current code

import backtrader as bt

class firstStrategy(bt.Strategy):
    params = (
        ('period', 21),
        )

    def __init__(self):
        self.startcash = self.broker.getvalue()
        self.rsi = bt.indicators.RSI_SMA(self.data.close, period=self.params.period)

    def next(self):
        if not self.position:
            if self.rsi < 30:
                self.buy(size=100)
        else:
            if self.rsi > 70:
                self.sell(size=100)

    def stop(self):
        pnl = round(self.broker.getvalue() - self.startcash,2)
        print('RSI Period: {} Final PnL: {}'.format(
            self.params.period, pnl))

if __name__ == '__main__':
    startcash = 10000

cerebro = bt.Cerebro()

cerebro.optstrategy(firstStrategy, period=range(14, 21))

data = bt.feeds.GenericCSVData(dataname='/Users/giacomofederle/TRADINGBOT/crypto_bot_course/2020_1minute.csv',
                               dtformat=('%Y-%m-%d'),
                               tmformat=('%H:%M:%S'),
                               datetime=0,
                               open=1,
                               high=2,
                               low=3,
                               close=4,
                               volume=5,
                               time=6,
                               openinterest=-1)

cerebro.adddata(data)

cerebro.plot()

cerebro.run()

thank you again

Hi there,

newbie here.
I'm trying to feed to cerebro a csv file, this is my code:

import backtrader as bt
from binance.client import Client
import pandas as pd

class firstStrategy(bt.Strategy):
    params = (
        ('period', 21),
        )

    def __init__(self):
        self.startcash = self.broker.getvalue()
        self.rsi = bt.indicators.RSI_SMA(self.data.close, period=self.params.period)

    def next(self):
        if not self.position:
            if self.rsi < 30:
                self.buy(size=100)
        else:
            if self.rsi > 70:
                self.sell(size=100)

    def stop(self):
        pnl = round(self.broker.getvalue() - self.startcash,2)
        print('RSI Period: {} Final PnL: {}'.format(
            self.params.period, pnl))

if __name__ == '__main__':
    startcash = 10000

cerebro = bt.Cerebro()

cerebro.optstrategy(firstStrategy, period=range(14, 21))

data = bt.feeds.GenericCSVData(dataname='..../2020_1minute.csv',
                               dtformat=('%Y-%m-%d'),
                               tmformat=('%H.%M.%S'),
                               datetime=11,
                               open=0,
                               high=1,
                               low=2,
                               close=3,
                               volume=4,
                               time=12,
                               openinterest=-1)


cerebro.adddata(data)

cerebro.plot()

this is what the csv looks like

,open,high,low,close,volume,close_time,quote_asset_volume,number_of_trades,taker_buy_base_asset_volume,taker_buy_quite_asset_volume,ignore,date,time
0,7195.24000000,7196.25000000,7183.14000000,7186.68000000,51.64281200,2020-01-01 00:00:59.999000072,371233.51835535,493,19.59823000,140888.41428273,0,2020-01-01,00:00:00
1,7187.67000000,7188.06000000,7182.20000000,7184.03000000,7.24814800,2020-01-01 00:01:59.999000072,52080.12778780,135,2.03177200,14599.21192429,0,2020-01-01,00:01:00
2,7184.41000000,7184.71000000,7180.26000000,7182.43000000,11.68167700,2020-01-01 00:02:59.999000072,83903.74163545,202,5.47924400,39357.08177646,0,2020-01-01,00:02:00

ultimately the error I get is the following:

AttributeError: 'Cerebro' object has no attribute '_exactbars'

If anyone has any idea of what might be happening I would be very grateful for any hint!