thanks! it worked
For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/
G
Best posts made by Gleetche
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RE: Fractional Sizes not working from sample codeposted in General Code/Help
Ah i just need to remove
if args.fractional:
cerebro.broker.addcommissioninfo(CommInfoFractional()) -
RE: Date Starts 3 months afterposted in General Code/Help
@rajanprabu ohh i didnt know it will affect the data,thanks!
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RE: Doji not workingposted in General Code/Help
Spent an hour to find whats wrong, and 5 minutes after making this post I found out the red doji is coded wrongly :p
Latest posts made by Gleetche
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RE: Doji not workingposted in General Code/Help
Spent an hour to find whats wrong, and 5 minutes after making this post I found out the red doji is coded wrongly :p
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RE: Doji not workingposted in General Code/Help
Oh sorry I mean if the market is
- Uptrend (FastMA > MidMA > SlowMA), and any dojis, go SHORT
- Downtrend(FastMA < MidMA < SlowMA), and any dojis, go
LONG
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Doji not workingposted in General Code/Help
Hello,
I am testing a reversal strategy. The strategy is simply if market is at an downtrend (fast ma< mid ma < slow ma), then it will check if theres a green or red doji then it will SHORT and the other way around too.
But I am not sure why the code is buying non-dojis. From what I observed, it seems that it doesn't matter if there is a doji or not, but the code will keep buying if theres is no ongoing trade and (fast ma< mid ma < slow ma) or the other way around.
Here's a pic of a doji if you dont know what it is:
How I define a doji is the total length of the wick should be at least 20x longer than the body. Here's the green doji code:
def greendoji(open0, high0, low0, close0): if close0 > open0: if close0-open0 <= ((high0-close0) + (open0-low0)) / 20: return True else: return FalseFull Code below:
from __future__ import (absolute_import, division, print_function, unicode_literals) import backtrader as bt import datetime import math def greendoji(open0, high0, low0, close0): if close0 > open0: #Close higher than Open, Resulting in a GREEN BAR if close0-open0 <= ((high0-close0) + (open0-low0)) / 20: #Body < (Top Wick + Bot Wick) / 20 return True else: return False def reddoji(open0, high0, low0, close0): if close0 < open0: #Close lower than Open, Resulting in a RED BAR if close0-open0 <= ((high0-open0) + (close0-low0)) / 20: #Body < (Top Wick + Bot Wick) / 20 return True else: return False def longsizing(cash,entryprice,stoploss): rpt = 0.01 # 0.01 = 1% risk per trade rptic = (cash - 490000) * rpt # RPT in CASH. -490,000 from cash to bcs of the margin simulation slgap = entryprice - stoploss * 1 / entryprice # GAP From High entryic = rptic / slgap # Entry in Cash = $100 / SLGap qty = math.floor(entryic / entryprice) return qty #Returns number of Shares/Contracts to buy/sell def shortsizing(cash,entryprice,stoploss): rpt = 0.01 # 0.01 = 1% risk per trade rptic = (cash - 490000) * rpt # RPT in CASH. -490,000 from cash to bcs of the margin simulation slgap = stoploss - entryprice * 1 / entryprice # GAP From High entryic = rptic / slgap # Entry in Cash = $100 / SLGap qty = math.floor(entryic / entryprice) return qty #Returns number of Shares/Contracts to buy/sell class FxPattern(bt.Strategy): # list of parameters which are configurable for the strategy stoploss = 0 takeprofit = 0 tradeinicash = 10000 islong = False skip = False params = dict( pfaster =20, pfast =50, # period for the fast moving average pslow =200 # period for the slow moving average ) def __init__(self): # To keep track of pending orders and buy price/commission self.order = None self.buyprice = None self.buycomm = None self.dataopen = self.datas[0].open self.dataclose = self.datas[0].close self.datahigh = self.datas[0].high self.datalow = self.datas[0].low self.datapreviouslow = self.datas[0].low(-1) self.dataprevioushigh = self.datas[0].high(-1) self.datapreviousclose = self.datas[0].close(-1) #MA Function self.sma0 = bt.ind.EMA(period=self.p.pfaster)# faster moving average self.sma1 = bt.ind.EMA(period=self.p.pfast) # fast moving average self.sma2 = bt.ind.EMA(period=self.p.pslow) # slow moving average #self.crossover = bt.ind.CrossOver(self.sma1, self.sma2) # crossover signal # LOGGING FUNCTION def log(self, txt, dt=None): ''' Logging function for this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def next(self): if self.skip: self.skip = False return cash = self.broker.get_cash() # ATR FUNCTION range_total = 0 for i in range(-13, 1): x = self.datahigh[i] - self.datalow[i] y = self.datahigh[i] - self.datapreviousclose[i] z = self.datalow[i] - self.datapreviousclose[i] if x > y: temp_truerange = x else: temp_truerange = y if temp_truerange > z: true_range = temp_truerange else: true_range = z range_total += true_range self.atr = range_total / 14 # Instants close = self.dataclose[0] cash = cerebro.broker.getcash() atr = self.atr self.log('C: %.5f' % (self.dataclose[0])) # ORDER CHECK (If order is in place, can't place another until filled) if self.order: return # LONG ENTRY if not self.position: if self.sma0 < self.sma1 < self.sma2: #downtrend if greendoji(self.dataopen[0],self.datahigh[0],self.datalow[0],self.dataclose[0]) \ or reddoji(self.dataopen[0],self.datahigh[0],self.datalow[0],self.dataclose[0]): qty = longsizing(self.broker.get_cash(), self.dataclose[0], self.atr) #Long Entry Sizing self.stoploss = self.datalow[0] - (self.atr * 1) #NOTE:MULTIPLIER MUST SYNC WITH THE SIZING self.takeprofit = self.dataclose[0] + ((self.dataclose[0] - self.stoploss)*1.5) #1.5x Reward to risk self.order = self.buy_bracket(size=qty, price=self.dataclose[0], limitprice=self.takeprofit, stopprice=self.stoploss) self.log('[ LONG ENTRY ] P: %.3f, Qty: %.1f, B: %.3f, ATR: %.3f, TP: %.5f, SL: %.5f' % (close, qty, cash, atr, self.takeprofit, self.stoploss)) #SHORT ENTRY elif self.sma0 > self.sma1 > self.sma2: #Uptrend if greendoji(self.dataopen[0],self.datahigh[0],self.datalow[0],self.dataclose[0]) \ or reddoji(self.dataopen[0],self.datahigh[0],self.datalow[0],self.dataclose[0]): qty = shortsizing(self.broker.get_cash(), self.dataclose[0], self.atr) #SHORT Entry Sizing self.stoploss = self.datahigh[0] + (self.atr * 1) #NOTE:MULTIPLIER MUST SYNC WITH THE SIZING self.takeprofit = self.dataclose[0] - ((self.stoploss - self.dataclose[0])*1.5) #1.5x Reward to risk self.order = self.sell_bracket(size=qty, price=self.dataclose[0], limitprice=self.takeprofit, stopprice=self.stoploss) self.log('[ LONG ENTRY ] P: %.3f, Qty: %.1f, B: %.3f, ATR: %.3f, TP: %.5f, SL: %.5f' % (close, qty, cash, atr, self.takeprofit, self.stoploss)) # EXECUTED ORDER NOTIFICATIONS def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: return # Check if an order has been completed. Broker could reject if not enough cash price = (order.executed.price) qty = (order.executed.size) balance = (cerebro.broker.getcash()) cost = (order.executed.value) comm = (order.executed.comm) atr = (self.atr) if order.status in [order.Completed]: # LONG BUY EXECUTED if order.isbuy(): self.log( "[ BUY EXECUTED ] P: %.3f, Qty: %.1f, B: %.3f, Cost: %.5f, Comm %.5f, ATR: %.5f" % (price, qty, balance, cost, comm, atr)) # LONG SELL EXECUTED elif order.issell(): self.log( "[ SELL EXECUTED ] P: %.3f, Qty: %.1f, B: %.3f, Cost: %.5f, Comm %.5f" % (price, (qty * -1), balance, cost, comm)) self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log("Order Canceled/Margin/Rejected") self.order = None # CLOSED OPERATION LOG def notify_trade(self, trade): if not trade.isclosed: return cp = (cerebro.broker.getcash() / 10000) * 100 # cumulative profit profitpercent = (cerebro.broker.getcash() / self.tradeinicash) - 1 # self.log("[ OPERATION PROFIT ] GROSS: %.2f, NET: %.2f, B: %.2f" % (trade.pnl, trade.pnlcomm, cerebro.broker.getcash())) self.log("[ In Percentage ] G/L: %.2f Percent, Cumulative: %.2f Percent" % (profitpercent, cp)) self.cprof = cp #self.skip = True print() def printTradeAnalysis(analyzer): ''' Function to print the Technical Analysis results in a nice format. ''' #Get the results we are interested in total_open = analyzer.total.open total_closed = analyzer.total.closed total_won = analyzer.won.total total_lost = analyzer.lost.total win_streak = analyzer.streak.won.longest lose_streak = analyzer.streak.lost.longest pnl_net = round(analyzer.pnl.net.total,2) strike_rate = round((total_won / total_closed) * 100,2) #Designate the rows h1 = ['Total Open', 'Total Closed', 'Total Won', 'Total Lost'] h2 = ['Strike Rate','Win Streak', 'Losing Streak', 'PnL Net'] r1 = [total_open, total_closed,total_won,total_lost] r2 = [strike_rate, win_streak, lose_streak, pnl_net] #Check which set of headers is the longest. if len(h1) > len(h2): header_length = len(h1) else: header_length = len(h2) #Print the rows print_list = [h1,r1,h2,r2] row_format ="{:<15}" * (header_length + 1) print("Trade Analysis Results:") for row in print_list: print(row_format.format('',*row)) def printSQN(analyzer): sqn = round(analyzer.sqn,2) print('SQN: {}'.format(sqn)) cerebro = bt.Cerebro() # create a "Cerebro" engine instance data = bt.feeds.GenericCSVData( dataname="data/Forex/EURGBP_D1.csv", nullvalue=0.0, dtformat=('%Y-%m-%d %H:%M'), timeframe=bt.TimeFrame.Days, compression=1, fromdate=datetime.datetime(2007, 1, 1, 00, 00, 00), todate=datetime.datetime(2018, 12, 29, 23, 59, 00), open=1, high=2, low=3, close=4, openinterest=-1 ) cerebro.adddata(data) # Add the data feed cerebro.broker.set_cash(500000) cerebro.broker.setcommission(commission=0.000) cerebro.addstrategy(FxPattern) # Add the trading strategy cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name="ta") cerebro.addanalyzer(bt.analyzers.SQN, _name="sqn") print("Starting Portfolio Value :%.5f" % (cerebro.broker.getvalue()-490000)) strategies = cerebro.run() # run it all firstStrat = strategies[0] print("Final Portfolio Value:%.5f" % (cerebro.broker.getvalue()-490000)) print("Final Portfolio Cash :%.5f" % (cerebro.broker.getcash()-490000)) printTradeAnalysis(firstStrat.analyzers.ta.get_analysis()) printSQN(firstStrat.analyzers.sqn.get_analysis()) cerebro.plot(style="candlestick", barup='green', bardown='red') -
Analyzer problemposted in General Code/Help
Hi there,
The full code below works perfectly as it is but I wonder why removing the
else: if self.rsi > 70: self.sell(size=100)from the next function will cause an error?
This is the error i get
This is the full code:
import backtrader as bt from datetime import datetime from collections import OrderedDict class firstStrategy(bt.Strategy): def __init__(self): self.rsi = bt.indicators.RSI_SMA(self.data.close, period=21) 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 printTradeAnalysis(analyzer): ''' Function to print the Technical Analysis results in a nice format. ''' #Get the results we are interested in total_open = analyzer.total.open total_closed = analyzer.total.closed total_won = analyzer.won.total total_lost = analyzer.lost.total win_streak = analyzer.streak.won.longest lose_streak = analyzer.streak.lost.longest pnl_net = round(analyzer.pnl.net.total,2) strike_rate = (total_won / total_closed) * 100 #Designate the rows h1 = ['Total Open', 'Total Closed', 'Total Won', 'Total Lost'] h2 = ['Strike Rate','Win Streak', 'Losing Streak', 'PnL Net'] r1 = [total_open, total_closed,total_won,total_lost] r2 = [strike_rate, win_streak, lose_streak, pnl_net] #Check which set of headers is the longest. if len(h1) > len(h2): header_length = len(h1) else: header_length = len(h2) #Print the rows print_list = [h1,r1,h2,r2] row_format ="{:<15}" * (header_length + 1) print("Trade Analysis Results:") for row in print_list: print(row_format.format('',*row)) def printSQN(analyzer): sqn = round(analyzer.sqn,2) print('SQN: {}'.format(sqn)) #Variable for our starting cash startcash = 100000 #Create an instance of cerebro cerebro = bt.Cerebro() #Add our strategy cerebro.addstrategy(firstStrategy) #Get Apple data from Yahoo Finance. data = bt.feeds.YahooFinanceData( dataname='AAPL', fromdate = datetime(2009,1,1), todate = datetime(2017,1,1), buffered= True ) #Add the data to Cerebro cerebro.adddata(data) # Set our desired cash start cerebro.broker.setcash(startcash) # Add the analyzers we are interested in cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name="ta") cerebro.addanalyzer(bt.analyzers.SQN, _name="sqn") # Run over everything strategies = cerebro.run() firstStrat = strategies[0] # print the analyzers printTradeAnalysis(firstStrat.analyzers.ta.get_analysis()) printSQN(firstStrat.analyzers.sqn.get_analysis()) #Get final portfolio Value portvalue = cerebro.broker.getvalue() #Print out the final result print('Final Portfolio Value: ${}'.format(portvalue)) #Finally plot the end results cerebro.plot(style='candlestick') -
Bracker Order Questionsposted in General Code/Help
Hii,
I am trying to use bracket orders in my strategy and I can't grasp it enough to implement it.
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Can anyone explain to me what is the strategy of the sample code?
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What is this switching function in the sample code?
if self.p.switchp1p2: p1, p2 = p2, p1 valid1, valid2 = valid2, valid1- What is transmit in the bracket argument?
mainside = self.buy(price=13.50, exectype=bt.Order.Limit, transmit=False)https://www.backtrader.com/docu/order-creation-execution/bracket/bracket/#sample-code
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RE: Date Starts 3 months afterposted in General Code/Help
@rajanprabu ohh i didnt know it will affect the data,thanks!
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Date Starts 3 months afterposted in General Code/Help
hey,
Idk what happened but the datafeed should start from 01-01-2007, but it started from 08-03-2007.Can anyone point out the problem here?
Here's the log:
from datetime import datetime import backtrader as bt # Create a subclass of Strategy to define the indicators and logic class SmaCross(bt.Strategy): # list of parameters which are configurable for the strategy stoploss = 0 takeprofit = 0 params = dict( pfast=50, # period for the fast moving average pslow=300 # period for the slow moving average ) def __init__(self): # To keep track of pending orders and buy price/commission self.order = None self.buyprice = None self.buycomm = None self.dataclose = self.datas[0].close self.datahigh = self.datas[0].high self.datalow = self.datas[0].low self.datapreviousclose = self.datas[0].close(-1) #MA Function self.sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average self.sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(self.sma1, self.sma2) # crossover signal # LOGGING FUNCTION def log(self, txt, dt=None): ''' Logging function for this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def next(self): # ATR FUNCTION range_total = 0 for i in range(-13, 1): x = self.datahigh[i] - self.datalow[i] y = self.datahigh[i] - self.datapreviousclose[i] z = self.datalow[i] - self.datapreviousclose[i] if x > y: temp_truerange = x else: temp_truerange = y if temp_truerange > z: true_range = temp_truerange else: true_range = z range_total += true_range self.atr = range_total / 14 # ATR Multiplier self.atr = self.atr * 1 self.log('C: %.8f' % (self.dataclose[0])) # ORDER CHECK (If order is in place, can't place another until filled) if self.order: return if not self.position: if self.sma1[0] > self.sma2[0]: if self.datapreviousclose[0] < self.sma1[0]: if self.dataclose[0] > self.sma1[0]: self.buy() # enter long av = self.sma1[0] print(av) print(self.dataclose[0]) self.stoploss = self.datalow[0] - self.atr self.takeprofit = (self.atr*3) + self.datalow[0] elif self.dataclose[0] < self.stoploss: # in the market & cross to the downside self.close() elif self.dataclose[0] >= self.takeprofit: self.close() cerebro = bt.Cerebro() # create a "Cerebro" engine instance # Create a data feed data = bt.feeds.YahooFinanceCSVData( dataname="data/Forex/AUDJPY_H4.csv", dtformat=2, fromdate=datetime(2007,1,1), todate=datetime(2007,12,29), reverse=False, adjclose=False) cerebro.adddata(data) # Add the data feed cerebro.addstrategy(SmaCross) # Add the trading strategy cerebro.run() # run it all cerebro.plot(style="candlestick", barup='green', bardown='red') -
RE: return self.array[self.idx + ago] IndexError: array index out of rangeposted in General Code/Help
I revised the code a bit:
class TestStrategy(bt.Strategy): ''' Inside this "TestStrategy", there will be some "uncommon" scripts: - ATR Function: Self-made ATR, because I needed it for sizing. - Trade Period: To count the amound of bars passed after the start of an on going trade - Trade Count: To count trades for pyramiding function since the first trade. ''' stoploss = 0 params = dict( pfast=50, pslow=300, ) def __init__(self): # Keep a reference to the "close" line in the data[0] dataseries self.dataclose = self.datas[0].close # To keep track of pending orders and buy price/commission self.order = None self.buyprice = None self.buycomm = None # SMA use self.sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average self.sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(self.sma1, self.sma2) # crossover signal # ATR use self.dataclose = self.datas[0].close self.datahigh = self.datas[0].high self.datalow = self.datas[0].low self.datapreviousclose = self.datas[0].close(-1) self.atr = 0 # self.my_atr = bt.ind.ATR(period = 14,) # LOGGING FUNCTION def log(self, txt, dt=None): ''' Logging function for this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def next(self): cash = self.broker.get_cash() #MA Function self.sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average self.sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(self.sma1, self.sma2) # crossover signal # ATR FUNCTION range_total = 0 for i in range(-13, 1): x = self.datahigh[i] - self.datalow[i] y = self.datahigh[i] - self.datapreviousclose[i] z = self.datalow[i] - self.datapreviousclose[i] if x > y: temp_truerange = x else: temp_truerange = y if temp_truerange > z: true_range = temp_truerange else: true_range = z range_total += true_range self.atr = range_total / 14 #ATR Multiplier self.atr = self.atr * 1 #Instants close = (self.dataclose[0]) cash = (cerebro.broker.getcash()) atr = (self.atr) self.log('C: %.8f, ATR:%.8f' % (self.dataclose[0], atr)) # ORDER CHECK (If order is in place, can't place another until filled) if self.order: return # LONG BUY CREATE CONDITION: if not self.position : if self.datas[0].close(-1) <= self.sma1[0]: if self.dataclose() > self.sma1[0]: self.order = self.buy(size=1) print() self.log( '[ LONG BUY CREATE ] P: %.8f, Qty: %.10f, B: %.8f, ATR: %.8f' % (close, 1, cash, atr)) self.stoploss =self.datalow() - self.atr # LONG SELL CREATE CONDITION elif self.dataclose() < self.stoploss:# or self.crossover < 0: # in the market & cross to the downside self.close() self.log("[ LONG SELL CREATE ] P: %.8f" % close)