Hello, I am new to backtrader. I have several questions, i will post them down below the original code. This is what I wanna do:
1. Only take long positions.
2. Use donchian channel's 20 day high as open
3. Use 4 multipler ATR (14 day period) as stoploss/to exit long position.
4. Risk
Here is the original code:
import backtrader as bt
import datetime
import math
class DonchianChannels(bt.Indicator):
alias = ('DCH', 'DonchianChannel',)
lines = ('dcm', 'dch', 'dcl',) # dc middle, dc high, dc low
params = dict(
period= 20,
lookback= -1, # (-1) = doesnt current bar
)
plotinfo = dict(subplot=False) # plot along with dataa
plotlines = dict(
dch=dict(color="black"), # use same color as prev line (dcm)
#dcl=dict(_samecolor=False), # use same color as prev line (dch)
)
def __init__(self):
hi, lo = self.data.high, self.data.low
if self.p.lookback: # move backwards as needed
hi, lo = hi(self.p.lookback), lo(self.p.lookback)
self.l.dch = bt.ind.Highest(hi, period=self.p.period)
#self.l.dcl = bt.ind.Lowest(lo, period=self.p.period)
class MaxRiskSizer(bt.Sizer):
'''
Returns the number of shares rounded down that can be purchased for the
max rish tolerance
'''
params = (('risk', 0.03),)
def __init__(self):
if self.p.risk > 1 or self.p.risk < 0:
raise ValueError('The risk parameter is a percentage which must be'
'entered as a float. e.g. 0.5')
def _getsizing(self, comminfo, cash, data, isbuy):
if isbuy:
size = math.floor((cash * self.p.risk) / data[0])
else:
size = math.floor((cash * self.p.risk) / data[0]) * -1
return size
class TestStrategy(bt.Strategy):
params = dict(
pfast=20,
pslow=50,
)
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
#DC
self.dc = DonchianChannels()
# To keep track of pending orders and buy price/commission
self.order = None
self.buyprice = None
self.buycomm = None
# Simple Moving Average
sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average
sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average
self.crossover = bt.ind.CrossOver(sma1, sma2) # crossover signal
#ATR
pureatr = bt.ind.ATR(period = 14)
self.my_atr = pureatr
# LOG
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))
# 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
if order.status in[order.Completed]:
if order.isbuy():
self.log("BUY EXECUTED,Price: %.2f, Cost: %.2f, Comm %.2f" %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
elif order.issell():
self.log("SELL EXECUTED,Price: %.2f, Cost: %.2f, Comm %.2f" %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.bar_executed = len(self)
self.log("Balance :%.2f" % (cerebro.broker.getvalue()))
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log("Order Cancled/Margin/Rejected")
self.order = None
#Exit Operation Logs
def notify_trade(self, trade):
if not trade.isclosed:
return
self.log("[OPERATION PROFIT] GROSS: %.2f NET: %.2f, BALANCE: %.2f" %
(trade.pnl, trade.pnlcomm,cerebro.broker.getvalue()))
print()
def next(self):
# Simply log the closing price of the series from the reference
self.log('Close, %.2f' % self.dataclose[0])
#Check if an order is pending.. if yes, cant send a 2nd order.
if self.order:
return
#LONG CONDITION
if not self.position:
if self.data[0] > self.dc.dch[0]:
self.log('BUY CREATE, %.2f' % self.dataclose[0])
self.order = self.buy()
elif (self.dataclose[1]) > self.dataclose[0]: # in the market & cross to the downside
self.log("LONG CLOSED {}".format(self.dataclose[0]))
self.close() # close long position
#CEREBRO
cerebro = bt.Cerebro()
data = bt.feeds.YahooFinanceCSVData(
dataname="oracle.csv",
fromdate=datetime.datetime(2000,1,1),
todate=datetime.datetime(2000,12,29),
reverse=False)
cerebro.adddata(data)
cerebro.broker.set_cash(100000)
cerebro.broker.setcommission(0.01)
cerebro.addstrategy(TestStrategy)
cerebro.addsizer(MaxRiskSizer, risk=0.5)
print("Starting Portfolio :%.2f" % cerebro.broker.getvalue())
print()
cerebro.run()
print()
print("Final Portfolio Value:%.2f" % cerebro.broker.getvalue())
cerebro.plot(style="candlestick",barup='green', bardown='red')
1. I am trying to make the system print out its 'Balance/Cash' after
"2000-03-24, BUY EXECUTED,Price: 38.61, Cost: 49922.73, Comm 499.23"
so i put "self.log("Balance :%.2f" % (cerebro.broker.getvalue()))" after the buy/sell executed code, but the it printed out :
Starting Portfolio :100000.00
2000-03-23, BUY CREATE, 38.64
2000-03-24, BUY EXECUTED,Price: 38.61, Cost: 49922.73, Comm 499.23
2000-03-24, Balance :99604.21
The starting portfolio is 100,000. Why is the balance after buy executed 99604?
100,000 - 99604.21 = 395.79. Where did 395.79 come from? the Commission issued is 499.23.
2. I am trying to use ATR as my stoploss / exit long position. Can anyone make ATR into trailing stoploss. and I tried using multipler in the ATR, but it doesn't work
#ATR
pureatr = bt.ind.ATR(period = 14)
self.my_atr = pureatr
then
into
CLOSE LONG POSITION when current close crosses/touches previous day's close - 4*ATR
I modified the elif..... from
elif (self.dataclose[1]) > self.dataclose[0]:
to
elif (self.dataclose[0]) > self.dataclose[1]-(pureatr*4)):
(but it doesnt work)
#LONG CONDITION
if not self.position:
if self.data[0] > self.dc.dch[0]:
self.log('BUY CREATE, %.2f' % self.dataclose[0])
self.order = self.buy()
elif (self.dataclose[0]) > self.dataclose[1]-(pureatr*4)):
self.log("LONG CLOSED {}".format(self.dataclose[0]))
self.close() # close long position
"C:\Users\2200214\PycharmProjects\Trade\venv\Scripts\python.exe C:/Users/2200214/PycharmProjects/Trade/Trader.py
File "C:/Users/2200214/PycharmProjects/Trade/Trader.py", line 123
elif (self.dataclose[0]) > self.dataclose[1] - (pureatr * 4)): # in the market & cross to the downside
^
SyntaxError: invalid syntax
Process finished with exit code 1"
3. Is there anything wrong with my code? if theres anything you can think of improving it please help me
