from datetime import datetime
import backtrader as bt
class TestStrategy(bt.Strategy):
params = (
('period', 14),
('sma_atr', 5),
('ols_length',15),
('macd1', 12),
('macd2', 26),
('macdsig', 9),
)
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.datas[0].datetime.date(0)
print('%s, %s' % (dt.isoformat(), txt))
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
# Add ATR Indicator
self.atr = bt.indicators.ATR(
self.datas[0], period=self.params.period)
self.sma_atr = bt.indicators.SMA(
self.atr, period=self.params.sma_atr)
self.my_macd = bt.indicators.MACD(
self.datas[0], period_me1=self.p.macd1, period_me2=self.p.macd2, period_signal=self.p.macdsig)
self.my_ols1, self.my_ols2 = bt.indicators.OLS_Slope_InterceptN(self.datas[0].close, self.datas[0].close)
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
return
# Check if an order has been completed
# Attention: broker could reject order if not enougth 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
else: # Sell
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.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
def notify_trade(self, trade):
if not trade.isclosed:
return
self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
def next(self):
# Simply log the closing price of the series from the reference
self.log('Close, %.2f' % self.dataclose[0])
self.log('ATR, %.2f' % self.atr[0])
self.log('SMA_ATR, %.2f' % self.sma_atr[0])
self.log('MACD, %.2f' % self.my_macd.macd[0])
self.log('SIGNAL, %.2f' % self.my_macd.signal[0])
# Check if an order is pending ... if yes, we cannot send a 2nd one
if self.order:
return
# Check if we are in the market
if not self.position:
# Not yet ... we MIGHT BUY if ...
if (self.atr[0] > self.sma_atr[0]) and (self.my_macd.macd[0] > 0) and ((self.my_macd.signal[0] > 0) and (self.my_macd.macd[0] > self.my_macd.signal[0])):
# BUY, BUY, BUY!!! (with all possible default parameters)
self.log('BUY CREATE, %.2f' % self.dataclose[0])
# Keep track of the created order to avoid a 2nd order
self.order = self.order_target_percent(target=0.9)
else:
if self.atr[0] < self.sma_atr[0]:
# SELL, SELL, SELL!!! (with all possible default parameters)
self.log('SELL CREATE, %.2f' % self.dataclose[0])
# Keep track of the created order to avoid a 2nd order
self.order = self.order_target_percent(target=0)
if name == 'main':
cerebro = bt.Cerebro()
# Add a strategy
cerebro.addstrategy(TestStrategy, period=14, sma_atr=3, ols_length=15)
# Basic Setup of the trade
cerebro.broker.setcash(1000000.0)
# Set the commission - 0.1% ... divide by 100 to remove the %
cerebro.broker.setcommission(commission=0.001)
# Add a FixedSize sizer according to the stake
cerebro.addsizer(bt.sizers.FixedSize, stake=100)
#https://community.backtrader.com/topic/279/don-t-understand-buy-amount/6
cerebro.broker.set_coc(True)
data = bt.feeds.YahooFinanceData(dataname='IBM', fromdate=datetime(2017, 1, 1),
todate=datetime(2017, 11, 27))
cerebro.adddata(data)
# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.run()
# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.plot()