Hello @backtrader,
I'm struggling with sizer settings. Based on the documentation, in my understanding, sizers in bt are set to buy whole units. I've been trying to tweak it to float units, however without success. Also searched the topics, but haven't found this.
Could you help me how/which classes/parameters shall I modify to let my strat buy partial units?
Many thanks for your help.
@backtrader, ok.
I'm going to deep-dive in the platform once again from the beginning, so then hopefully those questions/topics will be clearer.
Don't you consider having a discord channel for very interactive chats?
Thanks anyway.
@backtrader, ok thanks understood.
I asked this one as the second question in my initial post:
"How could I easily get the given trade's quantity, price data?"
@backtrader, @ab_trader, thanks for the prompt answer.
I've cleaned the code a little, unfortunately zero still appears ('Profit' stuck there incorrectly during my tries, should've been switched like below).
Full code:
from collections import OrderedDict
class maxRiskSizer(bt.Sizer):
params = (('risk', 1),)
def __init__(self):
if self.p.risk > 1 or self.p.risk < 0:
raise ValueError('Risk parameter is not ok!')
def _getsizing(self, comminfo, cash, data, isbuy):
if isbuy == True:
size = (cash * self.p.risk) / data[0]
else:
size = ((cash * self.p.risk) / data[0]) * -1
return size
class SmaCross(bt.Strategy):
params = (
('pfast', 15),
('pslow', 100),
('printlog', False),
)
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.datas[0].datetime.datetime(0)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
self.dataclose = self.datas[0].close
self.order = None
self.buyprice = None
self.buycomm = None
self.sma1 = bt.ind.SimpleMovingAverage(self.data.close, period=self.params.pfast)
self.sma2 = bt.ind.SimpleMovingAverage(self.data.close, period=self.params.pslow)
self.Cross = bt.ind.CrossOver(self.sma1, self.sma2)
def next(self):
if self.order:
return
if not self.position:
if self.Cross and pd.notna(self.sma1[0] and self.sma2[0]):
self.buy()
else:
if self.Cross == -1:
self.close()
def notify_trade(self, trade):
if trade.justopened:
print('----TRADE OPENED----')
print('Size: {:.3f}, value: {:.3f}'.format(trade.size, trade.value))
elif trade.isclosed:
print('----TRADE CLOSED----')
print('Size: {:.3f} Profit: Gross {:.3f}, Net {:.3f}'.format(trade.size, trade.pnl, trade.pnlcomm))
else:
return
if __name__ == '__main__':
startcash = 10000
cerebro = bt.Cerebro()
cerebro.addstrategy(SmaCross)
modpath = os.path.dirname('D:\\_projectPy\\')
datapath = os.path.join(modpath, 'test4.csv')
data = bt.feeds.GenericCSVData(
dataname=datapath,
timeframe=bt.TimeFrame.Minutes, compression=60,
datetime=0,
open = 1,
high = 3,
low = 4,
close = 2,
volume = 5,
openinterest = -1,
fromdate = datetime(2018, 1, 1, 1, 0, 1),
todate = datetime(2018, 1, 20, 0, 0, 1),
separator=',',
dtformat=('%Y-%m-%d %H:%M:%S')
)
cerebro.adddata(data)
cerebro.broker.setcash(startcash)
cerebro.addsizer(maxRiskSizer, risk=1)
strategies = cerebro.run(maxcpus=1)
Output:
----TRADE OPENED----
Size: 0.670, value: 9997.320
----TRADE CLOSED----
Size: 0.000 Profit: Gross 361.163, Net 361.163
----TRADE OPENED----
Size: 0.728, value: 10361.163
----TRADE CLOSED----
Size: 0.000 Profit: Gross -801.999, Net -801.999
----TRADE OPENED----
Size: 0.688, value: 9557.100
----TRADE CLOSED----
Size: 0.000 Profit: Gross -496.562, Net -496.562
@ab_trader, @backtrader thanks.
What's strange is that other trade subclasses (trade.pnl, trade.pnlcomm) give the correct figure, while trade.value did not at the same call. Or these are handled differently by bt?
Hey All,
I've added a new sizer to enable partial contracts to buy based on cash available (crypto space). Algo seems to work fine except that at closed trades the trade.size is printed as zero.
Any thoughts on the reason of this behaviour?
How could I easily get the given trade's quantity, price data?
Thanks a lot
here're the main elements:
class maxRiskSizer(bt.Sizer):
params = (('risk', 1),)
def __init__(self):
if self.p.risk > 1 or self.p.risk < 0:
raise ValueError('Risk parameter is not ok!')
def _getsizing(self, comminfo, cash, data, isbuy):
if isbuy == True:
size = (cash * self.p.risk) / data[0]
else:
size = ((cash * self.p.risk) / data[0]) * -1
return size
class SmaCross(bt.Strategy):
...
def notify_trade(self, trade):
if trade.justopened:
print('----TRADE OPENED----')
print('Size: {:.3f}, value: {:.3f}'.format(trade.size, trade.value))
elif trade.isclosed:
print('----TRADE CLOSED----')
print('Profit: {} Gross {}, Net {}'.format(trade.size, round(trade.pnl,2), round(trade.pnlcomm,2)))
else:
return
This gives the following output:
----TRADE OPENED----
Size: 0.670, value: 9997.320
----TRADE CLOSED----
Profit: 0.0 Gross 361.16, Net 361.16
----TRADE OPENED----
Size: 0.728, value: 10361.163
----TRADE CLOSED----
Profit: 0.0 Gross -802.0, Net -802.0
----TRADE OPENED----
Size: 0.688, value: 9557.100
...
@backtrader, thanks a lot for your reply.
After due testing, I've realized that the reason it showed different values was that the SMA calculation start date was different, so then the values.
Apologies if something slipped through, it was very far from my intention to blame anyone, on the contrary, I'm amazed by the flexibility of the platform and the wide range of strategies I can try out.
I'm a new one in python and backtrader and sometime a newbie question comes. Good luck with the development!
Hi All,
I'm trying to implement a simple SMA double cross strategy, but it seems that values don't match with my references (Tradingview and manual python calculations; these two matching exactly).
my py method:
def SMA(values, window):
return values.rolling(window).mean()
Can you advise?
Thanks a lot in advance
from collections import OrderedDict
class SmaCross(bt.SignalStrategy):
params = (
('pfast', 15),
('pslow', 100),
('printlog', False),
)
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.datas[0].datetime.datetime(0)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
self.dataclose = self.datas[0].close
self.order = None
self.buyprice = None
self.buycomm = None
sma1 = bt.ind.SimpleMovingAverage(self.data.close, period=self.params.pfast)
sma2 = bt.ind.SimpleMovingAverage(self.data.close, period=self.params.pslow)
self.Cross = bt.ind.CrossOver(sma1, sma2)
def next(self):
if self.order:
return
if not self.position:
if self.Cross:
self.log('BUY CREATE, %.2f' % self.dataclose[0])
self.buy(size = 1)
else:
if self.Cross == -1:
self.log('SELL CREATE, %.2f' % self.dataclose[0])
self.sell(size = 1)
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 Results:")
for row in print_list:
print(row_format.format('',*row))
def printSQN(analyzer):
sqn = round(analyzer.sqn,2)
print('SQN: {}'.format(sqn))
if __name__ == '__main__':
startcash = 10000
cerebro = bt.Cerebro()
cerebro.addstrategy(SmaCross)
# Datas are in a subfolder of the samples. Need to find where the script is
# because it could have been called from anywhere
modpath = os.path.dirname('D:\\Dropbox\\projectPy\\')
datapath = os.path.join(modpath, 'test4.csv')
# Create a Data Feed
data = bt.feeds.GenericCSVData(
dataname=datapath,
timeframe=bt.TimeFrame.Minutes, compression=60,
datetime=0,
open = 1,
high = 3,
low = 4,
close = 2,
volume = 5,
openinterest = -1,
fromdate = datetime(2018,7,2,11,0,1),
todate = datetime(2018,7,25,11,0,1),
separator=',',
dtformat=('%Y-%m-%d %H:%M:%S')
)
cerebro.adddata(data)
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(maxcpus=1)
SmaCrossStrat = strategies[0]
portvalue = cerebro.broker.getvalue()
#Print out the final result
print('Final Portfolio Value: ${}\nStarting Cash: ${}'.format(portvalue, startcash))
printSQN(SmaCrossStrat.analyzers.sqn.get_analysis())
# print the analyzers
printTradeAnalysis(SmaCrossStrat.analyzers.ta.get_analysis())
#for x in SmaCrossStrat.analyzers:
# x.print()
#Finally plot the end results
cerebro.plot(style='candlestick',barup='green',bardown='red', iplot = False)
Output:
2018-07-02T12:00:00, BUY CREATE, 6331.03
2018-07-07T22:00:00, SELL CREATE, 6530.70
2018-07-08T01:00:00, BUY CREATE, 6761.80
2018-07-10T11:00:00, SELL CREATE, 6443.80
2018-07-15T09:00:00, BUY CREATE, 6278.90
2018-07-21T11:00:00, SELL CREATE, 7326.00
2018-07-22T03:00:00, BUY CREATE, 7478.20
Final Portfolio Value: $11198.3
Starting Cash: $10000
SQN: 0.95
Trade Results:
Total Open Total Closed Total Won Total Lost
1 3 2 2
Strike Rate Win Streak Losing Streak PnL Net
66.67 1 1 928.6
My reference data (both fine with Tradingview and python manual check):
Close SMA15 SMA100
Date
2018-07-02 10:00:00 6341.700000 6334.681390 6196.541828
2018-07-02 11:00:00 6324.900000 6335.248056 6198.605828
2018-07-02 12:00:00 6331.026474 6335.763155 6200.873093
2018-07-02 13:00:00 6341.200000 6335.035098 6203.105093
2018-07-02 14:00:00 6342.969553 6333.233069 6205.342788
2018-07-07 20:00:00 6554.000000 6573.993333 6569.899519
2018-07-07 21:00:00 6541.900000 6570.040000 6569.482519
2018-07-07 22:00:00 6530.700000 6565.680000 6568.942519
2018-07-07 23:00:00 6531.700000 6562.273333 6568.460519
2018-07-08 00:00:00 6579.300000 6561.266667 6568.515519
2018-07-08 02:00:00 6748.046810 6584.629787 6571.408987
2018-07-08 03:00:00 6743.100000 6594.629787 6572.729987
2018-07-08 04:00:00 6747.100000 6605.536454 6575.331987
2018-07-10 09:00:00 6602.600000 6664.180000 6646.618688
2018-07-10 10:00:00 6590.900000 6657.053333 6647.275688
2018-07-10 11:00:00 6443.800000 6639.906667 6646.673688
2018-07-10 12:00:00 6470.100000 6623.660000 6646.710688
2018-07-10 13:00:00 6359.200000 6601.000000 6645.463688
@backtrader thanks a lot, working as needed now.
Hey all,
First of all congrats for backtrader for the platform, it seems awesome. Although I'm just starting to use it, ended up in a problem during strategy optimization. With stop(self) works fine, but when I want to get the results based on the objects list, it circulates with the same figures.
Here's the code:
import backtrader as bt
from datetime import datetime
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=1)
else:
if self.rsi > 65:
self.sell(size=1)
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(optreturn=False)
cerebro.optstrategy(firstStrategy, period=range(20,25))
modpath = os.path.dirname('D:\\Dropbox\\hye\\')
datapath = os.path.join(modpath, 'test4.csv')
data = bt.feeds.GenericCSVData(
dataname=datapath,
timeframe=bt.TimeFrame.Minutes, compression=60,
datetime=0,
open = 1,
high = 3,
low = 4,
close = 2,
volume = 5,
openinterest = -1,
fromdate = datetime(2018,5,2,11,0,1),
todate = datetime(2018,5,20,11,0,1),
separator=',',
dtformat=('%Y-%m-%d %H:%M:%S')
)
cerebro.adddata(data)
cerebro.broker.setcash(startcash)
opt_runs = cerebro.run(maxcpus=1)
final_results_list = []
for run in opt_runs:
for strategy in run:
value = round(strategy.broker.get_value(),2)
PnL = round(value - startcash,2)
period = strategy.params.period
final_results_list.append([period,PnL])
by_period = sorted(final_results_list, key=lambda x: x[0])
by_PnL = sorted(final_results_list, key=lambda x: x[1], reverse=True)
print('\nResults: Ordered by period:')
for result in by_period:
print('Period: {}, PnL: {}'.format(result[0], result[1]))
print('Results: Ordered by Profit:')
for result in by_PnL:
print('Period: {}, PnL: {}'.format(result[0], result[1]))
This gives out:
RSI Period: 20 Final PnL: -628.52
RSI Period: 21 Final PnL: -658.0
RSI Period: 22 Final PnL: -718.4
RSI Period: 23 Final PnL: -601.3
RSI Period: 24 Final PnL: -502.5
Results: Ordered by period:
Period: 20, PnL: -502.5
Period: 21, PnL: -502.5
Period: 22, PnL: -502.5
Period: 23, PnL: -502.5
Period: 24, PnL: -502.5
Results: Ordered by Profit:
Period: 20, PnL: -502.5
Period: 21, PnL: -502.5
Period: 22, PnL: -502.5
Period: 23, PnL: -502.5
Period: 24, PnL: -502.5
Thanks a lot for your help.