Hi! I am currently coding a strategy that will be applied simultaneously to different datasets. I would like to check how to set broker with unique multiplier for each datasets.
Also, when I try to plot the data, it gives an error as there are many plots to be plotted. Is it possible if I only plot the equity line.
Thanks for helping :)
@backtrader do you mean the name of the data or the name of the commission? Thanks :)
Hi @backtrader ! Just wanna check whether it is possible to add two commission scheme for two different datasets. Let say commission scheme one has multiplier of 1 for self.data0 and commission scheme two has multiplier of 2 for self.data1 and we are trading using these two datasets simulataneously.
Thanks!!
Hi! How do I close all the orders before the end of the session?
I found out that there are multiple ways to execute it such as self.close() and using Order.Close. However, I don't know how to code it or where to execute it.
Thanks for the help :)
Hi!! Is it possible to set the validity of an order until the next bar instead of using dates? If yes, how do I do it?
Thanks :)
Thanks @backtrader . For the order's opening price and closing price, how do i check the value of the opening and closing price?
Also, for the statistics that are provided by backtrader, can we check for the following info too ? The info includes
largest profit trade, largest loss trade, average profit trade, average loss trade, maximum number of consecutive wins, maximum number of consecutive loss, and number of trades.
Thanks @backtrader !! Is it possible to access the opening price and closing price of an order?
Thanks @backtrader ! For the case of multiple data feeds, is it possible to refer to the trade.pnl of each dataset? (Maybe sth like Trade.pnl(self.data1))
Hi! I would like to clarify for the definition of order.executed.value and how the trade.pnl is calculated in backtrader.
If I am using multiple datasets, is it possible if I calculate trade.pnl for each datasets? And if I am backtesting for FX, how do i obtain the net profit in terms of pips?
Thankss :)
Hi! I would like to ask how to add multiple data feeds into indicators. I am using StandardDeviation indicator and instead of using multiple indicators, I am planning to input 3 data into the indicator so that the indicator can give me 3 sd for different data. Thanks :)
Hi! I would like to check how to modify the order that has been submitted but not executed. I would like to change the stopping price of sell_bracket order after it has been submitted.
I read through "strategy with signals" section of the documentation. However, I don't really understand how to code using those signals.
Let say I would like to have a strategy that :
How do I use the signal? Do I still have to use self.sell and self.buy? Thankss :)
Hi! I would like to plot an indicator on hourly data but the indicator is calculated based on daily data.
I tried using the following code but I am unable to see the indicator
self.indicatorname.plotinfo.plotmaster =True
self.indicatorname.plotinfo.plotylimited = False
This is the full code.
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import os.path
import argparse
import datetime
import math
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.plot as plt
import backtrader.indicators as btinds
class Donchian(btinds.PeriodN):
lines = ('maxi','mini',)
params = (('period',6),)
def __init__(self):
self.lines.maxi = btinds.Highest(self.data.high, period=self.p.period)
self.lines.mini = btinds.Lowest(self.data.low, period=self.p.period)
class St(bt.Strategy):
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.data0.datetime.date(0)
dt1 = self.data0.datetime.time(0)
print('%s,%s, %s' % (dt.isoformat(),dt1.isoformat(), txt))
def __init__(self):
self.channel = Donchian(self.data1)
self.channel.plotinfo.subplot=False
self.channel.plotinfo.plotmaster = True
self.buysignal = 0
self.sellsignal = 0
self.dayhigh = 0
self.daylow = 0
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
return
if order.status in [order.Completed]:
if order.isbuy():
self.log(
'BUY EXECUTED, Price: %.5f, Cost: %.5f' %
(order.executed.price,
order.executed.value))
self.buyprice = order.executed.price
else: # Sell
self.log('SELL EXECUTED, Price: %.5f, Cost: %.5f' %
(order.executed.price,
order.executed.value))
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 %.5f, NET %.5f' %
(trade.pnl, trade.pnlcomm))
def next(self):
txt = ','.join(
['%04d' % len(self.data0),
'%04d' % len(self.data1),
self.data0.datetime.date(0).isoformat(),
self.data0.datetime.time(0).isoformat(),
self.data1.datetime.date(0).isoformat(),
'Open : %.5f' % self.data0.open[0],
'Close : %.5f' % self.data0.close[0],
'Buysignal = %d' % self.buysignal,
'Sellsignal = %d' % self.sellsignal,
'Current Low = %.5f' % self.daylow,
'Current High = %.5f' % self.dayhigh])
print(txt)
if self.buysignal >0 :
if self.data0.datetime.time(0)==datetime.time(0,0,0):
self.buysignal = 0
self.sellsignal = 0
if self.sellsignal >0 :
if self.data0.datetime.time(0)==datetime.time(0,0,0):
self.buysignal = 0
self.sellsignal = 0
if self.buysignal == 0 :
if self.data0.close[0] < self.channel.lines.mini[0]:
self.buysignal = 1
self.daylow = self.channel.lines.mini[0]
print("-----------breaking low----------------")
print(self.data0.datetime.time(0),"Current Low : %.5f" % self.channel.mini[0])
elif self.buysignal == 1:
if self.data0.close[0] > self.daylow:
print('Current Low : %5f' % self.daylow)
self.log('BUY CREATE, %.5f' % self.data0.close[0])
self.order=self.buy(data=self.data0)
self.buysignal = 0
if self.sellsignal==0:
if self.data0.close[0] > self.channel.lines.maxi[0]:
self.sellsignal=1
self.dayhigh = self.channel.lines.maxi[0]
print("------------breaking high----------------")
print(self.data0.datetime.time(0),"Current High : %.5f" % self.channel.lines.maxi[0])
elif self.sellsignal ==1:
if self.data0.close[0] < self.dayhigh:
print('Current High : %5f' % self.dayhigh)
self.log('SELL CREATE, %.5f' % self.data0.close[0])
self.order = self.sell(data=self.data0)
self.sellsignal=0
def runstrat():
args = parse_args()
cerebro = bt.Cerebro()
modpath = 'd:\\I - TradersGPS\\'
datapath0 = os.path.join(modpath, 'GBPUSD_H1_UTC+2_00.csv')
datapath1 = os.path.join(modpath, 'GBPUSD_D1_UTC+2_00.csv')
data0 = btfeeds.GenericCSVData(dataname=datapath0,
timeframe=bt.TimeFrame.Minutes,
compression = 60,
fromdate = datetime.datetime(2016,10,21),
todate=datetime.datetime(2016,11,15),
nullvalue=0.0,
dtformat=('%Y.%m.%d'),
tmformat=('%H:%M'),
datetime=0,
time=1,
open=2,
high=3,
low=4,
close=5,
volume=6,
openinterest=-1)
data1 = btfeeds.GenericCSVData(dataname=datapath1,
timeframe = bt.TimeFrame.Days,
fromdate =datetime.datetime(2016,10,21),
todate= datetime.datetime(2016,11,15),
nullvalue=0.0,
dtformat=('%Y.%m.%d'),
tmformat=('%H:%M'),
datetime=0,
time=1,
open=2,
high=3,
low=4,
close=5,
volume=6,
openinterest=-1)
cerebro.adddata(data0,name ="Hourly Data")
cerebro.adddata(data1,name="Daily Data")
cerebro.addstrategy(St)
cerebro.broker.setcash(100000.0)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.run(stdstats=False)
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.plot()
How do i cancel those orders that are still alive? For example order 582. Thanks @backtrader :)
Thanks @backtrader for the clarification. With regards to what you said, that means I cannot cancel the order once the instance has changed. For example, I can no longer cancel order 581 and 582 after the order 583 is executed.
2017-04-11 : Order ref: 580 / Type Sell / Status Submitted
2017-04-11 : Order ref: 580 / Type Sell / Status Accepted
2017-04-11 : Order ref: 580 / Type Sell / Status Completed
2017-04-11, SELL EXECUTED, Reference : 580, Price: 1.24116, Cost: -1.24116,Position : -1
2017-04-11: Oref 581 / Buy Stop at 1.2535716000000001
2017-04-11: Oref 582 / Buy Limit at 1.2287484
0002,2017-04-11,Open : 1.24116,High : 1.24944,Low : 1.24035,Close : 1.24893,Position : -1
2017-04-12 : Order ref: 581 / Type Buy / Status Submitted
2017-04-12 : Order ref: 582 / Type Buy / Status Submitted
2017-04-12 : Order ref: 581 / Type Buy / Status Accepted
2017-04-12 : Order ref: 582 / Type Buy / Status Accepted
2017-04-12 : Order ref: 581 / Type Buy / Status Completed
2017-04-12, BUY EXECUTED, Ref : 581, Price: 1.25357, Cost: -1.24116, Position : 0
2017-04-12, OPERATION PROFIT, GROSS -0.01241, NET -0.01241
0003,2017-04-12,Open : 1.24891,High : 1.25483,Low : 1.24801,Close : 1.25387,Position : 0
2017-04-12: Oref 583 / Sell at 1.25387
2017-04-13 : Order ref: 583 / Type Sell / Status Submitted
2017-04-13 : Order ref: 583 / Type Sell / Status Accepted
2017-04-13 : Order ref: 583 / Type Sell / Status Completed
Sorry @backtrader . I couldn't figure out how to remove the orders, with reference code in self.orefs, that have been submitted, accepted but not executed.
I tried to remove it in next(self) section using self.cancel(self.order[oref] but the order here is not indexable.
Starting Portfolio Value: 100000.00
0050,2017-03-17,01:00:00,Open : 1.23558,High : 1.23559,Low : 1.23451,Close : 1.23498
2017-03-17 01:00:00 : Oref 294 / Sell at 1.23552
2017-03-17 01:00:00 : Oref 295 / Sell Take Profit at 1.23107
2017-03-17 01:00:00 : Oref 296 / Sell Stop Loss at 1.23997
2017-03-17 02:00:00: Order ref: 294 / Type Sell / Status Submitted
2017-03-17 02:00:00: Order ref: 295 / Type Buy / Status Submitted
2017-03-17 02:00:00: Order ref: 296 / Type Buy / Status Submitted
2017-03-17 02:00:00: Order ref: 294 / Type Sell / Status Accepted
2017-03-17 02:00:00: Order ref: 295 / Type Buy / Status Accepted
2017-03-17 02:00:00: Order ref: 296 / Type Buy / Status Accepted
2017-03-17 02:00:00: Order ref: 294 / Type Sell / Status Completed
An example would be removing order ref 295 and 296. I couldn't remove those orders. Thankss!!