Hi,
I did as ab_trader suggested and can confirm that it works pretty well. I am actually loading a future as a chain in backtrader via a default_strategy that I inherit when I create a new strategy. So my code works on a specific future and I am able to trade the whole curve.
Let me know if you have any questions.

Ok, I will aim to post it within a few days. I need to check a few things.

Hi,

I actually have an updated version of this UI. As this one had a few issues with Dash. Let me know if you would like to discuss further.

Thanks

It might not be possible, I can't find the option. Do you have an email address I can contact you on?

Hi Pierre,
I could help you depending on what you are trying to achieve.
Pm me with more details.

Having more details would definitely help... Is the strategy trading a continuous timeserie or is it trading the term structure of crude oil?

@eduedix

Hi,

This is what I do to use pyfolio:

        cerebro = bt.Cerebro()
        cerebro.broker.setcash(cash)
        cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')

        for s in symbols:
            df = pd.read_csv(os.path.join(path_dir, '{}.csv'.format(s)), parse_dates=True, index_col=0)
            data = bt.feeds.PandasData(dataname=df)
            cerebro.adddata(data)

        cerebro.addstrategy(strategy, **params)

        results = cerebro.run()
        strat = results[0]
        pyfoliozer = strat.analyzers.getbyname('pyfolio')
        returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items()

Hope this helps.

Hi,

You need a data provider. Look at Esignal or IQFeed.

The problem though is that the line of code that I am referencing (see below) is in the backtrader codebase (4 instances in strategy.py) and not in my code as I always reference data explicitly.

data = data or self.datas[0]

As a hack, I have amended the line in strategy.py to the below:

data = data if data is not None else self.datas[0]

This is not ideal though. Is there a way around it or would you consider amending this piece of code?

PS: Thanks for the link, I will look at it in more details.

So I have done a bit of debugging and found where the data gets changed to Reference from LHS1M09.

It happens in the following test:

data = data or self.datas[0]

Hence why it is not a problem when dealing with only one serie but when dealing with multi-series, we revert back to self.datas[0] which is "Reference" in my case.

Somehow, even though data is a valid time serie, the test seems to return False when Close is equal to 0.0.

See below a test:

self.log('DEBUG', 'Date: {} - Close {} - Test: {}!'.format(self.date(0), dta.close[0], bool(dta)))

With the following results:

DEBUG - 2009-01-29 - Date: 2009-01-29 - Close 0.075 - Test: True!
DEBUG - 2009-01-30 - Date: 2009-01-30 - Close 0.05 - Test: True!
DEBUG - 2009-02-02 - Date: 2009-02-02 - Close -0.175 - Test: True!
DEBUG - 2009-02-03 - Date: 2009-02-03 - Close 0.0 - Test: False!
DEBUG - 2009-02-04 - Date: 2009-02-04 - Close -0.05 - Test: True!
DEBUG - 2009-02-05 - Date: 2009-02-05 - Close -0.25 - Test: True!
DEBUG - 2009-02-06 - Date: 2009-02-06 - Close -0.6 - Test: True!

I guess this is due to 0.0 evaluated as False... I'll try to change the code to:

data = data if data is not None else self.datas[0]

@backtrader: Any ideas on this?

Thanks!