Hello,
I would like to ask you please how to get the strategy return without setting cash. I just want to know the investment return if one share was traded. Meaning I want to sum all the strategy return.

Hello,

I am testing candlestick strategy with a stop loss sell. I generated my strategy signal on simple python code and I wanted to run it on BT. When I run BT on my strategy the signals doesn't match my pandas data frame. I would really appreciate if someone can help me here. To get the candle stick pattern I used tlib. Tlib will give 100 if the pattern is observed. So, I had a logic to generate the buy signals as follow

df['Buy']=np.where(df['CDLBELTHOLD']==100,1,0)

first signal was generated at with price :
2019-03-21 271.629418

I created a strategy on BT as follow:

# Create a Stratey
class TestStrategy(bt.Strategy):

    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
        self.marubozu = bt.talib.CDLHARAMI(self.data.open,self.data.high,self.data.low,self.data.close) 
        self.my_atr = bt.ind.ATR(period=30)
        self.max_close = bt.ind.MaxN(self.data.close(-11))
        self.order = None
        self.buyprice = None
        self.buycomm = None
        self.sellprice = None
        self.sellcomm = None
    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:{}'.format (order.executed.price))
        elif order.issell():
           self.log('Sell EXECUTED, Price:{}'.format (order.executed.price))
        self.order=None
        self.bar_executed=len(self)
    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.2f' % self.dataclose[0])
        if self.order:
          return
        if not self.position:
          if self.marubozu==100:
                  # BUY, BUY, BUY!!! (with all possible default parameters)
                  self.log('BUY CREATE, %.2f' % self.dataclose[0])
                  self.order=self.buy()
        else:
          if self.dataclose<(self.max_close-(5*self.my_atr)):
            self.log('Sell Ctreated {}'.format(self.dataclose[0]))
            self.order=self.sell()

cerebro = bt.Cerebro(stdstats=True)
cerebro.broker.setcash(1000000)
cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name='mysharpe')

# 0.1% ... divide by 100 to remove the %
#cerebro.broker.setcommission(commission=0.005)
symbol='SPY'
alpaca_data = rest_api.get_bars(symbol, TimeFrame.Day, '2019-01-01', '2022-01-01', adjustment='all').df

data = bt.feeds.PandasData(dataname=alpaca_data, name=symbol)
cerebro.adddata(data)
cerebro.addstrategy(TestStrategy)
initial_portfolio_value = cerebro.broker.getvalue()
print(f'Starting Portfolio Value: {initial_portfolio_value}')
cerebro.addsizer(bt.sizers.FixedSize,stake=1000)
results=cerebro.run()
final_portfolio_value = cerebro.broker.getvalue()
print(f'Final Portfolio Value: {final_portfolio_value} ---> Return: {(final_portfolio_value/initial_portfolio_value - 1)*100}%')
strat = results[0]
print('Sharpe Ratio:', strat.analyzers.mysharpe.get_analysis()['sharperatio'])

My first signal was received at this time and this is not the case as my pandas data frame, the data is the same nothing different.

2019-03-28, BUY CREATE, 267.94

Thanks for your time :)