Hi all. I am fairly new to Backtrader and I am trying to modify the quickstart tutorial to make cheat-on-close work. I have already set cerebro.broker.set_coc(True), but when the strategy runs, the BUY/SELL orders are still executed on the next day, not the current day close. What did I do wrong?
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import datetime # For datetime objects
import os.path # To manage paths
import sys # To find out the script name (in argv[0])
# Import the backtrader platform
import backtrader as bt
# Create a Stratey
class TestStrategy(bt.Strategy):
params = (
('maperiod', 15),
)
def log(self, txt, dt=None):
''' Logging function for 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 a MovingAverageSimple indicator
self.sma = bt.indicators.SimpleMovingAverage(
self.datas[0], period=self.params.maperiod)
# Add a RSI2 indicator
self.rsi2 = bt.indicators.RelativeStrengthIndex(
self.datas[0], period=2
)
# Add a RSI4 indicator
self.rsi4 = bt.indicators.RelativeStrengthIndex(
self.datas[0], period=4
)
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 enough 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, RSI2, %.2f' % (self.dataclose[0], self.rsi2[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.dataclose[0] > self.sma[0]:
if self.rsi2 < 10:
# 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.buy(exectype=bt.Order.Close)
else:
# if self.dataclose[0] < self.sma[0]:
if self.rsi2 > 90:
# 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.sell(bt.Order.Close)
if __name__ == '__main__':
# Create a cerebro entity
cerebro = bt.Cerebro()
# Add a strategy
cerebro.addstrategy(TestStrategy)
# 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(os.path.abspath(sys.argv[0]))
datapath = os.path.join(modpath, 'datas\\MSFT.csv')
# Create a Data Feed
data = bt.feeds.YahooFinanceCSVData(
dataname=datapath,
# Do not pass values before this date
fromdate=datetime.datetime(2020, 1, 1),
# Do not pass values before this date
todate=datetime.datetime(2020, 12, 31),
# Do not pass values after this date
reverse=False)
# Add the Data Feed to Cerebro
cerebro.adddata(data)
# Set our desired cash start
cerebro.broker.setcash(100000.0)
# Set the commission - 0.1% ... divide by 100 to remove the %
cerebro.broker.setcommission(commission=0.001)
# Set cheat-on-close
cerebro.broker.set_coc(True)
# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Run over everything
cerebro.run()
# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Plot the result
cerebro.plot()
2020-09-08, BUY CREATE, 202.66
2020-09-09, BUY EXECUTED, Price: 211.29, Cost: 211.29, Comm 0.21