@vladisld thank you, now it works !
For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/
M
Best posts made by marketwizard
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RE: Test a strategy over a list of stocks (50+)posted in General Code/Help
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RE: Portfolio backtesting & Benchmarkposted in General Code/Help
@vladisld now it works, thank you !
However I couldn't understand why... I thought that data was a list ?
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RE: Gross Loss and Gross Win Analyzerposted in General Code/Help
@run-out I mean the total gross loss (sum of all losing trades in $) and the total gross win (sum of all winning trades in $).
It this case it will be the "lost_pnl_total" and the "win_pnl_total" ?
Latest posts made by marketwizard
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RE: Flipping a position from long to shortposted in General Code/Help
@ab_trader I tried with cheat on open and the same problems seems to occure (2 shorts in a row, etc... The order is accepted, completed but the trade is not executed).
class EMAStack(bt.Strategy): # Define the parameters of the strategy params = ( ("stake", 1.00), ("mtrade", False), ("percent", 0.99) ) # Initialize the elements which are needed for the strategy (indicators, etc...) def __init__(self): self.order = None # sentinel to avoid operations on pending order self.cheating = self.cerebro.p.cheat_on_open # Define the indicators self.ema_fast = bt.indicators.EMA( self.data.close, period=5, plot=True, subplot=False ) self.ema_slow = bt.indicators.EMA( self.data.close, period=20, plot=True, subplot=False ) # Define the crossover signals self.cross = bt.indicators.CrossOver( self.ema_fast, self.ema_slow, plot=False, subplot=False ) if self.p.mtrade: self.tradeid = itertools.cycle([0, 1, 2]) else: self.tradeid = itertools.cycle([0]) def operate(self, fromopen): if self.order is not None: return if self.cross > 0.0: self.order = self.order_target_percent(target=self.p.percent) elif self.cross < 0.0: self.order = self.order_target_percent(target=-self.p.percent) def prenext(self): cash = self.broker.get_cash() brokervalue = self.broker.get_value() print('Prenext(): Cash: {}, Broker Value: {}, Fast EMA: {}, Slow EMA: {}, CrossOver: {}'.format(round(cash, 2), round(brokervalue, 2), round(self.ema_fast[0], 2), round(self.ema_slow[0], 2), round(self.cross[0], 2))) self.next() def next(self): # Get the Amount of cash in the Portfolio cash = self.broker.get_cash() brokervalue = self.broker.get_value() data_value = self.broker.get_value([self.data]) if self.cheating: return self.operate(fromopen=False) #if self.order: # return # pending order execution print('next(): Cash: {}, Broker Value: {}, Fast EMA: {}, Slow EMA: {}, CrossOver: {}'.format(round(cash, 2), round(brokervalue, 2), round(self.ema_fast[0], 2), round(self.ema_slow[0], 2), round(self.cross[0], 2))) def next_open(self): if not self.cheating: return self.operate(fromopen=True) def notify_order(self, order): if order.status == order.Completed: pass if not order.alive(): self.order = None # indicate no order is pendin date = self.data.datetime.datetime().date() if order.status == order.Accepted: print('-'*32,' NOTIFY ORDER ','-'*32) print('{} Order Accepted'.format(order.info['name'])) print('{}, Status {}: Ref: {}, Size: {}, Price: {}'.format( date, order.status, order.ref, order.size, 'NA' if not order.price else round(order.price,5) )) if order.status == order.Completed: print('-'*32,' NOTIFY ORDER ','-'*32) print('{} Order Completed'.format(order.info['name'])) print('{}, Status {}: Ref: {}, Size: {}, Price: {}'.format( date, order.status, order.ref, order.size, 'NA' if not order.price else round(order.price,5) )) print('Created: {} Price: {} Size: {}'.format(bt.num2date(order.created.dt), order.created.price,order.created.size)) print('-'*80) if order.status == order.Canceled: print('-'*32,' NOTIFY ORDER ','-'*32) print('{} Order Canceled'.format(order.info['name'])) print('{}, Status {}: Ref: {}, Size: {}, Price: {}'.format( date, order.status, order.ref, order.size, 'NA' if not order.price else round(order.price,5) )) if order.status == order.Rejected: print('-'*32,' NOTIFY ORDER ','-'*32) print('WARNING! {} Order Rejected'.format(order.info['name'])) print('{}, Status {}: Ref: {}, Size: {}, Price: {}'.format( date, order.status, order.ref, order.size, 'NA' if not order.price else round(order.price,5) )) print('-'*80) def notify_trade(self, trade): date = self.data.datetime.datetime() if trade.isclosed: print('-'*32,' NOTIFY TRADE ','-'*32) print('{}, Close Price: {}, Profit, Gross {}, Net {}'.format( date, trade.price, round(trade.pnl,2), round(trade.pnlcomm,2))) print('-'*80) -
RE: Flipping a position from long to shortposted in General Code/Help
@run-out The problem remain until I reduce the percentage to approx. 0.92.
Does other solution exists in order to avoid this Problem ? (beside reducing the position size) in order to go all in
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RE: Flipping a position from long to shortposted in General Code/Help
@run-out If I understand that well, setting self.p.percent to 0.975 should provide enough cash buffer for the backtests ?
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RE: Flipping a position from long to shortposted in General Code/Help
@run-out Thank you for your reply. I tested your code (with the same parameters) and now it works !
With 50% of the portfolio no problem, however when I try to go all-in, the results are a bit strange.
Some short trades are taken in a row without going long inbetween. Here is a screenshot of the tradelist I generated:
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RE: Flipping a position from long to shortposted in General Code/Help
@run-out I analyzed my problem a bit more and it seems that with the code you recommended to use in next(), no trade is executed.
def next(self): if self.order: return # pending order execution if self.cross > 0.0 and self.getposition().size <= 0: self.order = self.order_target_percent(target=self.p.percent) elif self.cross < 0.0 and self.getposition().size >= 0: self.order = self.order_target_percent(target=-self.p.percent)Maybe someone can help to solve the problem ?
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RE: Flipping a position from long to shortposted in General Code/Help
@run-out said I tried with your piece of code, however, I received an error:
Traceback (most recent call last): File "C:/Users/marketwizard/PycharmProjects/MW_Backtests/01_WSTF_EMA_Crossover_50_200_Flip_LongShort/main.py", line 406, in <module> strategies = cerebro.run(tradehistory=True) File "C:\Users\marketwizard\PycharmProjects\Algotrading_libraries1\lib\site-packages\backtrader\cerebro.py", line 1127, in run runstrat = self.runstrategies(iterstrat) File "C:\Users\marketwizard\PycharmProjects\Algotrading_libraries1\lib\site-packages\backtrader\cerebro.py", line 1301, in runstrategies strat._stop() File "C:\Users\marketwizard\PycharmProjects\Algotrading_libraries1\lib\site-packages\backtrader\strategy.py", line 486, in _stop analyzer._stop() File "C:\Users\marketwizard\PycharmProjects\Algotrading_libraries1\lib\site-packages\backtrader\analyzer.py", line 200, in _stop self.stop() File "C:\Users\marketwizard\PycharmProjects\Algotrading_libraries1\lib\site-packages\backtrader\analyzers\vwr.py", line 154, in stop dt = pn / (pi * math.exp(ravg * n)) - 1.0 ZeroDivisionError: float division by zero(compared to the code I had posted in the previous messages, I added some analyzers. I know this part is working well because I use it often with other strategies without problems)
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RE: Flipping a position from long to shortposted in General Code/Help
*However it seems that no trade is executed...
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RE: Flipping a position from long to shortposted in General Code/Help
@ab_trader I looked at the documentation concerning the target order and I tried the following piece of code in next():
if self.order: return # pending order execution if self.cross > 0.0: self.order = self.order_target_percent(target=self.p.percent) if self.cross < 0.0: self.order = self.order_target_percent(target=self.p.percent)(self.p.percent is set to 100)
However, it seems that no tra
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RE: Flipping a position from long to shortposted in General Code/Help
@ab_trader I understand why its important to print these informations, it will also help me for further project.
So if I understand that well, following informations should be printed:
- In prenext() / next() I printed: Cash, Brokervalue, Signal Values (both ema + crossover)
- In notify order: date, status, order ref, size
- In notify trade: date, Closed price, Pnl Gross / Net
Here are the results (I deleted most of the outputs between the orders because it was to long to be posted here):
AAPL_DAILY_ALPHA_VANTAGE.txt next(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.28, Slow EMA: nan, CrossOver: nan Prenext(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.28, Slow EMA: 0.31, CrossOver: nan next(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.28, Slow EMA: 0.31, CrossOver: nan next(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.31, Slow EMA: 0.32, CrossOver: 0.0 next(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.31, Slow EMA: 0.32, CrossOver: 0.0 next(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.32, Slow EMA: 0.32, CrossOver: 1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2002-01-03, Status 2: Ref: 1, Size: 27864.49008946133, Price: NA next(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.32, Slow EMA: 0.32, CrossOver: 0.0 next(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.35, Slow EMA: 0.35, CrossOver: 0.0 next(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.35, Slow EMA: 0.35, CrossOver: 0.0 next(): Cash: 10000.0, Broker Value: 10000.0, Fast EMA: 0.34, Slow EMA: 0.35, CrossOver: -1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2002-06-24, Status 2: Ref: 2, Size: -38530.7192334889, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2002-06-24, Status 4: Ref: 2, Size: -38530.7192334889, Price: NA Created: 2002-06-21 23:59:59.999989 Price: 0.259533177655 Size: -38530.7192334889 -------------------------------------------------------------------------------- next(): Cash: 19902.72, Broker Value: 9344.86, Fast EMA: 0.24, Slow EMA: 0.24, CrossOver: 0.0 next(): Cash: 19902.72, Broker Value: 9309.25, Fast EMA: 0.24, Slow EMA: 0.24, CrossOver: 0.0 next(): Cash: 19902.72, Broker Value: 9077.8, Fast EMA: 0.24, Slow EMA: 0.24, CrossOver: 1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2003-05-23, Status 2: Ref: 3, Size: 38530.7192334889, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2003-05-23, Status 4: Ref: 3, Size: 38530.7192334889, Price: NA Created: 2003-05-22 23:59:59.999989 Price: 0.280942739491 Size: 38530.7192334889 -------------------------------------------------------------------------------- -------------------------------- NOTIFY TRADE -------------------------------- 2003-05-23 23:59:59.999989, Close Price: 0.2583, Profit, Gross -855.38, Net -959.18 -------------------------------------------------------------------------------- next(): Cash: 9040.82, Broker Value: 9040.82, Fast EMA: 1.9, Slow EMA: 1.89, CrossOver: 0.0 next(): Cash: 9040.82, Broker Value: 9040.82, Fast EMA: 1.89, Slow EMA: 1.89, CrossOver: 0.0 next(): Cash: 9040.82, Broker Value: 9040.82, Fast EMA: 1.88, Slow EMA: 1.89, CrossOver: -1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2006-07-07, Status 2: Ref: 4, Size: -5262.402041686774, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2006-07-07, Status 4: Ref: 4, Size: -5262.402041686774, Price: NA Created: 2006-07-06 23:59:59.999989 Price: 1.71800181814 Size: -5262.402041686774 -------------------------------------------------------------------------------- next(): Cash: 17989.82, Broker Value: 9008.98, Fast EMA: 1.88, Slow EMA: 1.88, CrossOver: 0.0 next(): Cash: 17989.82, Broker Value: 6940.47, Fast EMA: 1.87, Slow EMA: 1.88, CrossOver: 0.0 next(): Cash: 17989.82, Broker Value: 6708.66, Fast EMA: 1.88, Slow EMA: 1.88, CrossOver: 1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2006-08-04, Status 2: Ref: 5, Size: 5262.402041686774, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2006-08-04, Status 4: Ref: 5, Size: 5262.402041686774, Price: NA Created: 2006-08-03 23:59:59.999989 Price: 2.14372864487 Size: 5262.402041686774 -------------------------------------------------------------------------------- -------------------------------- NOTIFY TRADE -------------------------------- 2006-08-04 23:59:59.999989, Close Price: 1.7090999999999998, Profit, Gross -1875.52, Net -1974.84 -------------------------------------------------------------------------------- next(): Cash: 7065.98, Broker Value: 7065.98, Fast EMA: 1.89, Slow EMA: 1.88, CrossOver: 0.0 next(): Cash: 7065.98, Broker Value: 7065.98, Fast EMA: 4.46, Slow EMA: 4.44, CrossOver: 0.0 next(): Cash: 7065.98, Broker Value: 7065.98, Fast EMA: 4.44, Slow EMA: 4.43, CrossOver: 0.0 next(): Cash: 7065.98, Broker Value: 7065.98, Fast EMA: 4.42, Slow EMA: 4.43, CrossOver: -1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2008-03-03, Status 2: Ref: 6, Size: -1834.7202969781647, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2008-03-03, Status 4: Ref: 6, Size: -1834.7202969781647, Price: NA Created: 2008-02-29 23:59:59.999989 Price: 3.85125672052 Size: -1834.7202969781647 -------------------------------------------------------------------------------- next(): Cash: 14064.03, Broker Value: 7184.0, Fast EMA: 4.39, Slow EMA: 4.42, CrossOver: 0.0 next(): Cash: 14064.03, Broker Value: 5677.77, Fast EMA: 4.38, Slow EMA: 4.39, CrossOver: 0.0 next(): Cash: 14064.03, Broker Value: 5377.09, Fast EMA: 4.39, Slow EMA: 4.39, CrossOver: 1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2008-04-17, Status 2: Ref: 7, Size: 1834.7202969781647, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2008-04-17, Status 4: Ref: 7, Size: 1834.7202969781647, Price: NA Created: 2008-04-16 23:59:59.999989 Price: 4.73474770392 Size: 1834.7202969781647 -------------------------------------------------------------------------------- -------------------------------- NOTIFY TRADE -------------------------------- 2008-04-17 23:59:59.999989, Close Price: 3.8334, Profit, Gross -1680.79, Net -1759.52 -------------------------------------------------------------------------------- next(): Cash: 5306.46, Broker Value: 5306.46, Fast EMA: 4.41, Slow EMA: 4.4, CrossOver: 0.0 next(): Cash: 5306.46, Broker Value: 5306.46, Fast EMA: 4.89, Slow EMA: 4.91, CrossOver: -1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2008-09-24, Status 2: Ref: 8, Size: -1358.079892234643, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2008-09-24, Status 4: Ref: 8, Size: -1358.079892234643, Price: NA Created: 2008-09-23 23:59:59.999989 Price: 3.90732204792 Size: -1358.079892234643 -------------------------------------------------------------------------------- next(): Cash: 10604.32, Broker Value: 5219.63, Fast EMA: 4.85, Slow EMA: 4.9, CrossOver: 0.0 next(): Cash: 10604.32, Broker Value: 5183.65, Fast EMA: 3.55, Slow EMA: 3.54, CrossOver: 1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2009-05-12, Status 2: Ref: 9, Size: 1358.079892234643, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2009-05-12, Status 4: Ref: 9, Size: 1358.079892234643, Price: NA Created: 2009-05-11 23:59:59.999989 Price: 3.99142003902 Size: 1358.079892234643 -------------------------------------------------------------------------------- -------------------------------- NOTIFY TRADE -------------------------------- 2009-05-12 23:59:59.999989, Close Price: 3.9206, Profit, Gross -95.74, Net -149.47 -------------------------------------------------------------------------------- next(): Cash: 5156.99, Broker Value: 5156.99, Fast EMA: 3.56, Slow EMA: 3.55, CrossOver: 0.0 next(): Cash: 5156.99, Broker Value: 5156.99, Fast EMA: 17.73, Slow EMA: 17.73, CrossOver: -1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2012-12-21, Status 2: Ref: 10, Size: -317.99431705713874, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2012-12-21, Status 4: Ref: 10, Size: -317.99431705713874, Price: NA Created: 2012-12-20 23:59:59.999989 Price: 16.2172309168 Size: -317.99431705713874 -------------------------------------------------------------------------------- next(): Cash: 10197.12, Broker Value: 5063.86, Fast EMA: 17.67, Slow EMA: 17.72, CrossOver: 0.0 next(): Cash: 10197.12, Broker Value: 5178.59, Fast EMA: 14.81, Slow EMA: 14.82, CrossOver: 0.0 next(): Cash: 10197.12, Broker Value: 5098.51, Fast EMA: 14.86, Slow EMA: 14.84, CrossOver: 1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2013-09-10, Status 2: Ref: 11, Size: 317.99431705713874, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2013-09-10, Status 4: Ref: 11, Size: 317.99431705713874, Price: NA Created: 2013-09-09 23:59:59.999989 Price: 16.0336449151 Size: 317.99431705713874 -------------------------------------------------------------------------------- -------------------------------- NOTIFY TRADE -------------------------------- 2013-09-10 23:59:59.999989, Close Price: 15.929399999999998, Profit, Gross -33.45, Net -84.27 -------------------------------------------------------------------------------- next(): Cash: 5072.71, Broker Value: 5072.71, Fast EMA: 14.89, Slow EMA: 14.84, CrossOver: 0.0 next(): Cash: 5072.71, Broker Value: 5072.71, Fast EMA: 27.13, Slow EMA: 27.04, CrossOver: 0.0 next(): Cash: 5072.71, Broker Value: 5072.71, Fast EMA: 27.06, Slow EMA: 27.02, CrossOver: 0.0 next(): Cash: 5072.71, Broker Value: 5072.71, Fast EMA: 26.99, Slow EMA: 27.0, CrossOver: -1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2015-09-08, Status 2: Ref: 12, Size: -201.31946881211454, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2015-09-08, Status 4: Ref: 12, Size: -201.31946881211454, Price: NA Created: 2015-09-04 23:59:59.999989 Price: 25.1973266469 Size: -201.31946881211454 -------------------------------------------------------------------------------- next(): Cash: 10229.99, Broker Value: 5016.15, Fast EMA: 26.94, Slow EMA: 26.99, CrossOver: 0.0 next(): Cash: 10229.99, Broker Value: 4667.83, Fast EMA: 26.81, Slow EMA: 26.82, CrossOver: 0.0 next(): Cash: 10229.99, Broker Value: 4740.1, Fast EMA: 26.82, Slow EMA: 26.82, CrossOver: 1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2015-11-24, Status 2: Ref: 13, Size: 201.31946881211454, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2015-11-24, Status 4: Ref: 13, Size: 201.31946881211454, Price: NA Created: 2015-11-23 23:59:59.999989 Price: 27.2695554929 Size: 201.31946881211454 -------------------------------------------------------------------------------- -------------------------------- NOTIFY TRADE -------------------------------- 2015-11-24 23:59:59.999989, Close Price: 25.7461, Profit, Gross -287.12, Net -340.39 -------------------------------------------------------------------------------- next(): Cash: 4732.32, Broker Value: 4732.32, Fast EMA: 26.85, Slow EMA: 26.83, CrossOver: 0.0 next(): Cash: 4732.32, Broker Value: 4732.32, Fast EMA: 26.8, Slow EMA: 26.83, CrossOver: -1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2015-12-17, Status 2: Ref: 14, Size: -183.52956094666692, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2015-12-17, Status 4: Ref: 14, Size: -183.52956094666692, Price: NA Created: 2015-12-16 23:59:59.999989 Price: 25.7850726843 Size: -183.52956094666692 -------------------------------------------------------------------------------- next(): Cash: 9469.75, Broker Value: 4837.74, Fast EMA: 26.74, Slow EMA: 26.81, CrossOver: 0.0 next(): Cash: 9469.75, Broker Value: 4764.73, Fast EMA: 24.23, Slow EMA: 24.18, CrossOver: 1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2016-08-24, Status 2: Ref: 15, Size: 183.52956094666692, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2016-08-24, Status 4: Ref: 15, Size: 183.52956094666692, Price: NA Created: 2016-08-23 23:59:59.999989 Price: 25.6363355636 Size: 183.52956094666692 -------------------------------------------------------------------------------- -------------------------------- NOTIFY TRADE -------------------------------- 2016-08-24 23:59:59.999989, Close Price: 25.942599999999995, Profit, Gross 68.53, Net 21.26 -------------------------------------------------------------------------------- next(): Cash: 4753.58, Broker Value: 4753.58, Fast EMA: 24.27, Slow EMA: 24.2, CrossOver: 0.0 next(): Cash: 4753.58, Broker Value: 4753.58, Fast EMA: 47.07, Slow EMA: 47.0, CrossOver: 0.0 next(): Cash: 4753.58, Broker Value: 4753.58, Fast EMA: 46.81, Slow EMA: 46.93, CrossOver: -1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2018-12-17, Status 2: Ref: 16, Size: -117.64482729046028, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2018-12-17, Status 4: Ref: 16, Size: -117.64482729046028, Price: NA Created: 2018-12-14 23:59:59.999989 Price: 40.4062246176 Size: -117.64482729046028 -------------------------------------------------------------------------------- next(): Cash: 9482.54, Broker Value: 4773.2, Fast EMA: 46.54, Slow EMA: 46.87, CrossOver: 0.0 next(): Cash: 9482.54, Broker Value: 3709.84, Fast EMA: 44.54, Slow EMA: 44.49, CrossOver: 1.0 -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Accepted 2019-04-09, Status 2: Ref: 17, Size: 117.64482729046028, Price: NA -------------------------------- NOTIFY ORDER -------------------------------- AutoOrderedDict() Order Completed 2019-04-09, Status 4: Ref: 17, Size: 117.64482729046028, Price: NA Created: 2019-04-08 23:59:59.999989 Price: 49.0688976331 Size: 117.64482729046028 -------------------------------------------------------------------------------- -------------------------------- NOTIFY TRADE -------------------------------- 2019-04-09 23:59:59.999989, Close Price: 40.3989, Profit, Gross -1026.32, Net -1078.98 -------------------------------------------------------------------------------- next(): Cash: 3674.6, Broker Value: 3674.6, Fast EMA: 44.71, Slow EMA: 44.54, CrossOver: 0.0 next(): Cash: 3674.6, Broker Value: 3674.6, Fast EMA: 128.65, Slow EMA: 109.13, CrossOver: 0.0 next(): Cash: 3674.6, Broker Value: 3674.6, Fast EMA: 128.78, Slow EMA: 109.36, CrossOver: 0.0 Process finished with exit code 0And my script:
import backtrader as bt import pandas as pd import os.path import sys from datetime import datetime, timedelta, date import itertools from csv import reader import csv import math period = 7305 icap = 10000 data_path = XXX benchmark_path = XXX list_path = XXX project_path = XXX strategy_name = "EMA_CrossOver_50_200_Flip_LongShort" class EMAStack(bt.Strategy): # Define the parameters of the strategy params = ( ('portfolio_expo', 0.98), # Max 15% of the Portfolio per trade ('trade_risk', 0.02), # Max 2% risk per trade (stop loss) ('atrdist', 2.0), # ATR based Stop loss distance ('stake', 1.00), ('mtrade', False) ) # Initialize the elements which are needed for the strategy (indicators, etc...) def __init__(self): # Define the indicators self.ema_fast = bt.indicators.EMA(self.data.close, period=50, plot=True, subplot=False) self.ema_slow = bt.indicators.EMA(self.data.close, period=200, plot=True, subplot=False) self.atr = bt.indicators.ATR(period=14, plot=False, subplot=False) # Define the crossover signals self.cross = bt.indicators.CrossOver(self.ema_fast, self.ema_slow, plot=False, subplot=False) if self.p.mtrade: self.tradeid = itertools.cycle([0, 1, 2]) else: self.tradeid = itertools.cycle([0]) def start(self): self.order = None # sentinel to avoid operations on pending order def prenext(self): cash = self.broker.get_cash() brokervalue = self.broker.get_value() print('Prenext(): Cash: {}, Broker Value: {}, Fast EMA: {}, Slow EMA: {}, CrossOver: {}'.format(round(cash, 2), round(brokervalue, 2), round(self.ema_fast[0], 2), round(self.ema_slow[0], 2), round(self.cross[0], 2))) self.next() def next(self): # Get the Amount of cash in the Portfolio cash = self.broker.get_cash() brokervalue = self.broker.get_value() if self.order: return # pending order execution if self.cross > 0.0: ''' if self.position: # Calculation of the Stock Qty to buy depending on our risk strategy self.close(tradeid=self.curtradeid) ''' portfolio_exposure_strategy = cash * self.p.portfolio_expo qty = math.floor(portfolio_exposure_strategy / self.data.close[0]) self.curtradeid = next(self.tradeid) self.buy() if self.cross < 0.0: ''' if self.position: self.close(tradeid=self.curtradeid) ''' portfolio_exposure_strategy = cash * self.p.portfolio_expo qty = math.floor(portfolio_exposure_strategy / self.data.close[0]) self.curtradeid = next(self.tradeid) self.sell() print('next(): Cash: {}, Broker Value: {}, Fast EMA: {}, Slow EMA: {}, CrossOver: {}'.format(round(cash, 2), round(brokervalue, 2), round(self.ema_fast[0], 2), round(self.ema_slow[0], 2), round(self.cross[0], 2))) def notify_order(self, order): if order.status == order.Completed: pass if not order.alive(): self.order = None # indicate no order is pendin date = self.data.datetime.datetime().date() if order.status == order.Accepted: print('-'*32,' NOTIFY ORDER ','-'*32) print('{} Order Accepted'.format(order.info['name'])) print('{}, Status {}: Ref: {}, Size: {}, Price: {}'.format( date, order.status, order.ref, order.size, 'NA' if not order.price else round(order.price,5) )) if order.status == order.Completed: print('-'*32,' NOTIFY ORDER ','-'*32) print('{} Order Completed'.format(order.info['name'])) print('{}, Status {}: Ref: {}, Size: {}, Price: {}'.format( date, order.status, order.ref, order.size, 'NA' if not order.price else round(order.price,5) )) print('Created: {} Price: {} Size: {}'.format(bt.num2date(order.created.dt), order.created.price,order.created.size)) print('-'*80) if order.status == order.Canceled: print('-'*32,' NOTIFY ORDER ','-'*32) print('{} Order Canceled'.format(order.info['name'])) print('{}, Status {}: Ref: {}, Size: {}, Price: {}'.format( date, order.status, order.ref, order.size, 'NA' if not order.price else round(order.price,5) )) if order.status == order.Rejected: print('-'*32,' NOTIFY ORDER ','-'*32) print('WARNING! {} Order Rejected'.format(order.info['name'])) print('{}, Status {}: Ref: {}, Size: {}, Price: {}'.format( date, order.status, order.ref, order.size, 'NA' if not order.price else round(order.price,5) )) print('-'*80) def notify_trade(self, trade): date = self.data.datetime.datetime() if trade.isclosed: print('-'*32,' NOTIFY TRADE ','-'*32) print('{}, Close Price: {}, Profit, Gross {}, Net {}'.format( date, trade.price, round(trade.pnl,2), round(trade.pnlcomm,2))) print('-'*80) if __name__ == '__main__': NA = '-' # open file in read mode with open(list_path, 'r') as read_obj: tickers = reader(read_obj) for ticker in tickers: tick = str(ticker[0]) cerebro = bt.Cerebro() endDate = date(2021, 1, 17) fromDate = (endDate - timedelta(days=period)) startDate = fromDate.strftime('%Y-%m-%d') # filename = '%s_%s_%s.txt' % (ticker, startDate, endDate) filename = '%s_DAILY_ALPHA_VANTAGE.txt' % tick datapath = os.path.join(data_path, filename) print(os.path.abspath(datapath)) # ''' if not os.path.isfile(datapath): print('file: %s not found' % filename) sys.exit() # ''' data = bt.feeds.GenericCSVData( dataname=datapath, # Do not pass values before this date fromdate=datetime(fromDate.year, fromDate.month, fromDate.day), # Do not pass values before this date todate=datetime(datetime.today().year, datetime.today().month, datetime.today().day), nullvalue=0.0, dtformat=('%Y-%m-%d'), datetime=0, open=1, high=2, low=3, close=4, volume=5, openinterest=-1 ) cerebro.adddata(data) # Set the Cash for the Strategy cerebro.broker.setcash(icap) # Set the comissions cerebro.broker.setcommission(commission=0.005) cerebro.addstrategy(EMAStack) cerebro.addsizer(bt.sizers.AllInSizer) cerebro.broker.set_checksubmit(checksubmit=False) # Run over everything strategies = cerebro.run(tradehistory=True) # strategies = cerebro.run() Sta = strategies[0] -
RE: Flipping a position from long to shortposted in General Code/Help
@ab_trader concerning the first bulletpoint, I tried to print: cash, order.ref, and order.size in prenext() but I received an error message:
the code:
def prenext(self): cash = self.broker.get_cash() self.next() print('Prenext: Cash: {}: , Order Ref: {}, Order Size: {}'.format(cash, order.ref, order.size))The error:
Traceback (most recent call last): File "C:/Users/marketwizard/PycharmProjects/MW_TradingFactory_Backtests/01_WSTF_EMA_Crossover_50_200_Flip_LongShort/main.py", line 431, in <module> strategies = cerebro.run(tradehistory=True) File "C:\Users\marketwizard\PycharmProjects\Algotrading_libraries1\lib\site-packages\backtrader\cerebro.py", line 1127, in run runstrat = self.runstrategies(iterstrat) File "C:\Users\marketwizard\PycharmProjects\Algotrading_libraries1\lib\site-packages\backtrader\cerebro.py", line 1293, in runstrategies self._runonce(runstrats) File "C:\Users\marketwizard\PycharmProjects\Algotrading_libraries1\lib\site-packages\backtrader\cerebro.py", line 1695, in _runonce strat._oncepost(dt0) File "C:\Users\marketwizard\PycharmProjects\Algotrading_libraries1\lib\site-packages\backtrader\strategy.py", line 313, in _oncepost self.prenext() File "C:/Users/marketwizard/PycharmProjects/MW_Backtests/01_WSTF_EMA_Crossover_50_200_Flip_LongShort/main.py", line 133, in prenext print('Prenext: Cash: {}: , Order Ref: {}, Order Size: {}'.format(cash, order.ref, order.size)) AttributeError: 'NoneType' object has no attribute 'ref'I also didn't understand what do you mean with "signal value" ?