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mirono

Thanks. So size should be positive for buy and negative for sell (not short)?
As for the 1c, I suspect it has to do with the time the position is held. I assume it increases with time (never had long lived positions in real life, to verify this). I'll take our advice and add 0.06 to the commissions.

mirono

My commissions for stocks are 1$ up to 100 units, or 0.01$ per unit if over 100 units.
In addition exchange charges are 0.05$ on buy, 0.06$ on sell.
I was able to code the 1st part:

class CommInfo_My(bt.CommInfoBase):
    params = (
      ('stocklike', True),  # Stocks
      ('commtype', bt.CommInfoBase.COMM_FIXED),  # Apply fixed Commission
    # ('percabs', False),  # pass perc as xx% which is the default
      ('interest_long', True),
    )

    def _getcommission(self, size, price, pseudoexec):
        if size <= 100:
            return 1.00
        else:
            return size * self.p.commission

(where I pass commission=0.01)

But how do I code the 2nd part? Is there a direction indication in the CommInfoBase class?

mirono

You are right!
When switching to a verified good data:

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
import backtrader.indicators as btind
import backtrader.feeds as btfeeds

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

    def __init__(self):
        btind.ATR(self.datas[0])


if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()
    # Add a strategy
    cerebro.addstrategy(NoStrategy)

    # 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/orcl-1995-2014.txt')

    # Create a Data Feed
#    data1 = bt.feeds.YahooFinanceData(
#        dataname="SPY",
#        # Do not pass values before this date
#        fromdate=datetime.datetime(2000, 1, 1),
#        # Do not pass values before this date
#        todate=datetime.datetime(2017, 10, 31),
#        # Do not pass values after this date
#        reverse=True)

    # Create a Data Feed
    data1 = btfeeds.GenericCSVData(dataname = '../data/spy-2000-2017.txt',
        fromdate = datetime.datetime(2000, 1, 1),
        todate = datetime.datetime(2017, 10, 31),
        dtformat=('%m/%d/%Y'),
        nullvalue = 0.0,
        datetime = 0,
        high = 3,
        low = 4,
        open = 2,
        close = 5,
        volume = 6,
        openinterest = 7)
    
    # Add the Data Feed to Cerebro
    cerebro.adddata(data1)

    # Run over everything
    cerebro.run()

    # Plot the result
    cerebro.plot()

ATR seems to be fine!

mirono

I've created a simple test to demonstrate the problem:

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
import backtrader.indicators as btind

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

    def __init__(self):
        bt.indicators.ATR(self.datas[0])


if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()
    # Add a strategy
    cerebro.addstrategy(NoStrategy)

    # 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/orcl-1995-2014.txt')

    # Create a Data Feed
    data1 = bt.feeds.YahooFinanceData(
        dataname="SPY",
        # Do not pass values before this date
        fromdate=datetime.datetime(2000, 1, 1),
        # Do not pass values before this date
        todate=datetime.datetime(2017, 10, 31),
        # Do not pass values after this date
        reverse=True)
    
    # Add the Data Feed to Cerebro
    cerebro.adddata(data1)

    # Run over everything
    cerebro.run()

    # Plot the result
    cerebro.plot()

The results for the ATR are pretty much the same (attached). What could be wrong?

mirono

I'm doing a simple strategy plot for SPY with ATR indicator.
The ATR values for recent dates seems reasonable. However, as we go back in time the values increase to unreasonable values:![alt text]( image url)

Checking this in other stock charting software make it clear that something is wrong with the ATR values.
Any suggestions?

mirono

Thanks! I missed that. should have been reverse=True

mirono

Using the sample code:

 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):

    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

    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.2f' % self.dataclose[0])

        if self.dataclose[0] < self.dataclose[-1]:
            # current close less than previous close

            if self.dataclose[-1] < self.dataclose[-2]:
                # previous close less than the previous close

                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                self.buy()


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/orcl-1995-2014.txt')

    # Create a Data Feed
    data = bt.feeds.YahooFinanceData(
        dataname="AAPL",
        # Do not pass values before this date
        fromdate=datetime.datetime(2000, 1, 1),
        # Do not pass values before this date
        todate=datetime.datetime(2000, 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)

    # 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())

I get the following output:

Starting Portfolio Value: 100000.00
2000-12-29, Close, 0.97
2000-12-28, Close, 0.96
2000-12-28, BUY CREATE, 0.96
2000-12-27, Close, 0.96
2000-12-26, Close, 0.96
2000-12-22, Close, 0.98
2000-12-21, Close, 0.91
2000-12-20, Close, 0.94
2000-12-19, Close, 0.91
2000-12-18, Close, 0.93
2000-12-15, Close, 0.91
2000-12-14, Close, 0.94
2000-12-13, Close, 0.98
2000-12-12, Close, 1.00
2000-12-11, Close, 0.99
2000-12-08, Close, 0.98
2000-12-08, BUY CREATE, 0.98
2000-12-07, Close, 0.93
2000-12-07, BUY CREATE, 0.93
2000-12-06, Close, 0.93
2000-12-05, Close, 1.11
2000-12-04, Close, 1.09
2000-12-01, Close, 1.11
2000-11-30, Close, 1.07
2000-11-29, Close, 1.14
2000-11-28, Close, 1.17
2000-11-27, Close, 1.22
2000-11-24, Close, 1.26
2000-11-22, Close, 1.20
2000-11-21, Close, 1.22
2000-11-20, Close, 1.23
2000-11-17, Close, 1.20
2000-11-16, Close, 1.24
2000-11-15, Close, 1.29
2000-11-14, Close, 1.32
2000-11-13, Close, 1.26
2000-11-10, Close, 1.24
2000-11-10, BUY CREATE, 1.24
2000-11-09, Close, 1.31
2000-11-08, Close, 1.31
2000-11-07, Close, 1.39
2000-11-06, Close, 1.39
2000-11-03, Close, 1.45
2000-11-02, Close, 1.45
2000-11-01, Close, 1.33
2000-10-31, Close, 1.27
2000-10-31, BUY CREATE, 1.27
2000-10-30, Close, 1.26
2000-10-30, BUY CREATE, 1.26
2000-10-27, Close, 1.21
2000-10-27, BUY CREATE, 1.21
2000-10-26, Close, 1.20
2000-10-26, BUY CREATE, 1.20
2000-10-25, Close, 1.20
2000-10-24, Close, 1.23
2000-10-23, Close, 1.33
2000-10-20, Close, 1.27
2000-10-19, Close, 1.23
2000-10-19, BUY CREATE, 1.23
2000-10-18, Close, 1.31
2000-10-17, Close, 1.31
2000-10-16, Close, 1.40
2000-10-13, Close, 1.44
2000-10-12, Close, 1.30
2000-10-11, Close, 1.28
2000-10-11, BUY CREATE, 1.28
2000-10-10, Close, 1.36
2000-10-09, Close, 1.42
2000-10-06, Close, 1.44
2000-10-05, Close, 1.44
2000-10-04, Close, 1.54
2000-10-03, Close, 1.45
2000-10-02, Close, 1.58
2000-09-29, Close, 1.68
2000-09-28, Close, 3.48
2000-09-27, Close, 3.18
2000-09-26, Close, 3.35
2000-09-25, Close, 3.48
2000-09-22, Close, 3.40
2000-09-21, Close, 3.69
2000-09-20, Close, 3.97
2000-09-19, Close, 3.90
2000-09-18, Close, 3.95
2000-09-15, Close, 3.59
2000-09-14, Close, 3.70
2000-09-13, Close, 3.77
2000-09-12, Close, 3.76
2000-09-11, Close, 3.80
2000-09-08, Close, 3.83
2000-09-07, Close, 4.03
2000-09-06, Close, 3.80
2000-09-05, Close, 4.06
2000-09-01, Close, 4.13
2000-08-31, Close, 3.96
2000-08-30, Close, 3.87
2000-08-30, BUY CREATE, 3.87
2000-08-29, Close, 3.85
2000-08-29, BUY CREATE, 3.85
2000-08-28, Close, 3.78
2000-08-28, BUY CREATE, 3.78
2000-08-25, Close, 3.70
2000-08-25, BUY CREATE, 3.70
2000-08-24, Close, 3.65
2000-08-24, BUY CREATE, 3.65
2000-08-23, Close, 3.53
2000-08-23, BUY CREATE, 3.53
2000-08-22, Close, 3.36
2000-08-22, BUY CREATE, 3.36
2000-08-21, Close, 3.29
2000-08-21, BUY CREATE, 3.29
2000-08-18, Close, 3.25
2000-08-18, BUY CREATE, 3.25
2000-08-17, Close, 3.35
2000-08-16, Close, 3.16
2000-08-15, Close, 3.04
2000-08-15, BUY CREATE, 3.04
2000-08-14, Close, 3.06
2000-08-11, Close, 3.10
2000-08-10, Close, 3.09
2000-08-09, Close, 3.09
2000-08-08, Close, 3.04
2000-08-07, Close, 3.12
2000-08-04, Close, 3.08
2000-08-03, Close, 3.12
2000-08-02, Close, 3.07
2000-08-01, Close, 3.21
2000-07-31, Close, 3.31
2000-07-28, Close, 3.14
2000-07-27, Close, 3.38
2000-07-26, Close, 3.26
2000-07-25, Close, 3.26
2000-07-24, Close, 3.17
2000-07-21, Close, 3.48
2000-07-20, Close, 3.59
2000-07-19, Close, 3.43
2000-07-18, Close, 3.72
2000-07-17, Close, 3.79
2000-07-14, Close, 3.75
2000-07-13, Close, 3.68
2000-07-13, BUY CREATE, 3.68
2000-07-12, Close, 3.83
2000-07-11, Close, 3.70
2000-07-10, Close, 3.72
2000-07-07, Close, 3.54
2000-07-06, Close, 3.37
2000-07-06, BUY CREATE, 3.37
2000-07-05, Close, 3.36
2000-07-05, BUY CREATE, 3.36
2000-07-03, Close, 3.47
2000-06-30, Close, 3.41
2000-06-29, Close, 3.33
2000-06-29, BUY CREATE, 3.33
2000-06-28, Close, 3.54
2000-06-27, Close, 3.37
2000-06-26, Close, 3.52
2000-06-23, Close, 3.36
2000-06-22, Close, 3.50
2000-06-21, Close, 3.62
2000-06-20, Close, 3.29
2000-06-19, Close, 3.14
2000-06-19, BUY CREATE, 3.14
2000-06-16, Close, 2.97
2000-06-16, BUY CREATE, 2.97
2000-06-15, Close, 3.00
2000-06-14, Close, 2.94
2000-06-13, Close, 3.07
2000-06-12, Close, 2.97
2000-06-09, Close, 3.11
2000-06-08, Close, 3.08
2000-06-07, Close, 3.14
2000-06-06, Close, 3.02
2000-06-05, Close, 2.97
2000-06-05, BUY CREATE, 2.97
2000-06-02, Close, 3.01
2000-06-01, Close, 2.90
2000-05-31, Close, 2.73
2000-05-31, BUY CREATE, 2.73
2000-05-30, Close, 2.85
2000-05-26, Close, 2.81
2000-05-25, Close, 2.84
2000-05-24, Close, 2.85
2000-05-23, Close, 2.79
2000-05-22, Close, 2.93
2000-05-19, Close, 3.06
2000-05-18, Close, 3.28
2000-05-17, Close, 3.30
2000-05-16, Close, 3.44
2000-05-15, Close, 3.29
2000-05-12, Close, 3.50
2000-05-11, Close, 3.34
2000-05-10, Close, 3.23
2000-05-10, BUY CREATE, 3.23
2000-05-09, Close, 3.43
2000-05-08, Close, 3.58
2000-05-05, Close, 3.68
2000-05-04, Close, 3.60
2000-05-03, Close, 3.74
2000-05-02, Close, 3.83
2000-05-01, Close, 4.04
2000-04-28, Close, 4.04
2000-04-27, Close, 4.12
2000-04-26, Close, 3.95
2000-04-25, Close, 4.17
2000-04-24, Close, 3.92
2000-04-20, Close, 3.87
2000-04-20, BUY CREATE, 3.87
2000-04-19, Close, 3.94
2000-04-18, Close, 4.13
2000-04-17, Close, 4.03
2000-04-14, Close, 3.64
2000-04-14, BUY CREATE, 3.64
2000-04-13, Close, 3.70
2000-04-12, Close, 3.55
2000-04-11, Close, 3.89
2000-04-10, Close, 4.07
2000-04-07, Close, 4.29
2000-04-06, Close, 4.07
2000-04-05, Close, 4.24
2000-04-04, Close, 4.14
2000-04-03, Close, 4.34
2000-03-31, Close, 4.42
2000-03-30, Close, 4.09
2000-03-29, Close, 4.42
2000-03-28, Close, 4.53
2000-03-27, Close, 4.54
2000-03-24, Close, 4.51
2000-03-23, Close, 4.60
2000-03-22, Close, 4.69
2000-03-21, Close, 4.39
2000-03-20, Close, 4.00
2000-03-20, BUY CREATE, 4.00
2000-03-17, Close, 4.07
2000-03-16, Close, 3.95
2000-03-15, Close, 3.78
2000-03-15, BUY CREATE, 3.78
2000-03-14, Close, 3.72
2000-03-14, BUY CREATE, 3.72
2000-03-13, Close, 3.95
2000-03-10, Close, 4.09
2000-03-09, Close, 3.98
2000-03-08, Close, 3.97
2000-03-08, BUY CREATE, 3.97
2000-03-07, Close, 4.00
2000-03-06, Close, 4.09
2000-03-03, Close, 4.16
2000-03-02, Close, 3.97
2000-03-01, Close, 4.24
2000-02-29, Close, 3.73
2000-02-28, Close, 3.68
2000-02-28, BUY CREATE, 3.68
2000-02-25, Close, 3.59
2000-02-25, BUY CREATE, 3.59
2000-02-24, Close, 3.75
2000-02-23, Close, 3.78
2000-02-22, Close, 3.70
2000-02-18, Close, 3.62
2000-02-18, BUY CREATE, 3.62
2000-02-17, Close, 3.74
2000-02-16, Close, 3.71
2000-02-15, Close, 3.87
2000-02-14, Close, 3.77
2000-02-11, Close, 3.54
2000-02-11, BUY CREATE, 3.54
2000-02-10, Close, 3.69
2000-02-09, Close, 3.66
2000-02-08, Close, 3.74
2000-02-07, Close, 3.71
2000-02-04, Close, 3.51
2000-02-04, BUY CREATE, 3.51
2000-02-03, Close, 3.36
2000-02-03, BUY CREATE, 3.36
2000-02-02, Close, 3.21
2000-02-02, BUY CREATE, 3.21
2000-02-01, Close, 3.26
2000-01-31, Close, 3.38
2000-01-28, Close, 3.31
2000-01-27, Close, 3.58
2000-01-26, Close, 3.58
2000-01-25, Close, 3.65
2000-01-24, Close, 3.46
2000-01-21, Close, 3.62
2000-01-20, Close, 3.69
2000-01-19, Close, 3.47
2000-01-18, Close, 3.38
2000-01-18, BUY CREATE, 3.38
2000-01-14, Close, 3.27
2000-01-14, BUY CREATE, 3.27
2000-01-13, Close, 3.15
2000-01-13, BUY CREATE, 3.15
2000-01-12, Close, 2.84
2000-01-12, BUY CREATE, 2.84
2000-01-11, Close, 3.02
2000-01-10, Close, 3.18
2000-01-07, Close, 3.24
2000-01-06, Close, 3.09
2000-01-05, Close, 3.38
2000-01-04, Close, 3.33
2000-01-03, Close, 3.64
Final Portfolio Value: 100000.00

Why the cash is not reducing?

mirono

@mirono

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