Got my way around this peculiar problem with bracket order,
putting the code out if anyone needs it,
the code needs to tweaked around its too big for no reason but hopefully it helps who faced a similar issue like mine.
class TestStrategy(bt.Strategy):
params = dict (buyperiod=1.15,sellperiod=0.95)
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):
self.dataclose = self.datas[0].close
self.dataopen = self.datas[0].open
self.datahigh = self.datas[0].high
self.datalow = self.datas[0].low
self.marubozu = bt.talib.CDLMARUBOZU(self.dataopen,self.datahigh,self.datalow,self.dataclose)
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: %.2f, Cost: %.2f, Comm %.2f' %(order.executed.price,order.executed.value,order.executed.comm))
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
elif order.issell():
#self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %(order.executed.price,order.executed.value,order.executed.comm))
self.sellprice = order.executed.price
self.sellcomm = order.executed.comm
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
pass
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' % self.dataclose[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:
if self.marubozu[0] == 100:
self.log('BUY CREATE, limitprice %.2f, price %.2f, stopprice %.2f' %(self.dataopen*1.35,self.dataclose[0],self.datalow[0]))
self.order = self.buy_bracket(limitprice=self.dataopen*self.p.buyperiod, price=self.dataclose, stopprice=self.datalow)
elif self.marubozu[0] == -100:
self.log('Sell CREATE, limitprice %.2f, price %.2f, stopprice %.2f' %(self.datalow*0.65,self.dataclose[0],self.datahigh[0]))
self.order = self.sell_bracket(limitprice=self.datalow*self.p.sellperiod, price=self.dataclose, stopprice=self.datahigh)
cerebro = bt.Cerebro()
cerebro.addstrategy(TestStrategy)
data = bt.feeds.YahooFinanceData(dataname='SBIN.BO',fromdate=datetime(2015, 1, 1),todate=datetime(2020, 6, 30),reversed=True)
cerebro.adddata(data)
cerebro.broker.setcash(1000.0)
cerebro.broker.setcommission(0.001)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.run()
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
#cerebro.plot();
