Hi everyone,
This post is similar to https://community.backtrader.com/topic/2648/buy-at-open-price-and-close-at-close-price-in-the-same-day, but I'm still confused. I have used cheat_on_open=True and also cerebro.broker.set_coc(True)
class TestStrat(bt.Strategy):
# list of parameters which are configurable for the strategy
params = dict(
pfast=15, # period for the fast moving average
pslow=30 # period for the slow moving average
)
def log(self, txt, dt=None):
# return
''' Logging function for this strategy'''
dt = dt or self.datas[0].datetime.datetime(0)
print('%s, %s' % (dt, txt))
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted, order.Partial]:
# Buy/Sell order submitted/accepted to/by broker/partially filled - Nothing to do
return
# Check if an order has been completed
if order.status in [order.Completed]:
if order.isbuy():
self.log('BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f, tradeID: %d' %(order.executed.price, order.executed.value, order.executed.comm, order.tradeid))
elif order.issell():
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f, tradeID: %d' %(order.executed.price, order.executed.value, order.executed.comm, order.tradeid))
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
def notify_trade(self, trade):
if trade.justopened:
self.log('New trade just opened with id %d'%(trade.tradeid))
self.livetrades[trade.tradeid] = trade
elif trade.isclosed:
self.log('A trade just closed with id %d'%(trade.tradeid))
self.livetrades.pop(trade.tradeid)
else:
self.log('Trade id %d updated'%(trade.tradeid))
def __init__(self):
self.livetrades = {}
self.counter = 0
self.fastMA = bt.indicators.EMA(period=self.p.pfast)
self.slowMA = bt.indicators.EMA(period=self.p.pslow)
self.crossover = bt.indicators.CrossOver(self.fastMA, self.slowMA)
self.i=0
self.longCrossed = False
self.shortCrossed = False
self.buysize=0
def next(self):
self.i += 1
if self.position:
self.close(size=self.position.size)
print('selling' + str(self.data.close[0]))
def next_open(self):
self.i += 1
if self.crossover > 0: # if fast crosses slow to the upside
self.longCrossed = True
if self.crossover < 0:
self.longCrossed = False
if self.longCrossed and (self.data.open[0] > self.fastMA[-1]):
print('buying' + str(self.data.open[0]))
buysize = int(self.broker.get_cash() / self.data.close[0])
self.buy(size=buysize, coc=False)
cerebro = bt.Cerebro(writer=True, stdstats=True, cheat_on_open=True)
cerebro.adddata(bt.feeds.PandasData(dataname=hourlydf))
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.addstrategy(TestStrat)
cerebro.addwriter(bt.WriterFile, csv=True)
cerebro.addanalyzer(BarAnalysis, _name="bar_data")
cerebro.broker.set_coc(True)
strat = cerebro.run()
cerebro.plot(style='candlestick', volume=False)
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
bar_data_res = strat[0].analyzers.bar_data.get_analysis()
header = ["date", "open", "high", "low", "close", "position", "value", "cash", "slowMA", "fastMA"]
df = pd.DataFrame(bar_data_res, columns= header)
df.to_csv('strategy.csv', index=False)
This is not executing the buy at open and sell at close during the same day. Can anyone help where am I going wrong?
