Posts made by tewhaile

I'm trying to get a crossover signal for Pivot Points. I used the recomendation from the documentation to stop automatically plotting the non-resampled data based on the suggestion: "The indicator will try to automatically plo to the non-resampled data. To disable this behavior use the following during construction:

_autoplot=False

"

but I cannot seem to get the crossover indicator to show on the graph. I tried enabling the possible parameters for the plotinfo of the crossover indicator as:

self.pivotSignalP.plotinfo.plot = True
self.pivotSignalP.plotinfo.subplot = True

But it doesn't seem to work.

My Data is an intraday 1 minute data and the pivot points are generated based on a resampled data with timeframe = bt.TimeFrame.Days

My code is:

import backtrader as bt
from datetime import datetime as dt

plotStart = dt(2020, 11, 11, 9, 30)
plotEnd = dt(2020, 11, 11, 12, 0)
dataTimeFrame = bt.TimeFrame.Minutes
compression = 1

class PivotPoint(bt.Strategy):
    params = dict(
        pivot = bt.indicators.PivotPoint,
        cross = bt.indicators.CrossOver,
        emovav = bt.indicators.ExponentialMovingAverage,
    )

    def __init__(self):
        self.pivots = self.p.pivot(self.data1)
        self.pivots.autoplot = False
        self.pivotSignalP = self.p.cross(self.data1.open, self.pivots.lines.p)
        self.pivotSignalP.plotinfo.plotname = "Pivot P Crossover"

        self.ema9 = self.p.emovav(self.data0, period = 9)
        self.ema21 = self.p.emovav(self.data0, period = 21)
        self.emaSignal = self.p.cross(self.ema9, self.ema21)
        self.emaSignal.plotinfo.plotname = "EMA Crossover"
  
    def next(self):
       if self.order:
           return
       if not self.position:
           if self.emaSignal > 0:
               self.buy()
       else:
           if self.emaSignal < 0:
               self.close()

cerebro = bt.Cerebro(stdstats = False)

cerebro.addobserver(bt.observers.BuySell, barplot = True, bardist = 0.0001)
cerebro.addobserver(bt.observers.Value)
cerebro.addobserver(bt.observers.Trades)

data = bt.feeds.GenericCSVData(
    dataname = 'SPY_11_2020_1M.txt',
    name = 'SPY',
    datetime = 0,
    dtformat = ('%m/%d/%Y %H:%M'),
    timeframe = dataTimeFrame,
    compression = compression,
    fromdate = dt(2020, 11, 10),
    todate = plotEnd,
    open = 1,
    high = 2,
    low = 3,
    close = 4,
    volume = 5,
    openinterest = -1,
)
cerebro.adddata(data)
data1 = cerebro.resampledata(data, timeframe = bt.TimeFrame.Days)
data1.plotinfo.plot = False

cerebro.broker.setcash(100000.0)
startValue = cerebro.broker.get_value()
print('Start Portfolio Value: %.2f' % startValue)

cerebro.addstrategy(PivotPoint)

cerebro.run()
cerebro.plot(style = 'candle', barup = 'green', bardown = 'red', start= plotStart, end= plotEnd, volume = True)

endValue = cerebro.broker.get_value()
pl = 100 * (endValue - startValue) / startValue
print('\lFinal Portfolio Value: {}\t\t\t P\L: {}%'.format(round(endValue, 2), round(pl, 2)))

I have an intraday data for SPY for 11/2020. I'm using a simple test code with a GoldenCross strategy to buy when crossing up and sell when the faster crosses down. I tested the strategy with a daily data pulled using bt.feeds.YahooFinanceData. The only thing I did for is to replace the data to use my CSV using bt.feeds.GenericCSVData with parameters set as

data = bt.feeds.GenericCSVData(
    dataname = 'SPY_1_M_01_11_2020-29_11_2020.csv', 
    fromdate = params['fromdate'], 
    todate = params['todate'],
    dtformat = ('%m/%d/%Y %H:%M:%S'),
    period = bt.TimeFrame.Minutes,
    compression = 1,
    datetime = 0,
    open = 1,
    high = 2,
    low = 3,
    close = 4,
    volume = 5,
    openinterest = -1,
    )

the CSV looks like :

timedate          open    high    low    close          volume
11/2/20 9:30	330.187	330.188	329.947	 330.038	   4.79
11/2/20 9:31	330.038	330.438	329.538	 329.677	   5.49

The strategy is :

import math
import backtrader as bt
from params import params

class GoldenCross(bt.Strategy):
    def __init__(self):
        self.fast_sma = bt.indicators.MovingAverageSimple(self.data.close, period = params['fast'])
        self.slow_sma = bt.indicators.MovingAverageSimple(self.data.close, period = params['slow'])

        self.crossover = bt.indicators.CrossOver(self.fast_sma, self.slow_sma)
        self.order = None

    def next(self):
        amount_to_invest = params['order_percentage'] * self.broker.cash
        self.size = math.floor(amount_to_invest/self.data.close[0])

        if self.order:
            return

        if self.position.size == 0:
            if self.crossover > 0:
                print('Buy\t{}\tshares of {} at\t{}'.format(self.size, params['ticker'], self.data.close[0]))
                self.buy(size = self.size)

        if self.position.size > 0:
            if self.crossover < 0:
                print('Sell\t{}\tshares of {} at\t{}'.format(self.position.size, params['ticker'], self.data.close[0]))
                self.close()

And I run it from the main module as:

import backtrader as bt
from params import params
from strategies.GoldenCross import GoldenCross

cerebro = bt.Cerebro()

cerebro.broker.set_cash(params['portfolio_size'])

print('Start Portfolio Value: %.2f' % cerebro.broker.get_value())

# data = bt.feeds.YahooFinanceData(
#     dataname = params['ticker'], 
#     fromdate = params['fromdate'], 
#     todate = params['todate'],
#     )

data = bt.feeds.GenericCSVData(
    dataname = 'SPY_1_M_01_11_2020-29_11_2020.csv', 
    fromdate = params['fromdate'], 
    todate = params['todate'],
    dtformat = ('%m/%d/%Y %H:%M:%S'),
    period = bt.TimeFrame.Minutes,
    compression = 1,
    datetime = 0,
    open = 1,
    high = 2,
    low = 3,
    close = 4,
    volume = 5,
    openinterest = -1,
    )

cerebro.adddata(data)
cerebro.addsizer(bt.sizers.FixedSize, stake=500)

cerebro.addstrategy(GoldenCross)

cerebro.run()
cerebro.plot()

print('Final Portfolio Value: %.2f' % cerebro.broker.get_value())

when I run it, i get the output which shows the printout of the logs from the strategy but i just doesn't actually buy or close the position.

Output:

user-> python3 run.py
Start Portfolio Value: 100000.00
Buy     54      shares of SPY at        363.858
Buy     54      shares of SPY at        363.758
Buy     54      shares of SPY at        363.978
Buy     54      shares of SPY at        363.907
Buy     54      shares of SPY at        363.867
Buy     55      shares of SPY at        363.027
Final Portfolio Value: 100000.00

The code works just fine when using the

data = bt.feeds.YahooFinanceData(
     dataname = params['ticker'], 
     fromdate = params['fromdate'], 
     todate = params['todate'],
     )

and actually executes the buy and sell, just not with the minute data.