Posts made by timzhang

Hi,

When implementing living trading in oanda, is backtrader reconciling its position with the actual oanda account in any way? I noticed that sometimes the position not updated property locally, which causes certain trade logic not executed. If I want to check the live position from oanda, what's the best way to implement that in the codes?

Many Thanks,

thank you dan

Anyone tried to add tick data for live oanda feed and also use another resampled minutes data as indicator? In oandastore class, it looks like the granularities only go down to 5s level.

Thank you

@backtrader
cool, got order_target_percent working for my long-only portfolio. Just wondering if I'd like to implement a long short strategy, do I use negative portfolio weight as target in order_target_percent?

Just trying to add a benchmark observer into my strategy and plot. My method is to add data to cerebro first, then addobserver using the same benchmark data. It all seems to be fine, but the plot still only shows the strategy TimeReturn. I had a look at the benchmark documentation, but couldn't figure it out. Just wondering if any additional example that I can reference besides the below link?

https://www.backtrader.com/docu/observer-benchmark/benchmarking.html#observers-benchmarking

@backtrader
Thank you for mentioning that the trades are executed in the order been given to the system. I think if I want to change how it is filled, I can override the self.broker.pending variable at the end of next function under my strategy. I can convert deque to a list, sort it and then convert it back to deque. The only problem I have now is to sort a list of broker.order objects. What's the best way to do that?

Thank you @backtrader
would it make more sense to execute the sell trades first then buy within bbroker's 'next' when backtesting strategy? After all, you have to sell first to fund the buy trades.

@backtrader
Thank you, I got the order_target working. My previous error is due to not specifying the particular data series, as multiple assets are traded in this strategy.

But still having some problems with set_checksubmit. Even I set it to False and set_coc to True, my pending buy order still not get executed. It fell off due to Margin. I can see there's enough Cash once I execute the sell orders. But the buy order was dropped first before the sell orders get executed. Any ideas on work around this issue?

@backtrader
In terms of use order targer to rebalance, how does backtesting broker execute the orders? Do I set_coc to True and set_checksubmit to False? I loaded 10 different monthly return series and try to trade top 5 equal weight based on last 3 month returns. But my below strategy gave me some really extreme large final portfolio value. I think probably something wrong with the way I execute my orders?

Anything is about how I use ranking in bt, do you reckon it is the correct approach or should I implement everything under 'next'?

class TestStrategy(bt.Strategy):

    def __init__(self):
        # calculate last 3 month return
        for i in range(0, 10):
            self.datas[i].rtn = (self.datas[i].close(0) / self.datas[i].close(-3)) - 1


    def next(self):
        rtn_ls = np.array([self.datas[i].rtn[0] for i in range(0, 10)])
        rtn_target = np.percentile(rtn_ls, 50)
        for i in range(0, 10):
            if self.datas[i].rtn[0] > rtn_target:
                self.order_target_percent(target=0.2)
            else:
                self.order_target_percent(target=0.0)

Thank you

@backtrader Thank you, I'll try it out!

First of all, I want to thank you for building and maintaining this great project. I only started learning backtrader a few days ago, but I've already liked it comparing to a few other systems I've used in the past.

Just a quick question on backtesting an asset allocation strategy. My idea is to rank several assets based on prices and some fundamental data, and then rebalance my portfolio each month. What's the best way to approach this using backtrader? Is it matter of just loading multiple datasets, do a ranking calculation within 'next' and then work out the trade position for rebalancing? I saw you mentioned something about multi timeframe in a post on multi instrument. I've got a bit confused here.

Thanks