class custom_data_loader(btfeeds.PandasData):
lines = ("signal","prediction",)
params = (("signal", -1),("prediction", -1))
datafields = btfeeds.PandasData.datafields + (["prediction", "signal",])
Basically, I use regular PandasData.datafields and add the columns I want
Hope it helps
Found my error...
def __init__(self):
self.order = None
self.inds = dict()
for i, d in enumerate(self.datas):
self.inds[d] = dict()
self.inds[d]['close'] = d.close
self.inds[d]['signal'] = d.signal
I was using
self.inds[d]['close'] = self.data.close
I added the orderid as you mentionned and it works like a charm thank you!! :-)
HAHAHA so sorry I wasted your time on this... thanks a lot mate!!
My bad, didn't read right...
in next() try to access buy_sig[0] as you want to use the value not the line
Hi,
You can't edit a post.
It seems that the problem comes from your dataset df1 which is not related to backtrader... It has no high column.
HAHAHA so sorry I wasted your time on this... thanks a lot mate!!
Hi,
Your error is here:
data = bt.feeds.PandasData(dataname=dataframe)
You create a custom datareader but don't use it...
you should use:
data = CustomDataLoader(dataname=dataframe)
class custom_data_loader(btfeeds.PandasData):
lines = ("signal","prediction",)
params = (("signal", -1),("prediction", -1))
datafields = btfeeds.PandasData.datafields + (["prediction", "signal",])
Basically, I use regular PandasData.datafields and add the columns I want
Hope it helps
Hello,
Here is how I do that :
Hello,
I've been trying to make it works for days but can't figure out what i'm doing wrong...
If you can have a quick look @run-out I would really appreciate :-)
Thanks
Thanks a lot for your answer!!
I made some changes following your advices but it seems I'm still missing something...
class custom_Strategy(bt.Strategy):
def log(self, txt, dt=None):
dt = dt or self.datas[0].datetime.datetime(0)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
self.inds = dict()
self.o = dict()
for i, d in enumerate(self.datas):
self.o[d] = 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))
else: # Sell
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
if len([o for o in self.o[order.data] if o.status < 4]) == 0:
self.o[order.data].clear()
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):
for i, d in enumerate(self.datas):
if not self.getposition(d).size and not self.o[d]:
if d.signal[0]>0:
self.log('-----------------------------------------------')
self.log('%s : close: %.2f, prediction: %.2f, signal: %.2f'% (d._name, d.close[0], d.prediction[0], d.signal[0]))
self.log('%s: BUY MARKET CREATED, at %.2f' % (d._name, d.close[0]))
o1 = self.buy(data=d, exectype=bt.Order.Market, transmit=False)
self.log('%s: SELL STOP CREATED, at %.2f' % (d._name, d.close[0]*0.90))
o2 = self.buy(data=d, price=d.close[0]*0.90, exectype=bt.Order.Stop, transmit=False, parent=o1)
self.log('%s: SELL LIMIT CREATED, at %.2f' % (d._name, d.prediction[0]))
o3 = self.buy(data=d, price=d.prediction[0], exectype=bt.Order.Limit, transmit=True, parent=o1)
self.o[d] = [o1, o2, o3]
else:
self.log(' %s ################## Orders already opened ##################' % d._name)
I used self.o[order.data].clear() instead of = None as I got 'NoneType is not iterable' error.
I'm not sure to understand the meaning of 'o.status < 4' because in the docs, status is Submitted, Accepted, etc... but not an int ?
I guess the main thing I don't understand is why orders aren't all submitted as I send them all at the same time...
Starting Portfolio Value: 10000.00
2020-12-26T09:26:00, -----------------------------------------------
2020-12-26T09:26:00, bnbusd : close: 32.94, prediction: 33.10, signal: 1.00
2020-12-26T09:26:00, bnbusd: BUY MARKET CREATED, at 32.94
2020-12-26T09:26:00, bnbusd: SELL STOP CREATED, at 29.65
2020-12-26T09:26:00, bnbusd: SELL LIMIT CREATED, at 33.10
2020-12-26T09:27:00, BUY EXECUTED, Price: 32.94, Cost: 500.00, Comm 0.37
2020-12-26T09:27:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:28:00, BUY EXECUTED, Price: 32.92, Cost: 499.78, Comm 0.37
2020-12-26T09:28:00, Order Canceled/Margin/Rejected
2020-12-26T09:28:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:29:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:30:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:31:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:32:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:33:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:34:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:35:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:36:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:37:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:38:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:39:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:40:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:41:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:42:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:43:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:44:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:45:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:46:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:47:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:48:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:49:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:50:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:51:00, bnbusd ################## Orders already opened ##################
2020-12-26T09:59:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:00:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:01:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:02:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:03:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:04:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:05:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:06:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:07:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:08:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:09:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:10:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:11:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:12:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:13:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:13:00, -----------------------------------------------
2020-12-26T10:13:00, ethusd : close: 622.26, prediction: 624.22, signal: 1.00
2020-12-26T10:13:00, ethusd: BUY MARKET CREATED, at 622.26
2020-12-26T10:13:00, ethusd: SELL STOP CREATED, at 560.03
2020-12-26T10:13:00, ethusd: SELL LIMIT CREATED, at 624.22
2020-12-26T10:14:00, BUY EXECUTED, Price: 622.25, Cost: 899.93, Comm 0.67
2020-12-26T10:14:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:14:00, ethusd ################## Orders already opened ##################
2020-12-26T10:15:00, BUY EXECUTED, Price: 621.40, Cost: 898.70, Comm 0.67
2020-12-26T10:15:00, Order Canceled/Margin/Rejected
2020-12-26T10:15:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:15:00, ethusd ################## Orders already opened ##################
2020-12-26T10:16:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:16:00, ethusd ################## Orders already opened ##################
2020-12-26T10:17:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:17:00, ethusd ################## Orders already opened ##################
2020-12-26T10:18:00, bnbusd ################## Orders already opened ##################
2020-12-26T10:18:00, ethusd ################## Orders already opened ##################
and it continues like this til the end of backtest without doing anything...
Sorry for those noob questions... and thanks again for your help!
Hello there,
I'm trying to backtest on multiple assets that have 'prediction' and 'signal' columns.
I'm having some troubles to keep track of orders as i try to use manual bracket orders (1 market buy, 1 limit take profit, 1 limit stop loss).
class custom_data_loader(btfeeds.PandasData):
lines = ("signal","prediction",)
params = (("signal", -1),("prediction", -1))
datafields = btfeeds.PandasData.datafields + (["prediction", "signal",])
class custom_Sizer(bt.Sizer):
def __init__(self):
self.size_per_asset = {
'bnbusd': 0.05,
'vetusd': 0.05,
'iotusd': 0.05,
'xlmusd': 0.05,
'ontusd': 0.05,
'trxusd': 0.05,
'xrpusd': 0.05,
'adausd': 0.05,
'ltcusd': 0.05,
'eosusd': 0.05,
'ethusd': 0.10,
'btcusd': 0.20
}
def _getsizing(self, comminfo, cash, data, isbuy):
if isbuy == True:
size = math.floor((cash * self.size_per_asset[data._name]) / data[0])
else:
size = self.broker.getposition(d).size
return size
class custom_Strategy(bt.Strategy):
def log(self, txt, dt=None, vlm=None):
dt = dt or self.datas[0].datetime.datetime(0)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
self.inds = dict()
self.o = dict()
for i, d in enumerate(self.datas):
self.o[d] = None
self.inds[d] = dict()
self.inds[d]['close'] = d.close
self.inds[d]['prediction'] = d.prediction
self.inds[d]['signal'] = d.signal
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
return
self.last_executed_price = order.executed.price
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
self.last_executed_price = order.executed.price
else: # Sell
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.last_executed_price = order.executed.price
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
# Write down: no pending order
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):
for i, d in enumerate(self.datas):
if not self.getposition(d).size: #and not self.order[d]:
if self.inds[d]['signal'][0]>0:
print('%s : close: %.2f, prediction: %.2f, signal: %.2f'% (d._name, self.inds[d]['close'][0], self.inds[d]['prediction'][0], self.inds[d]['signal'][0]))
self.log('%s: BUY MARKET CREATE, at %.2f' % (d._name, d.close[0]))
o1 = self.buy(data=d, exectype=bt.Order.Market, transmit=False)
print('%s : close: %.2f, prediction: %.2f, signal: %.2f'% (d._name, self.inds[d]['close'][0], self.inds[d]['prediction'][0], self.inds[d]['signal'][0]))
self.log('%s: SELL STOP CREATE, at %.2f' % (d._name, d.close[0]*0.90))
o2 = self.buy(data=d, price=d.close[0]*0.90, exectype=bt.Order.Stop, transmit=False, parent=o1)
print('%s : close: %.2f, prediction: %.2f, signal: %.2f'% (d._name, self.inds[d]['close'][0], self.inds[d]['prediction'][0], self.inds[d]['signal'][0]))
self.log('%s: SELL LIMIT CREATE, at %.2f' % (d._name, d.prediction[0]))
o3 = self.buy(data=d, price=d.prediction[0], exectype=bt.Order.Limit, transmit=True, parent=o1)
self.o[d] = [o1, o2, o3]
# Create cerebro entity
cerebro = bt.Cerebro()
# Add data
#pairs = ['bnbusd','vetusd','iotusd','xlmusd','ontusd','trxusd','xrpusd','adausd','ltcusd','btcusd','eosusd','ethusd']
pairs = ['bnbusd','ethusd', 'ltcusd']
for pair in pairs:
pathname = 'data/' + pair + '.csv'
df = pd.read_csv(pathname, infer_datetime_format=True,
parse_dates=['datetime'],
dtype={
"open" : "float",
"high" : "float",
"low" : "float",
"close" : "float",
"volume": "float"
, "prediction": "float"
, "signal": "float"
},
index_col=0)
df.index = pd.to_datetime(df.datetime, format='%Y-%m-%dT%H:%M:%S.%fZ')
df = df[['open', 'high', 'low', 'close', 'volume', 'prediction', 'signal']]
bt_data = custom_data_loader(dataname=df)
cerebro.adddata(bt_data, name=pair)
# Add sizer
cerebro.addsizer(custom_Sizer)
# Add analyzer
cerebro.addanalyzer(bt.analyzers.PyFolio)
# Add a strategy
cerebro.addstrategy(custom_Strategy3)
# Add broker fees
cerebro.broker.setcommission(commission=0.00075)
# Set our desired cash start
cerebro.broker.setcash(10000.0)
# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Run over everything
strat = cerebro.run()
# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
It seems i'm printing some stuff twice... but the main problem is that only the first market buy is trigger...
Starting Portfolio Value: 10000.00
bnbusd : close: 32.94, prediction: 33.10, signal: 1.00
2020-12-26T09:26:00, bnbusd: BUY MARKET CREATE, at 32.94
bnbusd : close: 32.94, prediction: 33.10, signal: 1.00
2020-12-26T09:26:00, bnbusd: SELL STOP CREATE, at 29.65
bnbusd : close: 32.94, prediction: 33.10, signal: 1.00
2020-12-26T09:26:00, bnbusd: SELL LIMIT CREATE, at 33.10
2020-12-26T09:27:00, BUY EXECUTED, Price: 32.94, Cost: 494.09, Comm 0.37
2020-12-26T09:28:00, BUY EXECUTED, Price: 32.92, Cost: 493.87, Comm 0.37
2020-12-26T09:28:00, Order Canceled/Margin/Rejected
ethusd : close: 622.26, prediction: 624.22, signal: 1.00
2020-12-26T10:13:00, ethusd: BUY MARKET CREATE, at 622.26
ethusd : close: 622.26, prediction: 624.22, signal: 1.00
2020-12-26T10:13:00, ethusd: SELL STOP CREATE, at 560.03
ethusd : close: 622.26, prediction: 624.22, signal: 1.00
2020-12-26T10:13:00, ethusd: SELL LIMIT CREATE, at 624.22
2020-12-26T10:14:00, BUY EXECUTED, Price: 622.25, Cost: 622.25, Comm 0.47
2020-12-26T10:15:00, BUY EXECUTED, Price: 621.40, Cost: 621.40, Comm 0.47
2020-12-26T10:15:00, Order Canceled/Margin/Rejected
ltcusd : close: 124.39, prediction: 124.98, signal: 1.00
2020-12-30T12:27:00, ltcusd: BUY MARKET CREATE, at 124.39
ltcusd : close: 124.39, prediction: 124.98, signal: 1.00
2020-12-30T12:27:00, ltcusd: SELL STOP CREATE, at 111.95
ltcusd : close: 124.39, prediction: 124.98, signal: 1.00
2020-12-30T12:27:00, ltcusd: SELL LIMIT CREATE, at 124.98
2020-12-30T12:28:00, BUY EXECUTED, Price: 124.38, Cost: 373.14, Comm 0.28
2020-12-30T12:29:00, BUY EXECUTED, Price: 124.23, Cost: 372.69, Comm 0.28
2020-12-30T12:29:00, Order Canceled/Margin/Rejected
Final Portfolio Value: 11154.97
If someone could help me figure out what i'm doing wrong... I tried to adapt the script from the multi-exemple on the blog but with no success so far.
Thanks!!
Found my error...
def __init__(self):
self.order = None
self.inds = dict()
for i, d in enumerate(self.datas):
self.inds[d] = dict()
self.inds[d]['close'] = d.close
self.inds[d]['signal'] = d.signal
I was using
self.inds[d]['close'] = self.data.close
I added the orderid as you mentionned and it works like a charm thank you!! :-)