Ok you are right. I will try to re-explain what I have in mind and I will try to bring it more on-point.
The background this:
I am thinking about (and also coding) helper functions that are able to process cerebro results in different ways. Use cases are displaying, plotting, archiving, filtering etc.
One possible type of result you can get out of cerebro is when you run an optimization using optreturn=True. So it would be desirable (imo) to be able to process this type of result programmatically in a generic way. This means you have to be able to get all relevant information out of the result itself (or at least in conjunction with the used cerebro). In my opinion this is currently not the case.
To be sure we are on the same page I prepared a minimal example:
class GreatStrategy(bt.Strategy):
params = (
('buydate', 2),
)
def next(self):
pass
class BestStrategy(bt.Strategy):
params = (
('period', 4),
)
def next(self):
pass
if __name__ == '__main__':
cerebro = bt.Cerebro(maxcpus=2, optreturn=True)
cerebro.optstrategy(GreatStrategy, buydate=range(2, 4, 1))
cerebro.optstrategy(BestStrategy, period=range(4, 6, 1))
data = bt.feeds.YahooFinanceCSVData(dataname="datas/orcl-1995-2014.txt",
fromdate=datetime.datetime(2000, 1, 1),
todate=datetime.datetime(2001, 2, 28))
cerebro.adddata(data)
cerebro.addanalyzer(bt.analyzers.TradeAnalyzer)
res = cerebro.run()
So there are 2 strategies involved. Both target of optimization. They have two different sets of parameters. Both only containing a single parameter.
Running this gives you list of 4 results in res. The first looks like this (removed field p cause duplication of params):
0 = {list} <class 'list'>: [<backtrader.cerebro.OptReturn object at 0x00000000058235F8>, <backtrader.cerebro.OptReturn object at 0x0000000005823EB8>]
0 = {OptReturn} <backtrader.cerebro.OptReturn object at 0x00000000058235F8>
analyzers = {ItemCollection} <backtrader.metabase.ItemCollection object at 0x0000000005823908>
params = {AutoInfoClass_LineRoot_LineMultiple_LineSeries_LineIterator_DataAccessor_StrategyBase_Strategy_GreatStrategy} <backtrader.metabase.AutoInfoClass_LineRoot_LineMultiple_LineSeries_LineIterator_DataAccessor_StrategyBase_Strategy_GreatStrategy object at 0x00000000058235C0>
1 = {OptReturn} <backtrader.cerebro.OptReturn object at 0x0000000005823EB8>
analyzers = {ItemCollection} <backtrader.metabase.ItemCollection object at 0x0000000005823F60>
params = {AutoInfoClass_LineRoot_LineMultiple_LineSeries_LineIterator_DataAccessor_StrategyBase_Strategy_BestStrategy} <backtrader.metabase.AutoInfoClass_LineRoot_LineMultiple_LineSeries_LineIterator_DataAccessor_StrategyBase_Strategy_BestStrategy object at 0x0000000005823EF0>
In my understanding one OptReturn object is the result of one distinct run with one distinct strategy object involved. The contained field params describes the "configuration" of the used strategy.
But my problem is that you only have the params object (e.g. the configuration) but you do not know to which strategy class this parameters belong to. So how to know if res[0][0] is the result of GreatStrategy or of BestStrategy?
In other words: a strategy instance can be described by a combination two things:
- A strategy class
- A parameter object describing the "configuration" of the strategy
But currently the OptReturn object only carries the parameter part.
I had a workaround that involved grabbing the strategy class from the used cerebro. But that does not work when using maxcpu>1 because then the cerebro does not has the field runningstrats.
So my proposal is to add a field strategycls to OptReturn that carries the used strategy class that belongs to that OptReturn object. In my understanding there is a 1:1 relation between an OptReturn object and a strategy class.
