Backtrader Community

Youssef 0

Can I plot an indicator over volume bars ?
for example I would like to plot a simple moving average of volume overs volume bars, how can I do that ?

Thank you.

Youssef 0

Hi,

Can one set a trailing stop which is neither a constant nor a percentage ?

What i want to do is set a trailing stop which is the standard deviation of the price calculated on the last 20 days for example. I want this trailing stop to be updated for each new bar. Example :

Trailing stop for bar 20 is the standard deviation of the price for bar 1 to 20.
Trailing stop for bar 21 is the standard deviation of the price for bar 2 to 21.
ETC....

Is it possible ?

Thank you

Youssef 0

Thank you everyone for reading, I understood the problem but don't know how to delete the topic, the notifications are actually good, my stop loss was just triggered without me realizing it because I did not use the candlestick style.

Youssef 0

Hi,
I am new to all of python, backtrader and trading in general, I am trying to understand what my strategy does.

What I am trying to do is the following :
The basic strategy is a crossover strategy between two exponential moving averages.
When the crossover indicator is greater than 0 I create a target buy order with a size of 2%. At the same time, I create a stop loss order at a certain trigger price.
when the crossover indicator is smaller than 0, I close my position.

I also defined a notification function to understand what my strategy does, here is my code :

import backtrader as bt
import backtrader.indicators as btind
from indicators.sdvRatio import sdvRatio 
import backtrader as bt
import datetime

class barycentreStrat(bt.Strategy): 
    # Strategy parameters
    params = (
    ('pfast',5),
    ('pslow',10),
    ('devfactor',2),
    ('bolPeriod',21),
    ('rsiPeriod',21),
    ('rsiU',70),
    ('rsiL',30),
    ('pme1',12),
    ('pme2',26),
    ('psignal',9),
    ('percents',0.02),
    ('trail',False))



    def __init__(self):
        # variable definitions
        self.dataclose = self.datas[0].close
        self.datahigh = self.datas[0].high
        self.datalow = self.datas[0].low
        self.datavolume=self.datas[0].volume
        # Order variable will contain ongoing order details/status
        self.order = None
        self.buy_ord=None
        self.sell_ord=None
        self.cl_ord=None


        
        # Instantiate moving averages and crossover indicator
        self.slow_ema=btind.ExponentialMovingAverage(self.datas[0],period=self.params.pslow,plot=True)
        self.fast_ema=btind.ExponentialMovingAverage(self.datas[0],period=self.params.pfast,plot=True)
        self.SFCrossover=btind.CrossOver(self.fast_ema,self.slow_ema,plot=True)#slow fast crossover

    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.date(0)
        print(f'{dt.isoformat()} {txt}') 

    def orderLog(self,order,date):
        print('-'*32,' NOTIFY ORDER ','-'*32)
        print('{} '.format(order.info['name']))
        print('{}, Ref: {},Size: {}, Price: {}'.format(
                                                    date,
                                                    order.ref,
                                                    order.size,
                                                    'NA' if not order.price else round(order.price,5)
                                                    ))

    def next(self):
        if self.order:
            return
        # crossover signals using fast and slow EMAs 
        if not self.position: 
            # We are not in the market, look for a signal to OPEN trades
            if self.SFCrossover > 0: 
                # Keep track of the created order to avoid a 2nd order
                self.buy_ord = self.order_target_percent(target=self.p.percents)    
                self.buy_ord.addinfo(name="Long entry")                
        else:
            # We are already in the market, look for a signal to CLOSE trades
            if self.SFCrossover < 0:
                self.cl_ord = self.close()      
                self.cl_ord.addinfo(name="Closing position")                

    def notify_order(self, order):
        date = self.data.datetime.date()
        long_stop=self.dataclose[0]-1
        # Check if an order has been completed
        if order.status in [order.Completed]:#
            if order.isbuy():
                self.orderLog(order,date)
                self.log(order.Status[order.status])
                if not self.p.trail:
                    self.sl_ord = self.close(exectype=bt.Order.Stop, price=long_stop)
                    self.sl_ord.addinfo(name='Long Stop Loss')
                    self.orderLog(self.sl_ord,date)
                    self.log(order.Status[order.status])
                    self.log('direct.print')


            elif order.issell():
                self.orderLog(order,date)
                self.log(order.Status[order.status])
                self.log('sell.print')


        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')



dateOne="1 Jan, 2017"
dateTwo="1 Jun, 2021"
symbol="BNBUSDT"
interval="1d"





cerebro = bt.Cerebro(stdstats=True)
data = bt.feeds.GenericCSVData(
    dataname='data\crypto\BNBUSDT1d1 Jan, 20171 Jun, 2021',
    fromdate=datetime.datetime(2018, 1, 30),
    todate=datetime.datetime(2018, 4, 28),
    nullvalue=0.0,
    dtformat=('%Y-%m-%d %H:%M:%S'),
    datetime=0,
    open=1,
    high=2,
    low=3,
    close=4,
    volume=5,
    openinterest=-1

)

cerebro.adddata(data)

#Add strategy to Cerebro
cerebro.addstrategy(barycentreStrat)  


if __name__ == '__main__':
    start_portfolio_value = cerebro.broker.getvalue()
    cerebro.run()
    end_portfolio_value = cerebro.broker.getvalue()
    pnl = end_portfolio_value - start_portfolio_value
    print(f'Starting Portfolio Value: {start_portfolio_value:2f}')
    print(f'Final Portfolio Value: {end_portfolio_value:2f}')
    print(f'PnL: {pnl:.2f}')
    cerebro.plot()





exit()

the result :



--------------------------------  NOTIFY ORDER  --------------------------------
Long entry 
2018-02-15, Ref: 1,Size: 19, Price: 10.4096
2018-02-15 Completed
--------------------------------  NOTIFY ORDER  --------------------------------
Long Stop Loss
2018-02-15, Ref: 2,Size: -19, Price: 9.8661
2018-02-15 Completed
2018-02-15 direct.print
--------------------------------  NOTIFY ORDER  --------------------------------
Long Stop Loss
2018-02-20, Ref: 2,Size: -19, Price: 9.8661
2018-02-20 Completed
2018-02-20 sell.print
--------------------------------  NOTIFY ORDER  --------------------------------
Long entry 
2018-02-28, Ref: 3,Size: 18, Price: 10.56
2018-02-28 Completed
--------------------------------  NOTIFY ORDER  --------------------------------
Long Stop Loss
2018-02-28, Ref: 4,Size: -18, Price: 9.4536
2018-02-28 Completed
2018-02-28 direct.print
--------------------------------  NOTIFY ORDER  --------------------------------
Long Stop Loss
2018-03-06, Ref: 4,Size: -18, Price: 9.4536
2018-03-06 Completed
2018-03-06 sell.print
--------------------------------  NOTIFY ORDER  --------------------------------
Long entry
2018-03-21, Ref: 5,Size: 21, Price: 9.1618
2018-03-21 Completed
--------------------------------  NOTIFY ORDER  --------------------------------
Long Stop Loss
2018-03-21, Ref: 6,Size: -21, Price: 8.9777
2018-03-21 Completed
2018-03-21 direct.print
--------------------------------  NOTIFY ORDER  --------------------------------
Closing position
2018-04-18, Ref: 7,Size: -21, Price: NA
2018-04-18 Completed
2018-04-18 sell.print
--------------------------------  NOTIFY ORDER  --------------------------------
Long entry
2018-04-22, Ref: 8,Size: 15, Price: 13.3302
2018-04-22 Completed
--------------------------------  NOTIFY ORDER  --------------------------------
Long Stop Loss
2018-04-22, Ref: 9,Size: -15, Price: 11.8888
2018-04-22 Completed
2018-04-22 direct.print
Starting Portfolio Value: 10000.000000
Final Portfolio Value: 10037.282000
PnL: 37.28

I understand the first and second messages : the crossover happens and I create a buy order and a stop loss, but what is this third message ? it should be a "closing position" (I want it to be)message, much like the second to last message !
I do not understand it especially since it seems that the selling does happen according to the picture :

My code is a patchwork of lots of different codes I found on the web so it is not good looking, but I hope it's understandable.

I do not know how to include the data , sorry !

I know this is a newbie question as I do not yet fully understand the order mecanism. Why does this happen ?
also am I doing what I want to do ?
Thank you for your help.

Posts made by Youssef 0