backtrader/samples/multi-example/mult-values.py at development · githubCode3a/backtrader · GitHub

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#!/usr/bin/env python

# -*- coding: utf-8; py-indent-offset:4 -*-

###############################################################################

# This program is free software: you can redistribute it and/or modify

# it under the terms of the GNU General Public License as published by

# the Free Software Foundation, either version 3 of the License, or

# (at your option) any later version.

# This program is distributed in the hope that it will be useful,

# but WITHOUT ANY WARRANTY; without even the implied warranty of

# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the

# GNU General Public License for more details.

# You should have received a copy of the GNU General Public License

# along with this program. If not, see <http://www.gnu.org/licenses/>.

###############################################################################

from __future__ import (absolute_import, division, print_function,

unicode_literals)

import argparse

import datetime

import backtrader as bt

class TestSizer(bt.Sizer):

params = dict(stake=1)

def _getsizing(self, comminfo, cash, data, isbuy):

dt, i = self.strategy.datetime.date(), data._id

s = self.p.stake * (1 + (not isbuy))

print('{} Data {} OType {} Sizing to {}'.format(

dt, data._name, ('buy' * isbuy) or 'sell', s))

return s

class St(bt.Strategy):

params = dict(

enter=[1, 3, 4], # data ids are 1 based

hold=[7, 10, 15], # data ids are 1 based

usebracket=True,

rawbracket=True,

pentry=0.015,

plimits=0.03,

valid=10,

)

def notify_order(self, order):

if order.status == order.Submitted:

return

dt, dn = self.datetime.date(), order.data._name

print('{} {} Order {} Status {}'.format(

dt, dn, order.ref, order.getstatusname())

)

whichord = ['main', 'stop', 'limit', 'close']

if not order.alive(): # not alive - nullify

dorders = self.o[order.data]

idx = dorders.index(order)

dorders[idx] = None

print('-- No longer alive {} Ref'.format(whichord[idx]))

if all(x is None for x in dorders):

dorders[:] = [] # empty list - New orders allowed

def __init__(self):

self.o = dict() # orders per data (main, stop, limit, manual-close)

self.holding = dict() # holding periods per data

def next(self):

for i, d in enumerate(self.datas):

dt, dn = self.datetime.date(), d._name

pos = self.getposition(d).size

print('{} {} Position {}'.format(dt, dn, pos))

if not pos and not self.o.get(d, None): # no market / no orders

if dt.weekday() == self.p.enter[i]:

if not self.p.usebracket:

self.o[d] = [self.buy(data=d)]

print('{} {} Buy {}'.format(dt, dn, self.o[d][0].ref))

else:

p = d.close[0] * (1.0 - self.p.pentry)

pstp = p * (1.0 - self.p.plimits)

plmt = p * (1.0 + self.p.plimits)

valid = datetime.timedelta(self.p.valid)

if self.p.rawbracket:

o1 = self.buy(data=d, exectype=bt.Order.Limit,

price=p, valid=valid, transmit=False)

o2 = self.sell(data=d, exectype=bt.Order.Stop,

price=pstp, size=o1.size,

transmit=False, parent=o1)

o3 = self.sell(data=d, exectype=bt.Order.Limit,

price=plmt, size=o1.size,

transmit=True, parent=o1)

self.o[d] = [o1, o2, o3]

else:

self.o[d] = self.buy_bracket(

data=d, price=p, stopprice=pstp,

limitprice=plmt, oargs=dict(valid=valid))

print('{} {} Main {} Stp {} Lmt {}'.format(

dt, dn, *(x.ref for x in self.o[d])))

self.holding[d] = 0

elif pos: # exiting can also happen after a number of days

self.holding[d] += 1

if self.holding[d] >= self.p.hold[i]:

o = self.close(data=d)

self.o[d].append(o) # manual order to list of orders

print('{} {} Manual Close {}'.format(dt, dn, o.ref))

if self.p.usebracket:

self.cancel(self.o[d][1]) # cancel stop side

print('{} {} Cancel {}'.format(dt, dn, self.o[d][1]))

def runstrat(args=None):

args = parse_args(args)

cerebro = bt.Cerebro()

# Data feed kwargs

kwargs = dict()

# Parse from/to-date

dtfmt, tmfmt = '%Y-%m-%d', 'T%H:%M:%S'

for a, d in ((getattr(args, x), x) for x in ['fromdate', 'todate']):

if a:

strpfmt = dtfmt + tmfmt * ('T' in a)

kwargs[d] = datetime.datetime.strptime(a, strpfmt)

# Data feed

data0 = bt.feeds.YahooFinanceCSVData(dataname=args.data0, **kwargs)

cerebro.adddata(data0, name='d0')

data1 = bt.feeds.YahooFinanceCSVData(dataname=args.data1, **kwargs)

data1.plotinfo.plotmaster = data0

cerebro.adddata(data1, name='d1')

data2 = bt.feeds.YahooFinanceCSVData(dataname=args.data2, **kwargs)

data2.plotinfo.plotmaster = data0

cerebro.adddata(data2, name='d2')

# Broker

cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')'))

cerebro.broker.setcommission(commission=0.001)

# Sizer

# cerebro.addsizer(bt.sizers.FixedSize, **eval('dict(' + args.sizer + ')'))

cerebro.addsizer(TestSizer, **eval('dict(' + args.sizer + ')'))

# Strategy

cerebro.addstrategy(St, **eval('dict(' + args.strat + ')'))

# Execute

cerebro.run(**eval('dict(' + args.cerebro + ')'))

if args.plot: # Plot if requested to

cerebro.plot(**eval('dict(' + args.plot + ')'))

def parse_args(pargs=None):

parser = argparse.ArgumentParser(

formatter_class=argparse.ArgumentDefaultsHelpFormatter,

description=(

'Multiple Values and Brackets'

)

parser.add_argument('--data0', default='../../datas/nvda-1999-2014.txt',

required=False, help='Data0 to read in')

parser.add_argument('--data1', default='../../datas/yhoo-1996-2014.txt',

required=False, help='Data1 to read in')

parser.add_argument('--data2', default='../../datas/orcl-1995-2014.txt',

required=False, help='Data1 to read in')

# Defaults for dates

parser.add_argument('--fromdate', required=False, default='2001-01-01',

help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')

parser.add_argument('--todate', required=False, default='2007-01-01',

help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')

parser.add_argument('--cerebro', required=False, default='',