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import backtrader as bt
# Create a Stratey
class TestStrategy(bt.Strategy):
params = (("exitbars", 5),)
def log(self, txt, dt=None):
"""Logging function fot this strategy"""
dt = dt or self.datas[0].datetime.date(0)
print("%s, %s" % (dt.isoformat(), txt))
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
# To keep track of pending orders and buy price/commission
self.order = None
self.buyprice = None
self.buycomm = None
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
return
# Check if an order has been completed
# Attention: broker could reject order if not enough cash
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
else: # Sell
self.log(
"SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f"
% (order.executed.price, order.executed.value, order.executed.comm)
)
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log("Order Canceled/Margin/Rejected")
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):
# Simply log the closing price of the series from the reference
self.log("Close, %.2f" % self.dataclose[0])
# Check if an order is pending ... if yes, we cannot send a 2nd one
if self.order:
return
# Check if we are in the market
if not self.position:
# Not yet ... we MIGHT BUY if ...
if self.dataclose[0] < self.dataclose[-1]:
# current close less than previous close
if self.dataclose[-1] < self.dataclose[-2]:
# previous close less than the previous close
# BUY, BUY, BUY!!! (with default parameters)
self.log("BUY CREATE, %.2f" % self.dataclose[0])
# Keep track of the created order to avoid a 2nd order
self.order = self.buy()
else:
# Already in the market ... we might sell
if len(self) >= (self.bar_executed + self.params.exitbars):
# SELL, SELL, SELL!!! (with all possible default parameters)
self.log("SELL CREATE, %.2f" % self.dataclose[0])
# Keep track of the created order to avoid a 2nd order
self.order = self.sell()
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