120 lines
3.9 KiB
Python
120 lines
3.9 KiB
Python
from __future__ import (absolute_import, division, print_function,
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unicode_literals)
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import datetime # For datetime objects
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import os.path # To manage paths
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import sys # To find out the script name (in argv[0])
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# Import the backtrader platform
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import backtrader as bt
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# Create a Stratey
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class TestStrategy(bt.Strategy):
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def log(self, txt, dt=None):
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''' Logging function fot this strategy'''
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dt = dt or self.datas[0].datetime.date(0)
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print('%s, %s' % (dt.isoformat(), txt))
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def __init__(self):
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# Keep a reference to the "close" line in the data[0] dataseries
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self.dataclose = self.datas[0].close
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# To keep track of pending orders
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self.order = None
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def notify_order(self, order):
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if order.status in [order.Submitted, order.Accepted]:
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# Buy/Sell order submitted/accepted to/by broker - Nothing to do
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return
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# Check if an order has been completed
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# Attention: broker could reject order if not enough cash
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if order.status in [order.Completed]:
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if order.isbuy():
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self.log('BUY EXECUTED, %.2f' % order.executed.price)
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elif order.issell():
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self.log('SELL EXECUTED, %.2f' % order.executed.price)
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self.bar_executed = len(self)
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elif order.status in [order.Canceled, order.Margin, order.Rejected]:
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self.log('Order Canceled/Margin/Rejected')
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# Write down: no pending order
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self.order = None
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def next(self):
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# Simply log the closing price of the series from the reference
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self.log('Close, %.2f' % self.dataclose[0])
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# Check if an order is pending ... if yes, we cannot send a 2nd one
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if self.order:
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return
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# Check if we are in the market
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if not self.position:
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# Not yet ... we MIGHT BUY if ...
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if self.dataclose[0] < self.dataclose[-1]:
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# current close less than previous close
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if self.dataclose[-1] < self.dataclose[-2]:
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# previous close less than the previous close
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# BUY, BUY, BUY!!! (with default parameters)
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self.log('BUY CREATE, %.2f' % self.dataclose[0])
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# Keep track of the created order to avoid a 2nd order
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self.order = self.buy()
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else:
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# Already in the market ... we might sell
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if len(self) >= (self.bar_executed + 5):
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# SELL, SELL, SELL!!! (with all possible default parameters)
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self.log('SELL CREATE, %.2f' % self.dataclose[0])
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# Keep track of the created order to avoid a 2nd order
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self.order = self.sell()
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if __name__ == '__main__':
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# Create a cerebro entity
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cerebro = bt.Cerebro()
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# Add a strategy
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cerebro.addstrategy(TestStrategy)
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# Datas are in a subfolder of the samples. Need to find where the script is
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# because it could have been called from anywhere
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modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
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datapath = os.path.join(modpath, '../../Downloads/orcl-1995-2014.txt')
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# Create a Data Feed
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data = bt.feeds.YahooFinanceCSVData(
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dataname=datapath,
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# Do not pass values before this date
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fromdate=datetime.datetime(2000, 1, 1),
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# Do not pass values before this date
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todate=datetime.datetime(2000, 12, 31),
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# Do not pass values after this date
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reverse=False)
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# Add the Data Feed to Cerebro
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cerebro.adddata(data)
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# Set our desired cash start
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cerebro.broker.setcash(1)
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# Print out the starting conditions
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print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
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# Run over everything
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cerebro.run()
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# Print out the final result
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print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
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cerebro.plot()
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