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test_backtrader_2.py

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+from __future__ import (absolute_import, division, print_function,
+                        unicode_literals)
+
+import datetime  # For datetime objects
+import os.path  # To manage paths
+import sys  # To find out the script name (in argv[0])
+
+# Import the backtrader platform
+import backtrader as bt
+
+
+# Create a Stratey
+class TestStrategy(bt.Strategy):
+    params = (
+        ('maperiod', 15),
+    )
+
+    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
+
+        # Add a MovingAverageSimple indicator
+        self.sma = bt.indicators.SimpleMovingAverage(
+            self.datas[0], period=self.params.maperiod)
+
+        # Indicators for the plotting show
+        bt.indicators.ExponentialMovingAverage(self.datas[0], period=25)
+        bt.indicators.WeightedMovingAverage(self.datas[0], period=25,
+                                            subplot=True)
+        bt.indicators.StochasticSlow(self.datas[0])
+        bt.indicators.MACDHisto(self.datas[0])
+        rsi = bt.indicators.RSI(self.datas[0])
+        bt.indicators.SmoothedMovingAverage(rsi, period=10)
+        bt.indicators.ATR(self.datas[0], plot=False)
+
+    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')
+
+        # Write down: no pending order
+        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.sma[0]:
+
+                # BUY, BUY, BUY!!! (with all possible 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:
+
+            if self.dataclose[0] < self.sma[0]:
+                # 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()
+
+
+if __name__ == '__main__':
+    # Create a cerebro entity
+    cerebro = bt.Cerebro()
+
+    # Add a strategy
+    cerebro.addstrategy(TestStrategy)
+
+    # Datas are in a subfolder of the samples. Need to find where the script is
+    # because it could have been called from anywhere
+    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
+    datapath = os.path.join(modpath, 'orcl-1995-2014.txt')
+
+    # Create a Data Feed
+    data = bt.feeds.YahooFinanceCSVData(
+        dataname=datapath,
+        # Do not pass values before this date
+        fromdate=datetime.datetime(1000, 1, 1),
+        # Do not pass values before this date
+        todate=datetime.datetime(3000, 12, 31),
+        # Do not pass values after this date
+        reverse=False)
+
+    # Add the Data Feed to Cerebro
+    cerebro.adddata(data)
+
+    # Set our desired cash start
+    cerebro.broker.setcash(100000.0)
+
+    # Add a FixedSize sizer according to the stake
+    cerebro.addsizer(bt.sizers.FixedSize, stake=10)
+
+    # Set the commission
+    cerebro.broker.setcommission(commission=0.005)
+    cerebro.broker.set_coc(True)
+
+    # Print out the starting conditions
+    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
+
+    # Run over everything
+    cerebro.run()
+
+    # Print out the final result
+    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
+
+    # Plot the result
+    # cerebro.plot()