def runstrategy():
args = parse_args()
# Create a cerebro
cerebro = bt.Cerebro()
# Get the dates from the args
fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
testDate = datetime.datetime.strptime('2004-01-01', '%Y-%m-%d')
# Create the 1st data
data0 = btfeeds.YahooFinanceCSVData(dataname=args.data0,
fromdate=fromdate,
todate=todate)
data0.addfilter(WeekDaysFiller, fillclose=False)
# Add the 1st data to cerebro
cerebro.adddata(data0)
# Create the 2nd data
data1 = btfeeds.YahooFinanceCSVData(dataname=args.data1,
fromdate=testDate,
todate=todate)
data1.addfilter(WeekDaysFiller, fillclose=False)
# Add the 2nd data to cerebro
cerebro.adddata(data1)
# Add the strategy
cerebro.addstrategy(MultiDataStrategy,
period=args.period,
stake=args.stake)
# Add the commission - only stocks like a for each operation
cerebro.broker.setcash(args.cash)
# Add the commission - only stocks like a for each operation
cerebro.broker.setcommission(commission=args.commperc)
# And run it
cerebro.run(runonce=not args.runnext,
preload=not args.nopreload,
oldsync=args.oldsync)
# Plot if requested
if args.plot:
cerebro.plot(numfigs=args.numfigs, volume=False, zdown=False)
def main():
log, app_config, syncdb, run_fromdate, run_todate = setting_up()
try:
cerebro = bt.Cerebro(stdstats=False)
strategy_classes = import_strategies(app_config)
securities = load_securities(app_config, syncdb)
found = False
log.info('Analisys period is {} - {}'.format(run_fromdate, run_todate))
# load_datafeeds(securities)
#
for security_id, _struct in securities.items():
datafile = syncdb.select_security_datafeed(_struct, security_id,
run_fromdate,
run_todate)
if datafile:
data = btfeeds.YahooFinanceCSVData(dataname=datafile,
fromdate=run_fromdate,
todate=run_todate +
dt.timedelta(days=1),
adjclose=False,
decimals=5)
cerebro.adddata(data, security_id)
log.info('datafeed <{}> succesfully added to cerebro'.format(
security_id))
found = True
if found:
#cerebro.addwriter(bt.WriterFile, csv=True, out="output.csv")
cerebro.broker.setcash(10000.0)
for strategy_label in strategy_classes:
cerebro.addstrategy(strategy_classes[strategy_label],
config=app_config,
name=strategy_label,
fromdate=run_fromdate,
todate=run_todate)
cerebro.run()
#cerebro.plot(style='candlestick', barup='green', bardown='black')
syncdb.close()
else:
log.warning('~ No security found ~')
log.info('*** END SESSION ***')
except Exception as e:
log.error('ABEND : {}'.format(e))
try:
syncdb.close()
except Exception:
pass
sys.exit(1)
def runstrategy():
args = parse_args()
# Create a cerebro
cerebro = bt.Cerebro()
# Get the dates from the args
fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
# Create the 1st data
data0 = btfeeds.YahooFinanceCSVData(
dataname=args.data0,
fromdate=fromdate,
todate=todate)
# Add the 1st data to cerebro
cerebro.adddata(data0)
# Create the 2nd data
data1 = btfeeds.YahooFinanceCSVData(
dataname=args.data1,
fromdate=fromdate,
todate=todate)
# Add the 2nd data to cerebro
cerebro.adddata(data1)
# Add the strategy
cerebro.addstrategy(MultiDataStrategy,
period=args.period,
stake=args.stake)
# Add the commission - only stocks like a for each operation
cerebro.broker.setcash(args.cash)
# Add the commission - only stocks like a for each operation
cerebro.broker.setcommission(commission=args.commperc)
# And run it
cerebro.run()
# Plot if requested
if args.plot:
cerebro.plot(numfigs=args.numfigs, volume=False, zdown=False)
def backtest(algorithm, ticker):
os.system("cls")
cerebro = bt.Cerebro()
cerebro.broker.setcash(10000)
data = btfeeds.YahooFinanceCSVData(dataname="historical/sets/" + ticker +
".csv")
cerebro.adddata(data)
cerebro.addstrategy(algorithm)
cerebro.run()
cerebro.plot()
def runstrat():
args = parse_args()
cerebro = bt.Cerebro()
data = btfeeds.YahooFinanceCSVData(dataname=args.data)
cerebro.adddata(data)
cerebro.addstrategy(St,
datalines=args.datalines,
lendetails=args.lendetails)
cerebro.run(runonce=False, exactbars=args.save)
if args.plot:
cerebro.plot(style='bar')
import backtrader as bt
import backtrader.feeds as btfeeds
import datetime
datapath = 'IBOV.csv'
data = btfeeds.YahooFinanceCSVData(dataname=datapath,
reversed=True,
fromdate=datetime.datetime(2015, 1, 1),
todate=datetime.datetime(2020, 1, 31),
timeframe=bt.TimeFrame.Weeks)
class CrossSMA(bt.Strategy):
params = dict(pfast=8, pslow=20)
def __init__(self):
sma1 = bt.ind.SMA(period=self.p.pfast)
sma2 = bt.ind.SMA(period=self.p.pslow)
self.crossover = bt.ind.CrossOver(sma1, sma2) # crossover signal
def next(self):
if not self.position:
if self.crossover > 0:
self.buy()
elif self.crossover < 0:
self.close()
if self.getposition(d).size != 0:
if d.fastma < d.slowma:
self.sell(d, size=self.getposition(d).size)
# buy
for d in self.datas:
# don't buy twice
if self.getposition(d).size != 0:
continue
if d.fastma > d.slowma:
self.buy(d, size=int(self.broker.get_cash()/d))
cerebro = bt.Cerebro()
cerebro.adddata(btfeeds.YahooFinanceCSVData(
dataname="SPY.csv"
))
#cerebro.broker.set_cash(10000) # we start with $10,000 by default!
cerebro.addstrategy(GoldenCross)
cerebro.run()
# extra optional stuff
print("% return:")
print((cerebro.broker.get_value() - 10000) / 10000)
print("CAGR:")
print(pow(cerebro.broker.get_value()/10000 ,1/25) - 1)
# these calculations can all be done with observers,
# but we won't get into that yet
# see our final plot, do everything before this!
import yfinance as yf
import pandas as pd
import backtrader as bt
import backtrader.feeds as btfeeds
import datetime
from strategy import RSIStrategy
#getting data from Yahoo finance site
data = btfeeds.YahooFinanceCSVData(dataname='ETH_data.csv')
cerebro = bt.Cerebro()
#set cash to 10000$
starting_cash = 10000
cerebro.broker.set_cash(starting_cash)
#adding the data to backtrader
cerebro.adddata(data)
#adding the strategy
cerebro.addstrategy(RSIStrategy)
#Binance commision on trades
cerebro.broker.setcommission(0.001)
print('Starting Portfolio Value: {}'.format(cerebro.broker.getvalue()))
cerebro.run()
print('Final Portfolio Value: {}'.format(cerebro.broker.getvalue()))
print('Total winnings/losses : {}$'.format(cerebro.broker.getvalue() -
starting_cash))
#plotting the results
cerebro.plot()