def test_simple(self):
cerebro = Cerebro()
cerebro.addstrategy(TestStrategy)
# 'apiKey' and 'secret' are skipped
config = {
'enableRateLimit': True,
'nonce': lambda: str(int(time.time() * 1000))
}
feed = CCXTFeed(
exchange='binance',
dataname='BNB/USDT',
# valid values are:
# ticks, microseconds, seconds, minutes, daily, weekly, monthly
timeframe=TimeFrame.Minutes,
fromdate=dt.datetime(2019, 1, 28, 3, 30),
todate=dt.datetime(2019, 1, 28, 10, 00),
compression=15,
ohlcv_limit=2, # required to make calls to binance exchange work
currency='BNB',
config=config,
retries=5,
# drop_newest=True,
# historical=False,
debug=True,
)
# Add the feed
cerebro.adddata(feed)
# Run the strategy
cerebro.run()
def test_std_backtest(cerebro: bt.Cerebro):
cerebro.addstrategy(bt.strategies.MA_CrossOver)
cerebro.run()
s = backtrader_plotting.schemes.Blackly()
b = Bokeh(style='bar', scheme=s, output_mode=_output_mode)
figs = cerebro.plot(b)
assert len(figs) == 1
assert_num_tabs(figs, 3)
assert_num_figures(figs, 4)
def test_backtest_2strats(cerebro: bt.Cerebro):
cerebro.addstrategy(bt.strategies.MA_CrossOver)
cerebro.addstrategy(ToggleStrategy)
cerebro.run()
b = Bokeh(style='bar', output_mode=_output_mode)
figs = cerebro.plot(b)
assert len(figs) == 2
assert_num_tabs(figs, 3, 3)
assert_num_figures(figs, 4, 3)
def run(symbol, prices, strategy):
# initialize the Cerebro engine
cerebro = Cerebro()
cerebro.broker.setcash(100000)
# add OHLC data feed
feed = bt.feeds.PandasData(dataname=prices)
cerebro.adddata(feed)
cerebro.addstrategy(strategy=strategy, ticker=symbol)
cerebro.run()
def test_std_backtest_ind_on_line(cerebro: bt.Cerebro):
'''In the past it crashed when creating indicators with specific lines case LineSeriesStub was not handled correctly'''
class TestStrategy(bt.Strategy):
def __init__(self):
self._sma = bt.indicators.SMA(self.data.close)
cerebro.addstrategy(TestStrategy)
cerebro.run()
s = backtrader_plotting.schemes.Blackly()
b = Bokeh(style='bar', scheme=s, output_mode=_output_mode)
figs = cerebro.plot(b)
assert len(figs) == 1
assert_num_tabs(figs, 3)
assert_num_figures(figs, 3)
def backtesting(config):
cerebro = Cerebro()
cerebro.addstrategy(TestStrategy)
cerebro.adddata(CCXTFeed(exchange='binance',
dataname='BNB/USDT',
timeframe=TimeFrame.Minutes,
fromdate=datetime(2019, 1, 1, 0, 0),
todate=datetime(2019, 1, 1, 0, 2),
compression=1,
ohlcv_limit=2,
currency='BNB',
config=config,
retries=5))
finished_strategies = cerebro.run()
return finished_strategies
def test_std_backtest_ind_subplot(cerebro: bt.Cerebro):
cerebro.addstrategy(bt.strategies.MA_CrossOver)
cerebro.run()
plotconfig = {
'#:i-0': {
'subplot': True,
}
}
s = backtrader_plotting.schemes.Blackly()
b = Bokeh(style='bar',
scheme=s,
output_mode=_output_mode,
plotconfig=plotconfig)
figs = cerebro.plot(b)
assert_num_tabs(figs, 3)
assert_num_figures(figs, 5)
def test_std_backtest_2datas(cerebro: bt.Cerebro):
datapath = getdatadir('nvda-1999-2014.txt')
data = bt.feeds.YahooFinanceCSVData(
dataname=datapath,
fromdate=datetime.datetime(1998, 1, 1),
todate=datetime.datetime(2000, 12, 31),
reverse=False,
swapcloses=True,
)
cerebro.adddata(data)
cerebro.addstrategy(bt.strategies.MA_CrossOver)
cerebro.run()
s = backtrader_plotting.schemes.Blackly()
b = Bokeh(style='bar',
scheme=s,
output_mode=_output_mode,
merge_data_hovers=True)
figs = cerebro.plot(b)
assert len(figs) == 1
assert_num_tabs(figs, 3)
assert_num_figures(figs, 5)
import os, sys, argparse
import pandas
import backtrader
from backtrader import Cerebro
from strategies.BuyAndHold import BuyAndHold
from strategies.GoldenCross import GoldenCross
cerebro = backtrader.Cerebro()
pricesData = pandas.read_csv('SPY.csv', index_col='Date', parse_dates=True)
# initializing Cerebro
cerebro = Cerebro()
cerebro.broker.setcash(100000)
feed = backtrader.feeds.PandasData(dataname=pricesData) # add data feed
cerebro.adddata(feed)
strategies = {"golden_cross": GoldenCross, "buy_hold": BuyAndHold}
parser = argparse.ArgumentParser() # parse command line arguments
parser.add_argument("strategy", help="Which strategy to run", type=str)
args = parser.parse_args()
if not args.strategy in strategies:
print("Invalid strategy, must select one of {}".format(strategies.keys()))
sys.exit()
cerebro.addstrategy(strategy=strategies[args.strategy])
cerebro.run()
cerebro.plot() # plot the chart
strats = cerebro.optstrategy(
MacdStrat,
fast=range(8, 16, 1),
slow=range(16, 32, 2),
)
cerebro.run(maxcpus=1)
best_fast, best_slow, best_roi = MacdStrat.show_max()
print('Best params: fast={}, slow={}, roi={}'.format(
best_fast, best_slow, best_roi))
"""
elif strategy == "macd":
cerebro.addstrategy(strategy=strategies[strategy],fast=15, slow=30)
cerebro.run()
cerebro.plot()
"""
elif strategy == "moving_avg_opt":
strats = cerebro.optstrategy(MovingAverage,
fast=range(8, 16, 1),
slow=range(16, 32, 2),
ticker=symbol)
cerebro.run(maxcpus=1)
best_fast, best_slow, best_roi = MovingAverage.show_max()
print('Best params: fast={}, slow={}, roi={}'.format(
best_fast, best_slow, best_roi))
else:
cerebro.addstrategy(strategy=strategies[strategy], ticker=symbol)
cerebro.run()
cerebro.plot()
if options.data is not None:
data_list = options.data.strip()
else:
data_list = input("Stocks to evaluate >").strip()
if data_list == "":
raise ValueError("You must input tickers")
elif not (data_list in [n.split('.')[0] for n in os.listdir("Data")]):
raise ValueError("Tickers must part part of {}".format(
[n.split('.')[0] for n in os.listdir("Data")]))
if options.percent is not None:
percent = float(options.percent)
else:
percent = float(input("Percent of money you are investing >"))
strategies_dict[strategy_key].params.ticker = data_list
strategies_dict[strategy_key].params.order_percentage = percent
cerebro = Cerebro()
cerebro.broker.set_cash(100000)
data = pd.read_csv("Data/{}.csv".format(data_list),
index_col="date",
parse_dates=True)
feed = bt.feeds.PandasData(dataname=data, name=data_list)
cerebro.adddata(feed)
cerebro.addstrategy(strategies_dict[strategy_key])
cerebro.run()
cerebro.plot()
'TQBR.SBER',
'TQBR.GAZP',
'TQBR.LKOH',
'TQBR.GMKN',
) # Кортеж тикеров
store = QKStore() # Хранилище QUIK (QUIK на локальном компьютере)
# store = QKStore(Host='<Ваш IP адрес>') # Хранилище QUIK (К QUIK на удаленном компьютере обращаемся по IP или названию)
for symbol in symbols: # Пробегаемся по всем тикерам
data = store.getdata(
dataname=symbol,
timeframe=TimeFrame.Minutes,
compression=1,
fromdate=datetime(2021, 10, 4),
LiveBars=True) # Исторические и новые бары по первому тикеру
cerebro.adddata(data) # Добавляем данные
cerebro.addstrategy(
ts.PrintStatusAndBars, name="One Ticker",
symbols=('TQBR.SBER', )) # Добавляем торговую систему по одному тикеру
cerebro.addstrategy(ts.PrintStatusAndBars,
name="Two Tickers",
symbols=(
'TQBR.GAZP',
'TQBR.LKOH',
)) # Добавляем торговую систему по двум тикерам
cerebro.addstrategy(
ts.PrintStatusAndBars,
name="All Tickers") # Добавляем торговую систему по всем тикерам
cerebro.run() # Запуск торговой системы
# cerebro.plot() # Рисуем график. Требуется matplotlib версии 3.2.2 (pip install matplotlib==3.2.2)
logging.basicConfig(level=getattr(logging, args.loglevel))
# Create a cerebro entity
cerebro = Cerebro()
# Set our desired cash start
cerebro.broker.setcash(100000.0)
# Set our sizer
cerebro.addsizer(PercentSizer, percents=90)
# Load the Kraken data
pair = args.long + args.short
datafeed = KrakenData(dataname=pair,
timeframe=getattr(TimeFrame, args.timeframe),
compression=args.compression,
refresh_period=args.refresh,
historical=args.historical,
backfill_start=not args.no_backfill)
cerebro.adddata(datafeed)
# Add the strategies to run
cerebro.addstrategy(TestStrategy)
# Run the backtest
result = cerebro.run()
# Plot the result
if args.plot:
cerebro.plot()
}
# parse command line arguments
parser = argparse.ArgumentParser()
parser.add_argument("strategy", help="Which strategy to run", type=str)
args = parser.parse_args()
if not args.strategy in strategies:
print("Invalid strategy, must select one of {}".format(strategies.keys()))
sys.exit()
# if args.strategy == 'bbands':
if strat == 'bbands1':
# cerebro.addstrategy(strategy=strategies[args.strategy],
cerebro.addstrategy(strategy=BBands,
BBandsperiod=yearly,
DevFactor=devfactor)
else:
cerebro.addstrategy(strategy=strategies[args.strategy])
# cerebro.addstrategy(strategy=GoldenCross)
## Analyzers
cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name='sharpe_ratio')
cerebro.addanalyzer(bt.analyzers.Returns, _name='returns')
cerebro.addanalyzer(bt.analyzers.DrawDown, _name='drawdown')
# Add a FixedSize sizer according to the stake
cerebro.broker.setcommission(commission=0.000) # 0.5% of the operation value
cerebro.addsizer(bt.sizers.AllInSizer)
import os, sys, argparse
import pandas as pd
import backtrader as bt
from backtrader import Cerebro
#from strageties.buyHold import BuyHold
from strageties.GoldenCross import GoldenCross
cerebro = bt.Cerebro()
cerebro = Cerebro()
cerebro.broker.setcash(1000000)
spy_prices = pd.read_csv('oracle.csv', index_col='Date', parse_dates=True)
feed = bt.feeds.PandasData(dataname=spy_prices)
cerebro.adddata(feed)
cerebro.addstrategy(GoldenCross)
cerebro.run()
cerebro.plot()
from backtrader import Cerebro, TimeFrame
from BackTraderQuik.QKStore import QKStore # Хранилище QUIK
import Strategy as ts # Торговые системы
if __name__ == '__main__': # Точка входа при запуске этого скрипта
cerebro = Cerebro() # Инициируем "движок" BackTrader
# Склейка фьючерсов (Rollover)
symbols = ['SPBFUT.SiH9', 'SPBFUT.SiM9', 'SPBFUT.SiU9', 'SPBFUT.SiZ9',
'SPBFUT.SiH0', 'SPBFUT.SiM0', 'SPBFUT.SiU0', 'SPBFUT.SiZ0',
'SPBFUT.SiH1', 'SPBFUT.SiM1', 'SPBFUT.SiU1', 'SPBFUT.SiZ1'] # Тикеры для склейки
store = QKStore() # Хранилище QUIK (QUIK на локальном компьютере)
# store = QKStore(Host='<Ваш IP адрес>') # Хранилище QUIK (К QUIK на удаленном компьютере обращаемся по IP или названию)
data = [store.getdata(dataname=symbol, timeframe=TimeFrame.Minutes, compression=5) for symbol in symbols] # Получаем по ним исторические данные
cerebro.rolloverdata(name='Si', *data, checkdate=True, checkcondition=True) # Склеенный тикер
cerebro.addstrategy(ts.PrintStatusAndBars) # Добавляем торговую систему
cerebro.run() # Запуск торговой системы
cerebro.plot() # Рисуем график. Требуется matplotlib версии 3.2.2 (pip install matplotlib==3.2.2)
import datetime as dt
from backtrader import Cerebro, TimeFrame
from backtrader_binance import BinanceStore
from .strategy import RSIStrategy
if __name__ == '__main___':
cerebro = Cerebro(quicknotify=True)
store = BinanceStore(
api_key='YOUR_BINANCE_KEY',
api_secret='YOUR_BINANCE_SECRET',
coin_refer='BTC',
coin_target='USDT')
broker = store.getbroker()
cerebro.setbroker(broker)
from_date = dt.datetime.utcnow() - dt.timedelta(minutes=1261)
data = store.getdata(
dataname='BTCUSDT',
fromdate=from_date,
timeframe=TimeFrame.Minutes,
compression=60)
cerebro.addstrategy(RSIStrategy)
cerebro.adddata(data)
cerebro.run()
