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()