strategies.py

import backtrader as bt


class MAcrossover(bt.Strategy):
    # Moving average parameters
    params = (('pfast', 20), ('pslow', 50),)

    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.date(0)
        print(self.datas[0].datetime.date(0).strftime('%Y/%m/%d') + ', ' + f' {txt} {dt}')

    def __init__(self):
        self.dataclose = self.datas[0].close

        # Order variable will contain ongoing order details/status
        self.order = None

        # Instantiate moving averages
        self.slow_sma = bt.indicators.MovingAverageSimple(self.datas[0],
                                                          period=self.params.pslow)
        self.fast_sma = bt.indicators.MovingAverageSimple(self.datas[0],
                                                          period=self.params.pfast)

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # An active Buy/Sell order has been submitted/accepted - 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(f'BUY EXECUTED, {order.executed.price:.2f}')
            elif order.issell():
                self.log(f'SELL EXECUTED, {order.executed.price:.2f}')
            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        # Reset orders
        self.order = None

    def next(self):
        # Check for open orders
        if self.order:
            return

        # Check if we are in the market
        if not self.position:
            # We are not in the market, look for a signal to OPEN trades

            # If the 20 SMA is above the 50 SMA
            if self.fast_sma[0] > self.slow_sma[0] and self.fast_sma[-1] < self.slow_sma[-1]:
                self.log(f'BUY CREATE {self.dataclose[0]:2f}')
                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy()
            # Otherwise if the 20 SMA is below the 50 SMA
            elif self.fast_sma[0] < self.slow_sma[0] and self.fast_sma[-1] > self.slow_sma[-1]:
                self.log(f'SELL CREATE {self.dataclose[0]:2f}')
                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell()
        else:
            # We are already in the market, look for a signal to CLOSE trades
            if len(self) >= (self.bar_executed + 5):
                self.log(f'CLOSE CREATE {self.dataclose[0]:2f}')
                self.order = self.close()