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Add files that were being referenced from the samples and correct their location
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‎docs/signal_strategy/signal_strategy.rst

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@@ -192,13 +192,13 @@ The *backtrader* sources contain a sample to test the functionality.
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Main signal to be used.
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.. literalinclude:: ../../samples/signals-strategy/signals-strategy.py
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.. literalinclude:: signals-strategy.py
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:language: python
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:lines: 43-49
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And the *Exit Signal* in case the option is specified.
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.. literalinclude:: ../../samples/signals-strategy/signals-strategy.py
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.. literalinclude:: signals-strategy.py
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:language: python
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:lines: 51-59
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@@ -323,6 +323,6 @@ Usage
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The code
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--------
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.. literalinclude:: ../../samples/signals-strategy/signals-strategy.py
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.. literalinclude:: signals-strategy.py
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:language: python
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:lines: 21-

‎docs/signal_strategy/signals-strategy.py

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#!/usr/bin/env python
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# -*- coding: utf-8; py-indent-offset:4 -*-
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###############################################################################
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#
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# Copyright (C) 2015, 2016 Daniel Rodriguez
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#
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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#
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU General Public License for more details.
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#
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# You should have received a copy of the GNU General Public License
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# along with this program. If not, see <http://www.gnu.org/licenses/>.
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#
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###############################################################################
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from __future__ import (absolute_import, division, print_function,
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unicode_literals)
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import argparse
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import collections
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import datetime
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import backtrader as bt
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MAINSIGNALS = collections.OrderedDict(
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(('longshort', bt.SIGNAL_LONGSHORT),
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('longonly', bt.SIGNAL_LONG),
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('shortonly', bt.SIGNAL_SHORT),)
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)
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EXITSIGNALS = {
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'longexit': bt.SIGNAL_LONGEXIT,
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'shortexit': bt.SIGNAL_LONGEXIT,
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}
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class SMACloseSignal(bt.Indicator):
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lines = ('signal',)
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params = (('period', 30),)
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def __init__(self):
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self.lines.signal = self.data - bt.indicators.SMA(period=self.p.period)
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class SMAExitSignal(bt.Indicator):
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lines = ('signal',)
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params = (('p1', 5), ('p2', 30),)
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def __init__(self):
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sma1 = bt.indicators.SMA(period=self.p.p1)
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sma2 = bt.indicators.SMA(period=self.p.p2)
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self.lines.signal = sma1 - sma2
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def runstrat(args=None):
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args = parse_args(args)
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cerebro = bt.Cerebro()
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cerebro.broker.set_cash(args.cash)
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dkwargs = dict()
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if args.fromdate is not None:
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fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
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dkwargs['fromdate'] = fromdate
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if args.todate is not None:
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todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
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dkwargs['todate'] = todate
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# if dataset is None, args.data has been given
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data = bt.feeds.BacktraderCSVData(dataname=args.data, **dkwargs)
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cerebro.adddata(data)
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cerebro.add_signal(MAINSIGNALS[args.signal],
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SMACloseSignal, period=args.smaperiod)
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if args.exitsignal is not None:
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cerebro.add_signal(EXITSIGNALS[args.exitsignal],
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SMAExitSignal,
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p1=args.exitperiod,
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p2=args.smaperiod)
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cerebro.run()
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if args.plot:
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pkwargs = dict(style='bar')
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if args.plot is not True: # evals to True but is not True
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npkwargs = eval('dict(' + args.plot + ')') # args were passed
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pkwargs.update(npkwargs)
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cerebro.plot(**pkwargs)
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def parse_args(pargs=None):
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parser = argparse.ArgumentParser(
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formatter_class=argparse.ArgumentDefaultsHelpFormatter,
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description='Sample for Signal concepts')
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parser.add_argument('--data', required=False,
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default='../../datas/2005-2006-day-001.txt',
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help='Specific data to be read in')
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parser.add_argument('--fromdate', required=False, default=None,
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help='Starting date in YYYY-MM-DD format')
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parser.add_argument('--todate', required=False, default=None,
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help='Ending date in YYYY-MM-DD format')
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parser.add_argument('--cash', required=False, action='store',
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type=float, default=50000,
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help=('Cash to start with'))
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parser.add_argument('--smaperiod', required=False, action='store',
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type=int, default=30,
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help=('Period for the moving average'))
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parser.add_argument('--exitperiod', required=False, action='store',
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type=int, default=5,
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help=('Period for the exit control SMA'))
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parser.add_argument('--signal', required=False, action='store',
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default=MAINSIGNALS.keys()[0], choices=MAINSIGNALS,
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help=('Signal type to use for the main signal'))
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parser.add_argument('--exitsignal', required=False, action='store',
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default=None, choices=EXITSIGNALS,
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help=('Signal type to use for the exit signal'))
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# Plot options
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parser.add_argument('--plot', '-p', nargs='?', required=False,
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metavar='kwargs', const=True,
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help=('Plot the read data applying any kwargs passed\n'
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'\n'
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'For example:\n'
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'\n'
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' --plot style="candle" (to plot candles)\n'))
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if pargs is not None:
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return parser.parse_args(pargs)
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return parser.parse_args()
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if __name__ == '__main__':
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runstrat()

‎docs/talib/talib.rst

+1-1
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@@ -380,6 +380,6 @@ Sample Usage
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Sample Code
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***********
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.. literalinclude:: ../../samples/talib/talibtest.py
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.. literalinclude:: talibtest.py
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:language: python
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:lines: 21-

‎docs/talib/talibtest.py

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#!/usr/bin/env python
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# -*- coding: utf-8; py-indent-offset:4 -*-
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###############################################################################
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#
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# Copyright (C) 2015, 2016 Daniel Rodriguez
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#
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU General Public License as published by
9+
# the Free Software Foundation, either version 3 of the License, or
10+
# (at your option) any later version.
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#
12+
# This program is distributed in the hope that it will be useful,
13+
# but WITHOUT ANY WARRANTY; without even the implied warranty of
14+
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
15+
# GNU General Public License for more details.
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#
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# You should have received a copy of the GNU General Public License
18+
# along with this program. If not, see <http://www.gnu.org/licenses/>.
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#
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###############################################################################
21+
from __future__ import (absolute_import, division, print_function,
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unicode_literals)
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import argparse
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import datetime
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import backtrader as bt
28+
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class TALibStrategy(bt.Strategy):
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params = (('ind', 'sma'), ('doji', True),)
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INDS = ['sma', 'ema', 'stoc', 'rsi', 'macd', 'bollinger', 'aroon',
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'ultimate', 'trix', 'kama', 'adxr', 'dema', 'ppo', 'tema',
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'roc', 'williamsr']
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def __init__(self):
38+
if self.p.doji:
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bt.talib.CDLDOJI(self.data.open, self.data.high,
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self.data.low, self.data.close)
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if self.p.ind == 'sma':
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bt.talib.SMA(self.data.close, timeperiod=25, plotname='TA_SMA')
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bt.indicators.SMA(self.data, period=25)
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elif self.p.ind == 'ema':
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bt.talib.EMA(timeperiod=25, plotname='TA_SMA')
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bt.indicators.EMA(period=25)
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elif self.p.ind == 'stoc':
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bt.talib.STOCH(self.data.high, self.data.low, self.data.close,
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fastk_period=14, slowk_period=3, slowd_period=3,
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plotname='TA_STOCH')
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bt.indicators.Stochastic(self.data)
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elif self.p.ind == 'macd':
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bt.talib.MACD(self.data, plotname='TA_MACD')
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bt.indicators.MACD(self.data)
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bt.indicators.MACDHisto(self.data)
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elif self.p.ind == 'bollinger':
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bt.talib.BBANDS(self.data, timeperiod=25,
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plotname='TA_BBANDS')
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bt.indicators.BollingerBands(self.data, period=25)
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elif self.p.ind == 'rsi':
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bt.talib.RSI(self.data, plotname='TA_RSI')
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bt.indicators.RSI(self.data)
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elif self.p.ind == 'aroon':
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bt.talib.AROON(self.data.high, self.data.low, plotname='TA_AROON')
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bt.indicators.AroonIndicator(self.data)
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elif self.p.ind == 'ultimate':
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bt.talib.ULTOSC(self.data.high, self.data.low, self.data.close,
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plotname='TA_ULTOSC')
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bt.indicators.UltimateOscillator(self.data)
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elif self.p.ind == 'trix':
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bt.talib.TRIX(self.data, timeperiod=25, plotname='TA_TRIX')
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bt.indicators.Trix(self.data, period=25)
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elif self.p.ind == 'adxr':
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bt.talib.ADXR(self.data.high, self.data.low, self.data.close,
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plotname='TA_ADXR')
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bt.indicators.ADXR(self.data)
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elif self.p.ind == 'kama':
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bt.talib.KAMA(self.data, timeperiod=25, plotname='TA_KAMA')
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bt.indicators.KAMA(self.data, period=25)
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elif self.p.ind == 'dema':
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bt.talib.DEMA(self.data, timeperiod=25, plotname='TA_DEMA')
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bt.indicators.DEMA(self.data, period=25)
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elif self.p.ind == 'ppo':
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bt.talib.PPO(self.data, plotname='TA_PPO')
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bt.indicators.PPO(self.data, _movav=bt.indicators.SMA)
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elif self.p.ind == 'tema':
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bt.talib.TEMA(self.data, timeperiod=25, plotname='TA_TEMA')
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bt.indicators.TEMA(self.data, period=25)
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elif self.p.ind == 'roc':
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bt.talib.ROC(self.data, timeperiod=12, plotname='TA_ROC')
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bt.talib.ROCP(self.data, timeperiod=12, plotname='TA_ROCP')
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bt.talib.ROCR(self.data, timeperiod=12, plotname='TA_ROCR')
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bt.talib.ROCR100(self.data, timeperiod=12, plotname='TA_ROCR100')
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bt.indicators.ROC(self.data, period=12)
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bt.indicators.Momentum(self.data, period=12)
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bt.indicators.MomentumOscillator(self.data, period=12)
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elif self.p.ind == 'williamsr':
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bt.talib.WILLR(self.data.high, self.data.low, self.data.close,
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plotname='TA_WILLR')
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bt.indicators.WilliamsR(self.data)
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def runstrat(args=None):
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args = parse_args(args)
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cerebro = bt.Cerebro()
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dkwargs = dict()
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if args.fromdate:
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fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
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dkwargs['fromdate'] = fromdate
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if args.todate:
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todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
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dkwargs['todate'] = todate
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data0 = bt.feeds.YahooFinanceCSVData(dataname=args.data0, **dkwargs)
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cerebro.adddata(data0)
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cerebro.addstrategy(TALibStrategy, ind=args.ind, doji=not args.no_doji)
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cerebro.run(runcone=not args.use_next, stdstats=False)
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if args.plot:
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pkwargs = dict(style='candle')
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if args.plot is not True: # evals to True but is not True
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npkwargs = eval('dict(' + args.plot + ')') # args were passed
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pkwargs.update(npkwargs)
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cerebro.plot(**pkwargs)
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def parse_args(pargs=None):
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parser = argparse.ArgumentParser(
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formatter_class=argparse.ArgumentDefaultsHelpFormatter,
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description='Sample for sizer')
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parser.add_argument('--data0', required=False,
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default='../../datas/yhoo-1996-2015.txt',
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help='Data to be read in')
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parser.add_argument('--fromdate', required=False,
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default='2005-01-01',
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help='Starting date in YYYY-MM-DD format')
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parser.add_argument('--todate', required=False,
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default='2006-12-31',
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help='Ending date in YYYY-MM-DD format')
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parser.add_argument('--ind', required=False, action='store',
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default=TALibStrategy.INDS[0],
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choices=TALibStrategy.INDS,
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help=('Which indicator pair to show together'))
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parser.add_argument('--no-doji', required=False, action='store_true',
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help=('Remove Doji CandleStick pattern checker'))
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parser.add_argument('--use-next', required=False, action='store_true',
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help=('Use next (step by step) '
174+
'instead of once (batch)'))
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# Plot options
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parser.add_argument('--plot', '-p', nargs='?', required=False,
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metavar='kwargs', const=True,
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help=('Plot the read data applying any kwargs passed\n'
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'\n'
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'For example (escape the quotes if needed):\n'
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'\n'
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' --plot style="candle" (to plot candles)\n'))
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if pargs is not None:
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return parser.parse_args(pargs)
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return parser.parse_args()
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if __name__ == '__main__':
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runstrat()

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