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Commit e20cea1

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Add files that were being referenced from the samples and correct their location
1 parent 4728e03 commit e20cea1

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4 files changed

+347
-4
lines changed

4 files changed

+347
-4
lines changed

‎docs/signal_strategy/signal_strategy.rst

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -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-
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@@ -0,0 +1,151 @@
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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
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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###############################################################################
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from __future__ import (absolute_import, division, print_function,
22+
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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30+
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',)
45+
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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50+
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class SMAExitSignal(bt.Indicator):
52+
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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60+
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def runstrat(args=None):
62+
args = parse_args(args)
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cerebro = bt.Cerebro()
65+
cerebro.broker.set_cash(args.cash)
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67+
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')
70+
dkwargs['fromdate'] = fromdate
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if args.todate is not None:
73+
todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
74+
dkwargs['todate'] = todate
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# if dataset is None, args.data has been given
77+
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],
81+
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')
92+
if args.plot is not True: # evals to True but is not True
93+
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(
102+
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
103+
description='Sample for Signal concepts')
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parser.add_argument('--data', required=False,
106+
default='../../datas/2005-2006-day-001.txt',
107+
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,
113+
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,
117+
help=('Cash to start with'))
118+
119+
parser.add_argument('--smaperiod', required=False, action='store',
120+
type=int, default=30,
121+
help=('Period for the moving average'))
122+
123+
parser.add_argument('--exitperiod', required=False, action='store',
124+
type=int, default=5,
125+
help=('Period for the exit control SMA'))
126+
127+
parser.add_argument('--signal', required=False, action='store',
128+
default=MAINSIGNALS.keys()[0], choices=MAINSIGNALS,
129+
help=('Signal type to use for the main signal'))
130+
131+
parser.add_argument('--exitsignal', required=False, action='store',
132+
default=None, choices=EXITSIGNALS,
133+
help=('Signal type to use for the exit signal'))
134+
135+
# Plot options
136+
parser.add_argument('--plot', '-p', nargs='?', required=False,
137+
metavar='kwargs', const=True,
138+
help=('Plot the read data applying any kwargs passed\n'
139+
'\n'
140+
'For example:\n'
141+
'\n'
142+
' --plot style="candle" (to plot candles)\n'))
143+
144+
if pargs is not None:
145+
return parser.parse_args(pargs)
146+
147+
return parser.parse_args()
148+
149+
150+
if __name__ == '__main__':
151+
runstrat()

‎docs/talib/talib.rst

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -380,6 +380,6 @@ Sample Usage
380380
Sample Code
381381
***********
382382

383-
.. literalinclude:: ../../samples/talib/talibtest.py
383+
.. literalinclude:: talibtest.py
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:language: python
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:lines: 21-

‎docs/talib/talibtest.py

Lines changed: 192 additions & 0 deletions
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@@ -0,0 +1,192 @@
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#!/usr/bin/env python
2+
# -*- coding: utf-8; py-indent-offset:4 -*-
3+
###############################################################################
4+
#
5+
# Copyright (C) 2015, 2016 Daniel Rodriguez
6+
#
7+
# This program is free software: you can redistribute it and/or modify
8+
# 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.
11+
#
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.
16+
#
17+
# 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/>.
19+
#
20+
###############################################################################
21+
from __future__ import (absolute_import, division, print_function,
22+
unicode_literals)
23+
24+
import argparse
25+
import datetime
26+
27+
import backtrader as bt
28+
29+
30+
class TALibStrategy(bt.Strategy):
31+
params = (('ind', 'sma'), ('doji', True),)
32+
33+
INDS = ['sma', 'ema', 'stoc', 'rsi', 'macd', 'bollinger', 'aroon',
34+
'ultimate', 'trix', 'kama', 'adxr', 'dema', 'ppo', 'tema',
35+
'roc', 'williamsr']
36+
37+
def __init__(self):
38+
if self.p.doji:
39+
bt.talib.CDLDOJI(self.data.open, self.data.high,
40+
self.data.low, self.data.close)
41+
42+
if self.p.ind == 'sma':
43+
bt.talib.SMA(self.data.close, timeperiod=25, plotname='TA_SMA')
44+
bt.indicators.SMA(self.data, period=25)
45+
elif self.p.ind == 'ema':
46+
bt.talib.EMA(timeperiod=25, plotname='TA_SMA')
47+
bt.indicators.EMA(period=25)
48+
elif self.p.ind == 'stoc':
49+
bt.talib.STOCH(self.data.high, self.data.low, self.data.close,
50+
fastk_period=14, slowk_period=3, slowd_period=3,
51+
plotname='TA_STOCH')
52+
53+
bt.indicators.Stochastic(self.data)
54+
55+
elif self.p.ind == 'macd':
56+
bt.talib.MACD(self.data, plotname='TA_MACD')
57+
bt.indicators.MACD(self.data)
58+
bt.indicators.MACDHisto(self.data)
59+
elif self.p.ind == 'bollinger':
60+
bt.talib.BBANDS(self.data, timeperiod=25,
61+
plotname='TA_BBANDS')
62+
bt.indicators.BollingerBands(self.data, period=25)
63+
64+
elif self.p.ind == 'rsi':
65+
bt.talib.RSI(self.data, plotname='TA_RSI')
66+
bt.indicators.RSI(self.data)
67+
68+
elif self.p.ind == 'aroon':
69+
bt.talib.AROON(self.data.high, self.data.low, plotname='TA_AROON')
70+
bt.indicators.AroonIndicator(self.data)
71+
72+
elif self.p.ind == 'ultimate':
73+
bt.talib.ULTOSC(self.data.high, self.data.low, self.data.close,
74+
plotname='TA_ULTOSC')
75+
bt.indicators.UltimateOscillator(self.data)
76+
77+
elif self.p.ind == 'trix':
78+
bt.talib.TRIX(self.data, timeperiod=25, plotname='TA_TRIX')
79+
bt.indicators.Trix(self.data, period=25)
80+
81+
elif self.p.ind == 'adxr':
82+
bt.talib.ADXR(self.data.high, self.data.low, self.data.close,
83+
plotname='TA_ADXR')
84+
bt.indicators.ADXR(self.data)
85+
86+
elif self.p.ind == 'kama':
87+
bt.talib.KAMA(self.data, timeperiod=25, plotname='TA_KAMA')
88+
bt.indicators.KAMA(self.data, period=25)
89+
90+
elif self.p.ind == 'dema':
91+
bt.talib.DEMA(self.data, timeperiod=25, plotname='TA_DEMA')
92+
bt.indicators.DEMA(self.data, period=25)
93+
94+
elif self.p.ind == 'ppo':
95+
bt.talib.PPO(self.data, plotname='TA_PPO')
96+
bt.indicators.PPO(self.data, _movav=bt.indicators.SMA)
97+
98+
elif self.p.ind == 'tema':
99+
bt.talib.TEMA(self.data, timeperiod=25, plotname='TA_TEMA')
100+
bt.indicators.TEMA(self.data, period=25)
101+
102+
elif self.p.ind == 'roc':
103+
bt.talib.ROC(self.data, timeperiod=12, plotname='TA_ROC')
104+
bt.talib.ROCP(self.data, timeperiod=12, plotname='TA_ROCP')
105+
bt.talib.ROCR(self.data, timeperiod=12, plotname='TA_ROCR')
106+
bt.talib.ROCR100(self.data, timeperiod=12, plotname='TA_ROCR100')
107+
bt.indicators.ROC(self.data, period=12)
108+
bt.indicators.Momentum(self.data, period=12)
109+
bt.indicators.MomentumOscillator(self.data, period=12)
110+
111+
elif self.p.ind == 'williamsr':
112+
bt.talib.WILLR(self.data.high, self.data.low, self.data.close,
113+
plotname='TA_WILLR')
114+
bt.indicators.WilliamsR(self.data)
115+
116+
117+
def runstrat(args=None):
118+
args = parse_args(args)
119+
120+
cerebro = bt.Cerebro()
121+
122+
dkwargs = dict()
123+
if args.fromdate:
124+
fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
125+
dkwargs['fromdate'] = fromdate
126+
127+
if args.todate:
128+
todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
129+
dkwargs['todate'] = todate
130+
131+
data0 = bt.feeds.YahooFinanceCSVData(dataname=args.data0, **dkwargs)
132+
cerebro.adddata(data0)
133+
134+
cerebro.addstrategy(TALibStrategy, ind=args.ind, doji=not args.no_doji)
135+
136+
cerebro.run(runcone=not args.use_next, stdstats=False)
137+
if args.plot:
138+
pkwargs = dict(style='candle')
139+
if args.plot is not True: # evals to True but is not True
140+
npkwargs = eval('dict(' + args.plot + ')') # args were passed
141+
pkwargs.update(npkwargs)
142+
143+
cerebro.plot(**pkwargs)
144+
145+
146+
def parse_args(pargs=None):
147+
148+
parser = argparse.ArgumentParser(
149+
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
150+
description='Sample for sizer')
151+
152+
parser.add_argument('--data0', required=False,
153+
default='../../datas/yhoo-1996-2015.txt',
154+
help='Data to be read in')
155+
156+
parser.add_argument('--fromdate', required=False,
157+
default='2005年01月01日',
158+
help='Starting date in YYYY-MM-DD format')
159+
160+
parser.add_argument('--todate', required=False,
161+
default='2006年12月31日',
162+
help='Ending date in YYYY-MM-DD format')
163+
164+
parser.add_argument('--ind', required=False, action='store',
165+
default=TALibStrategy.INDS[0],
166+
choices=TALibStrategy.INDS,
167+
help=('Which indicator pair to show together'))
168+
169+
parser.add_argument('--no-doji', required=False, action='store_true',
170+
help=('Remove Doji CandleStick pattern checker'))
171+
172+
parser.add_argument('--use-next', required=False, action='store_true',
173+
help=('Use next (step by step) '
174+
'instead of once (batch)'))
175+
176+
# Plot options
177+
parser.add_argument('--plot', '-p', nargs='?', required=False,
178+
metavar='kwargs', const=True,
179+
help=('Plot the read data applying any kwargs passed\n'
180+
'\n'
181+
'For example (escape the quotes if needed):\n'
182+
'\n'
183+
' --plot style="candle" (to plot candles)\n'))
184+
185+
if pargs is not None:
186+
return parser.parse_args(pargs)
187+
188+
return parser.parse_args()
189+
190+
191+
if __name__ == '__main__':
192+
runstrat()

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