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Backtrader DCA Strategy
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| import backtrader as bt | |
| import math | |
| class DollarCostAverage(bt.Strategy): | |
| # This is the amount of money we will add monthly | |
| params = dict( | |
| monthly_cash=1000 | |
| ) | |
| def __init__(self): | |
| # Define Values to track our strategy | |
| self.order = None | |
| self.total_cost = 0 | |
| self.buys = 0 | |
| self.sells = 0 | |
| self.total_shares = 0 | |
| self.com_cost = 0 | |
| self.invested_amount = 0 | |
| self.months_passed_since_start = 1 | |
| def log(self, txt, dt=None): | |
| dt = dt or self.datas[0].datetime.date(0) | |
| print('%s, %s' % (dt.isoformat(), txt)) | |
| def start(self): | |
| # This is called when the strategy starts, after init | |
| #Setup Fund Mode and Initialise the amount of cash available. | |
| self.broker.set_fundmode(fundmode=True, fundstartval=1000.0) | |
| self.cash_start = self.broker.get_cash() | |
| # Order with the starting cash | |
| self.order_target_value(target=self.cash_start) | |
| # Add a timer to trigger on first day of month | |
| # This timer will be used instead of "next" so we don't have to check the date | |
| self.add_timer( | |
| when=bt.timer.SESSION_START, | |
| monthdays=[0], | |
| monthcarry=True | |
| ) | |
| def notify_timer(self, timer, when, *args): | |
| # When timer triggers, add monthly cash and buy | |
| self.broker.add_cash(self.p.monthly_cash) | |
| target_value = self.broker.get_value() | |
| self.order_target_value(target=target_value) | |
| self.months_passed_since_start += 1 | |
| def notify_order(self, order): | |
| # When an order is created, update our tracking variables | |
| if order.status in [order.Submitted, order.Accepted]: | |
| return | |
| if order.status in [order.Completed]: | |
| if order.isbuy(): | |
| self.buys += 1 | |
| self.total_shares += order.executed.size | |
| self.invested_amount += order.executed.value | |
| self.total_cost += order.executed.value + order.executed.comm | |
| self.com_cost += order.executed.comm | |
| elif order.issell(): | |
| self.sells += 1 | |
| self.total_shares -= order.executed.size | |
| self.com_cost += order.executed.comm | |
| self.total_cost += order.executed.comm | |
| elif order.status in [order.Canceled, order.Margin, order.Rejected]: | |
| pass | |
| # self.log('Order Canceled/Margin/Rejected') | |
| # print(order.status, [order.Canceled, order.Margin, order.Rejected]) | |
| self.order = None | |
| def stop(self): | |
| # calculate actual returns | |
| self.roi = (self.broker.get_value() / self.cash_start) - 1 | |
| self.froi = (self.broker.get_fundvalue() - self.cash_start) | |
| value = self.datas[0].close * self.total_shares + self.broker.get_cash() | |
| print('-'*50) | |
| print('Dollar Cost Averaging') | |
| print(f"Months Passed:\t\t{self.months_passed_since_start}") | |
| print(f'Buy Orders:\t\t{self.buys:.0f}') | |
| print(f'Sell Orders:\t\t{self.sells:.0f}') | |
| print(f'Total Shares:\t\t{self.total_shares:.2f}') | |
| print(f'Total Value:\t\t${value:,.2f}') | |
| print(f'Total Shares Value:\t\t${(self.datas[0].close * self.total_shares):,.2f}') | |
| print(f'Total Cash Value:\t\t${self.broker.get_cash():,.2f}') | |
| print(f'Cost:\t\t${self.total_cost:,.2f}') | |
| print(f'Gross Return:\t\t${(value - self.total_cost):,.2f}') | |
| # print(f'Gross %:\t\t{((value/self.total_cost - 1) * 100):.2f}%') | |
| print(f'ROI:\t\t{(100.0 * self.roi):.2f}%') | |
| print(f'Fund Value:\t\t{self.froi:.2f}%') | |
| print(f'Commission Cost:\t\t${self.com_cost:.2f}') | |
| print('-'*50) |
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