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Running Backtrader
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| import backtrader as bt | |
| import yfinance as yf | |
| def get_yf_data(ticker="BTC-USD", interval="1d", period="max", **kwargs): | |
| """ | |
| A function that returns a Backtrader data feed using Yahoo Finance API | |
| Parameters | |
| -------------------------------------- | |
| ticker - Yahoo Finance Ticket to fetch | |
| interval - Interval defined by yfinance docs | |
| period - Time period of return as defined by yfinance | |
| kwargs - Further key word arguments for yfinance history interaction | |
| """ | |
| ticker_yf = yf.Ticker(ticker) | |
| hist = ticker_yf.history(period=period, interval=interval, kwargs) | |
| hist.ffill(inplace=True) | |
| return bt.feeds.PandasData(dataname = hist) | |
| class ComissionInfo(bt.CommissionInfo): | |
| """ | |
| Commission Object mainly used to define getsize | |
| getsize allows for the buying or selling of fractional shares | |
| """ | |
| params = ( | |
| ("commission", 0.00075), | |
| ("margin", None), | |
| ("commtype", None) | |
| ) | |
| def getsize(self, price, cash): | |
| """Returns fractional size for cash operation @price""" | |
| return self.p.leverage * (cash / price) | |
| class CashMarket(bt.analyzers.Analyzer): | |
| """ | |
| Analyzer returning a dict of account value | |
| """ | |
| def create_analysis(self): | |
| self.rets = {} | |
| def notify_cashvalue(self, cash, value): | |
| total = cash + value | |
| self.rets[self.strategy.datetime.datetime()] = math.floor(total) | |
| def get_analysis(self): | |
| return self.rets | |
| data = get_yf_data() | |
| cerebro = bt.Cerebro() | |
| # Add Data and Strategy to the bt instance | |
| cerebro.adddata(data) | |
| cerebro.addstrategy(DollarCostAverage) | |
| # Add TimeReturn and our own Cash Market Analyser, cerbero returns these as a list | |
| # results.analyzer[] | |
| ankwargs = dict(timeframe=bt.TimeFrame.Years) | |
| cerebro.addanalyzer(bt.analyzers.TimeReturn, fund=True, **ankwargs) | |
| cerebro.addanalyzer(CashMarket) | |
| ## Add Comm for fractional shares | |
| cerebro.broker.addcommissioninfo(ComissionInfo()) | |
| # Set our starting cash on the account | |
| cerebro.broker.set_cash(1000) | |
| results = cerebro.run() | |
| cerebro.plot(iplot=False, style='candlestick') | |
| return results |
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