Closed
Description
When I'm using another dataframe from a file an try out the backtesting Quick Start strategy I get the message at the parameter '_trades' that the Dataframe empty is, although it isn't.
Can someone help me out?
Code:
import numpy as np
import pandas as pd
import json
from backtesting import Strategy, Backtest
from backtesting.test import GOOG
from backtesting.lib import crossover
# Define ohlcv
with open('E:/Work/histCryptoDatafeed/ohlcv_binanceF_BTCUSDT_14days.json') as json_file:
data = json.load(json_file)
ohlcv = pd.DataFrame(data, columns=['Date', 'Open', 'High', 'Low', 'Close', 'Volume'])
ohlcv['Date'] = pd.to_datetime(ohlcv['Date'], unit='ms')
ohlcv = ohlcv.set_index('Date')
def SMA(values, n):
"""
Return simple moving average of `values`, at
each step taking into account `n` previous values.
"""
return pd.Series(values).rolling(n).mean()
class SmaCross(Strategy):
# Define the two MA lags as *class variables*
# for later optimization
n1 = 5
n2 = 10
def init(self):
# Precompute the two moving averages
self.sma1 = self.I(SMA, self.data.Close, self.n1)
self.sma2 = self.I(SMA, self.data.Close, self.n2)
def next(self):
# If sma1 crosses above sma2, close any existing
# short trades, and buy the asset
if crossover(self.sma1, self.sma2):
self.position.close()
self.buy()
# Else, if sma1 crosses below sma2, close any existing
# long trades, and sell the asset
elif crossover(self.sma2, self.sma1):
self.position.close()
self.sell()
print(ohlcv)
bt = Backtest(ohlcv, SmaCross, cash=1000, commission=.0003)
stats = bt.run()
print(stats)Output:
Open High Low Close Volume
Date
2020-07-09 08:16:00 9400.80 9400.81 9399.45 9399.77 20.350
2020-07-09 08:17:00 9399.78 9400.46 9398.36 9398.62 41.819
2020-07-09 08:18:00 9398.94 9399.87 9398.26 9399.87 24.911
2020-07-09 08:19:00 9399.87 9399.87 9398.31 9398.31 13.406
2020-07-09 08:20:00 9398.32 9399.80 9398.00 9398.20 86.632
... ... ... ... ... ...
2020-07-23 05:31:00 9480.73 9482.37 9480.00 9482.36 49.347
2020-07-23 05:32:00 9482.37 9482.50 9482.00 9482.01 11.154
2020-07-23 05:33:00 9482.01 9482.01 9480.90 9481.46 9.794
2020-07-23 05:34:00 9481.45 9482.00 9478.64 9479.04 67.269
2020-07-23 05:35:00 9479.03 9479.04 9478.33 9479.01 20.141
[20000 rows x 5 columns]
Start 2020-07-09 08:16:00
End 2020-07-23 05:35:00
Duration 13 days 21:19:00
Exposure Time [%] 0
Equity Final [$] 1000
Equity Peak [$] 1000
Return [%] 0
Buy & Hold Return [%] 0.842999
Max. Drawdown [%] -0
Avg. Drawdown [%] NaN
Max. Drawdown Duration NaN
Avg. Drawdown Duration NaN
# Trades 0
Best Trade [%] NaN
Worst Trade [%] NaN
Avg. Trade [%] NaN
Max. Trade Duration NaN
Avg. Trade Duration NaN
Profit Factor NaN
Expectancy [%] NaN
SQN NaN
Sharpe Ratio NaN
Sortino Ratio NaN
Calmar Ratio NaN
_strategy SmaCross
_equity_curve ...
_trades Empty DataFrame
...
dtype: object
Zipped data file:
ohlcv_binanceF_BTCUSDT_14days.zip
- Backtesting version:
0.2.0