Python for Finance Cookbook

How to do it...

Execute the following steps to backtest a strategy based on the Bollinger Bands.

1. Import the libraries:

import backtrader as btimport datetimeimport pandas as pd

2. The template of the strategy is presented:

class BBand_Strategy(bt.Strategy):    params = (('period', 20),               ('devfactor', 2.0),)    def __init__(self):        # some code            def log(self, txt):        # some code    def notify_order(self, order):        # some code    def notify_trade(self, trade):        # some code    def next_open(self):        # some code

The __init__ block is defined as:

    def __init__(self):
        # keep track of close price in the series
        self.data_close = self.datas[0].close
        self.data_open = self.datas[0].open

        # keep track of pending orders/buy price/buy commission
        self.order = None
        self.price