Python for Finance Cookbook

Signal

Execute the following steps to create a backtest, using the bt.Signal class.

1. Import the libraries:

from datetime import datetimeimport backtrader as bt

2. Define a class representing the trading strategy:

class SmaSignal(bt.Signal):    params = (('period', 20), )        def __init__(self):        self.lines.signal = self.data - bt.ind.SMA(period=self.p.period)

3. Download data from Yahoo Finance:

data = bt.feeds.YahooFinanceData(dataname='AAPL',                                  fromdate=datetime(2018, 1, 1),                                 todate=datetime(2018, 12, 31))

4. Set up the backtest:

cerebro = bt.Cerebro(stdstats = False)cerebro.adddata(data)cerebro.broker.setcash(1000.0)cerebro.add_signal(bt.SIGNAL_LONG, SmaSignal)cerebro.addobserver(bt.observers.BuySell)cerebro.addobserver(bt.observers.Value)

5. Run the ...