4.2 Strategy with Signals

除了Strategy之外，Backtrader还提供了Siganls这种方式用于策略回测。用户通过add Siganls之后，其他的完全交给后台执行。
Example:

class MySignal(bt.Indicator):
    lines = ('signal',)
    params = (('period', 30),)

    def __init__(self):
        self.lines.signal = self.data -   bt.indicators.SMA(period=self.p.period)


import backtrader as bt

data = bt.feeds.OneOfTheFeeds(dataname='mydataname')
cerebro.adddata(data)
cerebro.add_signal(bt.SIGNAL_LONGSHORT, MySignal)
cerebro.run()

Initial FAQ

• How is the volume of buy/sell operations determined?
  A cerebro instance adds automatically a FixedSize sizer to strategies. The end user can change the sizer to alter the policy with cerebro.addsizer

• How are orders executed?
  The execution type is Market and the validity is Good Until Canceled.

Signals indications

The signals delivers indications when queried with signal[0] and the meaning is:

• 0 -> long indication

• < 0 -> short indication

• == 0 -> No indication

The example does simple arithmetic with self.data - SMA and:

• Issues a long indication when the data is above the SMA

• Issues a short indication when the data is below the SMA

Signals Types

** Main Grpup **:

• LONGSHORT: 同时包含long和short方向的信号,long多头直接转向short空头，资金一直在市场中

• LONG:

  • long indications are taken to go long
  • short indications are taken to close the long position（当signal值大于0时，进入多头，小于0时推出多头）. But :
    • if a LONGEXIT signal is in the system it will be used to exit the long.（LONGEXIT也会让策略退出多头）
    • if a SHORT signal is available and no LONGEXIT is available, it will be used to close a long before a short.（SHORT可以使策略退出多头并创建空头）

• SHORT:

  • short indications are taken to go short

• long indications are taken to close the short position. But:

  • If a SHORTEXIT (see below) signal is in the system it will be used to exit the short(SHORTEXIT 可以使策略退出空头，类似于 long indications）

  • If a LONG signal is available and no SHORTEXIT is available , it will be used to close a short before opening a long（LONG 可以使策略退出空头并创建多头）

Exit Group

This 2 signals are meant to override others and provide criteria for exitins a long / short position

• LONGEXIT: short indications are taken to exit long positions

• SHORTEXIT: long indications are taken to exit short positions

Accumulation and Order Concurrency

• Accumulation: even if already in the market, the signals would produce new orders which would increase the possition in the market 可以在持有多头的同时继续增加多头仓位

• Concurrency: new orders would be generated without waiting for the execution of other orders 订单可以被加入订单队列，即使存在未执行的订单

To avoid this the default behavior is:

• To Not Accumulate

• To Not allow Concurrency

Should any of these two behaviors be wished, this can be controlled via cerebro with:

• cerebro.signal_accumulate(True) (or False to re-disable it)

• cerebro.signal_concurrency(True) (or False to re-disable it)