Strategia Completa GAP Azionario - Esempio Backtest AAPL Dotto

# Installazione librerie backtrade e matplotlib

!pip install backtrader
!pip install matplotlib==3.2.2

# Definizione strategia

import backtrader as bt
import datetime
from backtrader import CommInfoBase


class GapAzionario(bt.Strategy):

    params = (
        ('gapPerc', 1),
        ('atrPeriodo', 3),
        ('riskPerTrade', 1),
        ('takeProfitMult', 1.5),
        ('longActive', True),
        ('shortActive', True),
    )

    def __init__(self):
        self.atr = bt.ind.ATR(period=self.params.atrPeriodo)
        self.openPrice = self.datas[0].open
        self.highPrice = self.datas[0].high
        self.lowPrice = self.datas[0].low
        self.closePrice = self.datas[0].close

    # Calcolo % della distanza tra apertura attuale e chiusura precedente passati in input
    def gapPercentuale(self, apertura, chiusura):
        return (abs(apertura - chiusura) / chiusura) * 100

    # Ritorna Vero se la candela è bullish (prezzo di chiusura > prezzo apertura), falso altrimenti
    def isCandelaVerde(self, apertura, chiusura):
        return True if chiusura > apertura else False

    def next(self):
        gap = self.gapPercentuale(self.openPrice, self.closePrice[-1])

        if (gap >= self.params.gapPerc) and self.data.datetime.time() == datetime.time(14, 30):

            if not self.isCandelaVerde(self.openPrice[-1], self.closePrice[-1]) and self.isCandelaVerde(self.openPrice, self.closePrice) and self.position.size == 0 and self.params.longActive:

                stopLoss = self.lowPrice - self.atr
                volume = (self.broker.getvalue() * (self.params.riskPerTrade / 100)) / (self.closePrice - stopLoss)
                self.buy_bracket(size=volume, stopprice=stopLoss,
                                 limitprice=(self.closePrice + ((self.closePrice - stopLoss) * self.params.takeProfitMult)),
                                 exectype=bt.Order.Market)

            elif self.isCandelaVerde(self.openPrice[-1], self.closePrice[-1]) and not self.isCandelaVerde(self.openPrice, self.closePrice) and self.position.size == 0 and self.params.shortActive:

                stopLoss = self.highPrice + self.atr
                volume = (self.broker.getvalue() * (self.params.riskPerTrade / 100)) / (stopLoss - self.closePrice)
                self.sell_bracket(size=volume, stopprice=stopLoss,
                                  limitprice=(self.closePrice - ((stopLoss - self.closePrice) * self.params.takeProfitMult)),
                                  exectype=bt.Order.Market)

# Motore backtest (capitale, parametri, data feed...)

initCapital = 10000
cerebro = bt.Cerebro()

cerebro.broker.setcommission(commission=0.05, commtype=CommInfoBase.COMM_FIXED)

data = bt.feeds.GenericCSVData(
    dataname='STOCK_US_AAPL_30m_20100101_20211001.csv',
    timeframe=bt.TimeFrame.Minutes,
    compression=30,
    fromdate=datetime.datetime(2017, 1, 1),
    todate=datetime.datetime(2021, 10, 1),
    dtformat=('%Y%m%d'),
    tmformat=('%H%M'),
    date=0,
    time=1,
    open=2,
    high=3,
    low=4,
    close=5,
    volume=6,
    openinterest=-1
)
# Add the data to Cerebro
cerebro.adddata(data)
# Set our desired cash start
cerebro.broker.setcash(initCapital)

cerebro.addanalyzer(bt.analyzers.DrawDown, _name="drawdown")
cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name="trade")
cerebro.addanalyzer(bt.analyzers.TimeReturn, _name="timereturn")

# Run over everything

cerebro.addstrategy(GapAzionario)

result = cerebro.run()

# Plotting

cerebro.plot(style="candlestick", volume=False)

# Statistiche personalizzate

finalCapital = initCapital + result[0].analyzers.trade.get_analysis()['pnl']['net']['total']

    print("+++++++++++++++++++++++++++++++++++++++++++++++++++++")
    print("+++++++++++++++++++++ Backtest ++++++++++++++++++++++")
    print("+++++++++++++++++++++++++++++++++++++++++++++++++++++")
    print("")
    print("Ordini Totali..........: {}".format(result[0].analyzers.trade.get_analysis()['total']['total']))
    print("Ordini Streak vinti....: {}".format(result[0].analyzers.trade.get_analysis()['streak']['won']['current']))
    print("Ordini Streak persi....: {}".format(result[0].analyzers.trade.get_analysis()['streak']['lost']['current']))
    print("Profit Factor..........: {}".format(
        abs(result[0].analyzers.trade.get_analysis()['won']['pnl']['total']) / abs(
            result[0].analyzers.trade.get_analysis()['lost']['pnl']['total'])))
    print("Drawdown Max %.........: {}".format(result[0].analyzers.drawdown.get_analysis()['max']['drawdown']))
    print("Capitale finale........: {}".format(finalCapital))
    print("Profitto %.............: {}".format(((finalCapital - initCapital) / initCapital) * 100))
    print("PNL lorda..............: {}".format(result[0].analyzers.trade.get_analysis()['pnl']['gross']['total']))
    print("PNL netta..............: {}".format(result[0].analyzers.trade.get_analysis()['pnl']['net']['total']))
    print("---------------- Vincite -------------")
    print("Trade totali...........: {}".format(result[0].analyzers.trade.get_analysis()['won']['total']))
    print("Trade PNL totale.......: {}".format(result[0].analyzers.trade.get_analysis()['won']['pnl']['total']))
    print("Trade PNL medio........: {}".format(result[0].analyzers.trade.get_analysis()['won']['pnl']['average']))
    print("Trade PNL massimo......: {}".format(result[0].analyzers.trade.get_analysis()['won']['pnl']['max']))
    print("---------------- Perdite -------------")
    print("Trade totali...........: {}".format(result[0].analyzers.trade.get_analysis()['lost']['total']))
    print("Trade PNL totale.......: {}".format(result[0].analyzers.trade.get_analysis()['lost']['pnl']['total']))
    print("Trade PNL medio........: {}".format(result[0].analyzers.trade.get_analysis()['lost']['pnl']['average']))
    print("Trade PNL massimo......: {}".format(result[0].analyzers.trade.get_analysis()['lost']['pnl']['max']))
    print("----------------- Long ---------------")
    print("Trade totali...........: {}".format(result[0].analyzers.trade.get_analysis()['long']['total']))
    print("Trade vinti............: {}".format(result[0].analyzers.trade.get_analysis()['long']['won']))
    print("Trade persi............: {}".format(result[0].analyzers.trade.get_analysis()['long']['lost']))
    print("Win/Loss Ratio.........: {}".format(
        result[0].analyzers.trade.get_analysis()['long']['won'] / result[0].analyzers.trade.get_analysis()['long'][
            'total']))
    print("Trade PNL totale.......: {}".format(result[0].analyzers.trade.get_analysis()['long']['pnl']['total']))
    print("Trade PNL Medio........: {}".format(result[0].analyzers.trade.get_analysis()['long']['pnl']['average']))
    print("Trade Vincite Totali...: {}".format(result[0].analyzers.trade.get_analysis()['long']['pnl']['won']['total']))
    print(
        "Trade Vincita Media....: {}".format(result[0].analyzers.trade.get_analysis()['long']['pnl']['won']['average']))
    print("Trade Vincita Massima..: {}".format(result[0].analyzers.trade.get_analysis()['long']['pnl']['won']['max']))
    print(
        "Trade Perdita Totali...: {}".format(result[0].analyzers.trade.get_analysis()['long']['pnl']['lost']['total']))
    print("Trade Perdita Media....: {}".format(
        result[0].analyzers.trade.get_analysis()['long']['pnl']['lost']['average']))
    print("Trade Perdita Massima..: {}".format(result[0].analyzers.trade.get_analysis()['long']['pnl']['lost']['max']))
    print("----------------- Short ---------------")
    print("Trade totali...........: {}".format(result[0].analyzers.trade.get_analysis()['short']['total']))
    print("Trade vinti............: {}".format(result[0].analyzers.trade.get_analysis()['short']['won']))
    print("Trade persi............: {}".format(result[0].analyzers.trade.get_analysis()['short']['lost']))
    print("Win/Loss Ratio.........: {}".format(
        result[0].analyzers.trade.get_analysis()['short']['won'] / result[0].analyzers.trade.get_analysis()['short'][
            'total']))
    print("Trade PNL totale.......: {}".format(result[0].analyzers.trade.get_analysis()['short']['pnl']['total']))
    print("Trade PNL Medio........: {}".format(result[0].analyzers.trade.get_analysis()['short']['pnl']['average']))
    print(
        "Trade Vincite Totali...: {}".format(result[0].analyzers.trade.get_analysis()['short']['pnl']['won']['total']))
    print("Trade Vincita Media....: {}".format(
        result[0].analyzers.trade.get_analysis()['short']['pnl']['won']['average']))
    print("Trade Vincita Massima..: {}".format(result[0].analyzers.trade.get_analysis()['short']['pnl']['won']['max']))
    print(
        "Trade Perdita Totali...: {}".format(result[0].analyzers.trade.get_analysis()['short']['pnl']['lost']['total']))
    print("Trade Perdita Media....: {}".format(
        result[0].analyzers.trade.get_analysis()['short']['pnl']['lost']['average']))
    print("Trade Perdita Massima..: {}".format(result[0].analyzers.trade.get_analysis()['short']['pnl']['lost']['max']))