Strategia ITB - Mean Reversion GBP/CAD 30 MIN

                                              Strategia ITB - Mean Reversion GBP/CAD 30 MIN

!pip install backtrader
!pip install matplotlib==3.2.2

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import backtrader as bt


class TrendInversionBollinger(bt.Strategy):

    params = (
        ('atrPeriodo', 14),
        ('atrMin', 0.0020),
        ('stopLoss', 0.0020),
        ('takeProfit', 0.0030),
        ('printLog', True),
    )

    def __init__(self):
        self.bb = bt.ind.BollingerBands(period=20, devfactor=2, plot=True, plotname='Bollinger Bands', subplot=False)
        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

        self.entryShort = bt.ind.CrossDown(self.highPrice, self.bb.lines.top)

    def next(self):

        if self.position.size == 0 and self.entryShort and self.atr >= self.params.atrMin:

            stopLoss = self.closePrice + self.params.stopLoss
            takeProfit = self.closePrice - self.params.takeProfit
            self.sell_bracket(size=50000, stopprice=stopLoss, limitprice=takeProfit, exectype=bt.Order.Market)

    def log(self, txt):
        print("[{} {}] {}".format(self.datas[0].datetime.date(), self.datas[0].datetime.time(), txt))

    def notify_order(self, order):
        if order.status == order.Completed and self.params.printLog:
            self.log("Inserito ordine {}@{} size@{}".format('BUY' if order.isbuy() else 'SELL', order.executed.price,
                                                            order.size))

    def notify_trade(self, trade):
        if trade.isclosed and self.params.printLog:
            self.log("Trade chiuso: PNL Lordo@{} PNL netto@{}".format(trade.pnl, trade.pnlcomm))
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import backtrader as bt
from datetime import datetime

from backtrader import CommInfoBase


initCapital = 10000
cerebro = bt.Cerebro()

cerebro.broker.setcommission(leverage=30, commission=0.00001, commtype=CommInfoBase.COMM_FIXED)
cerebro.broker.set_slippage_fixed(0.0001)


data = bt.feeds.GenericCSVData(
    dataname='FXCM_GBPCAD_30m.csv',
    timeframe=bt.TimeFrame.Minutes,
    compression=30,
    fromdate=datetime(2018, 1, 1),
    todate=datetime(2021, 10, 27),
    dtformat=('%Y%m%d'),
    tmformat=('%H%M'),
    date=0,
    time=1,
    open=2,
    high=3,
    low=4,
    close=5,
    volume=6,
    openinterest=-1
)

cerebro.adddata(data)
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")


cerebro.addstrategy(TrendInversionBollinger)

result = cerebro.run(tradehistory=True)
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    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("----------------- 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']))