Cerebro

This class is the cornerstone of backtrader because it serves as a central point for:

  1. Gathering all inputs (Data Feeds), actors (Stratgegies), spectators (Observers), critics (Analyzers) and documenters (Writers) ensuring the show still goes on at any moment.
  2. Execute the backtesting/or live data feeding/trading
  3. Returning the results
  4. Giving access to the plotting facilities

Gathering input

  1. Start by creating a cerebro:

    cerebro = bt.Cerebro(**kwargs)
    

    Some **kwargs to control execution are supported, see the reference (the same arguments can be applied later to the run method)

  2. Add Data feeds

    The most usual pattern is cerebro.adddata(data), where data is a data feed already instantiated. Example:

    data = bt.BacktraderCSVData(dataname='mypath.days', timeframe=bt.TimeFrame.Days)
    cerebro.adddata(data)
    

    Resampling and Replaying a data is possible and follows the same pattern:

    data = bt.BacktraderCSVData(dataname='mypath.min', timeframe=bt.TimeFrame.Minutes)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Days)
    

    or:

    data = bt.BacktraderCSVData(dataname='mypath.min', timeframe=bt.TimeFrame.Minutes)
    cerebro.replaydatadata(data, timeframe=bt.TimeFrame.Days)
    

    The system can accept any number of data feeds, including mixing regular data with resampled and/or replayed data. Of course some of this combinationns will for sure make no sense and a restriction apply in order to be able to combine datas: time aligment. See the Data - Multiple Timeframes, Data Resampling - Resampling` and Data - Replay sections.

  3. Add Strategies

    Unlike the datas feeds which are already an instance of a class, cerebro takes directly the Strategy class and the arguments to pass to it. The rationale behind: in an optimization scenario the class will be instantiated several times and passed different arguments

    Even if no optimization is run, the pattern still applies:

    cerebro.addstrategy(MyStrategy, myparam1=value1, myparam2=value2)
    

    When optimizing the parameters have to be added as iterables. See the Optimization section for a detailed explanation. The basic pattern:

    cerebro.optstrategy(MyStrategy, myparam1=range(10, 20))
    

    Which will run MyStrategy 10 times with myparam1 taking values from 10 to 19 (remember ranges in Python are half-open and 20 will not be reached)

  4. Other elements

    There are some other elements which can be added to enhance the backtesting experience. See the appropriate sections for it. The methods are:

    • addwriter
    • addanalyzer
    • addobserver (or addobservermulti)
  5. Changing the broker

    Cerebro will use the default broker in backtrader, but this can be overriden:

    broker = MyBroker()
    cerebro.broker = broker  # property using getbroker/setbroker methods
    
  6. Receive notifications

    If data feeds and/or brokers send notifications (or a store provider which creates them) they will be received through the Cerebro.notify_store method. There are three (3) ways to work with these notifications

    • Add a callback to a cerebro instance via the addnotifycallback(callback) call. The callback has to support this signature:

      callback(msg, *args, **kwargs)
      

      The actual msg, *args and **kwargs received are implementation defined (depend entirely on the data/broker/store) but in general one should expect them to be printable to allow for reception and experimentation.

    • Override the notify_store method in the Strategy subclass which is added to a cerebro instance.

      The signature: notify_store(self, msg, *args, **kwargs)

    • Subclass Cerebro and override notify_store (same signature as in the Strategy)

      This should be the least preferred method

Execute the backtesting

There is a single method to do it, but it supports several options (which can be also specified when instantiating) to decide how to run:

result = cerebro.run(**kwargs)

See the reerence below to understand which arguments are available.

Standard Observers

cerebro (unless otherwise specified) automatically instantiates three standard observers

  • A Broker observer which keeps track of cash and value (portfolio)
  • A Trades observer which should show how effective each trade has been
  • A Buy/Sell observer which should document when operations are executed

Should a cleaner plotting be wished just disable them with stdstats=False

Returning the results

cerebro returns the instances of the strategies it created during backtesting. This allows to analyze what they did, because all elements in the strategies are accessible:

result = cerebro.run(**kwargs)

The format of result returned by run will vary depending on whether optimization is used (a strategy was added with optstrategy):

  • All strategies added with addstrategy

    result will be a list of the instances run during the backtesting

  • 1 or more strategies were added with optstrategy

    result will be a list of list. Each internal list will contain the strategies after each optimization run

Note

The default behavior for optimization was changed to only return the analyzers present in the system, to make message passing across computer cores lighter.

If the complete set of strategies is wished as return value, set the parameter optreturn to False

Giving access to the plotting facilities

As an extra an if matplotlib is installed, the strategies can be plotted. With the usual pattern being:

cerebro.plot()

See below for the reference and the section Plotting

Backtesting logic

Brief outline of the flow of things:

  1. Deliver any store notifications

  2. Ask data feeds to deliver the next set of ticks/bars

    Changed in version 1.9.0.99: New Behavior

    Data Feeds are synchronized by peeking at the datetime which is going to be provided next by available data feeds. Feeds which have not traded in the new period still provide the old data points, whilst data feeds which have new data available offer this one (along with the calculation of indicators)

    Old Behavior (retained when using oldsync=True with Cerebro)

    The 1st data inserted into the system is the datamaster and the system will wait for it to deliver a tick

    The other data feeds are, more or less, slaves to the datamaster and:

    • If the next tick to deliver is newer (datetime-wise) than the one delivered by the datamaster it will not be delivered
    • May return without delivering a new tick for a number of reasons

    The logic was designed to easily synchronize multiple data feeds and data feeds with different timeframes

  3. Notify the strategy about queued broker notifications of orders, trades and cash/value

  4. Tell the broker to accept queued orders and execute the pending orders with the new data

  5. Call the strategies’ next method to let the strategy evaluate the new data (and maybe issue orders which are queued in the broker)

    Depending on the stage it may be prenext or nextstart before the minimum period requirements of the strategy/indicators are met

    Internally the strategies will also kick the observers, indicators, analyzers and other active elements

  6. Tell any writers to write the data to its target

Important to take into account:

Note

In step 1 above when the data feeds deliver the new set of bars, those bars are closed. This means the data has already happened.

As such, orders issued by the strategy in step 4 cannot be executed with the data from step 1.

This means that orders will be executed with the concept of x + 1. Where x is the bar moment at which the order was executed and x + 1 the next one, which is the earliest moment in time for a possible order execution

Reference

class backtrader.Cerebro

Params:

  • preload (default: True)

    Whether to preload the different data feeds passed to cerebro for the Strategies

  • runonce (default: True)

    Run Indicators in vectorized mode to speed up the entire system. Strategies and Observers will always be run on an event based basis

  • live (default: False)

    If no data has reported itself as live (via the data’s islive method but the end user still want to run in live mode, this parameter can be set to true

    This will simultaneously deactivate preload and runonce. It will have no effect on memory saving schemes.

    Run Indicators in vectorized mode to speed up the entire system. Strategies and Observers will always be run on an event based basis

  • maxcpus (default: None -> all available cores)

    How many cores to use simultaneously for optimization

  • stdstats (default: True)

    If True default Observers will be added: Broker (Cash and Value), Trades and BuySell

  • oldbuysell (default: False)

    If stdstats is True and observers are getting automatically added, this switch controls the main behavior of the BuySell observer

    • False: use the modern behavior in which the buy / sell signals are plotted below / above the low / high prices respectively to avoid cluttering the plot
    • True: use the deprecated behavior in which the buy / sell signals are plotted where the average price of the order executions for the given moment in time is. This will of course be on top of an OHLC bar or on a Line on Cloe bar, difficulting the recognition of the plot.
  • oldtrades (default: False)

    If stdstats is True and observers are getting automatically added, this switch controls the main behavior of the Trades observer

    • False: use the modern behavior in which trades for all datas are plotted with different markers
    • True: use the old Trades observer which plots the trades with the same markers, differentiating only if they are positive or negative
  • exactbars (default: False)

    With the default value each and every value stored in a line is kept in memory

    Possible values:
    • True or 1: all “lines” objects reduce memory usage to the automatically calculated minimum period.

      If a Simple Moving Average has a period of 30, the underlying data will have always a running buffer of 30 bars to allow the calculation of the Simple Moving Average

      • This setting will deactivate preload and runonce
      • Using this setting also deactivates plotting
    • -1: datafreeds and indicators/operations at strategy level will keep all data in memory.

      For example: a RSI internally uses the indicator UpDay to make calculations. This subindicator will not keep all data in memory

      • This allows to keep plotting and preloading active.
      • runonce will be deactivated
    • -2: data feeds and indicators kept as attributes of the strategy will keep all points in memory.

      For example: a RSI internally uses the indicator UpDay to make calculations. This subindicator will not keep all data in memory

      If in the __init__ something like a = self.data.close - self.data.high is defined, then a will not keep all data in memory

      • This allows to keep plotting and preloading active.
      • runonce will be deactivated
  • objcache (default: False)

    Experimental option to implement a cache of lines objects and reduce the amount of them. Example from UltimateOscillator:

    bp = self.data.close - TrueLow(self.data)
    tr = TrueRange(self.data)  # -> creates another TrueLow(self.data)
    

    If this is True the 2nd TrueLow(self.data) inside TrueRange matches the signature of the one in the bp calculation. It will be reused.

    Corner cases may happen in which this drives a line object off its minimum period and breaks things and it is therefore disabled.

  • writer (default: False)

    If set to True a default WriterFile will be created which will print to stdout. It will be added to the strategy (in addition to any other writers added by the user code)

  • tradehistory (default: False)

    If set to True, it will activate update event logging in each trade for all strategies. This can also be accomplished on a per strategy basis with the strategy method set_tradehistory

  • optdatas (default: True)

    If True and optimizing (and the system can preload and use runonce, data preloading will be done only once in the main process to save time and resources.

    The tests show an approximate 20% speed-up moving from a sample execution in 83 seconds to 66

  • optreturn (default: True)

    If True the optimization results will not be full Strategy objects (and all datas, indicators, observers ...) but and object with the following attributes (same as in Strategy):

    • params (or p) the strategy had for the execution
    • analyzers the strategy has executed

    In most occassions, only the analyzers and with which params are the things needed to evaluate a the performance of a strategy. If detailed analysis of the generated values for (for example) indicators is needed, turn this off

    The tests show a 13% - 15% improvement in execution time. Combined with optdatas the total gain increases to a total speed-up of 32% in an optimization run.

  • oldsync (default: False)

    Starting with release 1.9.0.99 the synchronization of multiple datas (same or different timeframes) has been changed to allow datas of different lengths.

    If the old behavior with data0 as the master of the system is wished, set this parameter to true

  • tz (default: None)

    Adds a global timezone for strategies. The argument tz can be

    • None: in this case the datetime displayed by strategies will be in UTC, which has been always the standard behavior
    • pytz instance. It will be used as such to convert UTC times to the chosen timezone
    • string. Instantiating a pytz instance will be attempted.
    • integer. Use, for the strategy, the same timezone as the corresponding data in the self.datas iterable (0 would use the timezone from data0)
  • cheat_on_open (default: False)

    The next_open method of strategies will be called. This happens before next and before the broker has had a chance to evaluate orders. The indicators have not yet been recalculated. This allows issuing an orde which takes into account the indicators of the previous day but uses the open price for stake calculations

    For cheat_on_open order execution, it is also necessary to make the call cerebro.broker.set_coo(True) or instantite a broker with BackBroker(coo=True) (where coo stands for cheat-on-open) or set the broker_coo parameter to True. Cerebro will do it automatically unless disabled below.

  • broker_coo (default: True)

    This will automatically invoke the set_coo method of the broker with True to activate cheat_on_open execution. Will only do it if cheat_on_open is also True

  • quicknotify (default: False)

    Broker notifications are delivered right before the delivery of the next prices. For backtesting this has no implications, but with live brokers a notification can take place long before the bar is delivered. When set to True notifications will be delivered as soon as possible (see qcheck in live feeds)

    Set to False for compatibility. May be changed to True

addstorecb(callback)

Adds a callback to get messages which would be handled by the notify_store method

The signature of the callback must support the following:

  • callback(msg, *args, **kwargs)

The actual msg, *args and **kwargs received are implementation defined (depend entirely on the data/broker/store) but in general one should expect them to be printable to allow for reception and experimentation.

notify_store(msg, *args, **kwargs)

Receive store notifications in cerebro

This method can be overridden in Cerebro subclasses

The actual msg, *args and **kwargs received are implementation defined (depend entirely on the data/broker/store) but in general one should expect them to be printable to allow for reception and experimentation.

adddatacb(callback)

Adds a callback to get messages which would be handled by the notify_data method

The signature of the callback must support the following:

  • callback(data, status, *args, **kwargs)

The actual *args and **kwargs received are implementation defined (depend entirely on the data/broker/store) but in general one should expect them to be printable to allow for reception and experimentation.

notify_data(data, status, *args, **kwargs)

Receive data notifications in cerebro

This method can be overridden in Cerebro subclasses

The actual *args and **kwargs received are implementation defined (depend entirely on the data/broker/store) but in general one should expect them to be printable to allow for reception and experimentation.

adddata(data, name=None)

Adds a Data Feed instance to the mix.

If name is not None it will be put into data._name which is meant for decoration/plotting purposes.

resampledata(dataname, name=None, **kwargs)

Adds a Data Feed to be resample by the system

If name is not None it will be put into data._name which is meant for decoration/plotting purposes.

Any other kwargs like timeframe, compression, todate which are supported by the resample filter will be passed transparently

replaydata(dataname, name=None, **kwargs)

Adds a Data Feed to be replayed by the system

If name is not None it will be put into data._name which is meant for decoration/plotting purposes.

Any other kwargs like timeframe, compression, todate which are supported by the replay filter will be passed transparently

chaindata(*args, **kwargs)

Chains several data feeds into one

If name is passed as named argument and is not None it will be put into data._name which is meant for decoration/plotting purposes.

If None, then the name of the 1st data will be used

rolloverdata(*args, **kwargs)

Chains several data feeds into one

If name is passed as named argument and is not None it will be put into data._name which is meant for decoration/plotting purposes.

If None, then the name of the 1st data will be used

Any other kwargs will be passed to the RollOver class

addstrategy(strategy, *args, **kwargs)

Adds a Strategy class to the mix for a single pass run. Instantiation will happen during run time.

args and kwargs will be passed to the strategy as they are during instantiation.

Returns the index with which addition of other objects (like sizers) can be referenced

optstrategy(strategy, *args, **kwargs)

Adds a Strategy class to the mix for optimization. Instantiation will happen during run time.

args and kwargs MUST BE iterables which hold the values to check.

Example: if a Strategy accepts a parameter period, for optimization purposes the call to optstrategy looks like:

  • cerebro.optstrategy(MyStrategy, period=(15, 25))

This will execute an optimization for values 15 and 25. Whereas

  • cerebro.optstrategy(MyStrategy, period=range(15, 25))

will execute MyStrategy with period values 15 -> 25 (25 not included, because ranges are semi-open in Python)

If a parameter is passed but shall not be optimized the call looks like:

  • cerebro.optstrategy(MyStrategy, period=(15,))

Notice that period is still passed as an iterable ... of just 1 element

backtrader will anyhow try to identify situations like:

  • cerebro.optstrategy(MyStrategy, period=15)

and will create an internal pseudo-iterable if possible

optcallback(cb)

Adds a callback to the list of callbacks that will be called with the optimizations when each of the strategies has been run

The signature: cb(strategy)

addindicator(indcls, *args, **kwargs)

Adds an Indicator class to the mix. Instantiation will be done at run time in the passed strategies

addobserver(obscls, *args, **kwargs)

Adds an Observer class to the mix. Instantiation will be done at run time

addobservermulti(obscls, *args, **kwargs)

Adds an Observer class to the mix. Instantiation will be done at run time

It will be added once per “data” in the system. A use case is a buy/sell observer which observes individual datas.

A counter-example is the CashValue, which observes system-wide values

addanalyzer(ancls, *args, **kwargs)

Adds an Analyzer class to the mix. Instantiation will be done at run time

addwriter(wrtcls, *args, **kwargs)

Adds an Writer class to the mix. Instantiation will be done at run time in cerebro

run(**kwargs)

The core method to perform backtesting. Any kwargs passed to it will affect the value of the standard parameters Cerebro was instantiated with.

If cerebro has not datas the method will immediately bail out.

It has different return values:

  • For No Optimization: a list contanining instances of the Strategy classes added with addstrategy
  • For Optimization: a list of lists which contain instances of the Strategy classes added with addstrategy
runstop()

If invoked from inside a strategy or anywhere else, including other threads the execution will stop as soon as possible.

setbroker(broker)

Sets a specific broker instance for this strategy, replacing the one inherited from cerebro.

getbroker()

Returns the broker instance.

This is also available as a property by the name broker

plot(plotter=None, numfigs=1, iplot=True, start=None, end=None, width=16, height=9, dpi=300, tight=True, use=None, **kwargs)

Plots the strategies inside cerebro

If plotter is None a default Plot instance is created and kwargs are passed to it during instantiation.

numfigs split the plot in the indicated number of charts reducing chart density if wished

iplot: if True and running in a notebook the charts will be displayed inline

use: set it to the name of the desired matplotlib backend. It will take precedence over iplot

start: An index to the datetime line array of the strategy or a datetime.date, datetime.datetime instance indicating the start of the plot

end: An index to the datetime line array of the strategy or a datetime.date, datetime.datetime instance indicating the end of the plot

width: in inches of the saved figure

height: in inches of the saved figure

dpi: quality in dots per inches of the saved figure

tight: only save actual content and not the frame of the figure

addsizer(sizercls, *args, **kwargs)

Adds a Sizer class (and args) which is the default sizer for any strategy added to cerebro

addsizer_byidx(idx, sizercls, *args, **kwargs)

Adds a Sizer class by idx. This idx is a reference compatible to the one returned by addstrategy. Only the strategy referenced by idx will receive this size

add_signal(sigtype, sigcls, *sigargs, **sigkwargs)

Adds a signal to the system which will be later added to a SignalStrategy

signal_concurrent(onoff)

If signals are added to the system and the concurrent value is set to True, concurrent orders will be allowed

signal_accumulate(onoff)

If signals are added to the system and the accumulate value is set to True, entering the market when already in the market, will be allowed to increase a position

signal_strategy(stratcls, *args, **kwargs)

Adds a SignalStrategy subclass which can accept signals

addcalendar(cal)

Adds a global trading calendar to the system. Individual data feeds may have separate calendars which override the global one

cal can be an instance of TradingCalendar a string or an instance of pandas_market_calendars. A string will be will be instantiated as a PandasMarketCalendar (which needs the module pandas_market_calendar installed in the system.

If a subclass of TradingCalendarBase is passed (not an instance) it will be instantiated

addtz(tz)

This can also be done with the parameter tz

Adds a global timezone for strategies. The argument tz can be

  • None: in this case the datetime displayed by strategies will be in UTC, which has been always the standard behavior
  • pytz instance. It will be used as such to convert UTC times to the chosen timezone
  • string. Instantiating a pytz instance will be attempted.
  • integer. Use, for the strategy, the same timezone as the corresponding data in the self.datas iterable (0 would use the timezone from data0)
add_timer(when, offset=datetime.timedelta(0), repeat=datetime.timedelta(0), weekdays=[], weekcarry=False, monthdays=[], monthcarry=True, allow=None, tzdata=None, cheat=False, *args, **kwargs)

Schedules a timer to invoke notify_timer

Parameters:when (-) –

can be

  • datetime.time instance (see below tzdata)
  • bt.timer.SESSION_START to reference a session start
  • bt.timer.SESSION_END to reference a session end
  • offset which must be a datetime.timedelta instance

    Used to offset the value when. It has a meaningful use in combination with SESSION_START and SESSION_END, to indicated things like a timer being called 15 minutes after the session start.

  • repeat which must be a datetime.timedelta instance

    Indicates if after a 1st call, further calls will be scheduled within the same session at the scheduled repeat delta

    Once the timer goes over the end of the session it is reset to the original value for when

  • weekdays: a sorted iterable with integers indicating on which days (iso codes, Monday is 1, Sunday is 7) the timers can be actually invoked

    If not specified, the timer will be active on all days

  • weekcarry (default: False). If True and the weekday was not seen (ex: trading holiday), the timer will be executed on the next day (even if in a new week)
  • monthdays: a sorted iterable with integers indicating on which days of the month a timer has to be executed. For example always on day 15 of the month

    If not specified, the timer will be active on all days

  • monthcarry (default: True). If the day was not seen (weekend, trading holiday), the timer will be executed on the next available day.
  • allow (default: None). A callback which receives a datetime.date` instance and returns True if the date is allowed for timers or else returns False
  • tzdata which can be either None (default), a pytz instance or a data feed instance.

    None: when is interpreted at face value (which translates to handling it as if it where UTC even if it’s not)

    pytz instance: when will be interpreted as being specified in the local time specified by the timezone instance.

    data feed instance: when will be interpreted as being specified in the local time specified by the tz parameter of the data feed instance.

    Note: If when is either SESSION_START or
    SESSION_END and tzdata is None, the 1st data feed in the system (aka self.data0) will be used as the reference to find out the session times.
  • strats (default: False) call also the notify_timer of strategies
  • cheat (default False) if True the timer will be called before the broker has a chance to evaluate the orders. This opens the chance to issue orders based on opening price for example right before the session starts
  • *args: any extra args will be passed to notify_timer
  • **kwargs: any extra kwargs will be passed to notify_timer

Return Value:

  • The created timer
notify_timer(timer, when, *args, **kwargs)

Receives a timer notification where timer is the timer which was returned by add_timer, and when is the calling time. args and kwargs are any additional arguments passed to add_timer

The actual when time can be later, but the system may have not be able to call the timer before. This value is the timer value and no the system time.

add_order_history(orders, notify=True)

Add a history of orders to be directly executed in the broker for performance evaluation

  • orders: is an iterable (ex: list, tuple, iterator, generator) in which each element will be also an iterable (with length) with the following sub-elements (2 formats are possible)

    [datetime, size, price] or [datetime, size, price, data]

    Note: it must be sorted (or produce sorted elements) by

    datetime ascending

    where:

    • datetime is a python date/datetime instance or a string with format YYYY-MM-DD[THH:MM:SS[.us]] where the elements in brackets are optional
    • size is an integer (positive to buy, negative to sell)
    • price is a float/integer
    • data if present can take any of the following values
      • None - The 1st data feed will be used as target
      • integer - The data with that index (insertion order in Cerebro) will be used
      • string - a data with that name, assigned for example with cerebro.addata(data, name=value), will be the target
  • notify (default: True)

    If True the 1st strategy inserted in the system will be notified of the artificial orders created following the information from each order in orders

Note: Implicit in the description is the need to add a data feed
which is the target of the orders. This is for example needed by analyzers which track for example the returns