Strategies Reference

Reference for the built-in strategies

MA_CrossOver

Alias:

* SMA_CrossOver

This is a long-only strategy which operates on a moving average cross

Note:

* Although the default

Buy Logic:

* No position is open on the data

* The `fast` moving averagecrosses over the `slow` strategy to the
  upside.

Sell Logic:

* A position exists on the data

* The `fast` moving average crosses over the `slow` strategy to the
  downside

Order Execution Type:

* Market

Lines:

* datetime

Params:

* fast (10)

* slow (30)

* _movav (<class ‘backtrader.indicators.sma.SMA’>)

SignalStrategy

This subclass of Strategy is meant to to auto-operate using signals.

Signals are usually indicators and the expected output values:

• > 0 is a long indication

• < 0 is a short indication

There are 5 types of Signals, broken in 2 groups.

Main Group:

• LONGSHORT: both long and short indications from this signal are taken

• LONG:

  • long indications are taken to go long

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

  • If a LONGEXIT (see below) signal is in the system it will be used to exit the long

  • If a SHORT signal is available and no LONGEXIT is available , it will be used to close a long before opening a short

• 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

  • If a LONG signal is available and no SHORTEXIT is available , it will be used to close a short before opening a long

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

Order Issuing

Orders execution type is Market and validity is None (Good until Canceled)

Params:

• signals (default: []): a list/tuple of lists/tuples that allows the instantiation of the signals and allocation to the right type

  This parameter is expected to be managed through cerebro.add_signal

• _accumulate (default: False): allow to enter the market (long/short) even if already in the market

• _concurrent (default: False): allow orders to be issued even if orders are already pending execution

• _data (default: None): if multiple datas are present in the system which is the target for orders. This can be

  • None: The first data in the system will be used

  • An int: indicating the data that was inserted at that position

  • An str: name given to the data when creating it (parameter name) or when adding it cerebro with cerebro.adddata(..., name=)

  • A data instance

Lines:

* datetime

Params:

* signals ([])

* _accumulate (False)

* _concurrent (False)

* _data (None)