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)