External data, using Excel as a IDE by Emiliano fraticelli

Emiliano fraticelli INVESTOR

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Hi!

I'm trying to import data from a .CSV which I can easily modify in Excel to use it as a IDE to perform a simple strategy.

The strategy consists in having a list of instruments that I want to trade daily and I want to have simple rules for each one of them:

every instrument will have :

1)quantity

2)buy time

3)sell time

4) stop loss (for example 0.99 means 1% loss)

5) take profit (for example 1.02 means 2% gain).

I've developed and backtested the strategy and it works as intended, but I can't scale in my code to make it work for an arbitrary number of instruments:

Update Backtest

Emiliano fraticelli

Accepted Answer

Update Backtest

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Emiliano fraticelli

1.3k ,

https://ibb.co/mzBPw1T

In this screenshot you can see the structure of my CSV, unfortunately the code works just for the latter instrument (IBM).

It doesn't work for both, let alone for n instruments...I don't know how to do it

Adam W

3.8k ,

The issue here is that the trading logic references self.security throughout, but in this for loop:

 for i in range(len(self.df)) :

            self.security=str(self.df.iloc[i,0]).replace(" ", "")

            self.quantity=self.df.iloc[i,1]

            self.AddEquity(self.security,Resolution.Minute).SetDataNormalizationMode(DataNormalizationMode.Raw)

            self.Debug(i)

you are overwriting self.security with every i. Since IBM is the last instrument in the loop, self.security == 'IBM'.

What you may want to do instead is:

def Initialize(self):

    

    # Create a list to hold stuff

    self.securities = []

    self.quantities = []



    for i in range(len(self.df)) :

        security=str(self.df.iloc[i,0]).replace(" ", "")

        quantity=self.df.iloc[i,1]

        self.AddEquity(security,Resolution.Minute).SetDataNormalizationMode(DataNormalizationMode.Raw)

        self.Debug(i)



        # Add to the list

        self.securities.append(security)

        self.quantities.append(quantity)

Then within the scheduled functions and OnData, loop over self.securities and do stuff.

Emiliano fraticelli

1.3k ,

thank you very much Adam!

Emiliano fraticelli INVESTOR

Update Backtest

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