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+--- Thread: Example using the Backtrader library in Python for backtesting purpose (/thread-501.html)
Example using the Backtrader library in Python for backtesting purpose - Sapna Mukherjee - 12-11-2023
Code:
import backtrader as bt
class VolatilityBreakoutStrategy(bt.Strategy):
params = (
("volatility_threshold", 1.5), # Adjust based on historical volatility
("stop_loss", 0.02),
("take_profit", 0.04),
)
def __init__(self):
self.volatility_threshold = self.params.volatility_threshold
self.stop_loss = self.params.stop_loss
self.take_profit = self.params.take_profit
self.atr = bt.indicators.AverageTrueRange(self.data, period=14)
def next(self):
if self.atr[-1] < self.volatility_threshold * self.atr[-14]:
# Volatility is low, potential breakout
if self.data.close > self.data.close[-1]:
# Buy signal (long)
self.buy()
elif self.position:
# Check for stop-loss or take-profit conditions
self.sell()
if __name__ == "__main__":
cerebro = bt.Cerebro()
data = bt.feeds.YahooFinanceData(dataname="AAPL", fromdate=datetime(2022, 1, 1), todate=datetime(2023, 1, 1))
cerebro.adddata(data)
cerebro.addstrategy(VolatilityBreakoutStrategy)
cerebro.run()
cerebro.plot(style="candlestick")