strategy.py

class MAcrossover(bt.Strategy):
  #Moving Average Parameters
  params = (('pfast',20),('pslow',50))
  def log(self,txt,dt=None):
    dt = dt or self.datas[0].datetime.date(0)
    print('%s, %s' % (dt.isoformat(),txt))
  def __init__(self):
    self.dataclose = self.datas[0].close
    # Order variable
    self.order = None
    # Instantiate moving averages
    self.slow_sma = bt.indicators.SimpleMovingAverage(self.datas[0],period=self.params.pslow)
    self.fast_sma = bt.indicators.SimpleMovingAverage(self.datas[0],period=self.params.pfast)
    self.crossover = bt.indicators.CrossOver(self.slow_sma, self.fast_sma)
  def notify_order(self,order):
    if order.status in [order.Submitted, order.Accepted]:
        #Active Buy/Sell order submitted/accepted - Nothing to do
        return
    #Check if an order has been completed
    #Attention: broker could reject order if not enough cash
    if order.status in [order.Completed]:
        if order.isbuy():
            self.log('BUY EXECUTED, %.2f' % order.executed.price)
        elif order.issell():
            self.log('SELL EXECUTED, %.2f' % order.executed.price)
        self.bar_executed = len(self)
    elif order.status in [order.Canceled, order.Margin, order.Rejected]:
        self.log('Order Canceled/Margin/Rejected')
    #Reset orders  
    self.order = None
  def next(self):
    if self.order:
        return
    #Check if we are in the market
    if not self.position:
        #We are not in the market, look for a signal to OPEN trades
        #If the 20 SMA is above the 50 SMA
        if self.fast_sma[0] > self.slow_sma[0] and self.fast_sma[-1] < self.slow_sma[-1]:
            self.log('BUY CREATE, %.2f' % self.dataclose[0])
            #Keep track of the created order to avoid a 2nd order
            self.order = self.buy()
        #Otherwise if the 20 SMA is below the 50 SMA
        elif self.fast_sma[0] < self.slow_sma[0] and self.fast_sma[-1] > self.slow_sma[-1]:
            self.log('SELL CREATE, %.2f' % self.dataclose[0])
        #Keep track of the created order to avoid a 2nd order
        self.order = self.sell()
    else:
        # We are already in the market, look for a signal to CLOSE trades
        if len(self) >= (self.bar_executed + 5):
            self.log('CLOSE CREATE, %.2f' % self.dataclose[0])
            self.order = self.close()