SMAStrategy.py

import backtrader as bt
from strategy import BaseStrategy


class SMAStrategy(BaseStrategy):

    def __init__(self):
        super().__init__()
        self.sma_fast = bt.ind.ExponentialMovingAverage(period=10)
        self.sma_slow = bt.ind.ExponentialMovingAverage(period=30)
        self.crossover = bt.ind.CrossOver(self.sma_fast, self.sma_slow)
        self.upday = bt.ind.UpDayBool()
        self.stop_loss_percent = 0.01

    def next(self):
        # print('crossover={},close={},sma_short={},sma_long={}'.format(self.crossover[0], self.data.close[0],self.sma_short.sma[0],self.sma_long.sma[0]))
        if self.position.size:
            # current_stop_loss is now handled by trailing_stop_loss function
            current_stop_loss = self.position.price + (self.position.price * -self.stop_loss_percent)
            # if were a downward trend then we should probably sell
            # but we're not were just going to hold onto it till we get a profit
            if self.crossover[0] < 0 \
                    and self.data.tick_last > self.position.price:
                super().sell('self.crossover[0] < 0 and self.data.tick_last > self.position.price')

            if ( current_stop_loss > self.data.tick_last):
                super().sell('current_stop_loss > self.data.tick_last')


        # If a crossover signal is positive it means we have a crossover event
        # We then check that the current price is greather than the 10 period average, if so we buy
        elif self.crossover[0] > 0 and \
                self.data.close[0] > self.sma_fast[0] and self.upday[0] > 0:
            self.trailing_stop_loss_buy()