How to use an independant pandas.DataFrame as Strategy input

[beyond2002]

May I use another Strategy tools to generate a pandas.DataFrame which has signals of "buy/sell" for every single date, and use it directly as backtesting.py strategy class input? Thanks!

[kernc]

Yes, see for instance backtesting.lib.SignalStrategy. In your case, the signal would be self.data.df['signal_column'], which you would prepare in advance in the input OHLC data frame.

[beyond2002]

I changed my strategy class as following, it seems to work fine. Thanks!

class MyStrategy(Strategy):
    
    def init(self):
        super().init()
    
    def next(self):
        if self.data.Signal == 'buy':
            self.position.close()
            self.buy()
        elif self.data.Signal == 'sell':
            self.position.close()
            self.sell()

[beyond2002]

I found the final result is WRONG.
Every trade is LOSS, but the final return is ">0".

bt = Backtest(DPS, MyStrategy, cash=10_000, commission=.00025)
stats = bt.run()
stats

Start                     2021-01-04 00:00:00
End                       2021-05-14 00:00:00
Duration                    130 days 00:00:00
Exposure Time [%]                     63.9535
Equity Final [$]                        10825
Equity Peak [$]                       11000.9
Return [%]                            8.24968
Buy & Hold Return [%]                -40.1858
Return (Ann.) [%]                     26.1473
Volatility (Ann.) [%]                 30.5913
Sharpe Ratio                          0.85473
Sortino Ratio                         1.93473
Calmar Ratio                          1.68647
Max. Drawdown [%]                    -15.5041
Avg. Drawdown [%]                    -6.15777
Max. Drawdown Duration       70 days 00:00:00
Avg. Drawdown Duration       26 days 00:00:00
# Trades                                    4
Win Rate [%]                               25
Best Trade [%]                        21.5257
Worst Trade [%]                      -5.55117
Avg. Trade [%]                         2.0084
Max. Trade Duration          50 days 00:00:00
Avg. Trade Duration          20 days 00:00:00
Profit Factor                         1.90586
Expectancy [%]                        2.55781
SQN                                  0.360449
_strategy                          MyStrategy
_equity_curve                             ...
_trades                      Size  EntryBa...
dtype: object

stats._trades

	Size	EntryBar	ExitBar	EntryPrice	ExitPrice	PnL	ReturnPct	EntryTime	ExitTime	Duration
0	164	31	39	60.925227	59.50	-233.737310	-0.023393	2021-02-23	2021-03-05	10 days
1	-164	39	47	59.485125	61.51	-332.079500	-0.034040	2021-03-05	2021-03-17	12 days
2	153	47	53	61.525378	58.11	-522.552758	-0.055512	2021-03-17	2021-03-25	8 days
3	-153	53	85	58.095472	45.59	1913.337292	0.215257	2021-03-25	2021-05-14	50 days

My signals:

date,MA5,MA10,MA20,Signal
2021/1/29,75.098,73.223,74.3135,
2021/2/1,74.916,73.113,73.994,
2021/2/2,73.278,72.347,73.3285,
2021/2/3,69.838,71.197,72.419,
2021/2/4,66.32,69.926,71.537,
2021/2/5,62.196,68.647,70.657,
2021/2/8,59.036,66.976,69.7515,
2021/2/9,57.934,65.606,68.9895,
2021/2/10,57.71,63.774,68.019,
2021/2/18,58.168,62.244,67.3805,
2021/2/19,58.68,60.438,66.8305,
2021/2/22,59.802,59.419,66.266,buy
2021/2/23,60.124,59.029,65.688,
2021/2/24,60.678,59.194,65.1955,
2021/2/25,61.186,59.677,64.8015,
2021/2/26,61.374,60.027,64.337,
2021/3/1,61.428,60.615,63.7955,
2021/3/2,61.352,60.738,63.172,
2021/3/3,61.236,60.957,62.3655,
2021/3/4,60.634,60.91,61.577,sell
2021/3/5,60.394,60.884,60.661,
2021/3/8,59.916,60.672,60.0455,
2021/3/9,59.466,60.409,59.719,
2021/3/10,58.914,60.075,59.6345,
2021/3/11,58.662,59.648,59.6625,
2021/3/12,58.556,59.475,59.751,
2021/3/15,58.944,59.43,60.0225,
2021/3/16,59.912,59.689,60.2135,buy
2021/3/17,60.76,59.837,60.397,
2021/3/18,61.246,59.954,60.432,
2021/3/19,61.176,59.866,60.375,
2021/3/22,61.098,60.021,60.3465,
2021/3/23,60.408,60.16,60.2845,
2021/3/24,59.69,60.225,60.15,sell
2021/3/25,59.036,60.141,59.8945,
2021/3/26,58.826,60.001,59.738,
2021/3/29,58.598,59.848,59.639,
2021/3/30,58.614,59.511,59.6,
2021/3/31,58.542,59.116,59.4765,
2021/4/1,58.616,58.826,59.39,
2021/4/2,58.562,58.694,59.28,
2021/4/6,58.498,58.548,59.2845,
2021/4/7,58.536,58.575,59.3675,
2021/4/8,58.618,58.58,59.4025,
2021/4/9,58.442,58.529,59.335,
2021/4/12,58.026,58.294,59.1475,
2021/4/13,57.64,58.069,58.9585,
2021/4/14,57.13,57.833,58.672,
2021/4/15,56.656,57.637,58.3765,
2021/4/16,56.358,57.4,58.113,
2021/4/19,56.44,57.233,57.9635,
2021/4/20,56.336,56.988,57.768,
2021/4/21,56.44,56.785,57.68,
2021/4/22,56.522,56.589,57.5845,
2021/4/23,56.608,56.483,57.506,
2021/4/26,55.896,56.168,57.231,
2021/4/27,54.53,55.433,56.751,
2021/4/28,53.112,54.776,56.3045,
2021/4/29,51.66,54.091,55.864,
2021/4/30,50.216,53.412,55.406,
2021/5/6,48.906,52.401,54.817,
2021/5/7,48.04,51.285,54.1365,
2021/5/10,46.928,50.02,53.4025,
2021/5/11,46.196,48.928,52.7585,
2021/5/12,45.48,47.848,52.1655,
2021/5/13,45.244,47.075,51.6215,
2021/5/14,45.46,46.75,51.0915,

[kernc]

The last trade's PnL (id 3) is positive (1913.337) ... ? 🤨

[beyond2002]

But how the last trade and the (id 2) trade happened? It is a "sell" and no "buy" signal.

[AetherTL]

I think the sell here means "short" but not "close", which means you sold all the stock at Mar 25 the buy the "short"(holding negative stock) then gain from downward.