Debugged and Enhanced Backtrader Trading Strategy

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Debugged and Enhanced Backtrader Trading Strategy

  • Day: 2024-01-16
  • Time: 15:55 to 16:40
  • Project: Dev
  • Workspace: WP 2: Operational
  • Status: Completed
  • Priority: MEDIUM
  • Assignee: Matías Nehuen Iglesias
  • Tags: Backtrader, Debugging, Data Processing, Trading Strategy, Visualization

Description

Session Goal

The session aimed to debug and enhance a trading strategy using Backtrader, focusing on data fetching, error handling, and visualization.

Key Activities

  • Debugging OLSResiduals Indicator: Addressed issues with an unpopulated prices array by troubleshooting data feed loading, verifying the window period, and refining data fetching methods.
  • Implementing Robust Data Fetching: Improved the trading strategy by implementing direct data slicing for price fetching and ensuring valid log prices calculations.
  • Adjusting Code for Historical Data Access: Modified the next method and used the get method to fetch historical data accurately.
  • Handling OLS Residuals: Calculated OLS residuals from price data, handling non-positive values and ensuring error management.
  • Manual Construction of Prices Array: Created a prices array from historical close prices to resolve data fetching issues.
  • Plotting Simulation Results: Used Matplotlib to plot Backtrader simulation results, including saving plots in headless environments.
  • Advanced Plotting Techniques: Explored advanced plotting techniques, integrating financial data from Yahoo Finance, and customizing plot settings.

Achievements

Pending Tasks

  • Further testing of the modified trading strategy to ensure robustness.
  • Exploration of additional data sources for integration into Backtrader.

Evidence

  • source_file=2024-01-16.sessions.jsonl, line_number=4, event_count=0, session_id=3582fe9d344b9e78576e045657cd253cb62b918c03289a853908187b73c77512
  • event_ids: []

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