Hi
I’m trying to build a scalp strategy for 5min bars (just began).
However, I can’t find a way to retrieve the 5 min bars for the last 22 days.
Here is the code I’m using ‘tradingbot.py’
from config import ALPACA_CONFIG
from datetime import datetime, timedelta
from lumibot.backtesting import YahooDataBacktesting
from lumibot.brokers import Alpaca
from lumibot.strategies import Strategy
from lumibot.traders import Trader
import numpy as np
import pandas as pd
# General trading parameters
sleeptime = "1H" # Interval between trading iterations
symbol = "SPY" # Symbol to trade
start_test = "2023-06-24"
cash_at_risk = 0.02 # 2% of available cash at risk
risk_reward_ratio = 3 # Risk-reward ratio for profit target calculation
num_bars = 1716 # Number of 5-minute bars to retrieve (22 trading days of 5-minute bars). It assumes that a typical trading day has 390 minutes (6.5 hours) of trading. Therefore, in 22 trading days, there are 22×390/5=1716 => 5-minute bars.
class Trend(Strategy):
def initialize(self):
self.signal = None
self.symbol = symbol
self.sleeptime = sleeptime
self.start = start_test
self.last_trade = None
self.cash_at_risk = cash_at_risk
self.risk_reward_ratio = risk_reward_ratio
def position_sizing(self):
"""Calculate position sizing based on available cash and risk."""
cash = self.get_cash()
last_price = self.get_last_price(self.symbol)
quantity = round(cash / last_price, 0)
return cash, last_price, quantity
def calculate_stop_loss(self, entry_price, long=True):
"""Calculate the stop loss point."""
cash = self.get_cash()
position_size = cash / entry_price
risk_amount = cash * self.cash_at_risk
risk_per_share = risk_amount / position_size
if long:
stop_loss = entry_price - risk_per_share
else:
stop_loss = entry_price + risk_per_share
return stop_loss
def calculate_target_point(self, entry_price, long=True):
"""Calculate the target point."""
cash = self.get_cash()
position_size = cash / entry_price
risk_amount = cash * self.cash_at_risk
risk_per_share = risk_amount / position_size
reward_per_share = risk_per_share * self.risk_reward_ratio
if long:
target_point = entry_price + reward_per_share
else:
target_point = entry_price - reward_per_share
return target_point
def on_trading_iteration(self):
bars = self.get_historical_prices(self.symbol, num_bars, "5 minute")
data = bars.df
data['9-period'] = data['close'].rolling(9).mean()
data['21-period'] = data['close'].rolling(21).mean()
data['Signal'] = np.where(np.logical_and(data['9-period'] > data['21-period'],
data['9-period'].shift(1) < data['21-period'].shift(1)),
"BUY", None)
data['Signal'] = np.where(np.logical_and(data['9-period'] < data['21-period'],
data['9-period'].shift(1) > data['21-period'].shift(1)),
"SELL", data['Signal'])
self.signal = data.iloc[-1].Signal
cash, last_price, quantity = self.position_sizing()
if self.signal == 'BUY':
stop_loss = self.calculate_stop_loss(last_price, long=True)
target_point = self.calculate_target_point(last_price, long=True)
pos = self.get_position(self.symbol)
if pos is not None:
self.sell_all()
order = self.create_order(self.symbol, quantity, "buy")
self.submit_order(order)
# Here you should implement setting the stop loss and target point in your trading platform
elif self.signal == 'SELL':
stop_loss = self.calculate_stop_loss(last_price, long=False)
target_point = self.calculate_target_point(last_price, long=False)
pos = self.get_position(self.symbol)
if pos is not None:
self.sell_all()
order = self.create_order(self.symbol, quantity, "sell")
self.submit_order(order)
# Here you should implement setting the stop loss and target point in your trading platform
if __name__ == "__main__":
trade = False
if trade:
broker = Alpaca(ALPACA_CONFIG)
strategy = Trend(broker=broker)
bot = Trader()
bot.add_strategy(strategy)
bot.run_all()
else:
start = datetime(2023, 6, 24)
end = datetime(2024, 6, 23)
Trend.backtest(
YahooDataBacktesting,
start,
end
)
BTW ‘config.py’ => ALPACA_CONFIG is just
API_KEY = ""
SECRET_KEY = ""
ALPACA_CONFIG = {
# Put your own Alpaca key here:
"API_KEY": "XXXXX",
# Put your own Alpaca secret here:
"API_SECRET": "XXXXX",
# If you want to go live, you must change this
"ENDPOINT": "https://paper-api.alpaca.markets",
}
What am I doing wrong?
How can I retrieve the 5 min bars and test the strategy?
Thanks in advance,
Z
