.397395619494580:cc0d69300f9faf649ade2f2758a57316_69e0e05547ca93f26a602231.69e0eee247ca93f26a60233e.69e0eee1d904d1695ee2221f:Trae CN.T(2026/4/16 22:14:58)

backtrader/feeds/__init__.py

@@ -52,3 +52,5 @@
 
 from .rollover import RollOver
 from .chainer import Chainer
+
+from .sentimentfeed import SentimentCSVData, SentimentCSV

backtrader/feeds/sentimentfeed.py

@@ -0,0 +1,37 @@
+#!/usr/bin/env python
+# -*- coding: utf-8; py-indent-offset:4 -*-
+###############################################################################
+#
+# Copyright (C) 2015-2023 Daniel Rodriguez
+#
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+#
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU General Public License for more details.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+#
+###############################################################################
+from __future__ import (absolute_import, division, print_function,
+                        unicode_literals)
+
+from .csvgeneric import GenericCSVData, GenericCSV
+from .. import feed
+
+
+class SentimentCSVData(GenericCSVData):
+    lines = ('sentiment',)
+
+    params = (
+        ('sentiment', 7),
+    )
+
+
+class SentimentCSV(GenericCSV):
+    DataCls = SentimentCSVData

backtrader/sizers/__init__.py

@@ -26,3 +26,4 @@
 
 from .fixedsize import *
 from .percents_sizer import *
+from .sentiment_sizer import SentimentSizer

backtrader/sizers/sentiment_sizer.py

@@ -0,0 +1,93 @@
+#!/usr/bin/env python
+# -*- coding: utf-8; py-indent-offset:4 -*-
+###############################################################################
+#
+# Copyright (C) 2015-2023 Daniel Rodriguez
+#
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+#
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU General Public License for more details.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+#
+###############################################################################
+from __future__ import (absolute_import, division, print_function,
+                        unicode_literals)
+
+import backtrader as bt
+
+
+class SentimentSizer(bt.Sizer):
+    '''
+    Dynamic position sizing based on smoothed sentiment value.
+
+    The size is determined by the absolute value of the smoothed sentiment:
+      - If abs(sentiment) >= extreme_threshold: use large_stake
+      - If medium_threshold <= abs(sentiment) < extreme_threshold: use small_stake
+      - If abs(sentiment) < medium_threshold: use 0 (no trade)
+
+    This sizer expects the strategy to have an attribute `smoothed_sentiment`
+    that provides the smoothed sentiment value (e.g., 5-day SMA).
+    '''
+
+    params = (
+        ('extreme_threshold', 0.6),
+        ('medium_threshold', 0.3),
+        ('large_stake', 100),
+        ('small_stake', 10),
+    )
+
+    def __init__(self):
+        pass
+
+    def _getsizing(self, comminfo, cash, data, isbuy):
+        position = self.strategy.getposition(data)
+
+        if not position:
+            smoothed_sentiment = self._get_smoothed_sentiment()
+            if smoothed_sentiment is None:
+                return self.p.small_stake
+
+            abs_sentiment = abs(smoothed_sentiment)
+
+            if abs_sentiment >= self.p.extreme_threshold:
+                size = self.p.large_stake
+            elif abs_sentiment >= self.p.medium_threshold:
+                size = self.p.small_stake
+            else:
+                size = 0
+
+            max_possible = int(cash / data.close[0])
+            size = min(size, max_possible)
+
+            return size
+        else:
+            return position.size
+
+    def _get_smoothed_sentiment(self):
+        if hasattr(self.strategy, 'smoothed_sentiment'):
+            try:
+                return self.strategy.smoothed_sentiment[0]
+            except (TypeError, IndexError):
+                return None
+
+        if hasattr(self.strategy, 'sentiment_sma'):
+            try:
+                return self.strategy.sentiment_sma[0]
+            except (TypeError, IndexError):
+                return None
+
+        if hasattr(self.data, 'sentiment'):
+            try:
+                return self.data.sentiment[0]
+            except (TypeError, IndexError):
+                return None
+
+        return None

backtrader/strategies/__init__.py

@@ -22,3 +22,4 @@
                         unicode_literals)
 
 from .sma_crossover import *
+from .sentiment_strategy import SentimentStrategy

backtrader/strategies/sentiment_strategy.py

@@ -0,0 +1,121 @@
+#!/usr/bin/env python
+# -*- coding: utf-8; py-indent-offset:4 -*-
+###############################################################################
+#
+# Copyright (C) 2015-2023 Daniel Rodriguez
+#
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+#
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU General Public License for more details.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+#
+###############################################################################
+from __future__ import (absolute_import, division, print_function,
+                        unicode_literals)
+
+import backtrader as bt
+
+
+class SentimentStrategy(bt.Strategy):
+    '''
+    Sentiment-based trading strategy with SMA smoothing.
+
+    Features:
+      - 5-day SMA smoothing on sentiment data to reduce noise
+      - Uses smoothed sentiment for trading decisions
+      - Exposes smoothed sentiment for dynamic position sizing (SentimentSizer)
+
+    Buy Logic:
+      - No position is open
+      - Smoothed sentiment > buy_threshold
+
+    Sell Logic:
+      - A position exists
+      - Smoothed sentiment < sell_threshold
+    '''
+
+    params = (
+        ('buy_threshold', 0.5),
+        ('sell_threshold', -0.3),
+        ('sma_period', 5),
+        ('use_smoothed', True),
+        ('prdata', True),
+        ('prtrade', True),
+    )
+
+    def __init__(self):
+        self.raw_sentiment = self.data.sentiment
+
+        if self.p.use_smoothed:
+            self.sentiment_sma = bt.indicators.SMA(
+                self.data.sentiment,
+                period=self.p.sma_period
+            )
+            self.smoothed_sentiment = self.sentiment_sma
+        else:
+            self.smoothed_sentiment = self.raw_sentiment
+
+        self.sentiment = self.smoothed_sentiment
+
+    def next(self):
+        current_date = self.data.datetime.date(0)
+        current_raw_sentiment = self.raw_sentiment[0]
+        current_close = self.data.close[0]
+
+        try:
+            current_smoothed = self.smoothed_sentiment[0]
+        except (TypeError, IndexError):
+            current_smoothed = None
+
+        if self.p.prdata:
+            if current_smoothed is not None:
+                print(f'DATE: {current_date}, CLOSE: {current_close:.2f}, '
+                      f'RAW_SENT: {current_raw_sentiment:.2f}, '
+                      f'SMOOTHED: {current_smoothed:.2f}')
+            else:
+                print(f'DATE: {current_date}, CLOSE: {current_close:.2f}, '
+                      f'RAW_SENT: {current_raw_sentiment:.2f}')
+
+        if current_smoothed is None:
+            return
+
+        if not self.position:
+            if current_smoothed > self.p.buy_threshold:
+                if self.p.prdata:
+                    print(f'  >>> BUY SIGNAL: smoothed sentiment ({current_smoothed:.2f}) > threshold ({self.p.buy_threshold})')
+                self.buy()
+        else:
+            if current_smoothed < self.p.sell_threshold:
+                if self.p.prdata:
+                    print(f'  <<< SELL SIGNAL: smoothed sentiment ({current_smoothed:.2f}) < threshold ({self.p.sell_threshold})')
+                self.sell()
+
+    def notify_order(self, order):
+        if order.status in [order.Submitted, order.Accepted]:
+            return
+
+        if order.status in [order.Completed]:
+            if order.isbuy():
+                print(f'  --- ORDER EXECUTED: BUY {order.executed.size} shares at {order.executed.price:.2f}, '
+                      f'Cost: {order.executed.value:.2f}, Comm: {order.executed.comm:.2f}')
+            else:
+                print(f'  --- ORDER EXECUTED: SELL {abs(order.executed.size)} shares at {order.executed.price:.2f}, '
+                      f'Cost: {order.executed.value:.2f}, Comm: {order.executed.comm:.2f}')
+
+        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
+            print(f'  --- ORDER FAILED: {order.getstatusname()}')
+
+    def notify_trade(self, trade):
+        if not trade.isclosed:
+            return
+
+        if self.p.prtrade:
+            print(f'  === TRADE CLOSED: PnL Gross: {trade.pnl:.2f}, Net: {trade.pnlcomm:.2f}')

datas/sentiment-test-data.csv

@@ -0,0 +1,30 @@
+Date,Open,High,Low,Close,Volume,OpenInterest,Sentiment
+2024-01-02,100.0,102.0,99.5,101.5,10000,0,0.1
+2024-01-03,101.5,103.0,101.0,102.5,12000,0,0.2
+2024-01-04,102.5,105.0,102.0,104.0,15000,0,0.3
+2024-01-05,104.0,106.0,103.5,105.5,18000,0,0.4
+2024-01-08,105.5,107.0,105.0,106.0,20000,0,0.5
+2024-01-09,106.0,107.5,105.5,107.0,15000,0,0.6
+2024-01-10,107.0,108.0,104.0,105.0,25000,0,0.7
+2024-01-11,105.0,106.0,102.0,103.0,30000,0,0.8
+2024-01-12,103.0,104.5,101.0,102.0,20000,0,0.85
+2024-01-15,102.0,103.5,100.5,101.5,18000,0,0.9
+2024-01-16,101.5,104.0,101.0,103.5,15000,0,0.88
+2024-01-17,103.5,106.0,103.0,105.0,16000,0,0.85
+2024-01-18,105.0,107.5,104.5,107.0,17000,0,0.5
+2024-01-19,107.0,108.0,105.5,106.0,14000,0,0.2
+2024-01-22,106.0,106.5,103.0,104.0,22000,0,-0.1
+2024-01-23,104.0,105.0,102.0,103.0,19000,0,-0.3
+2024-01-24,103.0,104.5,101.5,102.5,15000,0,-0.5
+2024-01-25,102.5,105.0,102.0,104.5,16000,0,-0.6
+2024-01-26,104.5,107.0,104.0,106.0,18000,0,-0.7
+2024-01-29,106.0,108.0,105.5,107.5,19000,0,-0.75
+2024-01-30,107.5,109.0,107.0,108.5,20000,0,-0.8
+2024-01-31,108.5,110.0,108.0,109.5,21000,0,-0.82
+2024-02-01,109.5,111.0,109.0,110.5,22000,0,-0.5
+2024-02-02,110.5,112.0,110.0,111.5,23000,0,-0.2
+2024-02-05,111.5,113.0,111.0,112.5,24000,0,0.1
+2024-02-06,112.5,114.0,112.0,113.5,25000,0,0.4
+2024-02-07,113.5,115.0,113.0,114.5,26000,0,0.6
+2024-02-08,114.5,116.0,114.0,115.5,27000,0,0.7
+2024-02-09,115.5,117.0,115.0,116.5,28000,0,0.75