Logging Module + Dynamic Buy/Sell Prop

[jbdelmundo]

Description

Added the following changes:

• Docstrings in BaseStrategy
• Added a new logging module instead of simply doing print() inside the BaseStrategy
• Logging inside the strategy can be accessed using self.logging.log()
• Separated the function of adding periodic cash
• buy_signal() and sell_signal() can now return (signal, buy/sell_prop) instead of just boolean (still backwards compatible)
• Added trade_history
• Set default signal to False (no action)

Checklist

• [ X] I am making a pull request from a branch other than master
• [ X] I have read the CONTRIBUTING.md
• [ X] I have added/edited documentation in a relevant docs/docusaurus markdown file
• [X ] (For new docs, check if not applicable) I have added the id of a new docs md to the docs/docusaurus/sidebars.js file

[jbdelmundo]

This might be a large change so comments, requests for change are welcome! :)

[rafmacalaba]

lgtm

[ghost]

has no idea what I'm doing lgtm!! 😅 I'll defer to your judgement

[enzoampil]

Hey @jbdelmundo , thanks so much for this PR. BaseStrategy looks 5 times cleaner, and the buy / sell proportions look very interesting 😄

Let's start with the initial comments that I just gave, most importantly regarding the new "execution types" being implemented, and the inconsistency between the types used for create_buy_order vs create_sell_order.

My recommendation is to include all three execution types for both:

1. close - next time step close
2. open - next time step open (this is the preferred execution_type though requires an open column)
3. market - current time step close

Note: There's current handling that makes open the same as market in the case that open is chosen, but the column doesn't exist in the input dateframe.

[enzoampil]

@jbdelmundo Any specific reason why you decided to leave out the open option that was previously implemented? 😄

[jbdelmundo]

Actually I am having trouble making the backtest use the next opening price.
I have tried using Market and Close orders in backtrader but it seems both use the closing price.
For Close orders, it uses the next day (or bar) close price, and for Market orders, it uses the current closing price

I am using the Ternary Strategy to manually provide buy and sell signals and review them on the order history

[enzoampil]

@jbdelmundo Yeah, I think best to still include the open type of execution. Technically, next day open is the most recommended approach to implementing the buy and sell; although, we use current / next day close as a proxy when next day open is not available.

[enzoampil]

@jbdelmundo I notice that for create_buy_order the execution types are market, and close, while for create_short_sell_order, you stuck to the original close, and open execution types. Is there a reason for why they're not consistent?

[jbdelmundo]

Reopened here.
I was renaming my remote branch and got deleted