Backtesting using multiple instruments in PyAlgoTrade

Hi I want to generalize the strategy from 1 to 10 possible investments using an array ("instruments") to simplify the tasks of loading the 10 feeds, creating the 10 SMAs and then, each day, checking if a signal crossing happened in one (or more) of the instruments.

I am stuck in this. Also plotter is plotting graphs separately but i want plot all intruments result in one graph.

This is my code:

from pyalgotrade import strategy, plotter
from pyalgotrade.barfeed import yahoofeed
from pyalgotrade.technical import ma
from pyalgotrade.tools import yahoofinance

class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instruments, smaPeriod):
        strategy.BacktestingStrategy.__init__(self, feed, 1000)
        self.__position = None
        # We'll use adjusted close values instead of regular close values.
        self.setUseAdjustedValues(True)
        self.__sma = {}
        self.__instruments = instruments
        for instrument in instruments:
            self.__sma[instrument] = ma.SMA(feed[instrument].getPriceDataSeries(), smaPeriod)

    def onEnterOk(self, position):
        execInfo = position.getEntryOrder().getExecutionInfo()
        self.info("BUY at $%.2f" % (execInfo.getPrice()))

    def onEnterCanceled(self, position):
        execInfo = position.getEntryOrder().getExecutionInfo()

    def onExitOk(self, position):
        execInfo = position.getExitOrder().getExecutionInfo()
        self.info("SELL at $%.2f" % (execInfo.getPrice()))

    def onExitCanceled(self, position):
        # If the exit was canceled, re-submit it.
        self.__position[str(position.getEntryOrder().getInstrument())].exitMarket()

    def onBars(self, bars):
        # Wait for enough bars to be available to calculate a SMA.
        if self.__sma[-1] is None:
            return

        bar = bars[self.__instrument]
        # If a position was not opened, check if we should enter a long position.
        if self.__position is None:
            if bar.getPrice() > self.__sma[-1]:
            # Enter a buy market order for 25 shares. The order is good till canceled.
                self.__position = self.enterLong(self.__instrument, 25, True)
        # Check if we have to exit the position.
        elif bar.getPrice() < self.__sma[-1] and not self.__position.exitActive():
            self.__position.exitMarket()

def run_strategy(smaPeriod):

    # Load the yahoo feed from the CSV file
    instruments = [
        "AMZN",
        "ADBE",
        "C" ,
        "BA" ,
        "HOG" ,
        "MMM" ,
        "MS" ,
        "MSFT" ,
        "CVS" ,
        "AXP"
    ]
    #Download and Load yahoo feed from CSV files
    #Change year range 2000 to 2001 to your desired one
    feed = yahoofinance.build_feed(instruments, 2000,2001, ".")

    # Evaluate the strategy with the feed.
    myStrategy = MyStrategy(feed, instruments, smaPeriod)

    # Attach a plotter to the strategy
    plt = plotter.StrategyPlotter(myStrategy)


    # Run the strategy
    myStrategy.run()
    print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity()

    # Plot the strategy.
    plt.plot()


run_strategy(10)

I have just started dealing with pyalgotrade, but I think you're doing a rather simple mistake (as indicated by gzc): an instance of class Bars is a collection of bars from different instruments that all have the same timestamp. So, when your onBars event is called, you actually have to loop through all the instruments in the dictionary.