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• Announcements
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  B

  1.9.75.123:

  Adding extra day before dtcmp calc, as otherwise the extradays
  have no effect (#388) Fixing the issue with TWS API Bust events (err code 10225) (#396) Add support for ASK quotes for CASH assets (#395) plus fixes Remove duplicated note (#386) Fixing time.clock for python>=3.8 (#394) Changed file initiation for WriterFile to make it work under
  multi-process optimization (#397) plus fixes Fixed backend loading if a backend is loaded (Google Collab) and
  backend to use on MacOSX Fix: crumb in feeds.YahooFinanceData (#400) Fix color assignments, ticks line widths and some pep-8 improvements Fix timeframe/compression detection when plotting Fix default value for ticks display format on X-axis Sample with ta-lib SAR test Generic support of multiple "text/*" content types for Yahoo
• Blog

  Blog posts

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  236
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  It seems the link in the original topic is no longer valid. Here is the updated link: https://www.backtrader.com/blog/2019-05-20-momentum-strategy/momentum-strategy/

• General Discussion

  Feedback, comments and anything in general

  818
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  4130
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  @jrothschild33 said in How to process data by quarter?:

  You have to make sure the data is started on January，or the result will only compression by 3 continuous months, not by quarter.

  AFAIU this is the only option right now. Properly solving this should involve extending Backtrader to support yet another TimeFrame with all the ensuing consequences.

  Others may correct me of cause.

• Indicators/Strategies/Analyzers
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  Z

  class Butterword(bt.Indicator):

  lines = ('Filter',) params = (('period', None),) #plotinfo = {"subplot":True} def __init__(self, data): self.DataClose = data.close self.i = 0 def next(self): a = math.exp (-1.414 * 3.1459/self.Period) b = 2*a*math.cos(1.414*180/self.Period) self.lines.Filter[0] = b * self.lines.Filter[-1] - a*a*self.lines.Filter[-2] + ((1-b+a*a)/4)*((self.DataClose[0] + 2*self.DataClose[-1] + self.DataClose[-2]))

  I can't understand how to do this indicator. I saw EMA indicator, but I can't. Can you help me?

• General Code/Help
  2273
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  W

  Sure here's the code

  import backtrader as bt import datetime as dt import os class OptionData(bt.feeds.GenericCSVData): lines = ('delta',) params = ( ('open',-1), ('high',-1), ('low',-1), ('volume',-1), ('openinterest',-1), ('close',1), ('delta',2), ('dtformat',('%m/%d/%Y')), ) # Create a Strategy class Screener(bt.Strategy): def __init__(self): print('Starting Portfolio Value: %.2f' % self.broker.getvalue()) def prenext(self): # Need to run strategy here since not all datas will have data at the beginning # ! Be mindful that options which have no data will have prices filled in from the future px1 = self.datas[0].close[0] # Value is 695.8 which is wr px2 = self.datas[1].close[0] # Value is 712.04 which is wrong, correct price is 716.6 # 712.04 is the price from 5/25/04 data_folder = r'C:\Users\walte\OneDrive - K Squared Capital\K Squared Capital\Trading Models\Code\Backtrader\Data/' all_files = os.listdir(data_folder) # Create a cerebro entity cerebro = bt.Cerebro() data = OptionData(dataname = data_folder + 'SPX_C_400_20041218.csv') cerebro.adddata(data, name = 'SPX_C_400_20041218.csv') data = OptionData(dataname = data_folder + 'SPX_C_400_20040619.csv') cerebro.adddata(data, name = 'SPX_C_400_20040619.csv',) # Add a strategy cerebro.addstrategy(Screener) # Run over everything results = cerebro.run()

  Data for SPX_C_400_20041218.csv looks like this:
  716bf626-ae4a-43ed-9870-84c574b154a2-image.png

  And for SPX_C_400_20040619.csv:
  6298e85e-e686-43bd-a0a0-041d7c9814b4-image.png
  8e5606ea-9b57-42b5-b478-0378a20634c9-image.png

• bta-lib
  10
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  46
  Posts

  S

  Found the culprit.

  When examing the ATR dataframe returned from the bta-lib ATR function it contains NaN.
  After removing the NaN values from the dataframe I got the same results.

  RSI(atr_df.dropna(), period=7)