To start with, congratulations for the neat framework you have here came up with. Have been fiddling around since few weeks ago with it, and i am surprised with the simplicity of use, yet powerful abilities available.
Going to the subject under discussion, I would like to give it a go and try some implementation of different bars, initially with Heikin-Ashi and later on with Renko or Range bars.
The first question would be if you have any advice on where to plug the code for those bars? After looking into backtrader docs, i wonder if Filters are the right way to do it, after looking at it's description:
'Filters transform the values provided by a data feed to deliver a different data feed' ?
Or rather one shall just previously compute the bars and just add them as a regular datafeed to cerebro? Obviously this would loose later on the live trading ability and just be useful for backtesting purposes.
As for the issue with datetime stamping observations for price based bars, i don't see an issue there, as from my pov they shall have anyhow a time-stamp associated with the time they were started/per observation, therefore comparable with regular bars, just not with a regular interval. Apart from plotting which shall be non sense, the rest should work. Does this make any sense?
You can resample 1000 times in pandas if you wish, there is nothing against it. It will actually probably save you time (more if you save it to disk/database/something-else) and read it from there each time.
But you are simply not telling the platform to what you actually resampled to and therefore the default settings bt.TimeFrame.Days/1 are applied.
Actually I was more considering it in the live environment if/when the strategy graduates from back testing . It would be useful to be able to visually see what the strategy is doing for monitoring purposes and peace of mind of those who might use the strategy but have not developed it.
I understand we can already see buying and selling using the brokers own platform. However you can't see any custom indicators, support lines or other things we can plot on the backtested charts that might have caused the strategy to enter or exit a trade.