Indicators/Strategies/Analyzers

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  Multi timeframe indicator plotted twice and in wrong timeframe
  • fino

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  @backtrader said in Multi timeframe indicator plotted twice and in wrong timeframe: Use coupling: Docs - Mixing Timeframes in Indicators This functionality allows to calculate an indicator on a timeframe an automatically apply the indicator to another lower timeframe. I tried coupling the D1 indicator with the following code as suggested by the guide, but I still get the same error: ValueError: x and y must have same first dimension, but have shapes (54,) and (6,) class LevelsDisplay(bt.Strategy): params = dict(period=30) def __init__(self): # self.data1 = D1 Timeframe levels = Levels(self.data1, period=self.p.period) self.levels = levels() self.levels.plotinfo.subplot = False self.levels.plotinfo.plotmaster = self.data0 I do not see any other places in the Strategy where I could couple. The guide says See how the () is executed with no arguments (in the background a None is being supplied). The following is happening: pivotpoint.s1() is returning an internal LinesCoupler object which follows the rhythm of the larger scope. This coupler fills itself with the latest delivered value from the real s1 (starting with a default value of NaN) How does the Cerebro know which timeframe is the "the larger scope"? Does it analyze all the added data? BTW the Mixing Timeframes guide is where I started and it does not mention plotmaster at all. Maybe it could be useful for newbies if it was somehow mentioned. Just a suggestion.
• 

  Indicator - High since most recent Low
  • sickboy_76au

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  Thanks that worked .... I had an issue with kicking off the calc at the right time as this was an indicator on another indicator which is an average of another average, so had to find a way to delay the start. but the below is not very pretty but it worked. I think it might be better in a new indicator class but I kept getting a variety of errors with that and my python isn't good enough. Thanks for the help. def __init__(self): #keep a reference to the close self.dataclose = self.datas[0].close self.dataopen = self.datas[0].open self.datahi = self.datas[0].high self.datalo = self.datas[0].low self.datadate = self.datas[0].datetime self.dmi = btind.DirectionalMovement(period = self.params.fastdays) self.dyn_adx_hi = [0,] self.dyn_adx_lo = [0,] def next(self): if len(self.dmi.adx) > (self.params.fastdays)*3+1 and len(self.dmi.adx) <=(self.params.fastdays)*3+2: self.dyn_adx_hi[0] = self.dmi.adx[-1] self.dyn_adx_lo[0] = self.dmi.adx[-1] if len(self.dmi.adx) > (self.params.fastdays)*3+2: if self.dmi.adx[0] > self.dyn_adx_hi[-1] or self.dmi.adx[0] >= self.dmi.adx[-1]: self.dyn_adx_hi[0] = self.dmi.adx[0] self.dyn_adx_lo[0] = self.dyn_adx_lo[-1] elif self.dmi.adx[0] < self.dyn_adx_lo[-1] or self.dmi.adx[0] < self.dmi.adx[-1]: self.dyn_adx_lo[0] = self.dmi.adx[0] self.dyn_adx_hi[0] = self.dyn_adx_hi[-1]
• 

  Problem with Transactions analyzer
  analyzer incorrect • • adrtod

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  I see. Thanks @backtrader for the answer and for the amazing work!
• A

  Backetest step by step
  • arikenig

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  Thanks!!
• 

  Initiating Leverage and Margin
  • Robin Dhillon

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  If you post code, you should have a look at what's right above the title of the post For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/ Because if you don't, code is basically non-readable. You say 2x orders are rejected, but how leverage is configured is not known. What you exactly do is unclear, but you probably want to see this discussion (there are some others you can quickly google). https://community.backtrader.com/topic/1508/leverage-doesn-t-affect-returns-in-backtesting/
• D

  When plotting the EMA12 and EMA26, indicate when the two EMA cross
  • data-analyst

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  You can also use the MA_CrossOver strategy class in the bt. Strategy parent. Just change the init attributes to accommodate for the EMA function. https://github.com/backtrader/backtrader/blob/master/backtrader/strategies/sma_crossover.py
• 

  Executing Sell and Buy orders of an asset
  • Robin Dhillon

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  @backtrader I tried executing the trade with what you mentioned above, but I got the best execution using the bracket orders with a risk method controlling the sizes. Really appreciate the timely response, Thank you.
• D

  broker cash and value on separate scales in the plot
  • dongiulio

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  You can always separate them. Use stdstats=False in cerebro Docs - Cerebro And add the observers your like. There are separate observers for Broker and Value. Docs - Observers and Statistics Docs - Observer Reference
• C

  custom indicators
  • chaitanya goud

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  See Docs - Indicator Development Medium - Custom Indicator Development in Python with backtrader
• S

  Help with Volume-Weigthed Moving Average (VWMA) indicator needed
  • Søren Pallesen

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  @søren-pallesen Hi, yes, among many other items I've created a rolling VWAP for backtrader which I've found useful. And as a challenge to myself I did it in four actual lines of code. If you use this you need to pay me by shipping me a box of your local delicacies (although not dried fish or lutefisk). Investopedia has some good entries on VWAP and MVWAP as I recall. ''' Author: B. Bradford MIT License Copyright (c) B. Bradford Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. That they contact me for shipping information for the purpose of sending a local delicacy of their choice native to whatever region they are domiciled. THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. class VolumeWeightedAveragePrice(bt.Indicator): plotinfo = dict(subplot=False) params = (('period', 30), ) alias = ('VWAP', 'VolumeWeightedAveragePrice',) lines = ('VWAP',) plotlines = dict(VWAP=dict(alpha=0.50, linestyle='-.', linewidth=2.0)) def __init__(self): # Before super to ensure mixins (right-hand side in subclassing) # can see the assignment operation and operate on the line cumvol = bt.ind.SumN(self.data.volume, period = self.p.period) typprice = ((self.data.close + self.data.high + self.data.low)/3) * self.data.volume cumtypprice = bt.ind.SumN(typprice, period=self.p.period) self.lines[0] = cumtypprice / cumvol super(VolumeWeightedAveragePrice, self).__init__()
• K

  Extending a Datafeed
  • Keko

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  K

  got it , thanks
• O

  Extending Datafeeds GenericCSV Attribute Error
  • Osofuego

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  See this ... https://community.backtrader.com/topic/1584/extending-a-datafeed/
• T

  Using VWR
  • tw00000

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  No. The results you see come directly from the analyzer and nothing has changed since the post.
• M

  indicator with dynamically changing data
  • momentum

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  @momentum said in indicator with dynamically changing data: Do you mean instead of changing the data of the indicator, change the data feed itself? No, I said that you create a data feed which dynamically changes the data it serves. You fail to understand that the self.datas array in each object is a different one. This is obvious if you consider that you can do this ma_on_ma = bt.ind.SMA(bt.ind.SMA(self.data, period=5), period=5) The outer SMA has, obviously, only 1 data feed which happens to be another SMA (the inner one) Futhermore, you expect things to use the array self.datas and you manipulate it with that expectation. As noted above, this is not supported, given that other notations and references are used in the internals.
• S

  Question on PyFolio
  • sylvain

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  @sylvain said in Question on PyFolio: Is there any way I could format the trading result and feed to Pyfolio and make it works? Your use case is not covered by the PyFolioAnalyzer which is the analyzer wrapping the calls to PyFolio. You would have to use the existing code as basis for a new analyzer which decides which data feeds to consider.
• S

  How to execute order during gap open on next bar ?
  • Saikee Wong

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  You could also simulate the gap entering with a simple Stop and link both the StopLimit and Stop to make them OCO orders, which guarantees that only one of them gets executed. See Docs - OCO Orders
• J

  Clarification Regarding Filters
  • Jacob

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  Check out Docs - Automating BackTesting. You can put the script part responsible for cerebro running into function and add parameters which will control filters, indicators, resample data etc.
• S

  Moving Average on Particular time point(eg. 10 am)everyday on Intraday Data(1min)
  • sylvain

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  Thank you for pointing that out. So if I want to compare the current volume to the average volume at the same time historically. I need to store the rolling avg for 480points (8hours*60mins), then filter by dt.time() to get the right point and do the comparison?
• L

  Live Trading with IB - Order outside RTH
  • lch81592

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  Docs - Live Trading - Interactive Brokers If the user wishes to modify this, extra **kwargs can be supplied to buy and sell following the IB documentation. For example inside the next method of a strategy:
• K

  Backtesting multiple symbols with different date ranges - backtest won't start until all data feeds have data
  • kaya

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  @kaya I realize I'm late to the party. Just wondering how you made out. Did you create several thousand datafeeds? I'm considering the same issue. Please let me know if you'd like to collaborate.