Indicators/Strategies/Analyzers

• 

  Zigzag indicator
  • chuka  

  15
  0
  Votes
  15
  Posts
  5652
  Views

  

  @USMacScientist HI! I am few days new to this. I have your zig zag called in strategy class like any other indicator in quickstart guide. The chart produced is great! I appreciate you sharing your code. I produce the chart as well which is great. self.zz = ZigZag(self.data, plotname='ZZ') I like to humbly ask you how do I access your other lines in this study such as last_pivor_t etc? I am trying to access the values stored in these lines. Thanks!
• 

  technical analysis pattern
  • Ikenna Nwagbara  

  2
  0
  Votes
  2
  Posts
  28
  Views

  

  https://community.backtrader.com/topic/585/help-with-starting-up
• 

  timeframe parameter for Analyzers and weekly data
  • Nicola Prada  

  3
  0
  Votes
  3
  Posts
  36
  Views

  

  You're right! I was adding all my weekly pandas data without specifying their timeframe because I wrongly assumed backtrader was able to identify it from the data: for i, value in enumerate(data.items()): s, df = value if isinstance(df, DataFrame): cerebro.adddata(PandasData(dataname=df, name = df.name, plot=False)) # ...... As you said I missed this from the docs: timeframe (default: TimeFrame.Days)
• S

  Maximum (MaxN/Highest) based on time interval (i.e. n days ago) rather than periods (bars)
  • solk  

  1
  0
  Votes
  1
  Posts
  13
  Views

  No one has replied

• K

  Using buffered indicator data - broker.get_value() 'nan'
  • kriku  

  2
  0
  Votes
  2
  Posts
  40
  Views

  

  I just met this question,and I find it is the NaN in my data,when I fillna(method="ffill"),it becomes normal. for file in file_list: data = pd.read_csv("C:/data/future/day/"+file) datetime_list=list(data['datetime']) begin_date=datetime_list[0] if begin_date>"2010-01-01": end_date=datetime_list[-1] df1=df[df['datetime']>=begin_date] df1=df1[df1['datetime']<=end_date] if len(df1)!=len(data): print(file) df1=df1[['datetime']] df1.index=range(len(df1)) # df2=pd.concat([df1,data],join="outer",keys="datetime",axis=1) df2=pd.merge(df1,data,on='datetime',how='outer') df2=df2.fillna(method="ffill") df2.to_csv("C:/data/future/day/"+file,index=False)
• 

  KDJ indicator error
  • 李杰  

  1
  0
  Votes
  1
  Posts
  30
  Views

  No one has replied

• 

  Optstrategy and PivotPoint indicator pickle error
  • Benjamin Kesby  

  4
  0
  Votes
  4
  Posts
  36
  Views

  

  OK thank you, does this mean I cant keep strategies in separate files and import them? I have also wrapped a backtrader script in a class to allow for some easier configuration/ automation but i guess thats not possible with optstrategy also? Finally why would this error only occur with pivot points. All other indicators i've used so far do not create such an error.
• 

  Plotting a boolean indicator
  • Marc Hanbuerger  

  3
  0
  Votes
  3
  Posts
  29
  Views

  

  Hi Backtrader, Thanks a lot! that worked... Here the code in case someone else needs it: from __future__ import (absolute_import, division, print_function, unicode_literals) import backtrader as bt import datetime # For datetime objects import os.path # To manage paths import sys # To find out the script name (in argv[0]) import random class DummyInd(bt.Indicator): lines = ('dummyline',) plotinfo = dict(plot=True, subplot=False, plotlinelabels=True) plotlines = dict(dummyline=dict(marker='$\u21E9$', markersize=6.0, color='red', fillstyle='full', ls='') ) params = ( ('barplot', False), # plot above/below max/min for clarity in bar plot ('bardist', 0.055), # distance to max/min in absolute perc ) def next(self): if random.randint(0, 100) > 96: # to get a ~4% chance of this dummy indicator triggering self.lines.dummyline[0] = self.datas[0].high[0] else: pass # Create a Stratey class TestStrategy(bt.Strategy): def __init__(self): self.myindicator = DummyInd() def next(self): pass cerebro = bt.Cerebro() cerebro.addstrategy(TestStrategy) modpath = os.path.dirname(os.path.abspath(sys.argv[0])) datapath = modpath + "\\datas\\orcl-1995-2014.txt" data = bt.feeds.YahooFinanceCSVData( dataname=datapath, # Do not pass values before this date fromdate=datetime.datetime(2000, 1, 1), # Do not pass values after this date todate=datetime.datetime(2000, 12, 31), reverse=False) cerebro.adddata(data) cerebro.broker.setcash(100000.0) cerebro.run() cerebro.plot() and here a screenshot of the indicator:
• N

  Data Feeds Not Aligned In Custom Indicator
  • nimrare  

  3
  0
  Votes
  3
  Posts
  58
  Views

  N

  Update: Okay, I have solved it. I found this article detailing a bit about the matter: https://www.backtrader.com/blog/posts/2016-04-19-sync-different-markets/sync-different-markets/ However, I did not really like the possible solutions so I solved it like that: ... datamaster = "VIXY" universe = ["SPY"] # add a strategy cerebro.addstrategy(MultiFeedStrategy) # synchronize data by dropping all indices that are not present in the datamaster data_feed_dfs = [] # load datamaster datamaster_df = pd.read_csv("../../data/{}.csv".format(datamaster), index_col="datetime", parse_dates=True) datamaster_df = datamaster_df[["open", "high", "low", "close", "volume"]].copy() data_feed_dfs.append(datamaster_df) for symbol in universe: # load data dataframe = pd.read_csv("../../data/{}.csv".format(symbol), index_col="datetime", parse_dates=True) dataframe = dataframe[["open", "high", "low", "close", "volume"]].copy() dataframe = dataframe.loc[dataframe.index.isin(datamaster_df.index)].copy() data_feed_dfs.append(dataframe) for data_feed_df in data_feed_dfs: try: # convert the dataframe to data feed data = bt.feeds.PandasData(dataname=data_feed_df, fromdate=fromdate, todate=todate, plot=True) # add the data feed to cerebro cerebro.adddata(data, name=symbol) except Exception as e: print(e) # set our desired cash start cerebro.broker.setcash(100000) ... Basically I am only selecting timestamps that are also present in the datamaster (i.e. first data feed added to the strategy) Hope this helps others that run into similar problems. :) However, I would still appreciate if someone could clarify my questions in the first post. Best, nimrare
• 

  Change the Limit/Stop orders in an existing position
  • Sergey Malchevskiy  

  5
  0
  Votes
  5
  Posts
  69
  Views

  

  @vladisld I think the problem is that I don't understand completely how bracket orders work in Backtrader. After that when my order is filled, do I get 2 pending orders (limit and stop), right? If it's right, then I perhaps can use OCO orders.
• C

  [FIXED] Ichimoku: Unable to get Future cloud
  • cgi1  

  6
  0
  Votes
  6
  Posts
  1527
  Views

  

  Is this really solved? Following simple test does not work: class IchimokuStrategy(StrategyBase.StrategyBase): def __init__(self): self.Ichimoku = bt.indicators.Ichimoku() def next(self): print(self.Ichimoku.senkou_span_a[26]) if __name__ == '__main__': cerebro = bt.Cerebro() cerebro.adddata(data) cerebro.addstrategy(IchimokuStrategy) cerebro.run(runonce=True) cerebro.plot() It throws following error: File "/Users/BackTrader/IchimokuStrategy.py", line 25, in next print(self.Ichimoku.senkou_span_a[26]) File "/usr/local/lib/python3.7/site-packages/backtrader/linebuffer.py", line 163, in __getitem__ return self.array[self.idx + ago] Why can't I get the values from the future?
• 

  How to: Have "SPY" based indicator for every symbol execution
  • Yanir Taflev  

  3
  0
  Votes
  3
  Posts
  82
  Views

  A

  No answer simply means no answer. Your scenario is possible with bt.
• 

  Indicators outside of strategy?
  • Eric Miller  

  4
  0
  Votes
  4
  Posts
  91
  Views

  

  @lampalork Thats a good idea, thank you!
• L

  Re-initialize an indicator during the life of a strategy
  • lampalork  

  2
  0
  Votes
  2
  Posts
  42
  Views

  L

  Hello All, After doing more investigation on this, I understand that an indicator cannot be instantiated/modified during a strategy's life (i.e. in next() for instance). But is there a way, I can enable/disable an indicator (when indicator not needed) to save CPU during backtesting? Thanks and regards Lamp'
• 

  Multiple strategies on single data
  • Yury Tsar  

  7
  0
  Votes
  7
  Posts
  177
  Views

  B

  @Yury-Tsar said in Multiple strategies on single data: In case as you described, Cerebro will share same position across multiple strategies. What @vladisld pointed you to won't share the same position across multiple strategies. You may want to read the articles in detail. It doesn't in case apply to your single stop-loss optimization goal.
• 

  Bitcoin trading strategy
  • Levent Yilmaz  

  5
  0
  Votes
  5
  Posts
  320
  Views

  J

  class VolatilityLevel(bt.Indicator): alias = ('VolatilityLevelIndex',) lines = ('bbw', 'VLI_fast', 'VLI_top', 'VLI_slow',) params = ( ('period', 20), ('devfactor', 2.0), ('movav', MovAv.Simple), ('fast_period', 20), ('slow_period', 100), ) plotinfo = dict(subplot=True, bbw=dict(_name='bbw', color='green', ls='--', _skipnan=True), VLI_fast=dict(_name='VLI_fast', color='red', ls='--', _skipnan=True), VLI_top=dict(_name='VLI_top', color='lightred', ls='--', _skipnan=True), VLI_slow=dict(_name='VLI_slow', color='blue', ls='--', _skipnan=True), ) def __init__(self): self.lines.bbw = BollingerBandsW(self.data, period=self.params.period, devfactor=self.params.devfactor) self.lines.VLI_fast = self.p.movav(self.lines.bbw, period=self.p.fast_period) self.lines.VLI_slow = self.p.movav(self.lines.bbw, period=self.p.slow_period) std = bt.ind.StdDev(self.lines.bbw, period=self.p.slow_period) self.lines.VLI_top = self.lines.VLI_slow + 2 * std enjoy
• 

  Best period
  • mohammad amin hasan abadi  

  3
  0
  Votes
  3
  Posts
  82
  Views

  

  Thanks a lot I got my answer.
• 

  AttributeError: module 'backtrader.indicators' has no attribute 'DummyInd'
  • aman jha  

  4
  0
  Votes
  4
  Posts
  47
  Views

  A

  btind.some_indicator() tries to get an indicator from bt library. Evidently there is no DummyInd() indicator there, it is developed in your code.
• 

  Trying to set up a simple ichimoku strategy: array index out of range error
  • Samyak Dhole  

  2
  0
  Votes
  2
  Posts
  81
  Views

  

  Changed the logic according the doc pages: # Long Short ichimoku logic self.long = bt.And((self.data.close[0] > self.ichi.senkou_span_a(0)), (self.data.close[0] > self.ichi.senkou_span_b(0)), (self.tkcross == 1)) self.short = bt.And((self.data.close[0] < self.ichi.senkou_span_a(0)), (self.data.close[0] < self.ichi.senkou_span_b(0)), (self.tkcross == -1)) Seems to have resolved that.
• K

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

  14
  1
  Votes
  14
  Posts
  2797
  Views

  B

  @kaya May I suggest as an additional option just zero-padding, symmetrization, or smooth padding out the short data feed to the length of the longest line? Then all the data will start at the same bar. At the end you can simply trim the output to match the actual individual line length if you wish.