S
Thanks, in the end that is pretty much what I did.
There's likely a much more elegant way to do this than how I have done it though
# define_indicators.py
def save_indicators():
indicators = {
'SMA': {'ind': bt.ind.SMA, 'data': 0, 'args': {'period':10}},
'trend': {'ind': bt.ind.SMA, 'data': 3, 'args': {'period':10}},
'rsi_1M': { 'ind': bt.ind.RSI, 'data': 0, 'args': None },
'rsi_5M': { 'ind': bt.ind.RSI, 'data': 1, 'args': None},
'rsi_30M': { 'ind': bt.ind.RSI, 'data': 2, 'args': None },
'rsi_1H': { 'ind': bt.ind.RSI, 'data': 3, 'args': None },
'rsi_4H': {'ind': bt.ind.RSI, 'data': 4, 'args': None},
'sto_1M': {'ind': StochasticRSI, 'data': 'rsi_1M', 'args': None},
.....
}
DATA_DIRNAME.mkdir(parents=True, exist_ok=True)
with open(INDICATORS_FILENAME, 'wb') as f:
pickle.dump(indicators, f, pickle.HIGHEST_PROTOCOL)
def build_indicators(datas, indicators):
ind = dict()
for k, v in indicators.items():
kwargs = {}
if v['args']:
kwargs = v['args']
if type(v['data']) is str:
data = [ind[v['data']]]
elif type(v['data']) is list:
data = list()
for d in v['data']:
if type(d) is tuple:
data.append(getattr(ind[d[0]], d[1]))
else:
data.append(ind[d])
else:
data = [datas[v['data']]]
ind[k] = v['ind'](*data, plotname=k, **kwargs)
return ind
if __name__ == '__main__':
save_indicators()
# strategy.py
import backtrader as bt
from define_indicators import build_indicators
class St(bt.Strategy):
def __init__(self):
f = open(INDICATORS_FILENAME, 'rb')
indicators = pickle.load(f)
self.indicators = build_indicators(self.datas, indicators)
