Indicators/Strategies/Analyzers

• J

  Optimize Stop-Trail order values
  • j45p41

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  @backtrader So obvious (when you know how) got it. Removed the globals and try except and got it to work! Thank you sir!
• 

  Closed trade list (including MFE/MAE) analyzer
  analyzer mfe mae trades • • ab_trader

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  B

  Awesome!. Thx for sharing!
• A

  Drawdown analysis appears to be incorrect
  • advandenoord

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  Drawdown analyzer works with the historical broker value curve. You calculate your results based in closed trades equity, no in-trade drawdowns are considered. The results should be different in most of the cases.
• K

  Possibly wrong output of tradeanalyzer?
  • kfeeeeee

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  B

  No issue keeping it. It was a regression error and it will soon be in the mainline.
• A

  TradeAnalyzer appears to be incorrect
  • advandenoord

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  Thanks, this fixes the problem :)
• L

  Williams Alligator
  • Lucas Condé

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  @backtrader Thank you, I will take a look.
• C

  Commission as Dollar Value
  • cwse

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  See Docs - Commissions: Stocks vs Futures and CommInfoBase.COMM_FIXED
• J

  Create orders from CSV file
  • j45p41

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  @backtrader great! And thank you. Can’t wait to get stuck into this in the morning!
• L

  ZeroDivisionError: float division by zero on Williams R
  • Lucas Condé

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  Thank you for your feedback, I will switch to another indicator.
• 

  Detecting if we are running an Optimization from within a Strategy
  • vbs

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  Ok, thanks alot!
• M

  Adding custom indicator
  • maxpaton

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  @backtrader Got it now, thanks
• M

  ZeroDivisionError: float division by zero on RSI
  • Mike

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  B

  It's not a perfect solution. Because the original definition of the RSI doesn't have provisions for the case in which a DivisionByZero happens. This only happens when the prices don't change over time, which was possibly not contemplated by the author, back then.
• J

  Sizer for partial units, crypto
  • Julianus

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• C

  Bullish and Bearish Divergence MACD/RSI
  • CooleRnax

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  @coolernax said in Bullish and Bearish Divergence MACD/RSI: iterable I have created the fix, hope you can include similar indicator for RSI/MACD in the main branch: class RSIDivergence(bt.ind.PeriodN): lines = ('signal',) params = dict( rsi_period=30, hl_period=100, hl_min=25 ) def __init__(self): self.hfi = bt.ind.FindFirstIndexHighest(self.data.high, period=self.p.hl_period) self.lfi = bt.ind.FindFirstIndexLowest(self.data.low, period=self.p.hl_period) self.rsi = bt.ind.RSI_Safe(period=self.p.rsi_period) def signal_get(self): signal = 0 if self.hfp >= self.hsp: if self.rsi[-int(self.hfi[0])] < self.rsi[-int(self.hsi)]: signal -= 1 if self.lfp <= self.lsp: if self.rsi[-int(self.lfi[0])] > self.rsi[-int(self.lsi)]: signal += 1 return signal def next(self): h_iterable = self.data.get(size=self.p.hl_period, ago=-int(self.hfi[0]) - self.p.hl_min) l_iterable = self.data.get(size=self.p.hl_period, ago=-int(self.lfi[0]) - self.p.hl_min) if len(h_iterable) > 0 and len(l_iterable) > 0: m = max(h_iterable) self.hsi = next(i for i, v in enumerate(reversed(h_iterable)) if v == m) + int(self.hfi[0]) + self.p.hl_min m = min(l_iterable) self.lsi = next(i for i, v in enumerate(reversed(l_iterable)) if v == m) + int(self.lfi[0]) + self.p.hl_min self.hfp = self.data.high[-int(self.hfi[0])] self.hsp = self.data.high[-int(self.hsi)] self.lfp = self.data.low[-int(self.lfi[0])] self.lsp = self.data.low[-int(self.lsi)] self.lines.signal[0] = self.signal_get() else: self.lines.signal[0] = 0
• J

  Notify_trade: trade.size is zero at trade closed
  • Julianus

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  J

  @backtrader, ok. I'm going to deep-dive in the platform once again from the beginning, so then hopefully those questions/topics will be clearer. Don't you consider having a discord channel for very interactive chats? Thanks anyway.
• S

  Re: PyFolio analyzer multiple data sources not working
  • sfkiwi

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• S

  DivideZeroError on some indicators
  • sfkiwi

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  @sfkiwi said in DivideZeroError on some indicators: Ok but, unlikely as it is, the price stayed stationary for more than 20mins so shouldn't the indicators still be protected from a divide by zero error? Nobody has claimed nothing about the price or the protection. Only that you said something was broken without posting any code or data. And when the code and data were posted, the error was somewhere else. Hence the need to post something sensible. class BollingerBandsPct(BollingerBands): ''' Extends the Bollinger Bands with a Percentage line ''' lines = ('pctb',) params = (('safediv', False), ('safezero', 0.0)) plotlines = dict(pctb=dict(_name='%B')) # display the line as %B on chart def __init__(self): super(BollingerBandsPct, self).__init__() if not self.p.safediv: self.l.pctb = (self.data - self.l.bot) / (self.l.top - self.l.bot) else: self.l.pctb = DivByZero(self.data - self.l.bot, self.l.top - self.l.bot, self.p.safezero) class BollingerBandsPct_SafeDiv(BollingerBandsPct): params = (('safediv', True),) That's something you can directly use in your code. There is no need for a fork to do that.
• 

  Indicators & Machine Learning
  • Sahli Simo

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  B

  You cannot put values into the future, which is what you are trying to do. Keep the values in a ring buffer (use for example collections.deque with a maxlen during creation), push the last predicted value and pop the value from the left which is the current value.
• Y

  PyFolio performance issues on Pandas Data Frame
  • Yousuf

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  Apologies for not articulating the problem well enough in the first post. However, you have correctly inferred that I am facing issues with not being able to see intraday positions and returns from PyFolio analyzer. My run strat function looks like this: def runstrat1(): args = parse_args() # Create a cerebro entity cerebro = bt.Cerebro(stdstats=True) # Add a strategy cerebro.addstrategy(strategy1.TestStrategy) # Get a pandas dataframe datapath = ('./dataset/data2.csv') dataframe = pd.read_csv(datapath,parse_dates=True,index_col=0) # Pass it to the backtrader datafeed and add it to the cerebro data = PandasDataExpanded(dataname=dataframe) cerebro.adddata(data) # Add PyFolio Analyzer cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio') # Run over everything strats = cerebro.run() returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items() for each in strat0.analyzers: each.print() print(positions['cash']) # Plot the result if not args.noplot: cerebro.plot(style='bar') return positions My class for pandas data feed look like this: class PandasDataExpanded(btfeeds.PandasData): lines = ('barCount',) params = (('barCount', -1),)
• S

  Unable to get LinePlotterIndicator to display
  • sfkiwi

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  B

  The lines of all other indicators do actually get plotted, there is no reason why above and below to not get plotted. @sfkiwi said in Unable to get LinePlotterIndicator to display: But I am not able to get these values to display on the cerebro.plot(). I read in the docs that because of the use of > and < the lines won't just plot automatically This is when you make a comparison and is not assigned to a line. In that case one uses LinePlotterIndicator to fake an indicator that holds the resulting operation of the comparison. Don't you think that an actual plot (you posted an example in the other thread) could help?