Indicators/Strategies/Analyzers

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  Dynamic values for strategy
  • agog  

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  @agog said in Dynamic values for strategy: MACD2 (Dynamic) macd2fast = self.p.macdfast * self.bb.upperband-self.bb.lowerband macd2slow = self.p.macdslow + self.p.macdslow * self.bb.upperband-self.bb.lowerband macd2signal = self.p.macdsignal + self.p.macdsignal * self.bb.upperband-self.bb.lowerband talib_macd2 = bt.talib.MACD(self.data, fastperiod=int(macd2fast), slowperiod=int(macd2slow), signalperiod=int(macd2signal), plot=False) I think all of this needs to be in your init sections.
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  Ema Slope indicator
  • ThinkWaitFast  

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  @run-out said in Ema Slope indicator: self.ema2 = self.ema - self.ema(-1) Yeah this approach is probably better because it automatically updates the indicator's minimum period.
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  Do you guys have a working Strategy i can play with?
  • peter777  

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  I have it already. Thanks anyway!
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  Extending transactions object from Analyzer
  • Pablo Reyes Almagro  

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  Hi Pablo, may I ask how you actually managed to run pyfolio? I was trying to run the sample code from the Documentation and got the error TypeError: create_full_tear_sheet() got an unexpected keyword argument 'gross_lev' which seems to be known. Did you downgrade you pyfolio version? Would be awesome I could get a version to run :)
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  TimeDrawDown Time Frames
  • JustSomeGuy  

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  The TimeDrawDown analyzer is built off TimeFrameAnalyzerBase starting at line 289. Have a look at that code, perhaps you can get some clues there about how time is being handled and create your own custom analyzer overwriting or modifying I would imagine def _get_dt_cmpkey(self, dt): line 361.
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  Days to Weeks resampling
  • Matheus Pires  

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  Problem solved: The issue was that I haven't assigned a calendar to cerebro with a corresponding session start/end, so it assumed the session lasted the whole 24h (I guess). Anyways I just needed to add an instance of MyCalendar to cerebro: class MyCalendar(bt.TradingCalendar): params = { 'open': time(9, 0), 'close': time(18, 0), }
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  Hacking out a Breakout Strategy on Tick Data
  • Esa J. Obande  

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  You will also need to cancel orders which were not executed after the period of waiting (probably one bar in your case).
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  [FIXED] Ichimoku: Unable to get Future cloud
  • cgi1  

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  I ran some tests and for this case, we should use ago parameters as the starting point in "future" to look backwards, for example : print(f"{list(self.Ichimoku.senkou_span_a.get(ago= 3, size=4))}") which will yield the same result as : print(f"{[self.Ichimoku.senkou_span_a[i] for i in range(4)]}") However, If we pass ago=0 it will get the last 3 values, [0],[-1] ,[-2], which for this particular case is not in our interest. I checked the documentation in the Getting slice part and it makes sense. Thanks for the help.
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  How to get the first date of a datafeed?
  • DOM LEE  

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  @vladisld Thanks for you advice. I thought about define custom data feed, but there are thousands of stocks when I run the strategy, and they share a same "my_ind_data" line(and "my_ind_data" is not the only custom data). so that will increase memory usage obviously.
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  DivideZeroError on some indicators
  • sfkiwi  

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  @HONGYI-ZHENG Any chance you could share an example of how you did this? Any unexpected downsides?
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  candlesticks screenings stocks analyzer
  • Maciek Paciarski  

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  @Maciek-Paciarski the example in the blog uses the last price. https://www.backtrader.com/blog/posts/2016-08-15-stock-screening/stock-screening/ since you are checking the whole line, not only the last entry, you would need to iterate through all candles. with var i you can also get the date from data and other values. you would access it the same as the line you generated in init: data: bt.talib.CDLHARAMICROSS(data.open, data.high, data.low, data.close) so the line with bt.talib.CDLHARAMICROSS (think of a list) contains all occurrences of the pattern for every candle in data. with data[-i] you would get the candle on which the pattern recognition was triggered for data, line in self.candles.items(): note = data._name for i in range(0, len(line)): if line[-i] == 100: bullish = True print("BULLISH", data.time[-i]) elif line[-i] == -100: bearish = True print("BEARISH", data.time[-i]) with for i in range(0, len(line)): you go through the line starting with the newest entry to the oldest entry.
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  Strategy optimization with same set of indicator/signals
  • dehati_paul  

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  @ab_trader Thanks a lot!!
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  AttributeError: 'DataFrame' object has no attribute 'setenvironment'"
  • chhrissi2909  

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  strategy.p script: import math import backtrader as bt class GoldenCross(bt.Strategy): params = (("fast", 50), ("slow", 200), ("order percentage", 0.95), ("ticker", "AAPL")) def __init__(self): self.fast_moving_average = bt.indicators.SMA( self.data.close, period=self.p.fast, plotname="50 day moving average") self.slow_moving_average = bt.indicators.SMA( self.data.close, period=self.p.slow, plotname="200 day moving average") self.crossover = self.bt.indicators.crossover(self.fast_moving_average, self.slow_moving_average) def next(self): pass
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  Cancel buy_bracket order after it's closed
  • Eduardo Menges Mattje  

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  @ab_trader @run-out Thank you for your everything!
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  Bullish and Bearish Divergence MACD/RSI
  • CooleRnax  

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  @dowdtw I figured it out. No Dramas.:)
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  Bitcoin trading strategy
  • Levent Yilmaz  

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  @jeff-lee Hi Jeff, thank you very much. Best regards,
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  Too many positional arguments for constructor call - CrossOver Function
  • chhrissi2909  

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  @vladisld My code did not run.. the error was printed and then nothing happened.. But Now I put a self. in front of the line and now there is no error anymore. Now it looks like: self.crossover = self.bt.indicators.crossover(self.fast_moving_average, self.slow_moving_average) But now there is a mother error in the run.py script. it is called "Unexpected keyword argument 'dataname' in constructor call" the error is in this in the 14. line of the run.py code. there: feed = bt.feeds.PandasData(dataname=stock_prices) do you understand this problem? :0
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  Leverage analysis with Pyfolio
  analyzer interactive leverage pyfolio • • J. Javier Gálvez  

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  @ab_trader Ok. Thank you. Let me read it.
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  Transactions occuring in part increments.
  • run-out  

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  That is common for trading tools that end user should maintain the correct price steps and prices for limit and stop orders.
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  Multi core indicator processing
  multi core • • André Tavares  

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  @vladisld I don't have it. I have been trying to change the code to allow multiprocessing but it did not work. Another thing I could do to achieve my goal would be to instead of passing to the strategy a list of companies, I could tell it 2 companies and make an optimization of the strategy. This way I would achieve multiprocessing. However I would like to have an analysis of the whole strategy with all pairs together, and doing this I will have the results per pair. Is it possible to merge Analyzers in order to see all pairs results together?