@void Your question made me think. I was wondering what would happen if you change the value of say, self.data.close in the init of the strategy. Would that work? Appears to.
def __init__(self):
self.data.close = self.data.close / 100
self.sma = bt.ind.SMA(self.data.close, period=20)
Results in:
2020-11-20, o 117.40 h 119.98 l 117.26 c 1.19 sma 1.09
2020-11-23, o 119.73 h 120.29 l 116.95 c 1.18 sma 1.10
2020-11-24, o 119.44 h 121.01 l 118.90 c 1.21 sma 1.10
2020-11-25, o 121.65 h 122.63 l 119.68 c 1.20 sma 1.12
2020-11-26, o 120.14 h 121.36 l 119.22 c 1.21 sma 1.13
2020-11-27, o 120.72 h 121.68 l 120.23 c 1.21 sma 1.14
2020-11-30, o 120.64 h 121.05 l 119.33 c 1.19 sma 1.14
2020-12-01, o 119.42 h 121.37 l 119.35 c 1.21 sma 1.15
2020-12-02, o 120.29 h 122.73 l 118.88 c 1.23 sma 1.16
2020-12-03, o 122.19 h 123.79 l 121.80 c 1.23 sma 1.17
I have to wonder if there aren't dangers being missed here. I think I would still likely preprocess with Pandas unless this method was thoroughly tested.
Here's the whole code.
import datetime
import backtrader as bt
class Strategy(bt.Strategy):
def log(self, txt, dt=None):
""" Logging function fot this strategy"""
dt = dt or self.data.datetime[0]
if isinstance(dt, float):
dt = bt.num2date(dt)
print("%s, %s" % (dt.date(), txt))
def print_signal(self):
self.log(
"o {:7.2f}\th {:7.2f}\tl {:7.2f}\tc {:7.2f}\tsma {:5.2f}".format(
self.datas[0].open[0],
self.datas[0].high[0],
self.datas[0].low[0],
self.datas[0].close[0],
self.sma[0],
)
)
def __init__(self):
self.data.close = self.data.close / 100
self.sma = bt.ind.SMA(self.data.close, period=20)
def next(self):
self.print_signal()
if __name__ == "__main__":
cerebro = bt.Cerebro()
data = bt.feeds.YahooFinanceData(
dataname="VOD.L",
timeframe=bt.TimeFrame.Days,
fromdate=datetime.datetime(2020, 10, 25),
todate=datetime.datetime(2020, 12, 31),
reverse=False,
)
cerebro.adddata(data)
cerebro.addstrategy(Strategy)
cerebro.run()
