Indicators for datas with less periods than the indicator requires

Rstrong

I am trying to get an indicator for IPO stocks. The trouble is that the indicators require a certain amount of periods to have passed for the indicator to work and sometimes there are less periods in the whole data set than the indicator requires.

I would like to write something like:

if len(self.datas) < 14:
    period = len(self.datas)

The trouble is that I dont know how to get the length of the data within the def init_(self): of the bt.strategy class.

Any idea how to do this?

EDIT

Actually the period would have to be a rolling for some and static for others. If the indicator I wanted to make was all time highs, and its the 3rd period of a data then that number would have a rolling period always referencing the first day. Is this something that is possible to do with a custom indicator?

However if the indicator was ATR for example, I would want the ATR of the last 3 periods until it hits 14 periods and then be 14 after that.

ab_trader

If you would be more specific, than the answer can be more specific also. But I'll try.

I would do all calculations in the next() using slices taken from data feed. Length of the slice can be calculated based on the rules. Say if I want rolling value up to period of 10, than if length of delivered data is smaller than 10, I use length of delivered data, otherwise I use 10. Make a slice and do all the calculations to get indicator value.

Slicing is shown in the docs Platform Concepts - Slicing

For All Time High I would put indicator calculations in the next() also: every next I will just compare current bar High with the current indicator value and update indicator value if current High is bigger.

For ATR - create two ATR's for periods of 3 and 14 in the __init()__. Then in the next() check the length of delivered data: shorter than 14, use ATR3; longer than 14 - use ATR14.

Rstrong

@ab_trader Thanks for the reply. I really appriciate it.

I have indeed made such indicators within next(), but it makes back testing go much much slower.

What specifics would you like so I can provide some more color? I think you have a good idea of what I am trying to do.

A specific example might be trying to get year highs for the ticker BRY. I am using daily data as the feed for the stock. The stock had its IPO on July 26. This is my indicator for year highs.

 for i, elm in enumerate(self.datas):  

     Symbol = self.datas[i]._name
     High   = self.datas[i].high

     self.Year_highs[Symbol] = btind.Highest(High, period = 
     abs(Inputs.params['Year_bars']),plot = False)

Since the stock has been around for less than 250 days(periods) the code throws an error. I could do what you suggested and make the indicator in the next() method, but when processing many stocks it can take a while to complete a backtest.

Rstrong

The only way I can possibly think to work around this is to record the len() of my data before i put it into cerebro. I would record it into a dictionary and then write something like:

if lendic['BRY'] < 250:
    period = lendic['BRY']

This seems messy though and I prefer not to do it if I dont have to.

EDIT
but now that I think of it, this doesnt solve the rolling period issue.

backtrader

@rstrong said in Indicators for datas with less periods than the indicator requires:

However if the indicator was ATR for example, I would want the ATR of the last 3 periods until it hits 14 periods and then be 14 after that.

The only way to do that as pointed out by @ab_trader is to do the calculations manually in next and the declared period of your indicator has to be 3 (without taking into account that the value should be a parameter a not a fixed value)

If you use internally the built-in ATR, the platform will know there is an ATR with period 14 (which actually ends up with a higher effective period due to the internal constraints of the indicator) and that will be the period of your indicator.

To overcome this you need to:

Send each prenext call to next
Check the actual len(self) > 14 or even better the length of the longer ATR if len(atr_14) > 0
If the comparison succeeds deliver the value of the longer indicator
If not, deliver the value of the smaller ATR of period 3.

In any case there will be an initial period in which you cannot deliver anything, because the ATR of period 3 cannot also deliver until its minimum constraints have been met.