What is a simple way to use indexes created myself?

atori

Hi. I'm Japanese boy.

I would like to use the index created myself as pandas dataframe in the strategy.
Is there a simple way to use indicators in strategy?

For example, I created an index named EMA5 , but I could not reference it.
(I understand that EMA can be created with backtrader, but I write it as an example of indicator.)

・df_input
datetime stock_name close EMA5 EMA20 EMA60
2018-08-14 S&P500 2839.9600 2837.8037 2825.0370 2783.2351
2018-08-15 S&P500 2818.3701 2831.3258 2824.4021 2784.3870
2018-08-16 S&P500 2840.6899 2834.4472 2825.9533 2786.2330
2018-08-17 S&P500 2850.1299 2839.6748 2828.2559 2788.3280
2018-08-20 S&P500 2857.0500 2845.4665 2830.9982 2790.5812

'-----------------------------------------------------------------------
class Bt_print(bt.Strategy):

def next(self):
print(str(self.datas[0].datetime.date(0)) + " price: " + str(self.data.lines.close[0]) + " EMA5: " + str(self.data.lines.EMA5[0]))

bt_data = bt.feeds.PandasData(dataname=df_input,datetime='datetime',close='close',openinterest=None)
cerebro.adddata(bt_data)

cerebro.addstrategy(Bt_print)
cerebro.run()

'-----------------------------------------------------------------------
AttributeError: 'Lines_LineSeries_DataSeries_OHLC_OHLCDateTime_Abst' object has no attribute 'EMA5'

Amien Johaadien

Hi Atori,

You can't use the standard PandasData class for that - you need a new class with the additional lines defined. See https://www.backtrader.com/docu/extending-a-datafeed.html

Regards,
Amien

atori

Thank you for your reply.
It was solved by creating own class that extended the PandasData class.

class Bt_print(bt.Strategy):
  def next(self):
    print(str(self.datas[0].datetime.date(0)) + " price: " + str(self.data.lines.close[0]) + " EMA5: " + str(self.data.lines.EMA5[0]))


class PandasData_Extend(bt.feeds.PandasData):
  
  params = (
    ('EMA5', -1),
  )
  
  lines = ('EMA5',)


bt_data = PandasData_Extend(dataname=df_input,datetime='datetime',close='close',EMA5='EMA5',openinterest=None)
cerebro.adddata(bt_data)

cerebro.addstrategy(Bt_print)
cerebro.run()

2018-08-13 price: 2821.9299 EMA5: 2836.7256
2018-08-14 price: 2839.96 EMA5: 2837.8037
2018-08-15 price: 2818.3701 EMA5: 2831.3258
2018-08-16 price: 2840.6899 EMA5: 2834.4472
2018-08-17 price: 2850.1299 EMA5: 2839.6748
2018-08-20 price: 2857.05 EMA5: 2845.4665
[<main.Bt_print at 0x7fcd32ebe3c8>]