Pivot Point and Cross Plotting - plotting doesn't work

Ivan

Hi,
I tried the example 'ppsample.py' described here:
https://www.backtrader.com/blog/posts/2016-04-28-pivot-point-cross-plotting/pivotpoint-crossplotting.html
but when I run:

./ppsample --plot --plot-on-daily

I am getting this error:

...
...
...
0507,0507,0023,2006-12-20,4019.19
0508,0508,0023,2006-12-21,4019.19
0509,0509,0023,2006-12-22,4019.19
0510,0510,0023,2006-12-27,4019.19
0511,0511,0023,2006-12-28,4019.19
0512,0512,0023,2006-12-29,4019.19
0513,0512,0024,2006-12-29,4060.59
Traceback (most recent call last):
  File "./ppsample.py", line 95, in <module>
    runstrat()
  File "./ppsample.py", line 70, in runstrat
    cerebro.plot(style='bar')
  File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\cerebro.py",
line 659, in plot
    useplotly=useplotly)
  File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\plot\plot.py"
, line 196, in plot
    self.plotdata(data, self.dplotsover[data])
  File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\plot\plot.py"
, line 659, in plotdata
    self.plotind(data, ind, subinds=self.dplotsover[ind], masterax=ax)
  File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\backtrader\plot\plot.py"
, line 410, in plotind
    plottedline = pltmethod(self.pinf.xdata, lplot, **plotkwargs)
  File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\matplotlib\__init__.py",
 line 1818, in inner
    return func(ax, *args, **kwargs)
  File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\matplotlib\axes\_axes.py
", line 1382, in plot
    for line in self._get_lines(*args, **kwargs):
  File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\matplotlib\axes\_base.py
", line 381, in _grab_next_args
    for seg in self._plot_args(remaining, kwargs):
  File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\matplotlib\axes\_base.py
", line 359, in _plot_args
    x, y = self._xy_from_xy(x, y)
  File "D:\Anaconda3\envs\python3.4.5\lib\site-packages\matplotlib\axes\_base.py
", line 219, in _xy_from_xy
    raise ValueError("x and y must have same first dimension")
ValueError: x and y must have same first dimension

I am using Python 3.4.5, matplotlib 1.5.3, backtrader 1.9.17.105.

Please help. I would like to plot pivots on base chart (Daily in this case). Thanks

backtrader

The PivotPoint family of indicators fail unfortunately to plot under the new synchronization mechanism released with 1.9.x, because under the old scheme they used the surrounding Strategy instance to auto-synchronize the LinesCoupler object.

Extra logic has been added and pushed into the development branch to find the right synchronization source. The blog post will have to be updated, because the indicators can now auto-couple themselves.

You may check out the development branch and see the updated ppsample.py (easier)

Ivan

This seems to be a bug or I don't understand something :(
I created an indicator similar to PivotPoint which uses the values from previous bar for the calculation.
My original data are daily data but I also resample to weekly and monthly.
When I plot my indicators on daily chart everything is fine for the indicator that works on daily data.
For the indicators that use resampled data (weekly&monthly), values seem not to be ok. For example, for weekly indicator, its value is changed each Tuesday, not Monday. Similar for monthly indicator, it changes its value not on the first trading day in the month but on the day after.
I am using last version of Backtrader.

backtrader

The easiest way to see if you are doing something wrong or if the platform doesn't deliver would be to make a simple use case.

Your indicator is your intellectual property, but you may craft one that follows the same delivery principles, but returns nonsensical values. Bottom line: grasp what you'd like to see in comparison with what you actually see.

Ivan

Ok, I put here what I got and what I think I should get. This example uses simple indicator which calculates high and low of the previous bar. Each bar on chart represents one trading day and the indicator is calculated for weekly data and plot on daily chart.
Weekly indicator should have the same value for the week November 7-11 but instead of that the same value is from November 8-14. I hope I managed to explain where is the problem.

backtrader

Your description was clear, but charts don't help when having a look at what you may be experiencing. Hence the suggestion to simplify your code down to something that replicates what you do, but without sharing the details of your indicator.

Ivan

It can't be simpler :) Just calculate Low of the previous bar in an indicator for weekly or monthly data and show the indicator on daily data. That it what I showed for SP500, Low and High (blue and red line).

Ivan

The code is not perfect but you can reproduce the issue with it:

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

from datetime import datetime
import os.path 
import sys 

import backtrader as bt

class TestIndicator(bt.Indicator):
 
    lines = ('h', 'l')
    plotinfo = dict(subplot=False)
    
    params = (
        ('is_bars_aggregated', True),
        ('_autoplot', False),  # attempt to plot on real target data
    )
    
    
    def _plotinit(self):
        # Try to plot to the actual timeframe master
        if self.p._autoplot:
            if hasattr(self.data, 'data'):
                self.plotinfo.plotmaster = self.data.data

    def __init__(self):
        
              
        if self.p.is_bars_aggregated:
            high = self.data.high
            low = self.data.low
        else:
            high = self.data.high(-1)
            low = self.data.low(-1)            
        
        self.lines.h=high                
        self.lines.l=low
                
        if self.p._autoplot:
            self.plotinfo.plot = False  # disable own plotting
            self()  # Coupler to follow real object


        
class TestStrategy(bt.Strategy):
    
        
    def __init__(self):
        
        self.TIDaily = TestIndicator(self.data0, is_bars_aggregated=False, plot=False)
        self.TIWeekly = TestIndicator(self.data1, is_bars_aggregated=True, _autoplot=True, plot=False)
        self.TIMonthly = TestIndicator(self.data2, is_bars_aggregated=True, _autoplot=False, plot=False)
        
         

    def notify_order(self, order):
        pass
        

    def notify_trade(self, trade):
        pass

    def next(self):
        pass
        
  

if __name__ == '__main__':      
        
     
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(TestStrategy)   

    data = bt.feeds.YahooFinanceData(dataname='^GSPC', fromdate=datetime(2016, 11, 1), todate=datetime(2016, 11, 30))
    
    data2=data.clone()
    data2.plotinfo.plot=False
    data3=data.clone()
    data3.plotinfo.plot=False
    
    cerebro.adddata(data)
    cerebro.resampledata(data2, timeframe=bt.TimeFrame.Weeks)    
    cerebro.resampledata(data3, timeframe=bt.TimeFrame.Months)
  
    cerebro.broker.setcash(10000.0)

    # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize, stake=1)
    # Set the commission        
    cerebro.broker.setcommission(commission=0.000)
    #cerebro.broker.setcommission(commission=7.0, margin=1000.0, mult=10.0)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Plot the result
    cerebro.plot(style='candle')

Ivan

Actually, weekly indicator value is correct but the presentation on the graph is wrong.