More Backtrader way to calculate covariance matrix

I am trying to calculate the covariance matrix of a multiple asset portfolio at every period with N lookback period. My current implementation uses a counter to wait out the lookback period and then runs all calculations in the
def next()
method.def next(self): if (self.counter < self.p.rperiod): self.counter += 1 else: # stack the closes together into a numpy array for ease of calculation closes = np.stack(([d.close.get(0,self.p.rperiod).tolist() for d in self.datas])) rets = np.diff(np.log(closes)) # covariance matrix. will be shoved somewhere else for records cov = np.cov(rets)
While it 'works', what is the more backtrader way of doing the same thing?
For example, there's the
PctChange
indicator for calculating percentage change that is defined at__init__
.def __init__(self): rets = [bt.ind.PctChange(d, period=self.p.rperiod) for d in self.datas]
But how do I access the value of N periods of indicators, run calculations, and then construct crossasset indicators? And would it be possible to have, say, an indicator that contains multidimensional matrices?
Much thanks!

@cnimativ said in More Backtrader way to calculate covariance matrix:
My current implementation uses a counter to wait out the lookback period and then runs all calculations in the def next() method.
You should be using the
addminperiod
API or subclassing from the indicatorPeriodN
.@cnimativ said in More Backtrader way to calculate covariance matrix:
While it 'works', what is the more backtrader way of doing the same thing?
You calculate something in
next
usingnumpy
. What would you be looking for?@cnimativ said in More Backtrader way to calculate covariance matrix:
But how do I access the value of N periods of indicators, run calculations, and then construct crossasset indicators?
You are already using
get
@cnimativ said in More Backtrader way to calculate covariance matrix:
And would it be possible to have, say, an indicator that contains multidimensional matrices?
Not a clue what you mean. Indicator have
lines
. You may of course store anything in a member attribute.