Indicator warmup period

Maxim Korobov

Imagine, we want to run strategy during 2017 year using RSI(14) indicator on daily basis. Strategy should say that warmup period is 14 days.

How to know that strategy need some data from 2016 to start trading from 1st of January 2017 before running whole trading loop.

backtrader

Because you want an RSI indicator with period 14 (which actually needs 15 data points to produce values)

This is simply common sense and no magic. If you want to load the smallest possible dataset, you have to do two runs:

A dry run to see what the auto-calculated minimum period is
A run loading the data and executing your backtesting

Even in this case you don't exactly when the original dataset has to start (date-wise) because some days may have been bank holidays. But in any case to get the auto-calculated minimum period:

In the start method of a strategy
Check the attribute: _minperiod

Should several timeframes be in place then:

Check the attribute _minperiods which is a list containing the minimum period that applies to each timeframe (in the order in which the data/timeframes were inserted in the system)

Maxim Korobov

Thanks for the information about _minperiod. Seems like exceptions in dry run are needed to immediately stop first execution.

backtrader

@Maxim-Korobov You don't have to pass the actual data to do a dry run. Just something that let you see the _minperiod.

Or you can call cerebro.runstop() as soon as your strategy gets started. Docs - Cerebro

Maxim Korobov

You don't have to pass the actual data to do a dry run

Yes, all internals of strategies are called even without passing data. But

strategies_info = back_trader.run()

returns empty list when run without data. How to reach strategies data from the outside?

backtrader

You don't have to pass the actual data

This doesn't mean you don't have to pass one data feed. You can pass a data feed which has no data.

But no data, no fun.

Maxim Korobov

Could you please provide such fake data feed?

I tried

class FakeFeed(btfeeds.DataBase):
    def __init__(self):
        super(FakeFeed, self).__init__()

which crashed internally:

class Average(PeriodN):
...
    for i in range(start, end):
        dst[i] = math.fsum(src[i - period + 1:i + 1]) / period

Because of empty src.

backtrader

Run in the non-once mode, cerebro.run(runonce=False). The runonce preprocess all indicators before the logic is run.

Maxim Korobov

Thank you!

With this flag it works like a charm. Code:

import backtrader as bt


class WarmupDetector:

	@staticmethod
	def detect(strategies):
		greatest_warm_up_period, strategy_name = 0, ""

		runner = bt.Cerebro()
		for sta in strategies:
			runner.addstrategy(sta, silent=True)
		stub_data = bt.DataBase()
		runner.adddata(stub_data)
		
		sis = runner.run(runonce=False)

		for si in sis:
			period = si.get_warm_up_period()
			if period > greatest_warm_up_period:
				greatest_warm_up_period, strategy_name = period, si.__class__.__name__

		return greatest_warm_up_period, strategy_name

	@staticmethod
	def detect_period(strategies):
		return WarmupDetector.detect(strategies)[0]

Usage:

warm_up_period, warm_up_strategy_name = WarmupDetector.detect(strategies_to_add)