Navigation

    Backtrader Community
    • Register
    • Login
    • Search
    • Categories
    • Recent
    • Tags
    • Popular
    • Users
    • Groups
    • Search
    For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/

    IndexError: array index out of range when dealing with RSI indicator

    General Code/Help
    2
    4
    424
    Loading More Posts
    • Oldest to Newest
    • Newest to Oldest
    • Most Votes
    Reply
    • Reply as topic
    Log in to reply
    This topic has been deleted. Only users with topic management privileges can see it.
    • I
      iHustling last edited by

      Hello all,

      I keep receiving an error and looking at the trace, it seems to all stem from when I decide to use the RSI indicator.

      # === Create a Strategy ===
class AmazingCrossover(bt.Strategy):

    def log(self, txt, dt=None):
        '''Logging function for this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # # Create indicators
        # fast_ema = bt.ind.ExponentialMovingAverage(period = 5)
        # slow_ema = bt.ind.ExponentialMovingAverage(period = 10)
        # rsi = bt.ind.RSI(period = 10)

        # To keep track of pending orders and buy price/commission
        self.order = None
        self.buyprice = None
        self.buycomm = None

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            return

        # Check if an order has been completed
        # Attention: broker could reject order if not enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' % (trade.pnl, trade.pnlcomm))

    def next(self):
        fast_ema = bt.ind.ExponentialMovingAverage(period = 5)
        slow_ema = bt.ind.ExponentialMovingAverage(period = 10)
        rsi =  bt.ind.RSI(period = 10)
        # Check if an order is pending ... if yes, we cannot send a 2nd one
        if self.order:
            return

        # Check if we are in the market
        if not self.position:

            # Buy Condition
            if fast_ema > slow_ema:
                if rsi > 50:
                    self.log('BUY CREATE, %.2f' % self.dataclose[0])
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.buy()
        else:

            # Already in the market ... we might sell
            if fast_ema < slow_ema:
                if rsi < 50:
                    # SELL, SELL, SELL!!! (with all possible default parameters)
                    self.log('SELL CREATE, %.2f' % self.dataclose[0])
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell()


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

    # Add the Strategy
    cerebro.addstrategy(AmazingCrossover)

    # Create a data feed
    data = bt.feeds.GenericCSVData(
        dataname='USDT_BTC.csv',
        fromdate=datetime.datetime(2018, 1, 1),
        todate=datetime.datetime(2018, 12, 31),
        nullvalue=0.0,
        datetime=0,
        high=2,
        low=3,
        open=4,
        close=1,
        volume=6,
        openinterest=-1
    )

    # Add the data to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(10000.0)

    # Set the commission
    cerebro.broker.setcommission(commission = 0.002)

    # Get starting value
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Get final value
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

      Here is the error trace.

      Traceback (most recent call last):
  File "/Users/developer/PycharmProject/AmazingCrossover/AmazingCrossover.py", line 141, in <module>
    cerebro.run()
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/cerebro.py", line 1695, in _runonce
    strat._oncepost(dt0)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/strategy.py", line 311, in _oncepost
    self.nextstart()  # only called for the 1st value
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/lineiterator.py", line 347, in nextstart
    self.next()
  File "/Users/developer/PycharmProject/AmazingCrossover/AmazingCrossover.py", line 81, in next
    rsi = bt.ind.RSI(period = 10)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/indicator.py", line 53, in __call__
    return super(MetaIndicator, cls).__call__(*args, **kwargs)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/metabase.py", line 88, in __call__
    _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/metabase.py", line 78, in doinit
    _obj.__init__(*args, **kwargs)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/indicators/rsi.py", line 179, in __init__
    upday = UpDay(self.data, period=self.p.lookback)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/indicator.py", line 53, in __call__
    return super(MetaIndicator, cls).__call__(*args, **kwargs)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/metabase.py", line 88, in __call__
    _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/metabase.py", line 78, in doinit
    _obj.__init__(*args, **kwargs)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/indicators/rsi.py", line 46, in __init__
    self.lines.upday = Max(self.data - self.data(-self.p.period), 0.0)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/lineroot.py", line 227, in __sub__
    return self._operation(other, operator.__sub__)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/lineroot.py", line 88, in _operation
    return self._operation_stage2(other, operation, r=r)
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/lineroot.py", line 209, in _operation_stage2
    other = other[0]
  File "/Users/developer/PycharmProject/AmazingCrossover/venv/lib/python3.7/site-packages/backtrader/linebuffer.py", line 163, in __getitem__
    return self.array[self.idx + ago]
IndexError: array index out of range

      What am I missing here? I think I am missing something with the arguments of RSI but after looking at the docs I am not sure.

      Any help would be appreciated. Thanks.

      B 1 Reply Last reply Reply Quote 0
      • B
        backtrader administrators @iHustling last edited by backtrader

        @ihustling said in IndexError: array index out of range when dealing with RSI indicator:

            def next(self):
        fast_ema = bt.ind.ExponentialMovingAverage(period = 5)
        slow_ema = bt.ind.ExponentialMovingAverage(period = 10)
        rsi =  bt.ind.RSI(period = 10)

        You tell us where you have seen that in the docs ...

        I can only suggest you go to the Docs - Quickstart Guide

        Reading some of the other sections may also help.

        I 1 Reply Last reply Reply Quote 0
        • I
          iHustling @backtrader last edited by

          @backtrader If you were wondering where I got the EMA indicators from, you mention SMA throughout the Quickstart guide and on your Github home page, so I figured switching to EMA was available. As for the RSI, it is present in your Indicator Reference, found here.

          Regardless, I have remedied the issue by just using my own RSI function. Thanks for the help.

          1 Reply Last reply Reply Quote 0
          • B
            backtrader administrators last edited by backtrader

            @ihustling said in IndexError: array index out of range when dealing with RSI indicator:

            If you were wondering where I got the EMA indicators from, you mention SMA throughout the Quickstart guide and on your Github home page

            Respectfully but truly sincere: you haven't read the docs.

            Sorry, you seem to be in a rush and the trees are not letting you see the forest.

            @backtrader said in IndexError: array index out of range when dealing with RSI indicator:

                def next(self):
       fast_ema = bt.ind.ExponentialMovingAverage(period = 5)
       slow_ema = bt.ind.ExponentialMovingAverage(period = 10)
       rsi =  bt.ind.RSI(period = 10)

            You WILL NEVER see those indicators (nor any other) defined inside the next method.

            From the Quickstart Guide:

            • Permalink to the section: https://www.backtrader.com/docu/quickstart/quickstart.html#adding-an-indicator
                def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close

        # To keep track of pending orders and buy price/commission
        self.order = None
        self.buyprice = None
        self.buycomm = None

        # Add a MovingAverageSimple indicator
        self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=self.params.maperiod)

            I know it's tempting to go very quickly and be winning the first millions during your first days of algotrading, but I do truly believe you should read the docs. Be it backtrader, be it any other platform.

            Even if you look at the GitHub page the code looks like this

            class SmaCross(bt.SignalStrategy):
    def __init__(self):
        sma1, sma2 = bt.ind.SMA(period=10), bt.ind.SMA(period=30)
            1 Reply Last reply Reply Quote 1
            • 1 / 1
            • First post
              Last post
            Copyright © 2016, 2017, 2018 NodeBB Forums | Contributors
            $(document).ready(function () { app.coldLoad(); }); }