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



  • 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.


  • administrators

    @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.



  • @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.


  • administrators

    @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:

        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)
    

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