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Can't acees to the datas for indicators
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Hello I am trying to run and strategy that calculates the indicators in a Hourly data frame but trade in a seconds time frame.
I got this error:
File "Alpha2.py", line 214, in <module> runstrat() File "Alpha2.py", line 184, in runstrat cerebro.run(stdstats=False) File "/home/milo/anaconda3/lib/python3.6/site-packages/backtrader/cerebro.py", line 1127, in run runstrat = self.runstrategies(iterstrat) File "/home/milo/anaconda3/lib/python3.6/site-packages/backtrader/cerebro.py", line 1217, in runstrategies strat = stratcls(*sargs, **skwargs) File "/home/milo/anaconda3/lib/python3.6/site-packages/backtrader/metabase.py", line 88, in __call__ _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs) File "/home/milo/anaconda3/lib/python3.6/site-packages/backtrader/metabase.py", line 78, in doinit _obj.__init__(*args, **kwargs) File "Alpha2.py", line 34, in __init__ self.trigger = Alligator() File "/home/milo/anaconda3/lib/python3.6/site-packages/backtrader/indicator.py", line 53, in __call__ return super(MetaIndicator, cls).__call__(*args, **kwargs) File "/home/milo/anaconda3/lib/python3.6/site-packages/backtrader/metabase.py", line 88, in __call__ _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs) File "/home/milo/anaconda3/lib/python3.6/site-packages/backtrader/metabase.py", line 78, in do in it _obj.__init__(*args, **kwargs) File "Alpha2.py", line 18, in __init__ self.datamed = (self.datas[1].high + self.datas[1].low) / 2 IndexError: list index out of range**Here is the code:
from __future__ import (absolute_import, division, print_function, unicode_literals) import os.path import sys # To find out the script name (in argv[0]) import argparse import datetime import backtrader as bt import backtrader.feeds as btfeeds import backtrader.plot as plt import backtrader.indicators as btinds class Alligator(btinds.PeriodN): lines = ('signal1','signal2') params = (('lrperiod', 89), ('jaw_wind', 13), ('teeth_wind', 8), ('lips_wind', 5),) #params = (('p1',5),('p2',20),('p3',50),) def __init__(self): self.datamed = (self.datas[1].high + self.datas[1].low) / 2 jaw = bt.indicators.SmoothedMovingAverage(self.datamed, period=self.params.jaw_wind, plotname='Jaw')(8) teeth = bt.indicators.SmoothedMovingAverage(self.datamed, period=self.params.teeth_wind, plotname='Lips')(5) lips = bt.indicators.SmoothedMovingAverage(self.datamed, period=self.params.lips_wind, plotname='Teeth')(3) self.lines.signal1 = (lips - teeth) #Buy self.lines.signal2 = (teeth - jaw) #Buy class St(bt.Strategy): def log(self, txt, dt=None): ''' Logging function for this strategy''' dt = dt or self.data0.datetime.datetime(0) print('%s, %s' % (dt.isoformat(), txt)) print(list(enumerate(self.datas))) def __init__(self): self.trigger = Alligator() self.spread = btinds.AverageTrueRange(period=20) def notify_order(self, order): print('{}: Order ref: {} / Type {} / Status {}'.format( self.data.datetime.datetime(0), order.ref, 'Buy' * order.isbuy() or 'Sell', order.getstatusname())) if order.status in [order.Submitted, order.Accepted]: return if order.status in [order.Completed]: if order.isbuy(): self.log( 'BUY EXECUTED, Ref: %d, Price: %.5f, Cost: %.5f' % (order.ref,order.executed.price, order.executed.value)) self.buyprice = order.executed.price else: # Sell self.log('SELL EXECUTED, Ref: %d,Price: %.5f, Cost: %.5f' % (order.ref,order.executed.price, order.executed.value)) self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') if not order.alive() and order.ref in self.orefs: self.orefs.remove(order.ref) def notify_trade(self, trade): if not trade.isclosed: return self.log('OPERATION PROFIT, GROSS %.5f, NET %.5f' % (trade.pnl, trade.pnlcomm)) def next(self): txt = ','.join( ['%04d' % len(self.data0), self.data0.datetime.datetime(0).isoformat(), 'Open : %.5f' % self.data0.open[0], 'High : %.5f' % self.data.high[0], 'Low : %.5f' % self.data.low[0], 'Close : %.5f' % self.data.close[0]]) print(txt) if (self.trigger.signal1[0] < 0) and (self.trigger.signal2[0] < 0): o1 = self.sell(exectype = bt.Order.Limit,price=self.data.close[-1], transmit=False,valid=datetime.datetime.now()+datetime.timedelta(hours=1)) print(self.datetime.datetime(0),' : Oref %d / Sell at %.5f' % ( o1.ref, self.data.close[-1])) o2 = self.buy(exectype=bt.Order.Limit,price=(self.data.close[-1] - self.spread.atr[0] * 2), parent=o1,transmit=False) print(self.datetime.datetime(0),' : Oref %d / Sell Take Profit at %.5f' % ( o2.ref, (self.data.close[-1] - self.spread.atr[0] * 2))) o3 = self.buy(exectype=bt.Order.Stop,price = (self.spread.atr[0] * 2 +self.data.close[-1]), parent=o1,transmit = True) print(self.datetime.datetime(0),' : Oref %d / Sell Stop Loss at %.5f' % ( o3.ref, (self.spread.atr[0] * 2 +self.data.close[-1]))) self.orefs = [o1.ref, o2.ref, o3.ref] elif (self.trigger.signal1[0] > 0) and (self.trigger.signal2[0] > 0): o1 = self.buy(exectype = bt.Order.Limit,price=self.data.close[-1], transmit=False,valid= datetime.datetime.now()+datetime.timedelta(hours=1)) print(self.datetime.datetime(0),' : Oref %d / Buy at %.5f' % ( o1.ref, self.data.close[-1])) o2 = self.sell(exectype=bt.Order.Limit,price=(self.spread.atr[0] * 2 +self.data.close[-1]), parent=o1,transmit=False) print(self.datetime.datetime(0),' : Oref %d / Buy Take Profit at %.5f' % ( o2.ref, (self.spread.atr[0] * 2 +self.data.close[-1]))) o3 = self.sell(exectype=bt.Order.Stop,price = (self.data.close[-1] - self.spread.atr[0] * 2), parent=o1,transmit = True) print(self.datetime.datetime(0),' : Oref %d / Buy Stop Loss at %.5f' % ( o3.ref, (self.data.close[-1] - self.spread.atr[0] * 2))) self.orefs = [o1.ref, o2.ref, o3.ref] else: return def runstrat(): cerebro = bt.Cerebro() modpath = os.path.dirname(os.path.abspath(sys.argv[0])) datapath0 = os.path.join(modpath, '/home/milo/Documents/Data/BT_EURUSD.csv') datapath1 = os.path.join(modpath, '/home/milo/Documents/Data/BT_EURUSDH.csv') data0 = btfeeds.GenericCSVData(dataname=datapath0, timeframe=bt.TimeFrame.Seconds, nullvalue=0.0, dtformat=('%Y-%m-%d %H:%M:%S'), datetime=0, open=1, high=2, low=3, close=4, volume=-1, openinterest=-1) data1 = btfeeds.GenericCSVData(dataname=datapath1, timeframe=bt.TimeFrame.Minutes, nullvalue=0.0, dtformat=('%Y-%m-%d %H:%M:%S'), datetime=0, open=1, high=2, low=3, close=4, volume=-1, openinterest=-1) cerebro.adddata(data0,name ="Seconds Data") cerebro.adddata(data1,name ="Hourly Data") if __name__ == '__main__': runstrat() -
The code is unreadable ... pleas see the top of the forum.
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Done.
Solution : It gets the datasx if I move the indicators into the init of the class (strategy). I am trying to do a Data Replay, calculating the indicators in a higher Time Frame but trading in the close of the smallest time frame.
Is this the right approach?