Full example of custom indicator

Roger Bos

I am trying to learn how to create a custom indicator based on the Indicator Development help page, but I am getting the following error:

---> 84 params = dict(period=20, movav=btind.MovAv.Simple)
85 def init(self):
86 movav = self.p.movav(self.data, period=self.p.period)

AttributeError: module 'backtrader.indicator' has no attribute 'MovAv'

creating the indicator class seems straightforward enough, but I do not understand how to make it available to the rest of the program. My full code is below if anyone is able to point me in the correct direction. Thanks in advance.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

# Import the backtrader platform
import backtrader as bt
import backtrader.indicator as btind

# Create a Stratey
class TestStrategy(bt.Strategy):
    params = (
        ('period', 15),
    )

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

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close

        self.signal = OverUnderMovAv(
            self.datas[0], period = self.p.period)

        # 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):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.2f' % self.dataclose[0])

        # 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:

            # Not yet ... we MIGHT BUY if ...
            if self.signal > 0:
                # BUY, BUY, BUY!!! (with default parameters)
                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 self.signal < 0:
                # 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()

# Add custom indicator
class OverUnderMovAv(bt.Indicator):
    lines = ('overunder',)
    params = dict(period=20, movav=btind.MovAv.Simple)

    def __init__(self):
        movav = self.p.movav(self.data, period=self.p.period)
        self.l.overunder = bt.Cmp(movav, self.data)    


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

    # Add a strategy
    cerebro.addstrategy(TestStrategy)

    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    # modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = '/Users/rjbos2/backtrader/datas/orcl-1995-2014.txt'

    # Create a Data Feed
    data = bt.feeds.YahooFinanceCSVData(
        dataname=datapath,
        # Do not pass values before this date
        fromdate=datetime.datetime(2000, 1, 1),
        # Do not pass values before this date
        todate=datetime.datetime(2000, 12, 31),
        # Do not pass values after this date
        reverse=False)

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

    # Set our desired cash start
    cerebro.broker.setcash(100000.0)

    # Set the commission - 0.1% ... divide by 100 to remove the %
    cerebro.broker.setcommission(commission=0.001)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

ab_trader

Actually it is true, there is no attribute MovAv in bt.indicator. You may want to use

movav = btind.SimpleMovingAverage

Roger Bos

@ab_trader said in Full example of custom indicator:

movav = btind.SimpleMovingAverage

Thanks for the suggestion. I did notice in the indicators folder that that function was not there, but I was following an example. Unfortunately, SimpleMovingAverage does not work either :(.

---> 86 params = dict(period=20, movav = btind.SimpleMovingAverage)
87 def init(self):
88 movav = self.p.movav(self.data, period=self.p.period)

AttributeError: module 'backtrader.indicator' has no attribute 'SimpleMovingAverage'

Do you think there is something wrong with my installation? All of the "built in" indicator's work fine. I have used backtrader for a few weeks now with no other problems.

Roger Bos

And for good measure I also tried MovingAverageSimple:

---> 86 params = dict(period=20, movav=btind.MovingAverageSimple)
87 def init(self):
88 movav = self.p.movav(self.data, period=self.p.period)

AttributeError: module 'backtrader.indicator' has no attribute 'MovingAverageSimple'

class MovingAverageSimple(MovingAverageBase):
    '''
    Non-weighted average of the last n periods

    Formula:
      - movav = Sum(data, period) / period

    See also:
      - http://en.wikipedia.org/wiki/Moving_average#Simple_moving_average
    '''
    alias = ('SMA', 'SimpleMovingAverage',)
    lines = ('sma',)

    def __init__(self):
        # Before super to ensure mixins (right-hand side in subclassing)
        # can see the assignment operation and operate on the line
        self.lines[0] = Average(self.data, period=self.p.period)

        super(MovingAverageSimple, self).__init__()

ab_trader

I confused you. I think this need to be changed so your original script:

import backtrader.indicators as btind

Roger Bos

@ab_trader Thank you.

backtrader

@Roger-Bos said in Full example of custom indicator:

import backtrader.indicator as btind

Notice that the original problem is the lack on an s. The code is importing backtrader.indicator and not backtrader.indicators

And yes, MovAv.Simple and all other aliases aforementioned, do exist.