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IndexError: array index out of range (Renko) with 1min Dataframe
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Here the source code:
from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import datetime import backtrader as bt import backtrader.feeds as btfeed class St(bt.Strategy): params = dict( ) def __init__(self): for d in self.datas: bt.ind.RSI(d) def next(self): pass def runstrat(args=None): args = parse_args(args) cerebro = bt.Cerebro() # Data feed kwargs kwargs = dict() # Parse from/to-date dtfmt, tmfmt = '%Y.%m.%d', 'T%H:%M:%S' for a, d in ((getattr(args, x), x) for x in ['fromdate', 'todate']): if a: strpfmt = dtfmt + tmfmt * ('T' in a) kwargs[d] = datetime.datetime.strptime(a, strpfmt) data0 = bt.feeds.GenericCSVData(dataname="new.csv", datetime=1, open=2, high=3, low=4, close=5, volume=-1, openinterest=-1, **kwargs ) fkwargs = dict() fkwargs.update(**eval('dict(' + args.renko + ')')) if not args.dual: data0.addfilter(bt.filters.Renko, **fkwargs) cerebro.adddata(data0) else: cerebro.adddata(data0) data1 = data0.clone() data1.addfilter(bt.filters.Renko, **fkwargs) cerebro.adddata(data1) # Broker cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')')) # Sizer cerebro.addsizer(bt.sizers.FixedSize, **eval('dict(' + args.sizer + ')')) # Strategy cerebro.addstrategy(St, **eval('dict(' + args.strat + ')')) # Execute kwargs = dict(stdstats=False) kwargs.update(**eval('dict(' + args.cerebro + ')')) cerebro.run(**kwargs) if args.plot: # Plot if requested to kwargs = dict(style='candle') kwargs.update(**eval('dict(' + args.plot + ')')) cerebro.plot(**kwargs) def parse_args(pargs=None): parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, description=( 'Renko bricks sample' ) ) parser.add_argument('--data0', default='../../datas/2005-2006-day-001.txt', required=False, help='Data to read in') # Defaults for dates parser.add_argument('--fromdate', required=False, default='', help='Date[time] in YYYY-MM-DD[THH:MM:SS] format') parser.add_argument('--todate', required=False, default='', help='Date[time] in YYYY-MM-DD[THH:MM:SS] format') parser.add_argument('--cerebro', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--broker', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--sizer', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--strat', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--plot', required=False, default='', nargs='?', const='{}', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--renko', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--dual', required=False, action='store_true', help='put the filter on a second version of the data') return parser.parse_args(pargs) if __name__ == '__main__': runstrat()
Command:
btrenko.py --renko size=35,align=10.0 --plot --dual
Here errors:
Traceback (most recent call last): File "btrenko.py", line 126, in <module> runstrat() File "btrenko.py", line 74, in runstrat cerebro.run(**kwargs) File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/backtrader-1.9.74.123-py3.8.egg/backtrader/cerebro.py", line 1127, in run File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/backtrader-1.9.74.123-py3.8.egg/backtrader/cerebro.py", line 1293, in runstrategies File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/backtrader-1.9.74.123-py3.8.egg/backtrader/cerebro.py", line 1652, in _runonce File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/backtrader-1.9.74.123-py3.8.egg/backtrader/lineiterator.py", line 297, in _once File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/backtrader-1.9.74.123-py3.8.egg/backtrader/lineiterator.py", line 297, in _once File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/backtrader-1.9.74.123-py3.8.egg/backtrader/lineiterator.py", line 297, in _once File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/backtrader-1.9.74.123-py3.8.egg/backtrader/linebuffer.py", line 630, in _once File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/backtrader-1.9.74.123-py3.8.egg/backtrader/lineroot.py", line 165, in oncestart File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/backtrader-1.9.74.123-py3.8.egg/backtrader/linebuffer.py", line 672, in once IndexError: array index out of range
My dataset got 65k rows. 1min data.
I don't really understand why this doesn't work. I've already checked data for NaN values or errors, but they are clean.
Can you help me? Thank you!
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Ok problem was renko brick size. I set 1 instead of 35 and it worked.
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But it seems to work only with 1 as brick size.