How can I create an indicator and ignore div by 0 error in data?

MX Bao

I am trying to create an indicator and have some div by 0 error. Can you replace the div by 0 with 0 in the indicator?
For some minute data, the high and low is the same. I will get a div by 0 for these minute bars.

Also How could I do a Moving average of 15 minutes of f1 divided by the 15 total of price*volume?
I am wondering how could I do this in a way like lambda

Thanks!

import backtrader as bt
import backtrader.feeds as btfeed


class customCSV(btfeed.GenericCSVData):
    params = (
        ('dtformat', '%Y-%m-%d %H:%M:%S'),
        ('datetime', 0),
        ('open', 1),
        ('high', 2),
        ('low', 3),
        ('close', 4),
        ('volume', 5),
        ('openinterest', -1)
    )


class SmaCross(bt.SignalStrategy):
    params = (('pfast', 10), ('pslow', 30),)

    def __init__(self):

        self.data.f1=(self.data.close-self.data.open)/(self.data.high-self.data.low) * self.data.volume*(self.data.high+self.data.low) /2 


cerebro = bt.Cerebro()

data = customCSV(dataname='C:\\Test\\SPY.csv')

cerebro.adddata(data)
cerebro.addstrategy(SmaCross)
cerebro.run()
cerebro.plot()

run-out

Your question has two parts.
Part 1: Try this out.

self.data.f1 = bt.If(
(self.data.high-self.data.low)!=0, 
(self.data.close-self.data.open)/(self.data.high-self.data.low) * self.data.volume*(self.data.high+self.data.low) /2 
, 
0)

Part 2:
Have a look at this page and see if this helps.

MX Bao

thanks, run-out!
I did try your code for part 1. But I still get the same error. Can you try ur code on this csv?

http://www.sharecsv.com/dl/83a4571ad89d5e20bc01f9a84c686784/SPY.csv

Here is the error:

Traceback (most recent call last):
  File "C:/Users/XXX/PycharmProjects/TD/Test.py", line 41, in <module>
    cerebro.run()
  File "C:\Users\XXX\AppData\Local\Programs\Python\Python38-32\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Users\XXX\AppData\Local\Programs\Python\Python38-32\lib\site-packages\backtrader\cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "C:\Users\XXX\AppData\Local\Programs\Python\Python38-32\lib\site-packages\backtrader\cerebro.py", line 1652, in _runonce
    strat._once()
  File "C:\Users\XXX\AppData\Local\Programs\Python\Python38-32\lib\site-packages\backtrader\lineiterator.py", line 297, in _once
    indicator._once()
  File "C:\Users\XXX\AppData\Local\Programs\Python\Python38-32\lib\site-packages\backtrader\linebuffer.py", line 631, in _once
    self.once(self._minperiod, self.buflen())
  File "C:\Users\XXX\AppData\Local\Programs\Python\Python38-32\lib\site-packages\backtrader\linebuffer.py", line 755, in once
    self._once_op(start, end)
  File "C:\Users\XXX\AppData\Local\Programs\Python\Python38-32\lib\site-packages\backtrader\linebuffer.py", line 772, in _once_op
    dst[i] = op(srca[i], srcb[i])
ZeroDivisionError: float division by zero

vladisld

Please take a look at the following post. Quoting some code from there:

class BollingerBandsPct(BollingerBands):
    '''
    Extends the Bollinger Bands with a Percentage line
    '''
    lines = ('pctb',)
    params = (('safediv', False), ('safezero', 0.0))
    plotlines = dict(pctb=dict(_name='%B'))  # display the line as %B on chart

    def __init__(self):
        super(BollingerBandsPct, self).__init__()
        if not self.p.safediv:
            self.l.pctb = (self.data - self.l.bot) / (self.l.top - self.l.bot)
        else:
            self.l.pctb = DivByZero(self.data - self.l.bot, self.l.top - self.l.bot, self.p.safezero)

class BollingerBandsPct_SafeDiv(BollingerBandsPct):
    params = (('safediv', True),)

Also the following doc may be relevant: https://www.backtrader.com/blog/2019-07-08-canonical-or-not/canonical-or-not/

MX Bao

@vladisld Thanks for your reply!
I tried the MFI code here https://www.backtrader.com/blog/2019-07-17-mfi-generic/mfi-generic/ and the indicator is calculated and displayed.

After I make minor changes, the indicator is not displaying anymore. But the code did run and plot is fine except no indicator. This is really weird. I have not tried the moving average yet.

class MoneyFlowIndex(bt.Indicator):
    lines = ('mfi',)
    params = (
        ('period', 14),
    )
    def init(self):
        money_flow_raw = (self.data.high - self.data.low)
        money_flow_net = (self.data.close - self.data.open)
        mfiratio = bt.ind.DivByZero(money_flow_net, money_flow_raw, zero=0.5)*50+50
        self.l.mfi =  mfiratio
cerebro = bt.Cerebro()

data = customCSV(dataname='E:\\SPY.csv')

cerebro.adddata(data)
myind = MoneyFlowIndex(data)
myind.plotinfo.subplot = True
cerebro.add_signal(bt.SIGNAL_LONGSHORT, MoneyFlowIndex)
cerebro.run()
cerebro.plot()

MX Bao

I find out that I forget to use init method to initialize. Sorry