How to Calculate ATR On First Index on CSV

[Ignasius Wahyudi]

I have some EMA + ATR Crossover Strategies, but i need help to make this strategy.

my code is like this:

class MAcrossover(bt.Strategy):
#   Moving Average + ATR Parameters
  params = (
      ('smafast',50),
      ('smaslow',20),
      ('atrperiod',5),
      ('multiplier',3.5),
  )
    
  def log(self,txt,dt=None):
    dt = dt or self.datas[0].datetime.date(0)
    print('%s, %s' % (dt.isoformat(),txt))
    
  def __init__(self):
    self.dataclose = self.datas[0].close
    # Order variable
    self.order = 0.0
    # Instantiate Exponential Moving Averages
    self.slow_sma = bt.indicators.EMA(self.datas[0].close, period=self.params.smaslow)
    self.fast_sma = bt.indicators.EMA(self.datas[0].close, period=self.params.smafast)
    self.crossover = bt.indicators.CrossOver(self.slow_sma, self.fast_sma)   
    self.atr = bt.indicators.ATR(self.datas[0] ,period=self.params.atrperiod)
    self.nloss = self.atr*self.params.multiplier      
    self.xATRTrailingStop = []

  def prenext(self):
    # Preassign
    xATRTrailingStop = 0
    nloss = self.nloss
    # Check for NULL
    close = 0
    prevClose = 0
    if len(self.datas) >0:
        close = self.datas[0].close
    if len(self.datas)>1:
        prevClose = self.datas[-1].close
    # Check for NULL
    prevxATRTrailingStop =0
    if(hasattr(self,'xATRTrailingStop')==True):
        if len(self.xATRTrailingStop)>1:
            prevxATRTrailingStop = self.xATRTrailingStop[-1]
            
    xATRTrailingStop = bt.If(bt.And(close>prevxATRTrailingStop ,prevClose > prevxATRTrailingStop ), bt.Max(prevxATRTrailingStop,(close-nloss)),bt.If(bt.And(close<prevxATRTrailingStop,prevClose<prevxATRTrailingStop),bt.Min(prevxATRTrailingStop,(close+nloss)),bt.If(close >prevxATRTrailingStop ,close-nloss,close+nloss)))
    self.xATRTrailingStop = xATRTrailingStop
    
    self.next()
    
  def notify_order(self,order):    
    if order.status in [order.Submitted, order.Accepted]:
        #Active Buy/Sell order submitted/accepted - 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: {0:8.2f}, Size: {1:8.2f} Cost: {2:8.2f}, Comm: {3:8.2f}'.format(
                    order.executed.price,
                    order.executed.size,
                    order.executed.value,
                    order.executed.comm))
                
            self.buyprice = order.executed.price
            self.buycomm = order.executed.comm
        elif order.issell():
            self.log('SELL EXECUTED, {0:8.2f}, Size: {1:8.2f} Cost: {2:8.2f}, Comm{3:8.2f}'.format(
                    order.executed.price, 
                    order.executed.size, 
                    order.executed.value,
                    order.executed.comm))
            
            self.bar_executed = len(self) #when was trade executed
    elif order.status in [order.Canceled, order.Margin, order.Rejected]:
        self.log('Order Canceled/Margin/Rejected')
    #Reset orders  
    self.order = None
    
  def next(self):
    print(self.dataclose[0])
    
    if(hasattr(self,'xATRTrailingStop')==True):
        if len(self.xATRTrailingStop)>1:
            print(self.xATRTrailingStop[0])
            
    if self.order:
        return
#     self.close()
    if self.crossover > 0: # Fast ma crosses above slow ma
#         self.log('BUY CREATE, %.2f' % self.dataclose[0])
        self.order = self.buy()
    elif self.crossover < 0: # Fast ma crosses below slow ma
#         self.log('SELL CREATE, %.2f' % self.dataclose[0])
        self.order = self.sell()
    else:
        return
  def stop(self):
#     print(self.xATRTrailingStop)
    super().stop()

the issue is, since i'm using EMA fast at 50 period, but i want to calculate the defined xATRTrailingStop since the first line of CSV.

using this code, the xATRTrailingStop is defined after 50 lines , since i'm using EMA fast 50 period.

thank you.

[ab_trader]

• you can't define xATRTrailingStop from the first line, it uses ATR with period 5, so only from line 6
• bt.If, bt.Max etc can be used only in __init__()
• self.xATRTrailingStop is defined in __init()__ so this hasattr(self,'xATRTrailingStop')` is always True
• len(self.datas) returns numbr of the data feeds added to cerebro
• self.datas[-1] - i don't think this object exists
• xATRTrailingStop = bt.If(...) I don't think this line returns any meaningful results

I would recommend to review documentation one more time, go thru the Quick Start yo understand how to work with the data feeds and arrays in bt.