Dynamic values for strategy

agog

Hi,
I'm new to Backtrader and am really enjoying it! I searched the documentation, articles, and forum for anything about dynamically changing the strategy parameters after initialization. I could only find one example on dynamically changing the an indicator which I could not figure out...
I am probably misunderstanding the Dynamic Indicators article. If this is the case, could someone please explain it to me with the example below.

I am trying to add another indicator (EMA3cross) to the strategy - I want this indicator to be dynamically changed between the EMA1cross and EMA2cross proportionally according to the SMA indicator.

class Test(bt.Strategy):

    params = (('ema1fast', 20), ('ema1slow', 40), ('ema2fast', 50), ('ema2slow', 100), ('sma', 50))

    def __init__(self):
        # EMAcross1
        self.e1f = btind.EMA(self.data, period=self.p.ema1fast)
        self.e1s = btind.EMA(self.data, period=self.p.ema1slow)
        # EMAcross2
        self.e2f = btind.EMA(self.data, period=self.p.ema2fast)
        self.e2s = btind.EMA(self.data, period=self.p.ema2slow)
        # SMA
        self.sma = btind.SMA(self.data, period=self.p.sma)

    def next(self):
        # EMA3cross
        self.ema3fast = (self.e1f._minperiod * self.sma)
        self.ema3slow = (self.e1s._minperiod * self.sma)
        EMA3fast = btind.EMA(self.data, period=self.ema3fast)
        EMA3slow = btind.EMA(self.data, period=self.ema3slow)
        self.buysig = btind.CrossOver(EMA3fast, EMA3slow)
        
        # Buy/Sell
        if self.buysig < 0:
            self.sell()
        elif self.buysig > 0:
            self.buy()

Error:

Traceback (most recent call last):
  File "dynamic1.py", line 97, in <module>
    thestrats = cerebro.run()
  File "/home/user1/.local/lib/python3.8/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/home/user1/.local/lib/python3.8/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "/home/user1/.local/lib/python3.8/site-packages/backtrader/cerebro.py", line 1695, in _runonce
    strat._oncepost(dt0)
  File "/home/user1/.local/lib/python3.8/site-packages/backtrader/strategy.py", line 311, in _oncepost
    self.nextstart()  # only called for the 1st value
  File "/home/user1/.local/lib/python3.8/site-packages/backtrader/lineiterator.py", line 347, in nextstart
    self.next()
  File "dynamic1.py", line 47, in next
    if self.buysig < 0:
TypeError: __bool__ should return bool, returned LineOwnOperation

run-out

@agog Try [0] to get the line at the current date.

self.buysig[0]

agog

@run-out, thanks for the help, but that did not work...

Has anyone implemented something like this?

I have some new code trying to make a MACD (MACD2) parameters dynamic:

class Test(bt.Strategy):

    params = (('macdfast', 50), ('macdslow', 200),('macdsignal', 500), \
              ('bbtimeperiod', 50), ('nbdevup', 1),('nbdevdn', 1))

    def __init__(self):
        # MACD1
        self.talib_macd = bt.talib.MACD(self.data, fastperiod=int(self.p.macdfast), slowperiod=int(self.p.macdslow), signalperiod=int(self.p.macdsignal))
        
        # BBANDS
        self.bb = bt.talib.BBANDS(self.data, timeperiod=self.p.bbtimeperiod, nbdevup=float(self.p.nbdevup), nbdevdn=float(self.p.nbdevdn), plot=True)

    def next(self):
        # MACD2 (Dynamic)
        macd2fast = self.p.macdfast * self.bb.upperband-self.bb.lowerband
        macd2slow = self.p.macdslow + self.p.macdslow * self.bb.upperband-self.bb.lowerband
        macd2signal = self.p.macdsignal + self.p.macdsignal * self.bb.upperband-self.bb.lowerband

        talib_macd2 = bt.talib.MACD(self.data, fastperiod=int(macd2fast), slowperiod=int(macd2slow), signalperiod=int(macd2signal), plot=False)
        
# Getting MACD2 plotlines
        macd_line = talib_macd2.macd[0]
        signal_line = talib_macd2.macdsignal[0]

        # Buy/Sell
        if macd_line > signal_line:
            self.sell()
        elif macd_line < signal_line:
            self.buy()

The error I am getting is this:

  File "dynamic3.py", line 41, in next
    macd_line = talib_macd2.macd[0]
  File "/home/user1/.local/lib/python3.8/site-packages/backtrader/linebuffer.py", line 163, in __getitem__
    return self.array[self.idx + ago]
IndexError: array index out of range

mudassar031

@agog
i am also facing same kind of issue "array index out of range" you were able to fix it

run-out

@agog said in Dynamic values for strategy:

MACD2 (Dynamic)

    macd2fast = self.p.macdfast * self.bb.upperband-self.bb.lowerband
    macd2slow = self.p.macdslow + self.p.macdslow * self.bb.upperband-self.bb.lowerband
    macd2signal = self.p.macdsignal + self.p.macdsignal * self.bb.upperband-self.bb.lowerband

    talib_macd2 = bt.talib.MACD(self.data, fastperiod=int(macd2fast), slowperiod=int(macd2slow), signalperiod=int(macd2signal), plot=False)

I think all of this needs to be in your init sections.