Days to Weeks resampling

Matheus Pires

Hi guys!

I've been struggling to solve a problem involving resampling from daily to weekly data. My issue is that I need to generate my trading signals for an asset using the close price of a given week, and this signal should be available right after the market closes so that I could execute this order on the following week open price.

EXAMPLE: Signal to buy 50 AAPL shares triggered on friday's close, and order executed on monday's opening.

However, the way I'm implementing "resampledata" makes the weekly close price of the asset only available on the first day of the following week.

EXAMPLE: Signal to buy 50 AAPL shares should be issued on friday's close, but is being triggered only on monday's close, to be executed on tuesday's opening.

I generated a daily log of the week's closing price, and as you can check out below, the transition from one close price to the following one is being done from friday to monday, instead of thursday to friday.

Starting Portfolio Value: 100000.00
2006-01-09, Close, 3666.99
2006-01-10, Close, 3666.99
2006-01-11, Close, 3666.99
2006-01-12, Close, 3666.99
2006-01-13, Close, 3666.99  <--- Friday
2006-01-16, Close, 3629.25  <--- Monday
2006-01-17, Close, 3629.25
2006-01-18, Close, 3629.25

If you guys wanna check the script I used to generate the logs, check out below:

# Create a Stratey
class TestStrategy(bt.Strategy):

    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



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

        if self.dataclose[0] < self.dataclose[-1]:
            # current close less than previous close

            if self.dataclose[-1] < self.dataclose[-2]:
                # previous close less than the previous close

                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                self.buy()

# Create a cerebro entity
cerebro = bt.Cerebro(stdstats = False)

# Add a strategy
cerebro.addstrategy(TestStrategy)

# Datas are in a subfolder of the samples.

datapath = 'datas/2006-day-001.txt'

# Create a Data Feed
data = btfeeds.BacktraderCSVData(dataname=datapath, timeframe = bt.TimeFrame.Days)

# Add the Data Feed to Cerebro
cerebro.adddata(data)
cerebro.resampledata(data, timeframe = bt.TimeFrame.Weeks, compression = 1)

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

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

# Run over everything
strats = cerebro.run(runonce = False)

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

# Plot the result
cerebro.plot(style = 'bar', volume = False)

strat0 = strats[0]

Thanks in advance!!

Matheus Pires


I've made a mistake while copying and paste the code, the first lines of the "next" function should be:

    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.2f' % self.datas[1].close[0])

Matheus Pires

Problem solved:

The issue was that I haven't assigned a calendar to cerebro with a corresponding session start/end, so it assumed the session lasted the whole 24h (I guess).

Anyways I just needed to add an instance of MyCalendar to cerebro:

class MyCalendar(bt.TradingCalendar):
    params = {
        'open': time(9, 0),
        'close': time(18, 0),
    }