Sizer based on ATR

KonstantinKlychkov

Hi!
I try to implement Sizer based on ATR using bt.indicators.ATR. As a result, I get an error which I don't know how to solve, please help to fix that.

class AtrBasedPositionSize(bt.Sizer):
    # list of parameters which are configurable for the sizer
    params = (('period', 20),
              ('risk', 0.05),
              ('ATR_multiple', 1.5))

    def _getsizing(self, comminfo, cash, data, isbuy):
        if(len(data)<=self.p.period):
            return 0

        self.ticker_ATR = bt.indicators.ATR(data, period=self.p.period)
        position_size = int((self.p.risk * self.broker.getvalue()) // (self.p.ATR_multiple * self.ticker_ATR))
        return position_size

...

cerebro.addsizer(AtrBasedPositionSize)

ERROR:
position_size = int((self.p.risk * self.broker.getvalue()) // (self.p.ATR_multiple * self.ticker_ATR))
TypeError: int() argument must be a string, a bytes-like object or a number, not 'LinesOperation'

alexbrillant

either self.p.ATR_multiple, or self.ticker_ATR is a LinesOperation object. LinesOperation must have a property for the value that you are looking for.

ab_trader

Define self.ticker_ATR in the sizer's __init__(), then use self.ticker_ATR[0] in _getsizing() method. Should work.

If you use ATR in your strategy for other needs, than you can define it on the strategy level once and call in the _getsizing() method.

KonstantinKlychkov

@ab_trader thanks, that works!

Linuxpower Ludo

@ab_trader said in Sizer based on ATR:

Define self.ticker_ATR in the sizer's __init__(), then use self.ticker_ATR[0] in _getsizing() method. Should work.

If you use ATR in your strategy for other needs, than you can define it on the strategy level once and call in the _getsizing() method.

Hi @ab_trader ,

I try to apply your advices but i have an error :

    class LongOnly(bt.Sizer):
        def __init__(self):
            self.dataatr=bt.indicators.ATR(data, period=20)

        def _getsizing(self, comminfo, cash, data, isbuy):
            if isbuy:
                divide = math.floor(5000/self.dataatr[0])
                self.p.stake = divide
                return self.p.stake
            # Sell situation
            position = self.broker.getposition(data)
            if not position.size:
                return 0  # do not sell if nothing is open
            return self.p.stake

self.lines.truehigh = Max(self.data.high, self.data.close(-1))

File "F:\Software\Python\Python3.6\lib\site-packages\backtrader\lineseries.py", line 461, in getattr
return getattr(self.lines, name)
AttributeError: 'Lines_LineSeries_LineSeriesStub' object has no attribute 'high'

Can you help me please ?

Regards
Ludo