SQN indicator for regime shifts

Jens Halsberghe

Hi,

I'm trying to create the SQN indicator for regime shifts (as created by Van Tharpe). I'm encountering an error when running it in the strategy

Indicator:

class SQN(bt.Indicator):
    
    lines = ('SQN_value',)
    
    def __init__(self):
        
        self.logreturns = np.log(self.data.close[0]/self.data.close[-1])
        self.stdev = bt.indicators.StdDev(self.logreturns, period=100)
        self.SMA = bt.indicators.SMA(self.logreturns, period=100)
        
    
    def next(self):
        
        self.SQN_value[0] = self.SMA[0]*np.sqrt(100)/self.stdev[0]

in strategy:

class Strategy(bt.Strategy):
    
    def log(self, txt, dt=None):
        ''' Logging function for this strategy'''
        dt = dt or self.datas[0].datetime.datetime(0)
        print('%s, %s' % (dt.strftime("%Y-%m-%d %H:%M"), txt))    
    
    def __init__(self):
        
        self.SQNval = SQN(self.datas[0])
        
    def next(self):
        
        self.log(self.SQNval[0])
        
if __name__ == '__main__':

    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(Strategy)
    # Create a Data Feed
    data = bt.feeds.PandasData(dataname=df)
    # Add the Data Feed to Cerebro
    cerebro.adddata(data)
    
    cerebro.run()

error:

---------------------------------------------------------------------------
IndexError                                Traceback (most recent call last)
<ipython-input-81-2795bce82ea1> in <module>
     25     cerebro.adddata(data)
     26 
---> 27     cerebro.run()

~\Anaconda3\lib\site-packages\backtrader\cerebro.py in run(self, **kwargs)
   1125             # let's skip process "spawning"
   1126             for iterstrat in iterstrats:
-> 1127                 runstrat = self.runstrategies(iterstrat)
   1128                 self.runstrats.append(runstrat)
   1129                 if self._dooptimize:

~\Anaconda3\lib\site-packages\backtrader\cerebro.py in runstrategies(self, iterstrat, predata)
   1291                     self._runonce_old(runstrats)
   1292                 else:
-> 1293                     self._runonce(runstrats)
   1294             else:
   1295                 if self.p.oldsync:

~\Anaconda3\lib\site-packages\backtrader\cerebro.py in _runonce(self, runstrats)
   1650         '''
   1651         for strat in runstrats:
-> 1652             strat._once()
   1653             strat.reset()  # strat called next by next - reset lines
   1654 

~\Anaconda3\lib\site-packages\backtrader\lineiterator.py in _once(self)
    295 
    296         for indicator in self._lineiterators[LineIterator.IndType]:
--> 297             indicator._once()
    298 
    299         for observer in self._lineiterators[LineIterator.ObsType]:

~\Anaconda3\lib\site-packages\backtrader\lineiterator.py in _once(self)
    295 
    296         for indicator in self._lineiterators[LineIterator.IndType]:
--> 297             indicator._once()
    298 
    299         for observer in self._lineiterators[LineIterator.ObsType]:

~\Anaconda3\lib\site-packages\backtrader\lineiterator.py in _once(self)
    295 
    296         for indicator in self._lineiterators[LineIterator.IndType]:
--> 297             indicator._once()
    298 
    299         for observer in self._lineiterators[LineIterator.ObsType]:

~\Anaconda3\lib\site-packages\backtrader\linebuffer.py in _once(self)
    628 
    629         self.preonce(0, self._minperiod - 1)
--> 630         self.oncestart(self._minperiod - 1, self._minperiod)
    631         self.once(self._minperiod, self.buflen())
    632 

~\Anaconda3\lib\site-packages\backtrader\lineroot.py in oncestart(self, start, end)
    163         Only called once and defaults to automatically calling once
    164         '''
--> 165         self.once(start, end)
    166 
    167     def once(self, start, end):

~\Anaconda3\lib\site-packages\backtrader\linebuffer.py in once(self, start, end)
    670 
    671         for i in range(start, end):
--> 672             dst[i] = src[i + ago]
    673 
    674 

IndexError: array assignment index out of range

any help is much appreciated

run-out

@Jens-Halsberghe said in SQN indicator for regime shifts:

self.data.close[0]/self.data.close[-1]

Not sure if this will fix all the code but the square brackets need to be round in init because you are dealing with the whole line, not just one bar of the line..

self.data.close(0)/self.data.close(-1)

Jens Halsberghe

@run-out doesn't fix it unfortunately.

ab_trader

np.log requires array-like variable. self.data.close(0)/self.data.close(-1) ratio calculated in the __init__() doesn't return this type of variable.

Jens Halsberghe

@ab_trader thanks. when I take the log away it works. alternatively I tried math.log but it's also giving me an error. I don't see another way to take a log?

Additionally, from the error, I would have never guessed this is the problem. I find it at times quite challenging to debug.

error I'm getting when using math.log

---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
<ipython-input-105-342bb33a11f0> in <module>
     26     cerebro.adddata(data)
     27 
---> 28     cerebro.run()

~\Anaconda3\lib\site-packages\backtrader\cerebro.py in run(self, **kwargs)
   1125             # let's skip process "spawning"
   1126             for iterstrat in iterstrats:
-> 1127                 runstrat = self.runstrategies(iterstrat)
   1128                 self.runstrats.append(runstrat)
   1129                 if self._dooptimize:

~\Anaconda3\lib\site-packages\backtrader\cerebro.py in runstrategies(self, iterstrat, predata)
   1215             sargs = self.datas + list(sargs)
   1216             try:
-> 1217                 strat = stratcls(*sargs, **skwargs)
   1218             except bt.errors.StrategySkipError:
   1219                 continue  # do not add strategy to the mix

~\Anaconda3\lib\site-packages\backtrader\metabase.py in __call__(cls, *args, **kwargs)
     86         _obj, args, kwargs = cls.donew(*args, **kwargs)
     87         _obj, args, kwargs = cls.dopreinit(_obj, *args, **kwargs)
---> 88         _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
     89         _obj, args, kwargs = cls.dopostinit(_obj, *args, **kwargs)
     90         return _obj

~\Anaconda3\lib\site-packages\backtrader\metabase.py in doinit(cls, _obj, *args, **kwargs)
     76 
     77     def doinit(cls, _obj, *args, **kwargs):
---> 78         _obj.__init__(*args, **kwargs)
     79         return _obj, args, kwargs
     80 

<ipython-input-105-342bb33a11f0> in __init__(self)
      8     def __init__(self):
      9 
---> 10         self.SQNval = SQN(self.datas[0])
     11 
     12     def next(self):

~\Anaconda3\lib\site-packages\backtrader\indicator.py in __call__(cls, *args, **kwargs)
     51     def __call__(cls, *args, **kwargs):
     52         if not cls._icacheuse:
---> 53             return super(MetaIndicator, cls).__call__(*args, **kwargs)
     54 
     55         # implement a cache to avoid duplicating lines actions

~\Anaconda3\lib\site-packages\backtrader\metabase.py in __call__(cls, *args, **kwargs)
     86         _obj, args, kwargs = cls.donew(*args, **kwargs)
     87         _obj, args, kwargs = cls.dopreinit(_obj, *args, **kwargs)
---> 88         _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
     89         _obj, args, kwargs = cls.dopostinit(_obj, *args, **kwargs)
     90         return _obj

~\Anaconda3\lib\site-packages\backtrader\metabase.py in doinit(cls, _obj, *args, **kwargs)
     76 
     77     def doinit(cls, _obj, *args, **kwargs):
---> 78         _obj.__init__(*args, **kwargs)
     79         return _obj, args, kwargs
     80 

<ipython-input-104-464714667728> in __init__(self)
      5     def __init__(self):
      6 
----> 7         self.logreturns = math.log(self.data.close(0)/self.data.close(-1))
      8         self.stdev = bt.indicators.StdDev(self.logreturns, period=100)
      9         self.SMA = bt.indicators.SMA(self.logreturns,period=100)

TypeError: must be real number, not LinesOperation

ab_trader

@Jens-Halsberghe said in SQN indicator for regime shifts:

alternatively I tried math.log but it's also giving me an error.

math.logrequires the number, so it will not work also.

I don't see another way to take a log?

You need to write your own indicator which calculates log of the number and than use it. In the indicator you put calculations in the next, so you can use math.log.

soulmachine

@Jens-Halsberghe Backtrader uses its own datastructure to store OHLC lines, the structure is neither nump.ndarray nor float, so you can use neither np.log nor math.log

soulmachine

@Jens-Halsberghe But in next(), you get a single OHLC bar which is a plain Python object, you can use math.log in def next()