ATR problem

[Gleetche]

Can someone put ATR into my code? I get that you can either build one yourself , utilize a built-in indicator, or use a third-party's but I am not sure how to use the make one myself or even use the built-in.

I am trying to use the ATR as stop loss(Exiting a long position).

import datetime
import backtrader as bt

# Create a subclass of Strategy to define the indicators and logic

class SmaCross(bt.Strategy):
    # list of parameters which are configurable for the strategy
    params = dict(
        pfast=10,  # period for the fast moving average
        pslow=30   # period for the slow moving average
    )

    def __init__(self):
        sma1 = bt.ind.SMA(period=self.p.pfast)  # fast moving average
        sma2 = bt.ind.SMA(period=self.p.pslow)  # slow moving average
        self.crossover = bt.ind.CrossOver(sma1, sma2)  # crossover signal
        

    def next(self):
        if not self.position:  # not in the market
            if self.crossover > 0:  # if fast crosses slow to the upside
                self.buy()  # enter long

        elif self.crossover < 0:  # in the market & cross to the downside
            self.close()  # close long position


cerebro = bt.Cerebro()  # create a "Cerebro" engine instance

data = bt.feeds.YahooFinanceCSVData(
    dataname="oracle.csv",
    fromdate=datetime.datetime(2000, 3, 1),
    todate=datetime.datetime(2000, 8, 29),
    reverse=False)
cerebro.adddata(data)

cerebro.addstrategy(SmaCross)  # Add the trading strategy
cerebro.run()  # run it all
cerebro.plot(style="candlestick",barup='green', bardown='red')

[Gleetche]

I found a blog on how to build your own indicator, and the example is an ATR indicator.

I tried running this but somethings not right

class ATR (bt.indicator):
        range_total = 0
        for i in range(-13, 1):
            true_range = self.datahigh[i] - self.datalow[i]
            range_total += true_range
        ATR = range_total / 14

   def next(self):
        # CLOSING LOGS
        self.log('Close, %.2f, ATR: %.4f' % (self.dataclose[0], AtrStop))

[run-out]

Average True Range is a built in indicator found here. Build in indicators are mostly added during the init() of the strategy class. So for example, in your code:

    def __init__(self):
        sma1 = bt.ind.SMA(period=self.p.pfast)  # fast moving average
        sma2 = bt.ind.SMA(period=self.p.pslow)  # slow moving average
        self.crossover = bt.ind.CrossOver(sma1, sma2)  # crossover signal
        self.my_atr = bt.ind.ATR(period=14)

You can now access the value of your ATR at each bar in next:

def next(self):
    if self.my_atr[0] > 'whatever':
         'do something'

Spend some time on the basic concepts and quickstart in the documentation. This will help you a lot.