Attempting to create Bollinger Band indicator from scratch, am I missing studies? (SMA, StdDev)

earlcharles1

from future import (absolute_import, division, print_function,
unicode_literals)

import datetime # For datetime objects
import os.path # To manage paths
import sys # To find out the script name (in argv[0])

Import the backtrader platform

import backtrader as bt
class BollingerBand(bt.Strategy):

params = (('period', 5),
    ('devfactor', 3.0),)


def __init__(self):
    self.period = self.params.period
    self.devfactor = self.params.devfactor
    self.close = self.datas[0].close
    self.midband = bt.indicators.SimpleMovingAverage(self.close,self.period)
    self.topband = self.midband + self.devfactor*StandardDeviation(data,period)
    self.botband = self.midband - self.devfactor*StandardDeviation(data,period)

def next(self):
    self.log('Close, %.2f' % self.close[0])
    if self.order:
        return
    if not self.position:
        if self.close[0] > self.topband:
            self.log('Short/Sale, %.2f' % self.close)
            self.order = self.sell()
    else:
        if self.close[0] < self.botband:
            self.log('Buy, %.2f' % self.close)
            self.order = self.buy()

if name == 'main':
cerebro = bt.Cerebro()
cerebro.addindicator(BollingerBand)
modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
datapath = os.path.join(modpath, 'RICK.csv')
data = bt.feeds.YahooFinanceCSVData(
dataname=datapath,
# Do not pass values before this date
fromdate=datetime.datetime(2019, 11, 13),
# Do not pass values before this date
todate=datetime.datetime(2020, 11, 13),
# Do not pass values after this date
reverse=False)
cerebro.adddata(data)
cerebro.broker.setcash(5000.0)
cerebro.addsizer(bt.sizers.FixedSize, stake =10)
cerebro.broker.setcommission(commission=0.0)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.run()
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

run-out

There is alread a built in Bollinger Bands. If you feel the need to recreate it, you should extend the class bt.Indicators not bt.Strategy. Then instantiate the indicator in your strategy.

If developing bespoke you might consider looking at the Bollinger Band code (https://github.com/backtrader2/backtrader/blob/master/backtrader/indicators/bollinger.py) in the indicators class in backtrader to see the original code.

earlcharles1

@run-out Thank you, I tried to delete this post but couldn't find the option.

run-out

@earlcharles1 Yes all of our thoughts are recorded forever here. :)