How to create a strategy that uses indicators from different timeframes

Speedmaster

Sorry for this noob question...

What I'm trying to do is a simple sample strategy that checks the RSI indicator for 14 days, and buys when the a engulfing pattern is detected on the minute timeframe, however I can't figure out how to add both timeframes on my strategy

class MYStrategy(bt.Strategy):

    def __init__(self):
        self.cdl = bt.talib.CDLENGULFING(self.data.open, self.data.high, self.data.low, self.data.close)
        self.rsi = bt.talib.RSI(self.data, timeperiod=14)

    def next(self):
        if self.rsi > 70 and self.cdl == 100 and not self.position:
            self.buy(size=1.00)
        if self.rsi < 30 and self.cdl == -100 and self.position:
            self.close()


cerebro = bt.Cerebro()

data = bt.feeds.GenericCSVData(dataname='MYDATA_minute.csv', dtformat=2, compression=1, timeframe=bt.TimeFrame.Minutes)
cerebro.adddata(data)

data2 = bt.feeds.GenericCSVData(dataname='MYDATA_daily.csv', dtformat=2, compression=1, timeframe=bt.TimeFrame.Days)
cerebro.adddata(data2)

cerebro.addstrategy(MYStrategy)
cerebro.run()
cerebro.plot()

Speedmaster

So, I did some more trying and I sort of got it working like this:

    def __init__(self):

        self.inds = dict()
        for i, d in enumerate(self.datas):
            self.inds[d] = dict()
            self.inds[d]['rsi'] = bt.talib.RSI(d, timeperiod=14)
            self.inds[d]['eng'] = bt.talib.CDLENGULFING(d.open, d.high, d.low, d.close)


    def next(self):
        for i, d in enumerate(self.datas):
            if self.inds[d]['rsi'] > 70 and self.inds[d]['eng'] == 100 and not self.position:
                self.buy(size=0.05)
            if self.inds[d]['rsi'] < 30 and self.inds[d]['eng'] == -100 and self.position:
                self.close()

This code actually works, however I don't really understand how since nowhere I state that I want use the daily data for the RSI and the minute data for the engulfing.... So I'm confused... What else can I improve in this code?

Nam Nguyen

Try with add 2 data feeds

class MYStrategy(bt.Strategy):

    def __init__(self):
        self.cdl = bt.talib.CDLENGULFING(self.data.open, self.data.high, self.data.low, self.data.close)
        self.rsi = bt.talib.RSI(self.data, timeperiod=14)

    def next(self):
        if self.rsi > 70 and self.cdl == 100 and not self.position:
            self.buy(size=1.00)
        if self.rsi < 30 and self.cdl == -100 and self.position:
            self.close()


cerebro = bt.Cerebro()

data0 = bt.feeds.GenericCSVData(dataname='MYDATA_minute.csv', dtformat=2, compression=1, timeframe=bt.TimeFrame.Minutes)
cerebro.adddata(data0)

data1 = bt.feeds.GenericCSVData(dataname='MYDATA_day.csv', dtformat=2, compression=1, timeframe=bt.TimeFrame.Days)
cerebro.adddata(data1)

then use data1 to load indicators from self.data1 or self.datas[1]

ind  = bt.talib.CDLENGULFING(self.data1.open, self.data1.high, self.data1low, self.data1.close)