Is it possible to bulid a data filter using backtrader's built-in indicators?

weibudda

I want to bulid a data filter using backtrader's built in indicators, as the following codes:

class ImpulseSystem(object):
    def __init__(self, data):
        self.ema = bt.indicators.EMA(data.close, period=13)
        macd, signal, self.macd_hist = bt.indicators.MACDHisto(data.close, period_me1=12, period_me2=26,
                                                               period_signal=9)
        data.impulse = np.zeros_like(data.close)

    def __call__(self, data):
        if len(data) > 1:
            if (self.ema[0] > self.ema[-1]) and (self.macd_hist[0] > self.macd_hist[-1]):
                data.impulse[0] = 1
            elif (self.ema[0] < self.ema[-1]) and (self.macd_hist[0] < self.macd_hist[-1]):
                data.impulse[0] = -1
        return False  # length of data stream is unaltered


....

        data = bt.feeds.PandasData(dataname=datas.loc[code], tz=tz_cn)
        data._name = code[0:6]
        data1 = data.clone()
        data1.addfilter(ImpulseSystem)
        cerebro.adddata(data1)

This code will atempt to and a signal line 'impulse' to the data feed,
but it reports the following error,

File "D:/Python/Jupyter/BackTrader/Test/Record/Order_History_C1.py", line 397, in runstrat
    data1.addfilter(ImpulseSystem)
  File "C:\Users\WEI\.conda\envs\backtrader37\lib\site-packages\backtrader\feed.py", line 332, in addfilter
    pobj = p(self, *args, **kwargs)
  File "D:/Python/Jupyter/BackTrader/Test/Record/Order_History_C1.py", line 89, in __init__
    self.ema = bt.indicators.EMA(data.close, period=13)
  File "C:\Users\WEI\.conda\envs\backtrader37\lib\site-packages\backtrader\indicator.py", line 53, in __call__
    return super(MetaIndicator, cls).__call__(*args, **kwargs)
  File "C:\Users\WEI\.conda\envs\backtrader37\lib\site-packages\backtrader\metabase.py", line 89, in __call__
    _obj, args, kwargs = cls.dopostinit(_obj, *args, **kwargs)
  File "C:\Users\WEI\.conda\envs\backtrader37\lib\site-packages\backtrader\lineiterator.py", line 143, in dopostinit
    _obj._owner.addindicator(_obj)
  File "C:\Users\WEI\.conda\envs\backtrader37\lib\site-packages\backtrader\lineseries.py", line 461, in __getattr__
    return getattr(self.lines, name)
AttributeError: 'Lines_LineSeries_DataSeries_OHLC_OHLCDateTime_Abst' object has no attribute 'addindicator'

What's the matter?

ab_trader

@weibudda

as a guess - indicators are recognized and initialized within the strategy class, but not some object. therefore it is possible that all line written in the __init__ above are meaningless from the bt point of view.