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return self.array[self.idx + ago] IndexError: array index out of range
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I am trying to do a execute a create buy when the previous close is below the 50ma and current close is above 50ma but I keep getting these:
class TestStrategy(bt.Strategy): stoploss = 0 params = dict( pfast=50, pslow=300, ) def __init__(self): # Keep a reference to the "close" line in the data[0] dataseries self.dataclose = self.datas[0].close # To keep track of pending orders and buy price/commission self.order = None self.buyprice = None self.buycomm = None # SMA use self.sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average self.sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(self.sma1, self.sma2) # crossover signal # ATR use self.dataclose = self.datas[0].close self.datahigh = self.datas[0].high self.datalow = self.datas[0].low self.datapreviousclose = self.datas[0].close(-1) self.atr = 0 # self.my_atr = bt.ind.ATR(period = 14,) # LOGGING FUNCTION def log(self, txt, dt=None): ''' Logging function for this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def next(self): cash = self.broker.get_cash() #MA Function self.sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average self.sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(self.sma1, self.sma2) # crossover signal # ATR FUNCTION range_total = 0 for i in range(-13, 1): x = self.datahigh[i] - self.datalow[i] y = self.datahigh[i] - self.datapreviousclose[i] z = self.datalow[i] - self.datapreviousclose[i] if x > y: temp_truerange = x else: temp_truerange = y if temp_truerange > z: true_range = temp_truerange else: true_range = z range_total += true_range self.atr = range_total / 14 #ATR Multiplier self.atr = self.atr * 1 #Instants close = (self.dataclose[0]) cash = (cerebro.broker.getcash()) atr = (self.atr) self.log('C: %.8f, ATR:%.8f' % (self.dataclose[0], atr)) # ORDER CHECK (If order is in place, can't place another until filled) if self.order: return # LONG BUY CREATE CONDITION: if not self.position : if self.datas[0].close(-1) <= self.sma1[0]: if self.close() > self.sma1[0]: self.order = self.buy(size=1) print() self.log( '[ LONG BUY CREATE ] P: %.8f, Qty: %.10f, B: %.8f, ATR: %.8f' % (close, 1, cash, atr)) self.stoploss =self.low() - self.atr # LONG SELL CREATE CONDITION elif self.data < self.stoploss:# or self.crossover < 0: # in the market & cross to the downside self.close() self.log("[ LONG SELL CREATE ] P: %.8f" % close) -
I revised the code a bit:
class TestStrategy(bt.Strategy): ''' Inside this "TestStrategy", there will be some "uncommon" scripts: - ATR Function: Self-made ATR, because I needed it for sizing. - Trade Period: To count the amound of bars passed after the start of an on going trade - Trade Count: To count trades for pyramiding function since the first trade. ''' stoploss = 0 params = dict( pfast=50, pslow=300, ) def __init__(self): # Keep a reference to the "close" line in the data[0] dataseries self.dataclose = self.datas[0].close # To keep track of pending orders and buy price/commission self.order = None self.buyprice = None self.buycomm = None # SMA use self.sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average self.sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(self.sma1, self.sma2) # crossover signal # ATR use self.dataclose = self.datas[0].close self.datahigh = self.datas[0].high self.datalow = self.datas[0].low self.datapreviousclose = self.datas[0].close(-1) self.atr = 0 # self.my_atr = bt.ind.ATR(period = 14,) # LOGGING FUNCTION def log(self, txt, dt=None): ''' Logging function for this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def next(self): cash = self.broker.get_cash() #MA Function self.sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average self.sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(self.sma1, self.sma2) # crossover signal # ATR FUNCTION range_total = 0 for i in range(-13, 1): x = self.datahigh[i] - self.datalow[i] y = self.datahigh[i] - self.datapreviousclose[i] z = self.datalow[i] - self.datapreviousclose[i] if x > y: temp_truerange = x else: temp_truerange = y if temp_truerange > z: true_range = temp_truerange else: true_range = z range_total += true_range self.atr = range_total / 14 #ATR Multiplier self.atr = self.atr * 1 #Instants close = (self.dataclose[0]) cash = (cerebro.broker.getcash()) atr = (self.atr) self.log('C: %.8f, ATR:%.8f' % (self.dataclose[0], atr)) # ORDER CHECK (If order is in place, can't place another until filled) if self.order: return # LONG BUY CREATE CONDITION: if not self.position : if self.datas[0].close(-1) <= self.sma1[0]: if self.dataclose() > self.sma1[0]: self.order = self.buy(size=1) print() self.log( '[ LONG BUY CREATE ] P: %.8f, Qty: %.10f, B: %.8f, ATR: %.8f' % (close, 1, cash, atr)) self.stoploss =self.datalow() - self.atr # LONG SELL CREATE CONDITION elif self.dataclose() < self.stoploss:# or self.crossover < 0: # in the market & cross to the downside self.close() self.log("[ LONG SELL CREATE ] P: %.8f" % close) -
@gleetche said in return self.array[self.idx + ago] IndexError: array index out of range:
#MA Function
self.sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average
self.sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average
self.crossover = bt.ind.CrossOver(self.sma1, self.sma2) # crossover signal# ATR FUNCTION range_total = 0 for i in range(-13, 1):The SMA and crossover functions need to be defined in init, then used
self.sma1[0]in next.Also there's a built in ATR fucntion I would use unless you are modifying it.
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@run-out thanks!
