How to add Indicator over resampled data? E.g. 10-day sma for minute data

xnox

Hello,

I'm trying to use btrun, and code a generic strategy which I can control with btrun. My data is typically minute bars, however, in the strategy, I would like to use a 10-day indicator. How can I do this in the strategy? Or btrun options?

If I script against celebro directly, I would add data0 as usual, then call resampledata to generate resampled data1, and then in the strategy add sma indicator with period=10 against data1.

Somehow, I wish any indicator could be added with data resampling, e.g.
self.sma = bt.indicators.SimpleMovingAverage(self.data, resample=bt.TimeFrame.Days, period=self.params.sma)

I've now tweaked btrun locally to always add data first, and then add resampled one too. Such that I get the minute and daily data feeds for indicators to work on, but this seems extra work.

I guess I could do sma over 1440... but that assumes 24h trading with no missing minutes and is not the same as resampling to days first, and then doing 10-day sma.

Regards,

Dimitri.

backtrader

@xnox said in How to add Indicator over resampled data? E.g. 10-day sma for minute data:

I'm trying to use btrun, and code a generic strategy which I can control with btrun. My data is typically minute bars, however, in the strategy, I would like to use a 10-day indicator. How can I do this in the strategy? Or btrun options?

If the only data feed in the strategy is has a Minutes/x timeframe/compression specification, you cannot have an indicator calculating in days.

self.sma = bt.indicators.SimpleMovingAverage(self.data, resample=bt.TimeFrame.Days, period=self.params.sma)

That's not possible. An indicator can run several levels deep and only be accessing data which has not datetime information. An indicator is a dumb math calculator.

I guess I could do sma over 1440... but that assumes 24h trading with no missing minutes and is not the same as resampling to days first, and then doing 10-day sma.

You need to resample the minutes-data-feed to Days/1 and then create the indicator on that data feed.