Plot Indicator on Master Data

KT

Hi! I would like to plot an indicator on hourly data but the indicator is calculated based on daily data.

I tried using the following code but I am unable to see the indicator

self.indicatorname.plotinfo.plotmaster =True
self.indicatorname.plotinfo.plotylimited = False

This is the full code.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import os.path
import argparse
import datetime
import math
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.plot as plt
import backtrader.indicators as btinds

class Donchian(btinds.PeriodN):
    lines = ('maxi','mini',)
    params = (('period',6),)
    
    def __init__(self):
        self.lines.maxi = btinds.Highest(self.data.high, period=self.p.period)
        self.lines.mini = btinds.Lowest(self.data.low, period=self.p.period)

class St(bt.Strategy):
    
    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.data0.datetime.date(0)
        dt1 = self.data0.datetime.time(0)
        print('%s,%s, %s' % (dt.isoformat(),dt1.isoformat(), txt))
        
    def __init__(self):
        self.channel = Donchian(self.data1)
        self.channel.plotinfo.subplot=False
        self.channel.plotinfo.plotmaster = True
        self.buysignal = 0
        self.sellsignal = 0
        self.dayhigh = 0
        self.daylow = 0
        
    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            return
        
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.5f, Cost: %.5f' %
                    (order.executed.price,
                     order.executed.value))
                
                self.buyprice = order.executed.price
                
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.5f, Cost: %.5f' %
                         (order.executed.price,
                          order.executed.value))
        
            self.bar_executed = len(self)
            
        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')
        
        self.order = None
        
    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.5f, NET %.5f' %
                 (trade.pnl, trade.pnlcomm))
        
    def next(self):
        txt = ','.join(
            ['%04d' % len(self.data0),
             '%04d' % len(self.data1),
             self.data0.datetime.date(0).isoformat(),
             self.data0.datetime.time(0).isoformat(),
             self.data1.datetime.date(0).isoformat(),
             'Open : %.5f' % self.data0.open[0],
             'Close : %.5f' % self.data0.close[0],
             'Buysignal = %d' % self.buysignal,
             'Sellsignal = %d' % self.sellsignal,
             'Current Low = %.5f' % self.daylow,
             'Current High = %.5f' % self.dayhigh]) 
        print(txt)
        
        if self.buysignal >0 :
            if self.data0.datetime.time(0)==datetime.time(0,0,0):
                self.buysignal = 0
                self.sellsignal = 0

        if self.sellsignal >0 :
            if self.data0.datetime.time(0)==datetime.time(0,0,0):
                self.buysignal = 0
                self.sellsignal = 0
                
        if self.buysignal == 0 :
                
                if self.data0.close[0] < self.channel.lines.mini[0]:
                    self.buysignal = 1
                    self.daylow = self.channel.lines.mini[0]
                    print("-----------breaking low----------------")
                    print(self.data0.datetime.time(0),"Current Low : %.5f" % self.channel.mini[0])
            
        elif self.buysignal == 1:
                
                if self.data0.close[0] > self.daylow:
                    print('Current Low : %5f' % self.daylow)
                    self.log('BUY CREATE, %.5f' % self.data0.close[0])
                    self.order=self.buy(data=self.data0)
                    self.buysignal = 0
        
        if self.sellsignal==0:
                
                if self.data0.close[0] > self.channel.lines.maxi[0]:
                    self.sellsignal=1
                    self.dayhigh = self.channel.lines.maxi[0]
                    print("------------breaking high----------------")
                    print(self.data0.datetime.time(0),"Current High : %.5f" % self.channel.lines.maxi[0])
            
        elif self.sellsignal ==1:
            
            if self.data0.close[0] < self.dayhigh:
                print('Current High : %5f' % self.dayhigh)
                self.log('SELL CREATE, %.5f' % self.data0.close[0])
                self.order = self.sell(data=self.data0)
                self.sellsignal=0
def runstrat():
    args = parse_args()

    cerebro = bt.Cerebro()
    modpath = 'd:\\I - TradersGPS\\'
    datapath0 = os.path.join(modpath, 'GBPUSD_H1_UTC+2_00.csv')
    datapath1 = os.path.join(modpath, 'GBPUSD_D1_UTC+2_00.csv')    
    data0 = btfeeds.GenericCSVData(dataname=datapath0,
                                   timeframe=bt.TimeFrame.Minutes,
                                   compression = 60,
                                  fromdate = datetime.datetime(2016,10,21),
                                  todate=datetime.datetime(2016,11,15),                                  
                                  nullvalue=0.0,
                                  dtformat=('%Y.%m.%d'),
                                  tmformat=('%H:%M'),
                                  datetime=0,
                                  time=1,
                                  open=2,
                                  high=3,
                                  low=4,
                                  close=5,
                                  volume=6,
                                  openinterest=-1)
    data1 = btfeeds.GenericCSVData(dataname=datapath1,
                                   timeframe = bt.TimeFrame.Days,
                                  fromdate =datetime.datetime(2016,10,21),
                                  todate= datetime.datetime(2016,11,15),
                                  nullvalue=0.0,
                                  dtformat=('%Y.%m.%d'),
                                  tmformat=('%H:%M'),
                                  datetime=0,
                                  time=1,
                                  open=2,
                                  high=3,
                                  low=4,
                                  close=5,
                                  volume=6,
                                  openinterest=-1)
    cerebro.adddata(data0,name ="Hourly Data")
    cerebro.adddata(data1,name="Daily Data")

    cerebro.addstrategy(St)
    cerebro.broker.setcash(100000.0)
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    cerebro.run(stdstats=False)
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
    cerebro.plot()

backtrader

You first need to couple the indicator from the larger timeframe to the smaller timeframe. See here:

Docs - Platform Concepts - look for Lines Coupling
Docs - Mixing Timeframes and Indicators

This was also done last weekend during the Community - BacktraderCon 2017. The Con notes talk specifically about this and the code snippet is in the Con repository.

KT

Thanks @backtrader