Indicator on monthly data, trading on daily data

andi

I am looking for advice with respect ot the following scenario:
I would like to compute an indicator, let's say SMA, on monthly data. The actual trading will take place at the first day of the month. I could use the monthly OHLC data for the strategy as well, however, I would like to use daily data in order to get a realistic analysis of daily returns/drawdowns etc.

So, my question is how to tackle this problem? Should I use two different time series (daily and monthly)?

rajanprabu

@andi

Cant you simply load daily candles and resample to monthly Timeframe.. trade can be done in daily timeframe while signal comes from monthly timeframe.

andi

@rajanprabu I am not totally sure how to proceed from here.

Am I supposed to add the same data twice, first the regular daily data, and secondly the resampled monthly data?

cerebro.adddata(data) 
cerebro.resampledata(
    data,
    timeframe=bt.TimeFrame.Months,
    compression=1
)

Can I then access the data via datas[0] and datas[1]?

Would it also be possible to resample the daily data in the strategy's init method when defining the indicator?

sma_monthly = bt.SimpleMovingAverage(self.data.close)  # How to resample here?

run-out

@andi Have a look at the docs here. There are many articles on this topic as well in the community and online. Have a look and let us know how you get on.

rajanprabu

@andi

simply use datas[1] for monthly sma.

sma_monthly = bt.SimpleMovingAverage(self.datas[1].close)