Indicator on monthly data, trading on daily data
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)?
Cant you simply load daily candles and resample to monthly Timeframe.. trade can be done in daily timeframe while signal comes from monthly timeframe.
@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
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 last edited by
simply use datas for monthly sma.
sma_monthly = bt.SimpleMovingAverage(self.datas.close)