How to use 5minutes BOLL and 10 minute BOLL together?

[goldcar]

I have 1 minute CSV data file already. Now, I know I should use resampling function to make it working. however it failed because I lack of knowledge of Python. hope can get some help here.

here is the datas feed.

  datapath = '../datas/ag2206.csv'
    data = btfeeds.GenericCSVData(dataname=datapath,
                                  fromdate=datetime(2022, 1, 20),
                                  todate=datetime(2022, 1, 29),
                                  nullvalue=0.0,
                                  dtformat=('%Y-%m-%d %H:%M:%S'),
                                  # timeframe=bt.TimeFrame.Minutes,
                                  datetime=2,
                                  open=3,
                                  high=4,
                                  low=5,
                                  close=6,
                                  volume=7,
                                  openinterest=9
                                  )
    data5m = cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=5)
    cerebro.adddata(data5m)
    data30m = cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=30)
    cerebro.adddata(data30m)
    # Run over everything
    cerebro.run()

I am not sure above is correct.

then in strategy part,

class Boll_strategy(bt.Strategy):
    def __init__(self):
        # I think 5minute boll should be in datas[0]?
        self.lines.top = bt.indicators.BollingerBands(self.datas[0], period=26).top
        self.lines.top = bt.indicators.BollingerBands(self.datas[1], period=26).bot
    def next(self):
        if self.datas[1].close:
            print('-----------30top=%s' % (self.lines.top30[0]))
        if self.datas[0].close:
           print('-----------5m top=%s' % (self.lines.top[0]))

but nothing shows up. what did I miss? I am sure there are enough 1 minutes datas in file. there are 6 million 1 minute datas in file.

Appreciated for any help.

[run-out]

A few things to help you on your way.

You don't need to add data with resample. Resample will add the date automatically.

Also, you use the variable self.lines.top twice. Finally, I would avoid using the .lines. Not sure if there's an impact here but lines are an important word inside backtrader.

I've rewritten your code a bit to help you out.

import backtrader as bt

class Strategy(bt.Strategy):

    params = (("bb_period", 22),)

    def __init__(self):
        self.bb = bt.indicators.BollingerBands(self.datas[0], period=self.p.bb_period)
        self.bb5 = bt.indicators.BollingerBands(self.datas[1], period=self.p.bb_period)
        self.bb30 = bt.indicators.BollingerBands(self.datas[2], period=self.p.bb_period)

    def next(self):
        print(
            "OHLCV",
            bt.num2date(self.data.datetime[0]),
            self.datas[0].close[0],
            self.datas[1].close[0],
            self.datas[2].close[0],
        )
        print(
            "Bollinger Bands\n",
            "minute", self.bb.top[0], self.bb[0], self.bb.bot[0], '\n',
            "5 min", self.bb5.top[0], self.bb5[0], self.bb5.bot[0], '\n',
            "30 min", self.bb30.top[0], self.bb30[0], self.bb30.bot[0], '\n',
        )

if __name__ == "__main__":

    cerebro = bt.Cerebro()

    data = bt.feeds.GenericCSVData(
        dataname="data/dev.csv",
        dtformat=("%Y-%m-%d %H:%M:%S"),
        timeframe=bt.TimeFrame.Minutes,
        compression=1,
        date=0,
        high=1,
        low=2,
        open=3,
        close=4,
        volume=6,
    )

    cerebro.adddata(data)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=5)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=30)

    cerebro.addstrategy(Strategy)

    # Execute
    cerebro.run()

[goldcar]

@run-out said in How to use 5minutes BOLL and 10 minute BOLL together?:

A few things to help you on your way.

You don't need to add data with resample. Resample will add the date automatically.

Also, you use the variable self.lines.top twice. Finally, I would avoid using the .lines. Not sure if there's an impact here but lines are an important word inside backtrader.

I've rewritten your code a bit to help you out.

import backtrader as bt

class Strategy(bt.Strategy):

    params = (("bb_period", 22),)

    def __init__(self):
        self.bb = bt.indicators.BollingerBands(self.datas[0], period=self.p.bb_period)
        self.bb5 = bt.indicators.BollingerBands(self.datas[1], period=self.p.bb_period)
        self.bb30 = bt.indicators.BollingerBands(self.datas[2], period=self.p.bb_period)

    def next(self):
        print(
            "OHLCV",
            bt.num2date(self.data.datetime[0]),
            self.datas[0].close[0],
            self.datas[1].close[0],
            self.datas[2].close[0],
        )
        print(
            "Bollinger Bands\n",
            "minute", self.bb.top[0], self.bb[0], self.bb.bot[0], '\n',
            "5 min", self.bb5.top[0], self.bb5[0], self.bb5.bot[0], '\n',
            "30 min", self.bb30.top[0], self.bb30[0], self.bb30.bot[0], '\n',
        )

if __name__ == "__main__":

    cerebro = bt.Cerebro()

    data = bt.feeds.GenericCSVData(
        dataname="data/dev.csv",
        dtformat=("%Y-%m-%d %H:%M:%S"),
        timeframe=bt.TimeFrame.Minutes,
        compression=1,
        date=0,
        high=1,
        low=2,
        open=3,
        close=4,
        volume=6,
    )

    cerebro.adddata(data)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=5)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=30)

    cerebro.addstrategy(Strategy)

    # Execute
    cerebro.run()

cool, works charm, thanks a lot