OLS example

[jirathh]

Re: linear regression and std #211

Do you have any example of how to use OLS in backtest ?
Thank you.

[jirathh]

I tried to create a new indicator myself and try to get the last N days of data to do OLS and return the value to line, unfortunately my strategy get 0 in value.

class toroOLS(bt.Indicator):
#lines = ('slope','intercept',)
lines=('slope',)
params = (('period', 20),)

def __init__(self):
    self.addminperiod(self.params.period)

def next(self):
    closes = pd.Series(self.data.close.get(size=self.p.period))
    x = np.arange(self.p.period).reshape(-1,1)
    x = sm.add_constant(x, prepend=True)
    #toro, intercept = sm.OLS(x, closes).fit().params
    #self.lines.slope[0] = toro
    #self.lines.intercept[0] = intercept
    toro = linear_model.LinearRegression().fit(x, closes)
    annualize_return = (((1+toro.coef_[0])**250) - 1)*100
    self.lines.slope[0] =  annualize_return

==========================================
This is where the indicator is used. Can you please suggest?

class TestStrategy(bt.Strategy):
params = (
('exitbars', 5),
)

def log(self, txt, dt=None):
    ''' Logging function fot this strategy'''
    dt = dt or self.datas[0].datetime.date(0)
    print('%s, %s' % (dt.isoformat(), txt))

def __init__(self):
    # Keep a reference to the "close" line in the data[0] dataseries
    self.dataclose = self.datas[0].close
    self.slope = toroOLS(period=20)

.....
def next(self):
# Simply log the closing price of the series from the reference
self.log('Close, %.2f' % self.dataclose[0])
self.log('Slope, %.10f' % self.slope[0])