ATR issue

[mirono]

I'm doing a simple strategy plot for SPY with ATR indicator.
The ATR values for recent dates seems reasonable. However, as we go back in time the values increase to unreasonable values:

Checking this in other stock charting software make it clear that something is wrong with the ATR values.
Any suggestions?

[ab_trader]

Something definitely goes wrong.

If you share more details like code, log, etc more suggestions can be made.

[Paska Houso]

Even to the untrained eye it's clear that something must be wrong in the code. The Buy/Sell signals are miles away from what's the (supposed) target: the SPY

[mirono]

I've created a simple test to demonstrate the problem:

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

# Import the backtrader platform
import backtrader as bt
import backtrader.indicators as btind

   
# Create a Stratey
class NoStrategy(bt.Strategy):

    def __init__(self):
        bt.indicators.ATR(self.datas[0])


if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()
    # Add a strategy
    cerebro.addstrategy(NoStrategy)

    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    #modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    #datapath = os.path.join(modpath, '../../datas/orcl-1995-2014.txt')

    # Create a Data Feed
    data1 = bt.feeds.YahooFinanceData(
        dataname="SPY",
        # Do not pass values before this date
        fromdate=datetime.datetime(2000, 1, 1),
        # Do not pass values before this date
        todate=datetime.datetime(2017, 10, 31),
        # Do not pass values after this date
        reverse=True)
    
    # Add the Data Feed to Cerebro
    cerebro.adddata(data1)

    # Run over everything
    cerebro.run()

    # Plot the result
    cerebro.plot()

The results for the ATR are pretty much the same (attached). What could be wrong?

[mpskowron]

If you are so confident that the results are wrong, why not just calculate it by hand for some wrong values and check? You can't be sure if they are wrong if you won't do it.

[Paska Houso]

@mirono said in ATR issue:

I've created a simple test to demonstrate the problem:

May it be that you are actually showing a different problem?

@mirono said in ATR issue:

data1 = bt.feeds.YahooFinanceData(

The Yahoo API is known to be broken. This isn't new, it has been broken for months (first with the demise of the original API and then with the introduction of random data/non-valid data in the 2nd API) and this could be the source of the uncertainties of the ATR you see at the beginning.

And it is also the reason for the incredible chart you posted originally. The close prices are just a single dot in the chart FAR AWAY from the high/low components which are also part of the ATR calculation. That's why your buy/sell markers seem so strangely placed.

Pass clean data (from CSV from example) to the same script and share the results. See this run from the test_ind_atr.py which is included in the sources of backtrader

Conclusion: get data which is known to be good data.

[mirono]

You are right!
When switching to a verified good data:

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

# Import the backtrader platform
import backtrader as bt
import backtrader.indicators as btind
import backtrader.feeds as btfeeds

   
# Create a Stratey
class NoStrategy(bt.Strategy):

    def __init__(self):
        btind.ATR(self.datas[0])


if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()
    # Add a strategy
    cerebro.addstrategy(NoStrategy)

    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    #modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    #datapath = os.path.join(modpath, '../../datas/orcl-1995-2014.txt')

    # Create a Data Feed
#    data1 = bt.feeds.YahooFinanceData(
#        dataname="SPY",
#        # Do not pass values before this date
#        fromdate=datetime.datetime(2000, 1, 1),
#        # Do not pass values before this date
#        todate=datetime.datetime(2017, 10, 31),
#        # Do not pass values after this date
#        reverse=True)

    # Create a Data Feed
    data1 = btfeeds.GenericCSVData(dataname = '../data/spy-2000-2017.txt',
        fromdate = datetime.datetime(2000, 1, 1),
        todate = datetime.datetime(2017, 10, 31),
        dtformat=('%m/%d/%Y'),
        nullvalue = 0.0,
        datetime = 0,
        high = 3,
        low = 4,
        open = 2,
        close = 5,
        volume = 6,
        openinterest = 7)
    
    # Add the Data Feed to Cerebro
    cerebro.adddata(data1)

    # Run over everything
    cerebro.run()

    # Plot the result
    cerebro.plot()

ATR seems to be fine!