Handling multi assets with custom indicator

Trade Prophet

Hello, first of all, thank you for the great professional work!

I have created a custom indicator,hoping to run it on a list of symbols

class CLinearRegression(bt.Indicator):
    lines = ('slope','r_squared',)
    params = (('rank_period',90),)

    def __init__(self,bar_stream):
        self.addminperiod(self.p.rank_period)
        self.bar_stream = bar_stream

    def next(self):
        rank_period_quotes = self.bar_stream.get(size=self.p.rank_period)  # Getting a slice
        x = np.arange(self.p.rank_period)
        slope, intercept, r_value, p_value, std_err = stats.linregress(x, rank_period_quotes)
        self.lines.slope[0] = slope
        self.lines.r_squared[0] = r_value**2

I have loaded a number of assets data and I'm trying to compute the custom indicator,in strategy init, for each asset in the datas list,like this

    def __init__(self):
        self.lrs=dict()
        self.lrs = {data._name: CLinearRegression(bar_stream=data,rank_period=self.p.rank_period)for data in self.datas}
...

The indicators Next() runs OK for the first asset , but starts the second asset with the last bar, as if continuing from the first asset , not re-running the custom indicator on the new asset in the list
What am I doing wrong?

Trade Prophet

Anyone?
Can someone explain why indicators next() method run for second feed starts at the end of the data and does not reiterate (like the first feed)?

Trade Prophet

I think there is a bug in the system ( Or I'm doing something wrong),
ways to reproduce:

Create custom indicator( with init and next methods)
in next method - print the date of the last bar in data for the custom indicator
In Cerebro main - add a number (>1) of datas (for example , AAPL, XOM,etc) in the main method
In strategy Init-initialize custom indicator on every data in datas
The BUG -> the data of the last bar is printed OK for the first data(1st ticker) but stays the same for the second,third data

Paska Houso

@Trade-Prophet said in Handling multi assets with custom indicator:

I think there is a bug in the system ( Or I'm doing something wrong),

Let me vouch for the second ... the BUG

@Trade-Prophet said in Handling multi assets with custom indicator:

    def __init__(self,bar_stream):
        self.addminperiod(self.p.rank_period)
        self.bar_stream = bar_stream

You are trying to force the data feed (aka bar_stream in your code) as a parameter, thus breaking the platform conventions.

See:

You don't need to capture the data feeds as parameters of the strategy or indicators. You simply pass them and they are collected in self.datas

Paska Houso

You probably want to have a look at how to develop an indicator

Developing an Indicator (Blog): https://www.backtrader.com/blog/posts/2015-07-18-developing-an-indicator/developing-an-indicator.html

and/or this:

Indicator Development (Docs): https://www.backtrader.com/docu/inddev.html

Alon Horesh

oops , mistake ..

Paska Houso

@Alon-Horesh said in Handling multi assets with custom indicator:

How do I know in the custom indicator start() method which is the relevant data in datas?

Sorry but I do really fail to understand the question. Which start() method?

May it be that you mean you wanted to do this:

self.lrs = {data._name: CLinearRegression(data, rank_period=self.p.rank_period)for data in self.datas}

You pass the data you want to linear-regress (to give it a fancy name)

Trade Prophet

Sorry about the mixup in the previous question ..
I'm probably missing something,
when inside the custom indicator next() method,assuming I have pre-loaded a number of datas (say n in number),which data (data[0],data[1],..data[n]) is the relevant data for the specific linear-regress custom indicator?
when the framework calls custom indicators next() method (which will be called n time) which data in datas is this specific instantiation of the indicators data ?
hope I made myself clearer ..

Paska Houso

Because you pass the specific data. See the answer above.

Trade Prophet

OK,
Thank you again for the high quality implementation and support

Paska Houso

Not mine.