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    aartajew

    @aartajew

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    Latest posts made by aartajew

    • RE: Error with two data feeds with different history length

      It worked, thanks!

      But isn't vectorized mode much faster for optimization, etc.?

      posted in General Discussion
      A
      aartajew
    • Error with two data feeds with different history length

      Hi guys,

      I've found 2 problems when using 2 data feeds - one with history longer than the other:

      from datetime import datetime
import backtrader as bt

class SmaCross(bt.SignalStrategy):
    def __init__(self):
        # ko
        crossover1 = bt.ind.CrossOver(self.data0, self.data1)
        # ok
        crossover2 = bt.ind.CrossOver(self.data1, self.data0)

        # ko
        self.data0 - self.data1
        # ok
        self.data1 - self.data0

cerebro = bt.Cerebro()
cerebro.addstrategy(SmaCross)

# data since 2004-11-18
data0 = bt.feeds.YahooFinanceCSVData(dataname='data/GLD.csv', 
                                     fromdate=datetime(2006, 1, 1),
                                     todate=datetime(2007, 1, 1))
cerebro.adddata(data0)

# data since 2006-04-28
data1 = bt.feeds.YahooFinanceCSVData(dataname='data/SLV.csv', 
                                     fromdate=datetime(2006, 1, 1),
                                     todate=datetime(2007, 1, 1))
cerebro.adddata(data1)

cerebro.run()
cerebro.plot()

      The first error is in indicators/crossover.py:

      $ python pair_bug.py
Traceback (most recent call last):
  File "pair_bug.py", line 31, in <module>
    cerebro.run()
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/cerebro.py", line 1652, in _runonce
    strat._once()
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/lineiterator.py", line 297, in _once
    indicator._once()
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/lineiterator.py", line 297, in _once
    indicator._once()
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/lineiterator.py", line 297, in _once
    indicator._once()
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/lineiterator.py", line 318, in _once
    self.once(self._minperiod, self.buflen())
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/indicators/crossover.py", line 58, in once
    d = d0array[i] - d1array[i]
IndexError: array index out of range

      The second is in linebuffer.py:

      $ python pair_bug.py
Traceback (most recent call last):
  File "pair_bug.py", line 31, in <module>
    cerebro.run()
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/cerebro.py", line 1652, in _runonce
    strat._once()
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/lineiterator.py", line 297, in _once
    indicator._once()
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/linebuffer.py", line 631, in _once
    self.once(self._minperiod, self.buflen())
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/linebuffer.py", line 755, in once
    self._once_op(start, end)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/linebuffer.py", line 772, in _once_op
    dst[i] = op(srca[i], srcb[i])
IndexError: array index out of range

      As you can see in my code sample, it works when you flip the data feeds - if you put the shorter history data first (data1), it works fine, otherwise it throws error.

      My env is macOS Catalina 10.15.3, Python 3.5.9 with packages:

      $ pip freeze
backtrader==1.9.74.123
cycler==0.10.0
kiwisolver==1.1.0
matplotlib==3.0.3
numpy==1.18.3
pyparsing==2.4.7
python-dateutil==2.8.1
six==1.14.0

      Any help would be appreciated :)

      posted in General Discussion
      A
      aartajew
    • RE: Unable to plot 2nd level nested indicator

      Yeah that worked! Thanks a lot :)

      Meanwhile I've found another workaround, using dedicated indicator and nesting other indicator inside it:

      from datetime import datetime
import backtrader as bt

class NestedMomentum(bt.Indicator):
    lines = ('mom', 'mommom', 'mommommom')
    def __init__(self):
        self.l.mom = bt.ind.Momentum()
        self.l.mommom = bt.ind.Momentum(self.l.mom)
        self.l.mommommom = bt.ind.Momentum(self.l.mommom)

class SmaCross(bt.SignalStrategy):
    def __init__(self):
        sma1, sma2 = bt.ind.SMA(period=10), bt.ind.SMA(period=30)
        crossover = bt.ind.CrossOver(sma1, sma2)
        self.signal_add(bt.SIGNAL_LONG, crossover)

        # plotmaster workaround
        mom = bt.ind.Momentum()
        mommom = bt.ind.Momentum(mom, plotmaster=mom)
        mommommom = bt.ind.Momentum(mommom, plotmaster=mom)

        # custom indicator workaround
        nested = NestedMomentum()

cerebro = bt.Cerebro()
cerebro.addstrategy(SmaCross)

data0 = bt.feeds.YahooFinanceCSVData(dataname='data/GLD.csv', 
	                                 fromdate=datetime(2011, 1, 1),
	                                 todate=datetime(2012, 12, 31))
cerebro.adddata(data0)

cerebro.run()
cerebro.plot()

      Anyway it looks like a bug, but I'm happy there are workarounds :)

      posted in General Discussion
      A
      aartajew
    • Unable to plot 2nd level nested indicator

      Hi guys,

      First of all, thanks for such a great tool for backtesting investing ideas!

      I try to plot a nested indicator. By nesting I mean using one's indicator data as entry data for another's indicator data.

      Here is what I do, based on the simple example from readme:

      from datetime import datetime
import backtrader as bt

class SmaCross(bt.SignalStrategy):
    def __init__(self):
        sma1, sma2 = bt.ind.SMA(period=10), bt.ind.SMA(period=30)
        crossover = bt.ind.CrossOver(sma1, sma2)
        self.signal_add(bt.SIGNAL_LONG, crossover)

        mom = bt.ind.Momentum()
        mommom = bt.ind.Momentum(mom)
        mommommom = bt.ind.Momentum(mommom, plotforce=True)

cerebro = bt.Cerebro()
cerebro.addstrategy(SmaCross)

data0 = bt.feeds.YahooFinanceCSVData(dataname='data/GLD.csv', 
	                             fromdate=datetime(2011, 1, 1),
	                             todate=datetime(2012, 12, 31))
cerebro.adddata(data0)

cerebro.run()
cerebro.plot()

      It crashes with:

      $ python smacross.py
Traceback (most recent call last):
  File "smacross.py", line 21, in <module>
    cerebro.plot()
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/cerebro.py", line 991, in plot
    start=start, end=end, use=use)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/plot/plot.py", line 134, in plot
    self.sortdataindicators(strategy)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/plot/plot.py", line 856, in sortdataindicators
    if key not in strategy.datas:
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/lineroot.py", line 281, in __eq__
    return self._operation(other, operator.__eq__)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/lineroot.py", line 86, in _operation
    other, operation, r=r, intify=intify)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/lineroot.py", line 201, in _operation_stage1
    return self._makeoperation(other, operation, r, self)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/lineroot.py", line 331, in _makeoperation
    return self.lines[0]._makeoperation(other, operation, r, _ownerskip)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/linebuffer.py", line 378, in _makeoperation
    _ownerskip=_ownerskip)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/linebuffer.py", line 522, in __call__
    return super(MetaLineActions, cls).__call__(*args, **kwargs)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/metabase.py", line 89, in __call__
    _obj, args, kwargs = cls.dopostinit(_obj, *args, **kwargs)
  File "/Users/adam/.pyenv/versions/backtrader/lib/python3.5/site-packages/backtrader/linebuffer.py", line 566, in dopostinit
    _obj._owner.addindicator(_obj)
AttributeError: 'NoneType' object has no attribute 'addindicator'

      Without plotforce=True it won't crash, but the plot is still not visible.

      My env is macOS Catalina 10.15.3, Python 3.5.9 with packages:

      $ pip freeze
backtrader==1.9.74.123
cycler==0.10.0
kiwisolver==1.1.0
matplotlib==3.0.3
numpy==1.18.3
pyparsing==2.4.7
python-dateutil==2.8.1
six==1.14.0

      Any help would be appreciated :)

      Thanks in advance and keep up the fantastic work!
      Adam

      posted in General Discussion
      A
      aartajew