@chhrissi2909
English Hello,
I am looking for a zigzag indicator that gives a low when there are 3 candles lower than the last high. If the trend continues and reaches a new high After a return of 3 candles the zigzag indicator reaches a new high. (This example is for a long trend)
Do you know an Indicaore with this option?
With kind regards
Christian
English
Hallo,
Ich suche nach einem Zick-Zack-Indikator, der ein Tief ergibt, wenn es 3 Kerzen gibt, die niedriger als das letzte Hoch sind. Wenn sich der Trend fortsetzt und ein neues Hoch erreicht Nach einem Rücklauf von 3 Kerzen erreicht der Zick-Zack ein neues Hoch. (Dieses Beispiel ist für einen langen Trend)
Kennen Sie einen Indicaore mit dieser Option?
Mit freundlichen Grüßen
Christian
Hello,
I am searching for a ZigZag Indicator, which Makes a Low, if there are 3 candles which are lower than the Last high. If the Trend Continues and Makes a new high After a 3 candles retrace, than the zig zag Makes a new high. (This example is for a long trend)
Do you know an Indicaore which has this Option?
Best regards
Christian
@chhrissi2909 So I want to make something like a global variable to the next function.
Hey,
I have issues with getting the some values from the last next() function call. In Detail I want to make a counter, which counts if there is a signal. If there was a Signal in the previous next() function I want to see this in the actual next() function.
best regard
Christian
Hey @ab_trader
thank you or your help. :) You are absolutely right.. I should add more logging messages..
I think you know a lot about coding with Backtrader. Do you have a concrete tip for me how to set 3 different timeframes in one script with some symbols?
Can you maby give me something like an example code, how I could do that.. Just the logic.. So that I understand how to do this in a simple war.
best regards
Christian
Hello @Rumen-Nenov,
I have a common problem. Here is my code:
import backtrader as bt
import backtrader.feeds as btfeeds
#import backtrader.indicators as btind
import pandas as pd
import math
#gutes Forum Problem 2 Timeframes und mehrere datenfeeds (aktien)
# https://community.backtrader.com/topic/2285/multiple-timeframes-with-multiple-datafeeds
class simpleStrategy1307(bt.Strategy):
params = (
('Risk_perTrade', 0.01),
)
def __init__(self):
self.m60_data = self.datas[::2]
self.d1_data = self.datas[1::2]
self.inds = dict()
for i, d in enumerate(self.m60_data):
self.inds[d] = dict()
self.inds[d]['atr'] = bt.indicators.ATR(d)
#self.inds[d]['stoch'] = bt.indicators.Stochastic(d)
self.daily_inds = dict()
for i, d in enumerate(self.d1_data):
self.daily_inds[d] = dict()
self.daily_inds[d]['d_atr'] = bt.indicators.ATR(d)
print("__init__ durchlaufen :)")
def next(self):
print("Hallo")
# d = 60min & d1 = Daily Data
# dn = 60Minuten Sock Name & d1n ist Daily Stock Name
for i, (d, d1) in enumerate(zip(self.m60_data, self.d1_data)):
dt, (dn, d1n) = self.datetime.datetime(), (d._name, d1._name)
if self.inds[d]['atr'] > self.inds[d1]['atr']:
self.buy(d)
else:
self.sell(d)
#print(d)
#print(dn)
#print(d.date)
def runstrat():
cerebro = bt.Cerebro()
cerebro.addstrategy(simpleStrategy1307)
# get all symbols
# read symbols from csv and read path of Stock and Index
sheet = pd.read_csv("/Users/christianbrendel/Desktop/allgemein/Visual Studio/Grap StockData/Aktiensymbole/SPX_für_Tiingo Kopie.csv")
Stock_60min_path = "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/"
Index_Daily_path = "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/Index EOD Data/^GSPC.csv"
#erstelle excel
w, h = 2, len(sheet.index)
symbols = [[0 for x in range(w)] for y in range(h)]
for i in range (0,len(sheet.index)):
# in erste Spalte path z.B. "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/A"
symbols[i][0] = Stock_60min_path + sheet.iloc[i][0] + ".csv"
# in der zeiten spalte den Name z.B. "A" einfügen
symbols[i][1] = sheet.iloc[i][0]
for i in range(len(symbols)):
dataframe = pd.read_csv(symbols[i][0], index_col=1,
parse_dates=True,
dayfirst=True,
infer_datetime_format=True,
)
#stock_prices = pd.read_csv(path, index_col=1, parse_dates=True, infer_datetime_format=True)
m60_data = bt.feeds.PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Minutes, compression=60)
cerebro.adddata(m60_data, name=symbols[i][1])
Indexdataframe = pd.read_csv(Index_Daily_path, index_col=0,
parse_dates=True,
dayfirst=True,
infer_datetime_format=True,
)
Indexdata = bt.feeds.PandasData(dataname=Indexdataframe, timeframe=bt.TimeFrame.Days)
cerebro.adddata(Indexdata, name="SPX")
#print('Starting Portfolio Value: {0:8.2f}'.format(cerebro.broker.getvalue()))
cerebro.run()
if __name__ == "__main__":
runstrat()
print("data added to Cerebro :)")
#print('Starting Portfolio Value: {0:8.2f}'.format(cerebro.broker.getvalue()))
The code starts and than nothing happens..
1. Do you think my way to fill my data feed is correct?
2. Is my init Method right?
3. Can I use my data feed like I have done in the next function?
thank you for your help!
best regards
Christian
I managed it to pass the error message with the symbol:
I just declared the symbol like this:
w, h = 2, len(sheet.index)
symbols = [[0 for x in range(w)] for y in range(h)]
The code is running now, but I think it stops anywhere, because if I plot the equity it just plotts it ones and than nothing happens and the code don't stop running.
What do you think about the 3 functions? Do you see something what is wrong?
Hey guys,
I am new to backtrader and I have trouble to fill in my data feed correct.
So first of all I found really good Informations about Multitimeframe and Multisymbol Datafeed in the forum ( https://community.backtrader.com/topic/2285/multiple-timeframes-with-multiple-datafeeds
). In my case I orientated my coding style on this forum post.
Here is my whole script to get an complete overview:
import backtrader as bt
import backtrader.feeds as btfeeds
#import backtrader.indicators as btind
import pandas as pd
import math
class simpleStrategy1307(bt.Strategy):
params = (
('Risk_perTrade', 0.01),
)
def __init__(self):
self.m60_data = self.datas[::2]
self.d1_data = self.datas[1::2]
self.inds = dict()
for i, d in enumerate(self.m60_data):
self.inds[d] = dict()
self.inds[d]['atr'] = bt.indicators.ATR(d)
self.inds[d]['stoch'] = bt.indicators.Stochastic(d)
self.daily_inds = dict()
for i, d in enumerate(self.d1_data):
self.daily_inds[d] = dict()
self.daily_inds[d]['d_atr'] = bt.indicators.ATR(d)
def next(self):
# d = 60min & d1 = Daily Data
# dn = 60Minuten Sock Name & d1n ist Daily Stock Name
for i, (d, d1) in enumerate(zip(self.m60_data, self.d1_data)):
dt, (dn, d1n) = self.datetime.datetime(), (d._name, d1._name)
if self.inds[d]['atr'] > self.inds[d1]['atr']:
self.buy(d)
else:
self.sell(d)
def runstrat():
cerebro = bt.Cerebro()
cerebro.addstrategy(simpleStrategy1307)
# get all symbols
# read symbols from csv and read path of Stock and Index
sheet = pd.read_csv("/Users/christian/Desktop/allgemein/Visual Studio/Grap StockData/Aktiensymbole/SPX_für_Tiingo.csv")
Stock_60min_path = "/Users/christian/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/.csv"
Index_Daily_path = "/Users/christian/Desktop/allgemein/Visual Studio/Stock Data/Index EOD Data/.csv"
#make excel
symbols
for i in range (0,len(sheet.index)):
# in first column path f.e. "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/A"
symbols[i][0] = Stock_60min_path + sheet.iloc[i][0]
# in second column name f.e. "A" einfügen
symbols[i][1] = sheet.iloc[i][0]
# here I want to add Datafeed of all Stocks 60min
for i in range(len(symbols)):
dataframe = pandas.read_csv(symbols[i][0], index_col=0,
parse_dates=True,
dayfirst=True
)
data = PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Minutes, compression=60)
cerebro.adddata(data, name=symbols[i][1])
# here I want to add the IndexDatafeed (Daily)
Indexdataframe = pandas.read_csv(Index_Daily_path, index_col=0,
parse_dates=True,
dayfirst=True
)
Indexdata = PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Days)
cerebro.adddata(Indexdata, name="SPX")
cerebro.run()
if __name__ == "__main__":
runstrat()
Because I have a lot trouble in more parts, I am going to show you now each part with my detailed thinkings.
1. I First I just added two Indicators into the strategy in the init. The ATR indicator and the stochastic indicator. I added them to the 60 Minutes and Daily timeframe.
Is this way to implement 2 Dataframes correct? I just copied this passage but I am not 100% sure..
def __init__(self):
self.m60_data = self.datas[::2]
self.d1_data = self.datas[1::2]
self.inds = dict()
for i, d in enumerate(self.m60_data):
self.inds[d] = dict()
self.inds[d]['atr'] = bt.indicators.ATR(d)
self.inds[d]['stoch'] = bt.indicators.Stochastic(d)
self.daily_inds = dict()
for i, d in enumerate(self.d1_data):
self.daily_inds[d] = dict()
self.daily_inds[d]['d_atr'] = bt.indicators.ATR(d)
2. in the Next function I make a for loop, which should go through every data feed and calculates just a simple buy for the strategy. Is this way to go through all datafeeds in the "next" function correct?
def next(self):
# d = 60min & d1 = Daily Data
# dn = 60Minuten Sock Name & d1n ist Daily Stock Name
for i, (d, d1) in enumerate(zip(self.m60_data, self.d1_data)):
dt, (dn, d1n) = self.datetime.datetime(), (d._name, d1._name)
if self.inds[d]['atr'] > self.inds[d1]['atr']:
self.buy(d)
else:
self.sell(d)
def runstrat():
cerebro = bt.Cerebro()
cerebro.addstrategy(simpleStrategy1307)
# get all symbols
# read symbols from csv and read path of Stock and Index
sheet = pd.read_csv("/Users/christianbrendel/Desktop/allgemein/Visual Studio/Grap StockData/Aktiensymbole/SPX_für_Tiingo.csv")
Stock_60min_path = "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/.csv"
Index_Daily_path = "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/Index EOD Data/.csv"
#erstelle excel
symbols
for i in range (0,len(sheet.index)):
# in erste Spalte path z.B. "/Users/christianbrendel/Desktop/allgemein/Visual Studio/Stock Data/S&P500 Aktien 1H/A"
symbols[i][0] = Stock_60min_path + sheet.iloc[i][0]
# in der zeiten spalte den Name z.B. "A" einfügen
symbols[i][1] = sheet.iloc[i][0]
for i in range(len(symbols)):
dataframe = pandas.read_csv(symbols[i][0], index_col=0,
parse_dates=True,
dayfirst=True
)
data = PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Minutes, compression=60)
cerebro.adddata(data, name=symbols[i][1])
Indexdataframe = pandas.read_csv(Index_Daily_path, index_col=0,
parse_dates=True,
dayfirst=True
)
Indexdata = PandasData(dataname=dataframe, timeframe=bt.TimeFrame.Days)
cerebro.adddata(Indexdata, name="SPX")
cerebro.run()
thank you in advance, I know the question is a long one, but I just can't get anywhere with this problem alone. I have tried to ask the question as structured as possible.
best regards
Christian
@ab_trader if I take this code, than the strategy works. With this code it trades long, with an pending Order own the Donchian High,:
if self.position.size == 0:
self.buy(exectype=bt.Order.Stop, price=price, size=size)
else:
if self.data[0] < stop_price:
self.sell(size=self.position.size)
# Stop Order like this with pending does not work... :
#self.sell(exectype=bt.Order.Stop, price=stop_price, size=self.position.size)
but the only problem ist, that it just goes out of the trade, when it closes under the Donchian Low.. And in my Case I want it to close, when it triggers the DonchianLow line..
Do you know a solution for closing a trade on a Stop Line like the DonchianLow?
best regards Christian