import backtrader as bt
import datetime
class Ratio(bt.Indicator):
lines = ('ratio', )
params = dict(period = 20)
def __init__(self, *args, **kwargs):
if 'datas' not in kwargs:
raise bt.errors.BacktraderError()
self.addminperiod(self.p.period)
self.datasByName = kwargs['datas']
self.first = self.datasByName['first']
self.second = self.datasByName['second']
def next(self, *args, **kwargs):
ratio = self.second.lines.close / self.first.lines.close
print('First: {}'.format(len(self.first)))
print('Second: {}'.format(len(self.second)))
self.l.ratio[0] = ratio
class MyHLOC(bt.feeds.GenericCSVData):
params = (
('fromdate', datetime.datetime(2018, 1, 1)),
('todate', datetime.datetime(3000, 1, 1)),
('nullvalue', 0.0),
('dtformat', 1), # 1 give you the option to work directly with timestamp
('datetime', 0),
('open', 1),
('high', 2),
('low', 3),
('close', 4),
('volume', 5)
)
# Create a Strategy
class TestStrategy(bt.Strategy):
def __init__(self):
self.testIndicator = Ratio(datas = self.dnames)
def next(self):
pass
if __name__ == '__main__':
csv_file = ['first.csv', 'second.csv']
cerebro = bt.Cerebro()
# Add a strategy
cerebro.addstrategy(TestStrategy)
dataFirst = MyHLOC(dataname = csv_file[0])
dataSecond = MyHLOC(dataname = csv_file[1])
# add data
#cerebro.adddata(dataFirst, name='first')
#cerebro.adddata(dataSecond, name='second')
cerebro.resampledata(dataFirst, name = 'first', timeframe = bt.TimeFrame.Weeks, compression = 1)
cerebro.resampledata(dataSecond, name = 'second', timeframe = bt.TimeFrame.Weeks, compression = 1)
# Set our desired cash start
cerebro.broker.setcash(100000.0)
cerebro.run()
# Plot the result
cerebro.plot()
