Perfect! so the BUY/SELL show the underlying single unit asset price whereas the PROFIT is the delta times the stake size (minus commission). It adds up. Thank you Rajanprabu!

Hi All!

This is such an esoteric problem and I don't suppose others have encountered it, but I figured it might be worth a shot.
I have a strategy which I want to test across thousands and thousands of permutations via cerebro.optstrategy.
When I run it on my macbook pro it's ridiculously slow and is able to compute about 5-6 results per minute, which basically makes it unusable.
Then if I run the same code on a mediocre windows machine it generates hundreds of results per minute.
Has anyone experienced anything similar ? Is there a config somewhere where I can make it more CPU intensive / add threads ?

Thanks in advance!

Hi All!

This is such an esoteric problem and I don't suppose others have encountered it, but I figured it might be worth a shot.
I have a strategy which I want to test across thousands and thousands of permutations via cerebro.optstrategy.
When I run it on my macbook pro it's ridiculously slow and is able to compute about 5-6 results per minute, which basically makes it unusable.
Then if I run the same code on a mediocre windows machine it generates hundreds of results per minute.
Has anyone experienced anything similar ? Is there a config somewhere where I can make it more CPU intensive / add threads ?

Thanks in advance!

this is def. better, thanks!

I figured it out. It was as simple as adding the timeframe to the indicator init as such

self.ema = bt.ind.EMA(self.data1, period=self.p.period)

hi everyone and happy holidays,

I have a strategy that combines 2 timeframes, 1 every 5 minutes to make snappy decisions such as a stop loss and another 4 hours timeframe that runs the strategy.

If I add an indicator, such as EMA

self.ema = bt.ind.EMA(period=self.p.period)
        self.ema = btind.ExponentialMovingAverage(period=self.p.period)

And instantiate 2 timeframes

 data_ticks_long = bt.feeds.CCXT(
        exchange='binance',
        symbol=symbol,
        timeframe=bt.TimeFrame.Minutes,
        config={'rateLimit': 1000, 'enableRateLimit': True},
        fromdate=from_date,
        compression=STRATEGY_CANDLE_SIZE_IN_MINUTES
    )

    data_ticks_short = bt.feeds.CCXT(
        exchange='binance',
        symbol=symbol,
        timeframe=bt.TimeFrame.Minutes,
        config={'rateLimit': 1000, 'enableRateLimit': True},
        fromdate=from_date,
        compression=STOPLOSS_CANDLE_SIZE_IN_MINUTES
    )

it would build the EMA line based on the ticks in the next function. Since the shorter timeframe happens every 5 minutes my EMA will be built entirely from that timeframe.
How do I get my indicator to be based on the longer, 4 hours, timeframe ?

thanks!

That makes sense, I do wish to replace my hack with something more sustainable. Perhaps the link you were looking for was this one -
https://community.backtrader.com/topic/1329/how-to-determine-if-the-data-is-being-replayed-in-strategy

thank you ab_trader!
your answer got me most of the way. I can split the logic in my next function based on the index of the self.datas object.
There is one caveat though. If I want to compare the indicator's value to one of the timeframe, it will get evaluated for every tick, and might satisfy a greater than / less than condition in the wrong tick. In other words, if I have an SMA, and 2 candles: one is 5min, the other 60min, and I want to buy based on the SMA cross with the 60min candle, it will still get checked every 5min and the SMA will change in every iteration. Therefore I might be making trades without waiting for the 60min tick.

I solved it by adding a flag that checks if the slow indicator value has changed, which stays the same for every fast tick, i.e -

if(self.last_candle_ref_price != self.data1.lines.close[0]):
   if self.sma.lines.sma[0] < self.data1.lines.close[0]:
      <do something>

self.last_candle_ref_price = self.data1.lines.close[0]

this doesn't work, won't tell you anything about the current tick compression

correction: the longer timeframe

thanks for the reply! unfortunately self.data.p.compression always returns the shorter timeframe

2017-08-18 00:00:00, EMA PRICE 4357.05,  CLOSE PRICE 4286.53, TIME FRAME : 60
2017-08-18 01:00:00, EMA PRICE 4346.73,  CLOSE PRICE 4243.59, TIME FRAME : 60
2017-08-18 02:00:00, EMA PRICE 4339.54,  CLOSE PRICE 4267.59, TIME FRAME : 60
2017-08-18 03:00:00, EMA PRICE 4335.25,  CLOSE PRICE 4292.39, TIME FRAME : 60
2017-08-18 04:00:00, EMA PRICE 4330.95,  CLOSE PRICE 4287.92, TIME FRAME : 60
2017-08-18 05:00:00, EMA PRICE 4329.37,  CLOSE PRICE 4313.56, TIME FRAME : 60
2017-08-18 06:00:00, EMA PRICE 4324.83,  CLOSE PRICE 4279.46, TIME FRAME : 60
2017-08-18 07:00:00, EMA PRICE 4322.60,  CLOSE PRICE 4300.25, TIME FRAME : 60
2017-08-18 08:00:00, EMA PRICE 4318.97,  CLOSE PRICE 4282.73, TIME FRAME : 60
2017-08-18 09:00:00, EMA PRICE 4317.62,  CLOSE PRICE 4304.15, TIME FRAME : 60
2017-08-18 10:00:00, EMA PRICE 4321.14,  CLOSE PRICE 4356.31, TIME FRAME : 60
2017-08-18 11:00:00, EMA PRICE 4322.88,  CLOSE PRICE 4340.31, TIME FRAME : 60
2017-08-18 12:00:00, EMA PRICE 4323.69,  CLOSE PRICE 4331.71, TIME FRAME : 60
2017-08-18 13:00:00, EMA PRICE 4320.90,  CLOSE PRICE 4293.09, TIME FRAME : 60
2017-08-18 14:00:00, EMA PRICE 4315.31,  CLOSE PRICE 4259.40, TIME FRAME : 60
2017-08-18 15:00:00, EMA PRICE 4308.18,  CLOSE PRICE 4236.89, TIME FRAME : 60
2017-08-18 16:00:00, EMA PRICE 4302.93,  CLOSE PRICE 4250.34, TIME FRAME : 60
2017-08-18 17:00:00, EMA PRICE 4292.96,  CLOSE PRICE 4193.35, TIME FRAME : 60
2017-08-18 18:00:00, EMA PRICE 4277.00,  CLOSE PRICE 4117.41, TIME FRAME : 60
2017-08-18 19:00:00, EMA PRICE 4264.21,  CLOSE PRICE 4136.28, TIME FRAME : 60
2017-08-18 20:00:00, EMA PRICE 4242.11,  CLOSE PRICE 4021.11, TIME FRAME : 60
2017-08-18 21:00:00, EMA PRICE 4217.89,  CLOSE PRICE 3975.69, TIME FRAME : 60
2017-08-18 22:00:00, EMA PRICE 4208.42,  CLOSE PRICE 4113.75, TIME FRAME : 60
2017-08-18 23:00:00, EMA PRICE 4199.33,  CLOSE PRICE 4108.37, TIME FRAME : 60
2017-08-19 00:00:00, EMA PRICE 4196.07,  CLOSE PRICE 4163.49, TIME FRAME : 60
2017-08-19 01:00:00, EMA PRICE 4191.75,  CLOSE PRICE 4148.53, TIME FRAME : 60
2017-08-19 02:00:00, EMA PRICE 4188.53,  CLOSE PRICE 4156.39, TIME FRAME : 60

A more concrete example is having 1 SMA and needing to write logic that's different based on the compression you're viewing