Hello,
Could anyone talk about different between them? I take a look around the sample of talib integration sample, and see that the internal indicators of BackTrader and ta-lib almost the same.
Now BackTrader introduce the new one: bta-lib. And if the different are clarify for purposes and use cases are better. If this rookie's question is annoyed, please delete it!
Thank you!
Wow, thanks so much @run-out !
I found the problem in data sample. Because the sample is not big enough for a indicator parameter. I used a indicator HullMovingAverage with a big period, so with the small timeframe it is normal, but in the large timeframe it need a bigger size of input data.
That's why cerebro plots running result, but not print log.
P/S: I will add entire code next question. Thanks for your advice!
@run-out said in What are different between bta-lib, ta-lib and internal BackTrader indicators?:
@Quỳnh-H-Nguyễn This is still an awesome tool. And if you wanted to create a line preloading into cerebro, this would make it dead easy. Cheers
yeah, I got some times and don't know the reason. However, it is simple for a rookie like me to begin!
Wow, thanks so much @run-out !
I found the problem in data sample. Because the sample is not big enough for a indicator parameter. I used a indicator HullMovingAverage with a big period, so with the small timeframe it is normal, but in the large timeframe it need a bigger size of input data.
That's why cerebro plots running result, but not print log.
P/S: I will add entire code next question. Thanks for your advice!
Hi all,
I got a simple issue when using multiple timeframes data:
data1 = bt.feeds.PandasData(dataname=data_df, timeframe=bt.TimeFrame.Minutes, compression=1)
cerebro.adddata(data1, name='M1')
cerebro.resampledata(data1, name='M5', timeframe=bt.TimeFrame.Minutes, compression=5)
But in next(self) function of strategy I could not access the second data. It print if I used only one data. When add 2 data, the next function is missed (no print at all).
def next(self):
print(self.datas[0].close[0])
print(self.datas[1].close[0])
So what is the right way to access multiple timeframes data in strategy class? I tried many search result here, but no way to access them.
I'm just a rookies here. But I think Sharpe ratio is a ratio compare to risk free only. The timeframe and length of series data are important for strategy, the Sharpe result in analyzer is a forecast/far-seeing for standard 1 year from the current series data (less than a year series data).
So, the most important mean of Sharpe is compare to risk free with THE RISK of strategy in trading result.
I check on the backtrader source code. There is a Chainer data feed, but I don't see any example to use this type of data feed (Chainer).
It looks like a simple live data feed example that could be extended to any new data source live by provide background threads to manage online source. Right?
I want to continue this thread, although it is so old, because I have a simple relative question.
@backtrader : In case I have a custom live data feed, and I want to use backtrader in the middle level - generate trade signal only - no live trade. So no need to build a custom store, only develop a live data feed right?
Thank you very much!
Following the document: The sqn value should be deemed reliable when the number of trades >= 30.
SQN or SystemQualityNumber. Defined by Van K. Tharp to categorize trading systems.
1.6 - 1.9 Below average
2.0 - 2.4 Average
2.5 - 2.9 Good
3.0 - 5.0 Excellent
5.1 - 6.9 Superb
7.0 - Holy Grail?
But I tried with the history data for 1-2 year (5 minutes timeframe) the SQN is very good, in range excellent. However, when I split down the history data to 6 months or 3 months, the SQN results are lower, at average values or below average.
Would you please to share any experience for reference to check the reliable of the SQN results?
Thank you very much!
@run-out said in What are different between bta-lib, ta-lib and internal BackTrader indicators?:
@Quỳnh-H-Nguyễn This is still an awesome tool. And if you wanted to create a line preloading into cerebro, this would make it dead easy. Cheers
yeah, I got some times and don't know the reason. However, it is simple for a rookie like me to begin!
@run-out The docs's examples show that btalib runs separately like your mention above. I think maybe in the future backtrader will change something (I think it is just a little change) to use btalib in great backtest framework.
From the docs:
YATALIB
Yet Another Technical Analysis LIBrary. That could well have been the name, and the simple reason to create this library, having "yet another". But neither ... nor.
The reasons:
Sorry if I'm wrong because English is not my native speaking/understanding!
@run-out said in What are different between bta-lib, ta-lib and internal BackTrader indicators?:
btalib is not meant to be used in backtrader as a replacement for the built in indicators. bta-lib takes in a dataframe and returns a signal.
Oh, I believe that the BackTrader's owner want to replace TA-Lib by btalib not only because pure python, but also easier to create customize indicators.
I tried with btalib to compare with original TA-Lib
class BTALIBBeginningStrategy(bt.Strategy):
params = (
('MA', 100),
)
def __init__(self):
#self.ma = bt.indicators.MovingAverageSimple(period=self.params.MA)
self.ma = btalib.sma(self.data.close, period=self.p.MA)
but I got this error
File "/home/learner/venv/lib/python3.8/site-packages/btalib/indicator.py", line 152, in __call__
b_init(self, *args, **kwargs)
File "/home/learner/venv/lib/python3.8/site-packages/btalib/indicators/sma.py", line 28, in __init__
self.o.sma = self.i0.rolling(window=self.p.period).mean()
File "/home/learner/venv/lib/python3.8/site-packages/btalib/meta/lines.py", line 394, in real_multifunc_op
return _MultiFunc_Op(self, *args, **kwargs)
File "/home/learner/venv/lib/python3.8/site-packages/btalib/meta/lines.py", line 306, in __init__
trailer = series[self._minidx:]
File "/home/learner/venv/lib/python3.8/site-packages/backtrader/linebuffer.py", line 163, in __getitem__
return self.array[self.idx + ago]
TypeError: unsupported operand type(s) for +: 'int' and 'slice'
The code with original TA-Lib runs normally. But I don't understand what the error with btalib. Please explain for new rookies!
Thank you!