Learning Backtesting.py

[foochityan]

Hello everyone,

I would like to learn how to make a custom indicators via talib (for example: Combined Bollinger Bands with ATR) using my own data. May I know where can I learn to code such custom indicators? I have search through Youtube and Google but nobody seems to be teaching such topic.

[peacerider]

I learned on the following pages.
https://greyhoundanalytics.com/blog/custom-indicators-in-backtestingpy/
Youtube explains in more detail.

[peacerider]

Sorry, my explanation is not enough.
I should have called "space" as "blank space".

Documents says,
"If any columns are missing, set them to what you have available, e.g. df['Open'] = df['High'] = df['Low'] = df['Close']"
https://kernc.github.io/backtesting.py/doc/backtesting/backtesting.html#gsc.tab=0

[foochityan]

I have tried to input as what you have mention but it still the same.

from backtesting import Backtest, Strategy
import pandas as pd
import talib as ta
import datetime as dt
import pandas_datareader as pdr
from datetime import datetime

data = pd.read_excel('/Users//AAPL EOD Data.xlsx')
data['Date'] = data['Date'].str.replace("T00:00:00+0000","")

data['Open'] = data['High'] = data['Low'] = data['Close']

class myStratety(Strategy):
    period = 20
    lower_std = -2
    upper_std = 2
    ma_type = 0

    def init(self):
        close = self.data.Close
        self.upper_bound, _, self.lower_bound = \
            self.I(ta.BBANDS, self.data.Close, self.period, self.upper_std, self.upper_std, self.ma_type)

    def next(self):
        if self.data.Close > self.upper_bound:
            self.sell()
        elif self.data.Close < self.lower_bound:
            self.buy()

            
bt = Backtest(
    data,
    myStratety,
    cash=1000000,
    commission=.002,
    trade_on_close=False,
    exclusive_orders=True,
    hedging=False,
    margin=1
)
 
    
output = bt.run()
print(output)
bt.plot()

[peacerider]

You don' need following statement.
"data['Open'] = data['High'] = data['Low'] = data['Close']"

from backtesting import Backtest, Strategy
import talib as ta
import datetime as dt
import pandas_datareader as pdr
from datetime import datetime
import pandas as pd


data = pd.read_excel('AAPL_EOD_Data.xlsx').sort_index()
data = data.rename(columns={"Low ":"Low"})


class myStratety(Strategy):
    period = 20
    lower_std = -2
    upper_std = 2
    ma_type = 0

    def init(self):
        close = self.data.Close
        self.upper_bound, _, self.lower_bound = \
            self.I(ta.BBANDS, self.data.Close, self.period, self.upper_std, self.upper_std, self.ma_type)

    def next(self):
        if self.data.Close > self.upper_bound:
            self.sell()
        elif self.data.Close < self.lower_bound:
            self.buy()

            
bt = Backtest(
    data,
    myStratety,
    cash=1000000,
    commission=.002,
    trade_on_close=False,
    exclusive_orders=True,
    hedging=False,
    margin=1
)
 
    
output = bt.run()
print(output)
bt.plot()

[peacerider]

Column name "Low " needs to be changed to "Low".
*D1 cell of your Exel file is "Low ".
This name is consisted by 4 character, "L", "o", "w", " " .
Last Blank Space " " is needed to be deleted.

[foochityan]

Thank you @peacerider for your help. Really appreciated.