Using Monthly Pivot Points with Daily Prices in a Multi-Timeframe Strategy
Summary
This Backtrader example demonstrates how to combine daily market data with a monthly resampled series. It calculates pivot points from the monthly feed and compares the daily close with the first support level to produce a sell signal. A switch selects between coupling the full indicator lines to the daily strategy or referencing the support line directly.
The example prints dates, data-feed lengths, closing prices, support values, and signal values, and optionally plots the series. It illustrates multi-timeframe indicator alignment and data handling rather than a complete trading system: there are no order rules, position management, performance results, or risk controls. The output is useful for inspecting how monthly pivot levels interact with daily prices, but the document does not establish that the signal is profitable or robust across markets or periods.
Key ideas
- Monthly data is resampled from the daily feed and used to calculate pivot points.
- A sell condition is triggered when the daily close falls below the first pivot support level.
- The example offers two ways to reference the pivot indicator across timeframes.
- It prints indicator and signal values and can plot the data, but does not execute trades or report strategy performance.
Tags
Full text
# mixing-timeframes.py
```py
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program. If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
import backtrader.utils.flushfile
class St(bt.Strategy):
params = dict(multi=True)
def __init__(self):
self.pp = pp = btind.PivotPoint(self.data1)
pp.plotinfo.plot = False # deactivate plotting
if self.p.multi:
pp1 = pp() # couple the entire indicators
self.sellsignal = self.data0.close < pp1.s1
else:
self.sellsignal = self.data0.close < pp.s1()
def next(self):
txt = ','.join(
['%04d' % len(self),
'%04d' % len(self.data0),
'%04d' % len(self.data1),
self.data.datetime.date(0).isoformat(),
'%.2f' % self.data0.close[0],
'%.2f' % self.pp.s1[0],
'%.2f' % self.sellsignal[0]])
print(txt)
def runstrat():
args = parse_args()
cerebro = bt.Cerebro()
data = btfeeds.BacktraderCSVData(dataname=args.data)
cerebro.adddata(data)
cerebro.resampledata(data, timeframe=bt.TimeFrame.Months)
cerebro.addstrategy(St, multi=args.multi)
cerebro.run(stdstats=False, runonce=False)
if args.plot:
cerebro.plot(style='bar')
def parse_args():
parser = argparse.ArgumentParser(
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
description='Sample for pivot point and cross plotting')
parser.add_argument('--data', required=False,
default='../../datas/2005-2006-day-001.txt',
help='Data to be read in')
parser.add_argument('--multi', required=False, action='store_true',
help='Couple all lines of the indicator')
parser.add_argument('--plot', required=False, action='store_true',
help=('Plot the result'))
return parser.parse_args()
if __name__ == '__main__':
runstrat()
```Shown in full with attribution under the source's licence. Licence: GPL-3.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.