如何使用一个符号的 SMA 信号来交易另一个符号

Question

My idea is to track crude oil commodity prices and trade an ETF based on the movements of Oil.

Logic is:

• If price crosses SMA100 upwards trending for Oil, buy ETF
• If price crosses SMA100 downwards trending for oil, sell ETF

I use a generic SMA strategy but I cannot make it use the data from oil. Based on the plot it uses SMA 100 for the ETF.

import backtrader as bt
import datetime

start = datetime.datetime(2018,1,1)

end = datetime.datetime(2021,5,1)


cerebro = bt.Cerebro()
cerebro.broker.set_cash(1000000)

etf = bt.feeds.YahooFinanceData(dataname='SUSW.L', fromdate=start,
                                  todate=end)

oil = bt.feeds.YahooFinanceData(dataname='CL=F', fromdate=start,
                                  todate=end)

cerebro.adddata(etf, name='etf')
cerebro.adddata(oil, name='oil')

I use data1 to refer to the Oil datafeed. Not sure what else I can change in the code - I am fairly new to backtrader and look through documentation.

class SmaCross(bt.Strategy):
    def log(self, txt, dt=None):
        ''' Logging function for this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))
    
    params = (
            ('sma_fast', 50),
            ('sma_slow', 100),
            ('macro', 100)    
        )
    
    def __init__(self):
        
        #sma1 = bt.ind.SMA(period= self.params.sma_fast)  # fast moving average
        #sma2 = bt.ind.SMA(period= self.params.sma_slow)  # slow moving average
        
        sma_macro = bt.ind.SMA(period= self.params.macro)
               
        self.macro = self.data1.close
        self.crossover_macro = bt.ind.CrossOver(self.macro, sma_macro)   
        
    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            return
        
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log('BUY EXECUTED {}'.format(order.executed.price))
            elif order.issell():
                self.log('SELL EXECUTED {}'.format(order.executed.price))
       
    def next(self):

        if not self.position:  # not in the market
            if self.crossover_macro < 0:
                self.buy() 
                
        elif self.crossover_macro > 0:
            self.close() 

cerebro.addstrategy(SmaCross, oil = 100)
cerebro.addsizer(bt.sizers.PercentSizer, percents=20)
cerebro.run()
cerebro.plot()

Answer 1

I think I found something in the documentation to help me with this issue: https://www.backtrader.com/blog/posts/2015-09-03-multidata-strategy/multidata-strategy/