Integrated and Debugged OLS Residuals in Backtrader

📅 2024-01-16 — Session: Integrated and Debugged OLS Residuals in Backtrader

🕒 14:50–15:40
🏷️ Labels: Backtrader, Ols Residuals, Debugging, Python, Trading Strategy
📂 Project: Dev
⭐ Priority: MEDIUM

Session Goal:

The session aimed to integrate and debug the OLS Residuals indicator within a multi-stock trading strategy using Backtrader.

Key Activities:

• Integrated OLS residuals into a multi-stock trading strategy by creating custom indicators and modifying strategy logic for buy/sell decisions.
• Fixed a TypeError during the initialization of the OLSResiduals indicator by modifying the class definition and removing unnecessary arguments.
• Resolved a ValueError related to zero-size arrays by ensuring sufficient data points before OLS fitting.
• Implemented debugging techniques to diagnose issues with data availability and indicator initialization.
• Modified the next method in the OLSResiduals class to fetch close prices using slicing and included detailed debugging steps.

Achievements:

• Successfully integrated OLS residuals into the Backtrader strategy.
• Resolved initialization errors and ensured proper data handling and availability.
• Enhanced the debugging process for the OLSResiduals indicator, facilitating easier diagnosis of data-related issues.

Pending Tasks:

• Verify the changes in a live trading environment to ensure robustness and accuracy of the OLSResiduals indicator.
• Further refine error handling and debugging techniques as needed based on real-time data analysis.