Importing an indicator from Pandas_ta and setting entries and exits.

[Krzysiek191]

Hey!

I am trying to import the VWAP indicator from pandas_ta and test a simple strategy utilizing it.
My code so far is:

import vectorbt as vbt

binance_data = vbt.BinanceData.load('ADABUSD_1m')
high = binance_data.get('High')
low = binance_data.get('Low')
close = binance_data.get('Close')
volume = binance_data.get('Volume')

vwap = vbt.pandas_ta('VWAP').run(high, low, close, volume, 14)

I am not sure if it works properly. When I run it it does not return any errors. Just a warning: "Converting to PeriodArray/Index representation will drop timezone information.".

Can I plot it somehow? "vwap.plot().show()" returns an error.

Assuming it works. How can I set an entry signal for when the closing price crosses above the VWAP line and exits for when it crosses below?

I tried:

entries = vwap.close_above(vwap)
exits = vwap.close_below(vwap)

But when I plotted with:

portfolio = vbt.Portfolio.from_signals(close, entries, exits, init_cash=1000)
portfolio.plot().show()

There were no trades. I use ".load" to get the data from a file I downloaded and saved first.

[polakowo]

@Krzysiek191 you can run vbt.pandas_ta('vwap').output_names to see which arrays VWAP produces. For instance, for VWAP, there is only one array vwap_d which can be accessed via vwap.vwap_d. To generate crossover signals, do vwap.close_crossed_above(vwap.vwap_d). You can read more about indicators here: https://vectorbt.dev/api/indicators/factory/

[polakowo]

To plot, use vwap.vwap_d.vbt.plot().

[Krzysiek191]

Thank you a lot!