BUG: Allow multiple names for vector indicators (#382)

Previously we only allowed one name per vector
indicator:

    def _my_indicator(open, close):
    	return tuple(
	    _my_indicator_one(open, close),
	    _my_indicator_two(open, close),
	)

    self.I(
        _my_indicator,
	# One name is used to describe two values
        name="My Indicator",
	self.data.Open,
	self.data.Close
    )

Now, the user can supply two (or more) names to annotate
each value individually. The names will be shown in the
plot legend. The following is now valid:

    self.I(
        _my_indicator,
	# Two names can now be passed
        name=["My Indicator One", "My Indicator Two"],
	self.data.Open,
	self.data.Close
    )

Co-authored-by: kernc <kerncece@gmail.com>

Author: ivaigult

backtesting/_plotting.py

@@ -3,7 +3,7 @@
 import sys
 import warnings
 from colorsys import hls_to_rgb, rgb_to_hls
-from itertools import cycle, combinations
+from itertools import cycle, combinations, repeat
 from functools import partial
 from typing import Callable, List, Union
 
@@ -537,10 +537,22 @@ def __eq__(self, other):
             colors = value._opts['color']
             colors = colors and cycle(_as_list(colors)) or (
                 cycle([next(ohlc_colors)]) if is_overlay else colorgen())
-            legend_label = LegendStr(value.name)
-            for j, arr in enumerate(value, 1):
+
+            tooltip_label = value.name if isinstance(value.name, str) else ", ".join(value.name)
+
+            if len(value) == 1:
+                legend_labels = [LegendStr(item) for item in _as_list(value.name)]
+            elif isinstance(value.name, str):
+                legend_labels = [
+                    LegendStr(f"{name}[{index}]")
+                    for index, name in enumerate(repeat(value.name, len(value)))
+                ]
+            else:
+                legend_labels = [LegendStr(item) for item in value.name]
+
+            for j, arr in enumerate(value):
                 color = next(colors)
-                source_name = f'{legend_label}_{i}_{j}'
+                source_name = f'{legend_labels[j]}_{i}_{j}'
                 if arr.dtype == bool:
                     arr = arr.astype(int)
                 source.add(arr, source_name)
@@ -550,24 +562,24 @@ def __eq__(self, other):
                     if is_scatter:
                         fig.scatter(
                             'index', source_name, source=source,
-                            legend_label=legend_label, color=color,
+                            legend_label=legend_labels[j], color=color,
                             line_color='black', fill_alpha=.8,
                             marker='circle', radius=BAR_WIDTH / 2 * 1.5)
                     else:
                         fig.line(
                             'index', source_name, source=source,
-                            legend_label=legend_label, line_color=color,
+                            legend_label=legend_labels[j], line_color=color,
                             line_width=1.3)
                 else:
                     if is_scatter:
                         r = fig.scatter(
                             'index', source_name, source=source,
-                            legend_label=LegendStr(legend_label), color=color,
+                            legend_label=legend_labels[j], color=color,
                             marker='circle', radius=BAR_WIDTH / 2 * .9)
                     else:
                         r = fig.line(
                             'index', source_name, source=source,
-                            legend_label=LegendStr(legend_label), line_color=color,
+                            legend_label=legend_labels[j], line_color=color,
                             line_width=1.3)
                     # Add dashed centerline just because
                     mean = float(pd.Series(arr).mean())
@@ -578,9 +590,9 @@ def __eq__(self, other):
                                             line_color='#666666', line_dash='dashed',
                                             line_width=.5))
             if is_overlay:
-                ohlc_tooltips.append((legend_label, NBSP.join(tooltips)))
+                ohlc_tooltips.append((tooltip_label, NBSP.join(tooltips)))
             else:
-                set_tooltips(fig, [(legend_label, NBSP.join(tooltips))], vline=True, renderers=[r])
+                set_tooltips(fig, [(tooltip_label, NBSP.join(tooltips))], vline=True, renderers=[r])
                 # If the sole indicator line on this figure,
                 # have the legend only contain text without the glyph
                 if len(value) == 1:

backtesting/backtesting.py

@@ -90,7 +90,9 @@ def I(self,  # noqa: E743
         same length as `backtesting.backtesting.Strategy.data`.
 
         In the plot legend, the indicator is labeled with
-        function name, unless `name` overrides it.
+        function name, unless `name` overrides it. If `func` returns
+        multiple arrays, `name` can be a sequence of strings, and
+        its size must agree with the number of arrays returned.
 
         If `plot` is `True`, the indicator is plotted on the resulting
         `backtesting.backtesting.Backtest.plot`.
@@ -115,13 +117,21 @@ def I(self,  # noqa: E743
             def init():
                 self.sma = self.I(ta.SMA, self.data.Close, self.n_sma)
         """
+        def _format_name(name: str) -> str:
+            return name.format(*map(_as_str, args),
+                               **dict(zip(kwargs.keys(), map(_as_str, kwargs.values()))))
+
         if name is None:
             params = ','.join(filter(None, map(_as_str, chain(args, kwargs.values()))))
             func_name = _as_str(func)
             name = (f'{func_name}({params})' if params else f'{func_name}')
+        elif isinstance(name, str):
+            name = _format_name(name)
+        elif try_(lambda: all(isinstance(item, str) for item in name), False):
+            name = [_format_name(item) for item in name]
         else:
-            name = name.format(*map(_as_str, args),
-                               **dict(zip(kwargs.keys(), map(_as_str, kwargs.values()))))
+            raise TypeError(f'Unexpected `name=` type {type(name)}; expected `str` or '
+                            '`Sequence[str]`')
 
         try:
             value = func(*args, **kwargs)
@@ -139,6 +149,11 @@ def init():
         if is_arraylike and np.argmax(value.shape) == 0:
             value = value.T
 
+        if isinstance(name, list) and (np.atleast_2d(value).shape[0] != len(name)):
+            raise ValueError(
+                f'Length of `name=` ({len(name)}) must agree with the number '
+                f'of arrays the indicator returns ({value.shape[0]}).')
+
         if not is_arraylike or not 1 <= value.ndim <= 2 or value.shape[-1] != len(self._data.Close):
             raise ValueError(
                 'Indicators must return (optionally a tuple of) numpy.arrays of same '

backtesting/test/_test.py

@@ -755,6 +755,37 @@ def test_resample(self):
             # Give browser time to open before tempfile is removed
             time.sleep(1)
 
+    def test_indicator_name(self):
+        test_self = self
+
+        class S(Strategy):
+            def init(self):
+                def _SMA():
+                    return SMA(self.data.Close, 5), SMA(self.data.Close, 10)
+
+                test_self.assertRaises(TypeError, self.I, _SMA, name=42)
+                test_self.assertRaises(ValueError, self.I, _SMA, name=("SMA One", ))
+                test_self.assertRaises(
+                    ValueError, self.I, _SMA, name=("SMA One", "SMA Two", "SMA Three"))
+
+                for overlay in (True, False):
+                    self.I(SMA, self.data.Close, 5, overlay=overlay)
+                    self.I(SMA, self.data.Close, 5, name="My SMA", overlay=overlay)
+                    self.I(SMA, self.data.Close, 5, name=("My SMA", ), overlay=overlay)
+                    self.I(_SMA, overlay=overlay)
+                    self.I(_SMA, name="My SMA", overlay=overlay)
+                    self.I(_SMA, name=("SMA One", "SMA Two"), overlay=overlay)
+
+            def next(self):
+                pass
+
+        bt = Backtest(GOOG, S)
+        bt.run()
+        with _tempfile() as f:
+            bt.plot(filename=f,
+                    plot_drawdown=False, plot_equity=False, plot_pl=False, plot_volume=False,
+                    open_browser=False)
+
     def test_indicator_color(self):
         class S(Strategy):
             def init(self):