A
Interesting. In your script you apply the indicator to the self.data0 ie 5 min data feed, but indicator itself works with the self.data1 which is daily bars. I would assume that self.addminperiod is also applied to minutes data feed, so you need lot to get 5 bars of daily data feed.
Try this (didn' run it by myself):
indicator:
class dummyIndicator(bt.Indicator,):
lines = ('dayHigh',)
params = (('period', 5),)
def __init__(self):
self.addminperiod(self.p.period)
def next(self):
self.dayHigh[0] = self.data.high[-self.p.period]
call in the strategy:
self.dayHigh = dummyIndicator(self.data1)
