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)