Bullish and Bearish Divergence MACD/RSI

CooleRnax

Hello,

I'm trying to figure out how can I access these signals?

To get it i thought for example to find first low, than the previous low indexes.
Then get prices compare them. Then get indicator's values and compare them too. I got stuck at getting second low/high. Please help.

self.high_first = btind.FindFirstIndexHighest(self.data.high, period=self.p.hl_period)
self.high_second = btind.FindFirstIndexHighest(self.data.high(self.high_first-1), period=self.p.hl_period)
self.low_first = btind.FindFirstIndexLowest(self.data.low, period=self.p.hl_period)
self.low_second = btind.FindFirstIndexLowest(self.data.low(self.low_first-1), period=self.p.hl_period)

CooleRnax

I might don't know something and I'm reinventing the wheel, It would be great if somebody point me the right direction.

backtrader

@coolernax said in Bullish and Bearish Divergence MACD/RSI:

self.high_first = btind.FindFirstIndexHighest(self.data.high, period=self.p.hl_period)
self.high_second = btind.FindFirstIndexHighest(self.data.high(self.high_first-1), period=self.p.hl_period)

The problem is that self.data.high(self.high_first - 1) is not a valid construct. Because self.high_first will be determined at runtime, whereas a delayed line (using parenthesis) needs to know the value from how many periods ago it will returning.

A potential coding

class SecondHigh(bt.ind.PeriodN):
    lines = ('first_high', 'second_high',)

    def __init__(self):
        self.hf = self.lines.first_high  = bt.ind.FindFirstIndexHighest(self.data.high, period=self.p.period)

    def next(self):
        # 0 is valid return value for now, make sure to get at least 1 item
        iterable = self.data.get(size=self.hf[0] + 1)
        m = max(iterable)
        self.lines.second_high[0] = next(i for i, v in enumerate(reversed(iterable)) if v == m)

Finding the index of the maximum is not made with the better iterable.index(max(iterable)) to comply with the idea in backtrader that the current index is 0.

The FindFirstXXX family of functions return the indices in absolute value and this is also done here .

Note: this is a handcrafted snippet which may have typos and not work at all.

CooleRnax

@backtrader said in Bullish and Bearish Divergence MACD/RSI:

@coolernax said in Bullish and Bearish Divergence MACD/RSI:
self.high_first = btind.FindFirstIndexHighest(self.data.high, period=self.p.hl_period)
self.high_second = btind.FindFirstIndexHighest(self.data.high(self.high_first-1), period=self.p.hl_period)
The problem is that self.data.high(self.high_first - 1) is not a valid construct. Because self.high_first will be determined at runtime, whereas a delayed line (using parenthesis) needs to know the value from how many periods ago it will returning.

A potential coding
class SecondHigh(bt.ind.PeriodN):
    lines = ('first_high', 'second_high',)

    def __init__(self):
        self.hf = self.lines.first_high  = bt.ind.FindFirstIndexHighest(self.data.high, period=self.p.period)

    def next(self):
        # 0 is valid return value for now, make sure to get at least 1 item
        iterable = self.data.get(size=self.hf[0] + 1)
        m = max(iterable)
        self.lines.second_high[0] = next(i for i, v in enumerate(reversed(iterable)) if v == m)
Finding the index of the maximum is not made with the better iterable.index(max(iterable)) to comply with the idea in backtrader that the current index is 0.

The FindFirstXXX family of functions return the indices in absolute value and this is also done here .

Note: this is a handcrafted snippet which may have typos and not work at all.

Thanks I will try your example

CooleRnax

@backtrader I created an indicator that works, but sometimes I face error like this:
ValueError: max() arg is an empty sequence

Please take a look
Here is the code:

class RSIDivergence(bt.ind.PeriodN):
    lines = ('signal',)
    params = dict(
        rsi_period=14,
        hl_period=100,
        hl_min=20
    )

    # plotinfo = dict(
    #     subplot=True,
    #     plotlinelabels=True, plotlinevalues=True, plotvaluetags=True,
    # )

    # plotlines = dict(
    #     high_first_price=dict(_name='high_first_price', color='red', ls='-'),
    #     high_second_price=dict(_name='high_second_price', color='blue', ls='-'),
    #     low_first_price=dict(_name='low_first_price', color='red', ls='-'),
    #     low_second_price=dict(_name='low_second_price', color='blue', ls='-'),
    # )

    def __init__(self):
        self.hfi = bt.ind.FindFirstIndexHighest(self.data.high, period=self.p.hl_period)
        self.lfi = bt.ind.FindFirstIndexLowest(self.data.low, period=self.p.hl_period)
        self.rsi = bt.ind.RSI_Safe(period=self.p.rsi_period)

    def signal_get(self):
        signal = 0
        if self.hfp >= self.hsp:
            if self.rsi[-int(self.hfi[0])] < self.rsi[-int(self.hsi)]:
                print('bearish', self.rsi[-int(self.hfi[0])], self.rsi[-int(self.hsi)])
                signal -= 1

        if self.lfp <= self.lsp:
            if self.rsi[-int(self.lfi[0])] > self.rsi[-int(self.lsi)]:
                print('bullish', self.rsi[-int(self.hfi[0])], self.rsi[-int(self.hsi)])
                signal += 1

        return signal

    def next(self):
        iterable = self.data.high.get(size=int(self.hfi[0]) + self.p.hl_min)
        m = max(iterable)
        self.hsi = next(i for i, v in enumerate(reversed(iterable)) if v == m) + self.p.hl_min

        iterable = self.data.low.get(size=int(self.lfi[0]) + self.p.hl_min)
        m = min(iterable)
        self.lsi = next(i for i, v in enumerate(reversed(iterable)) if v == m) + self.p.hl_min

        self.hfp = self.data.high[-int(self.hfi[0])]
        self.hsp = self.data.high[-int(self.hsi)]
        self.lfp = self.data.low[-int(self.lfi[0])]
        self.lsp = self.data.low[-int(self.lsi)]

        # self.lines.high_first_price[0] = self.hfp
        # self.lines.high_second_price[0] = self.hsp
        # self.lines.low_first_price[0] = self.lfp
        # self.lines.low_second_price[0] = self.lsp
        self.lines.signal[0] = self.signal_get()

CooleRnax

@coolernax said in Bullish and Bearish Divergence MACD/RSI:

iterable

I have created the fix, hope you can include similar indicator for RSI/MACD in the main branch:

class RSIDivergence(bt.ind.PeriodN):
    lines = ('signal',)
    params = dict(
        rsi_period=30,
        hl_period=100,
        hl_min=25
    )

    def __init__(self):
        self.hfi = bt.ind.FindFirstIndexHighest(self.data.high, period=self.p.hl_period)
        self.lfi = bt.ind.FindFirstIndexLowest(self.data.low, period=self.p.hl_period)
        self.rsi = bt.ind.RSI_Safe(period=self.p.rsi_period)

    def signal_get(self):
        signal = 0
        if self.hfp >= self.hsp:
            if self.rsi[-int(self.hfi[0])] < self.rsi[-int(self.hsi)]:
                signal -= 1

        if self.lfp <= self.lsp:
            if self.rsi[-int(self.lfi[0])] > self.rsi[-int(self.lsi)]:
                signal += 1

        return signal

    def next(self):
        h_iterable = self.data.get(size=self.p.hl_period, ago=-int(self.hfi[0]) - self.p.hl_min)
        l_iterable = self.data.get(size=self.p.hl_period, ago=-int(self.lfi[0]) - self.p.hl_min)

        if len(h_iterable) > 0 and len(l_iterable) > 0:
            m = max(h_iterable)
            self.hsi = next(i for i, v in enumerate(reversed(h_iterable)) if v == m) + int(self.hfi[0]) + self.p.hl_min

            m = min(l_iterable)
            self.lsi = next(i for i, v in enumerate(reversed(l_iterable)) if v == m) + int(self.lfi[0]) + self.p.hl_min

            self.hfp = self.data.high[-int(self.hfi[0])]
            self.hsp = self.data.high[-int(self.hsi)]
            self.lfp = self.data.low[-int(self.lfi[0])]
            self.lsp = self.data.low[-int(self.lsi)]

            self.lines.signal[0] = self.signal_get()
        else:
            self.lines.signal[0] = 0

mrahmadt

Thank you.

mamos

Hello,

I'm trying use your custom indicator RSIDivergence but I don't understand how I can use it?
Do you have a simple example ?
I am sorry for my english and I am not good developper

mamos

I don't understand why nobody answer me ?

Please help me

backtrader

@coolernax said in Bullish and Bearish Divergence MACD/RSI:

class RSIDivergence(bt.ind.PeriodN):
lines = ('signal',)

I am not the author but looking at these excerpts from the code

@coolernax said in Bullish and Bearish Divergence MACD/RSI:

class RSIDivergence(bt.ind.PeriodN):
    lines = ('signal',)
    ...
    ...
    def signal_get(self):
        signal = 0
        if self.hfp >= self.hsp:
            if self.rsi[-int(self.hfi[0])] < self.rsi[-int(self.hsi)]:
                signal -= 1

        if self.lfp <= self.lsp:
            if self.rsi[-int(self.lfi[0])] > self.rsi[-int(self.lsi)]:
                signal += 1

        return signal

    def next(self):
    ...
    ...

            self.lines.signal[0] = self.signal_get()
        else:
            self.lines.signal[0] = 0

The indicator has:

A line named signal which is the output indicating the divergence
It can have the values -1, 0 or 1 which should be self-explanatory

mamos

@backtrader thanks you very much . I'm happy now ! I will test soon :D

Vasu Dev

@backtrader
-1 for Bearish Divergence
1 for Bullish Divergence ????

mamos

@vasu-dev
yes I think:
-1 for Bearish Divergence
1 for Bullish Divergence
but I have result not good... and you?

Someone have an example working good ?

pepelepew25

After testing the code above and plotting the divergences that it found, I think that the issue is with this line:

self.hfi = bt.ind.FindFirstIndexHighest(self.data.high, period=self.p.hl_period)

It looks for the highest point (same for the lowest) within the hl_period (100 bars)

Then in the following line it looks again backwards from that point to find the second high

h_iterable = self.data.get(size=self.p.hl_period, ago=-int(self.hfi[0]) - self.p.hl_min)

So basically the code returns signals for very old divergences. If you are on daily chart, you will try to trade on a divergence that is 100 days old.

So the first day after the high point it signals a sell, then for the next 100 days it still signals a sell !

I have amended the first line to look for a high/low point for the last day only.
In this way if the divergence is growing then it's fine you still get a sell signal, but if the divergence is gone then you don't try to keep selling for 100 days.

dowdtw

@pepelepew25 hey how did you go about plotting this please? I'm plotting adding plotinfo, plotlines but getting nothing!

dowdtw

@dowdtw I figured it out. No Dramas.:)

P Jr G

@dowdtw Would be great if you could share your solution...