QQE Indicator

CooleRnax

Hello,

I'm trying to implement QQE indicator.
I ended up facing the error.
How can I fix this using elegant backtrader way?

https://www.tradingview.com/script/aCIR3UdM-Quantitative-Qualitative-Estimation-QQE/

error:

self.atr = abs(self.rsi_ma[-1] - self.rsi_ma[0])
IndexError: array index out of range

code:

class QQE(bt.Indicator):
    lines = ('rsi_ma', 'fast', 'slow',)
    plotinfo = dict(subplot=False)

    params = dict(
        period=14,
        period_ma=5,
        qqe=4.236,

        period_wilders=0,
    )

    def __init__(self):
        self.p.period_wilders = self.p.period * 2 - 1
        self.rsi = bt.ind.RSI(self.data, period=self.p.period)
        self.rsi_ma = bt.ind.EMA(self.rsi, period=self.p.period_ma)

        self.atr = abs(self.rsi_ma[-1] - self.rsi_ma[0])
        self.atr_ma = bt.ind.EMA(self.atr, period=self.p.period_wilders)

        self.dar = bt.ind.EMA(
        self.atr_ma, period=self.p.period_wilders) * self.p.qqe

    def next(self):
        self.lines.rsi_ma[0] = self.rsi_ma[0]
        self.lines.fast[0] = self.rsi_ma[0] + self.dar[0]
        self.lines.slow[0] = self.rsi_ma[0] - self.dar[0]

run-out

@CooleRnax You may wish to consider changing the error line to:

self.atr = abs(self.rsi_ma(-1) - self.rsi_ma)

Your indicator runs for me using this.

CooleRnax

@run-out
I ended up with this would be nice to see it build in

class QQE(bt.Indicator):
    lines = ('slow', 'fast',)
    plotinfo = dict(subplot=False)

    params = dict(
        period=14,
        period_ma=5,
        qqe=4.236,

        period_wilders=0,
    )

    def __init__(self):
        self.p.period_wilders = self.p.period * 2 - 1
        rsi = bt.ind.RSI(self.data, period=self.p.period)
        self.lines.slow = bt.ind.EMA(rsi, period=self.p.period_ma)

        atr = abs(self.lines.slow(-1) - self.lines.slow)
        atr_ma = bt.ind.EMA(atr, period=self.p.period_wilders)

        dar = bt.ind.EMA(atr_ma, period=self.p.period_wilders) * self.p.qqe

        self.lines.fast = QQEFast(self.lines.slow, dar)
        super(QQE, self).__init__()


class QQEFast(bt.Indicator):
    lines = ('fast', 'band_long', 'band_short')
    plotinfo = dict(subplot=False)

    def __init__(self):
        super(QQEFast, self).__init__()

    def next(self):
        band_long_new = self.data0[0] - self.data1[0]
        band_short_new = self.data0[0] + self.data1[0]
        # print(band_long_new)

        if self.data0[-1] > self.lines.band_long[-1] \
                and self.data0[0] > self.lines.band_long[-1]:
            band_long = max(band_long_new, self.lines.band_long[-1])
        else:
            band_long = band_long_new

        if self.data0[-1] < self.lines.band_short[-1] \
                and self.data0[0] < self.lines.band_short[-1]:
            band_short = min(band_short_new, self.lines.band_short[-1])
        else:
            band_short = band_short_new

        self.lines.band_long[0] = band_long
        self.lines.band_short[0] = band_short

        if self.data0[0] > self.lines.band_short[-1]:
            fast = band_long
        elif self.data0[0] < self.lines.band_long[-1]:
            fast = band_short
        else:
            fast = band_long

        self.lines.fast[0] = fast

backtrader

@CooleRnax said in QQE Indicator:

class QQEFast(bt.Indicator):
    lines = ('fast', 'band_long', 'band_short')
    plotinfo = dict(subplot=False)

    def __init__(self):
        super(QQEFast, self).__init__()

    def next(self):
        band_long_new = self.data0[0] - self.data1[0]
        band_short_new = self.data0[0] + self.data1[0]
       if self.data0[-1] > self.lines.band_long[-1] \
               and self.data0[0] > self.lines.band_long[-1]

That's broken. There is no restriction to ensure that -1 (i.e.: at least one value before) is available in the buffer.

You need to specifically add a minimum period during __init__ (which by the way is an empty non-needed method right now) or use the notation given by @run-out to you to let the framework know from the start what your restriction is.

CooleRnax

@backtrader
It seems ok,
if there is no buffer it uses else as it is designed
https://www.tradingview.com/script/IYfA9R2k-QQE-MT4/

backtrader

If there is no buffer ... this will happen ...

Exception was raised at line ... Index Error

What the condition indicates is: if the previous data point is greater than the previous stored line value do something, if not ... do something else. But looking into the past buffer (-1) will break if there is no buffer, it won't simply jump into the else statement.