Select highest value in a range only if the bar with the highest value passes a condition?

aayushkucheria

Hey,
I'm making an indicator which requires me to select the highest value in a certain range only if that value is greater than the price channel high at that bar.

I'm able to find the highest value from this code -

# self.counter defines how far back the range starts
self.highest = basicops.Highest(self.data.high, period=self.counter, subplot=False)

But once I have the highest value, how do I get the price channel high value at that bar to check my condition?

Thank you!

run-out

I'm not sure I follow you. If you get the highest high value for the period, what value is going to be higher?

aayushkucheria

I meant to say that if I have a range, and the highest high value in that range -->
Then only take it if the highest high value > Another Indicator I've defined at that bar.

So basically, in the below picture the line is the indicator. If there's no value above it, I don't want anything.
But if there are high values above it, then I want the highest high.

aayushkucheria

@run-out Added a comment with further clarification. Thanks!

mics

If I've interpreted your query correctly, perhaps this will help. I have a condition in a wider strategy that gets set by not breaking highs but crossing top Bollinger bands. I've changed it to suit your scenario.


import backtrader as bt
import backtrader.indicators as bt.ind

class TheStrategy(bt.Strategy):

    params = (
        ('highperiod', 60),
        ('lowperiod', 60),
        ('bbperiod', 20),
        ('devfactor', 2),
        )

def __init__(self):

    self.highest = highest = bt.ind.Highest(self.data, period=self.p.highperiod, plot=True, subplot=False)
    self.lowest = lowest = bt.ind.Lowest(self.data, period=self.p.lowperiod, plot=True, subplot=False)

    self.boll = bt.indicators.BollingerBands(self.data, period=self.p.bbperiod, devfactor=self.p.devfactor, plot=True)

def next(self):
    
        if self.data.high[0] > self.boll.lines.top[0]:
            if self.data.high[0] > self.highest:
                self.buy()  # ENTER LONG

dasch

this will work too:

import backtrader as bt

class TheStrategy(bt.Strategy):


   params = (
       ('highperiod', 5),
       ('lowperiod', 5),
   )

   def __init__(self):

       self.highest = bt.ind.Highest(
           self.data, period=self.p.highperiod, plot=True, subplot=False)
       self.lowest = bt.ind.Lowest(
           self.data, period=self.p.lowperiod, plot=True, subplot=False)
       self.signal_high = self.data.high > self.highest
       self.signal_low = self.data.low < self.lowest

   def next(self):
       print(self.signal_high[0])
       print(self.signal_low[0])

ab_trader

my 5 cents:

Script from @dasch will generate signals when high or low prices will break the boundaries of
channel built on close price.
This

I'm making an indicator which requires me to select the highest value in a certain range only if that value is greater than the price channel high at that bar.

highest value of what? of the price? of the another indicator?

talking about prices - if you built the price channel on lows and highs, you can only check if current high/low is higher/lower than previous value because current value will be within the channel by definition:

self.highest = bt.ind.Highest(self.data.high, period=self.p.highperiod)
self.up = self.data.high > self.highest(-1)

This is a different story

I meant to say that if I have a range, and the highest high value in that range -->
Then only take it if the highest high value > Another Indicator I've defined at that bar.
So basically, in the below picture the line is the indicator. If there's no value above it, I don't want anything.
But if there are high values above it, then I want the highest high.

self.indicator = bt.ind.whatever_indicator_is_wanted()
self.up = self.data.high > self.indicator

dasch

@ab_trader i see your point, thanks for correcting this and pointing this out.