Problem with my custom Indicator, UIcerIndex

Jakob Schütte

Hi!
I'm trying to implement a indicator, the short version is:

Percent-Drawdown = ((Close - 14-period Max Close)/14-period Max Close) x 100
Squared Average = (14-period Sum of Percent-Drawdown Squared)/14
Ulcer Index = Square Root of Squared Average

But I ran into problems. I cannot get it right. When I do print the len(myslice) i always get the output 2.

What are my misstakes? I seem to miss something obvious here.

 class UICerIndex(bt.Indicator):
    params = ('period', 14), )

    lines = ('UICer',)
    def __init__(self):
        self.highstV = None
        self.addminperiod(self.p.period)
        return

    def next(self):
        myslice = self.data0.close.get(size=self.p.period)
        print(len(myslice))
        self.highstValue = bt.Max(myslice)
        DP=0

        for e in myslice:
            DP += ((self.highstValue - e) / self.highstValue * 100) ** 2

        meanvalue = DP / self.p.period
        # SMA = A1..An/n
        self.lines.UICer=sqrt(meanvalue)
        return

balibou

@Jakob-Schütte maybe self.data[0].close.get(size=self.p.period) instead of self.data0.close.get(size=self.p.period) ? 🙂

Jakob Schütte

Thanks! That was a typo. But I have come further. But now I have a other problem that I do not know how to fix.

UIcerIndex v1.py", line 33, in next response = math.sqrt(meanvalue)
TypeError: must be real number, not LinesOperation

I'm new to Backtrader and could need some help...

    def next(self):
        myslice = self.datas[0].close.get(size=self.p.period)
        print(len(myslice))

        self.highstValue = bt.Max(myslice)
        self.DP=0

        for e in myslice:
            self.DP += ((self.highstValue - e) / self.highstValue * 100) ** 2
        print("DP")
        print(self.DP)
        meanvalue = self.DP / self.p.period
        # SMA = A1..An/n
        response = math.sqrt(meanvalue)
        print(str(response))

        self.lines[0]=(response)

barton05

@Jakob-Schütte fyi.


class ulcerIndex(bt.Indicator):
    lines = ('Ulcer','highestClose','perDrawdown','sqAvg')
    params = (('period', 14),)
    plotlines = dict(
        highestClose=dict(_plotskip=True),
        perDrawdown=dict(_plotskip=True),
        sqAvg=dict(_plotskip=True),
    )
    def __init__(self):
        # To make mixins work - super at the end for cooperative inheritance
        super(ulcerIndex, self).__init__()
        self.l.highestClose = bt.ind.Highest(self.data.close, period=self.p.period)
        self.l.perDrawdown = (self.data.close-self.l.highestClose)/self.l.highestClose * 100
        self.l.sqAvg = bt.ind.SumN(self.l.perDrawdown,period=self.p.period)**2/14
        self.l.Ulcer= pow(self.l.sqAvg,0.5)

barton05

@barton05 said in Problem with my custom Indicator, UIcerIndex:

self.l.sqAvg = bt.ind.SumN(self.l.perDrawdown,period=self.p.period)**2/14

should be changed to:

self.l.sqAvg = bt.ind.SumN(self.l.perDrawdown,period=self.p.period)**2/self.p.period

Jakob Schütte

@barton05 Thanks. Appreciate your help a lot!

Newbie questions:

self.l.sqAvg = bt.ind.SumN(self.l.perDrawdown,period=self.p.period)**2/14 Will that line iterate over the latest 14 values and apply self.l.perDrawdown?
Why are you doing the Super-call? I cannot fully understand your comment.

barton05

@Jakob-Schütte

yes, and better use self.p.period instead of a hardcode value 14.
super call related to inheritance, tbh i'm not sure for details.