3. Indicator that checks if the current candle high (as soon as a condition is met) breaks the previous days high (over a specific period ) or not
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Indicator that checks if the current candle high (as soon as a condition is met) breaks the previous days high (over a specific period ) or not


  • I am making an Indicator that calculates how many previous days (period is dynamic i.e. 3, 4, 5, 10 and 20) high is taken out as soon as we met a condition on a bar. I used Highest (MaxN) to find the High in those specified periods (i.e. 3, 4, 5, 10 and 20) in next of my Indicator and stored the results in Lines. Then, I compared them in next of my Strategy with the bar's high (the one which satisfies the condition). But I am not getting the desired results even though on charts I can point out such data points. Please help !!
    @run-out @dasch @backtrader @vladisld

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  • Please refer to this example

    Screenshot 2020-09-25 at 3.10.30 PM.png

    The 12th Feb bar has met the condition and now I need to check that it's has taken out high of some defined period, which in this case is from 15th Jan to 11th Feb. So, I need to count how many such bars are there in this.

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     1 Reply
  • A

    @ayush-somani please don't spam. It was clear that you unable to code something from your very first post. Other posts don't add any value, just pollutes the community.

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  • D

    It would be great if you provide the code you tried, to see where you stuck. Also please don't open that many posts with the same question.

    0 2 Replies

  • @dasch This is my Code -

    from datetime import datetime
    import os.path
    import sys
    import backtrader as bt
    import pandas as pd
    import math

    ticker_list = ['SBIN']

    class DynamicHighest(bt.Indicator):
    lines = ('periodline',)
    params = dict(minperiod=3)

    def __init__(self):
    self.addminperiod(self.p.minperiod)

def next(self):
    pass

    class MyStrategy(bt.Strategy):
    params = dict(bearish=-100, bullish=100)

    def log(self, txt, dt=None):
    dt = dt or self.datas[0].datetime.date(0)
    print('{0}, {1}'.format(dt.isoformat(), txt))

def __init__(self):
    self.dataopen = self.datas[0].open
    self.datahigh = self.datas[0].high
    self.datalow = self.datas[0].low
    self.dataclose = self.datas[0].close
    self.CDLENGULFING = bt.talib.CDLENGULFING(self.datas[0].open, self.datas[0].high, self.datas[0].low, self.datas[0].close)
    self.CDLDARKCLOUDCOVER = bt.talib.CDLDARKCLOUDCOVER(self.datas[0].open, self.datas[0].high, self.datas[0].low, self.datas[0].close)
    self.dyn_highest = DynamicHighest(self.data.high)

def next(self):
    if math.isclose(self.dataopen[0], self.datahigh[0], abs_tol=0.2):
        #Minimum Criteria to be Considered
        if self.datahigh[0] > self.datahigh[-1]:
            """print('DATE: '+str(self.date(0))+' CDLENGULFING: '+str(self.CDLENGULFING[0])+' CDLDARKCLOUDCOVER: '+str(self.CDLDARKCLOUDCOVER[0]))"""
            if (self.CDLENGULFING[0] == self.p.bearish or self.CDLDARKCLOUDCOVER[0] == self.p.bearish):
                self.log(' SELL CREATED AT PRICE: , %.2f' % self.dataclose[0])

    if name == 'main':
    for ticker in ticker_list:
    print('Ticker: %s' % ticker)
    cerebro = bt.Cerebro()
    cerebro.broker.set_cash(10000)

        filename = '%s.csv' % ticker
    #modpath = os.path.dirname('/Users/ayushsomani/Desktop/BANKNIFTY/')
    datapath = os.path.join('/Users/ayushsomani/Desktop/BANKNIFTY/', filename)

    if not os.path.isfile(datapath):
        print('File: %s not found' % filename)
        sys.exit()

    dateparse = lambda date: datetime.strptime(date, '%Y-%m-%d')
    data = pd.read_csv(datapath, index_col='Date', parse_dates=True, date_parser=dateparse)
    datafeed = bt.feeds.PandasData(dataname=data)
    cerebro.adddata(datafeed)
    print('Starting Portfolio Value: %.2f' % cerebro.broker.get_value())
    cerebro.addstrategy(MyStrategy)
    cerebro.run()
    print('Final Portfolio Value: %.2f' % cerebro.broker.get_value())

    I am unable to write the logic in my Created Indicator (DynamicHighest). I tried various approaches but couldn't get the success. Moreover, some of the rows are skipped when I run my Cerebro. My CSV starts on Date - 17/09/18 but when I debugged it is processing from Date - 04/10/18. Why so?

    CSV File

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  • @dasch
    What does exactly FindFirstIndexHighest does (if I use it calculating count of those bars)?

    0 1 Reply

  • @ayush-somani said in Indicator that checks if the current candle high (as soon as a condition is met) breaks the previous days high (over a specific period ) or not:

    What does exactly FindFirstIndexHighest does (if I use it calculating count of those bars)?

    This will return the index location of the first highest value looking back. See docs.

    0 2 Replies

  • @run-out
    I am not getting the desired output.

    Code Snippet -

    from future import (absolute_import, division, print_function,
    unicode_literals)
    from datetime import datetime
    import os.path
    import sys
    import backtrader as bt
    import pandas as pd
    import math

    ticker_list = ['SBIN']

    class DynamicHighest(bt.Indicator):
    lines = ('firsthighindex','periodline',)
    params = dict(minperiod=3, maxperiod=20)

    def __init__(self):
    self.addminperiod(self.p.minperiod)
    self.l.firsthighindex = bt.ind.FindFirstIndexHighest(self.datas[0].high, period=self.p.maxperiod)

def next(self):
    if self.datas[0].high[0] < self.datas[0].high[-int(self.l.firsthighindex[0])]:
        self.l.periodline[0] = self.l.firsthighindex[0]

    class MyStrategy(bt.Strategy):
    params = dict(bearish=-100, bullish=100)

    def log(self, txt, dt=None):
    dt = dt or self.datas[0].datetime.date(0)
    print('{0}, {1}'.format(dt.isoformat(), txt))

def __init__(self):
    self.dataopen = self.datas[0].open
    self.datahigh = self.datas[0].high
    self.datalow = self.datas[0].low
    self.dataclose = self.datas[0].close
    self.CDLENGULFING = bt.talib.CDLENGULFING(self.datas[0].open, self.datas[0].high, self.datas[0].low, self.datas[0].close)
    self.CDLDARKCLOUDCOVER = bt.talib.CDLDARKCLOUDCOVER(self.datas[0].open, self.datas[0].high, self.datas[0].low, self.datas[0].close)
    self.dyn_highest = DynamicHighest(self.datas[0])

def next(self):
    if math.isclose(self.dataopen[0], self.datahigh[0], abs_tol=0.2):
        #Minimum Criteria to be Considered
        if self.datahigh[0] > self.datahigh[-1]:
            if (self.CDLENGULFING[0] == self.p.bearish or self.CDLDARKCLOUDCOVER[0] == self.p.bearish):
                if self.dyn_highest.l.periodline[0] >= 3:
                    self.log(' SELL CREATED AT PRICE: , %.2f with %.2f number of days taken out.' % (self.dataclose[0],abs(self.dyn_highest.l.periodline[0])))

    if name == 'main':
    for ticker in ticker_list:
    print('Ticker: %s' % ticker)
    cerebro = bt.Cerebro()
    cerebro.broker.set_cash(10000)

        filename = '%s.csv' % ticker
    #modpath = os.path.dirname('/Users/ayushsomani/Desktop/BANKNIFTY/')
    datapath = os.path.join('/Users/ayushsomani/Desktop/BANKNIFTY/', filename)

    if not os.path.isfile(datapath):
        print('File: %s not found' % filename)
        sys.exit()

    dateparse = lambda date: datetime.strptime(date, '%Y-%m-%d')
    data = pd.read_csv(datapath, index_col='Date', parse_dates=True, date_parser=dateparse)
    datafeed = bt.feeds.PandasData(dataname=data)

    cerebro.adddata(datafeed)
    print('Starting Portfolio Value: %.2f' % cerebro.broker.get_value())
    cerebro.addstrategy(MyStrategy)
    cerebro.run()
    print('Final Portfolio Value: %.2f' % cerebro.broker.get_value())

    Output -
    Ticker: SBIN
    Starting Portfolio Value: 10000.00
    2018-11-19, SELL CREATED AT PRICE: , 288.15 with 9.00 number of days taken out.
    2018-12-04, SELL CREATED AT PRICE: , 282.55 with 19.00 number of days taken out.
    2020-06-24, SELL CREATED AT PRICE: , 184.60 with 12.00 number of days taken out.
    Final Portfolio Value: 10000.00

    On Chart (https://in.tradingview.com/chart/K307Cbrw/), we can clearly see that 04/12/2018 High is broken on 30/11/2018 but the Output is showing that it took 19 bars to break this high. Hope, you understood my query what I am trying to achieve.

    0 1 Reply

  • @run-out
    This is my CSV file.

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  • @ayush-somani said in Indicator that checks if the current candle high (as soon as a condition is met) breaks the previous days high (over a specific period ) or not:

    if self.datas[0].high[0] < self.datas[0].high[-int(self.l.firsthighindex[0])]:

    Using MaxN might be more straight forward.

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