How to calculate indicator line using prior period values?

Eddy Bennett

I'm attempting to write an indicator based off a projected moving average formula (CP2) which also has Lamberts Marker Direction Formula (MDI) in there as well.

My issue is that I need to use prior period values of CP2 to calculate the MDI formula but I'm not sure of the best approach as I understand that most of the calculations should be done in the init() function.

Here is what I have so far and as you can see I have attempted to use an array to store the CP2 values which is probably not best practice but getting the 'IndexError: list index out of range' error because it can't access the values. I guess I mostly need help in how to write this in the best practice format.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

# Import the backtrader platform
import backtrader as bt
import math
from decimal import *

class ProjectedMovingAverageIndicator(bt.Indicator):

  lines = ('CP2','MDI',)
  params = (('periodSlow', 100),('periodFast', 25),('movav', bt.indicators.MovAv.Simple),)
  plotinfo = dict(subplot=True)
  plotlines = dict(
    CP2=dict(_samecolor=False),
    MDI=dict(_samecolor=False),
    )

  def __init__(self):
    self.addminperiod(self.params.periodSlow)

    # Calculate moving averages
    self.movavSlow = self.p.movav(self.data.close, period=self.p.periodSlow)
    self.movavFast = self.p.movav(self.data.close, period=self.p.periodFast)
    self.CP2 = []

  def next(self):

    # Perry Kaufman project moving average
    self.CP2.append(self.p.periodSlow * ((self.movavSlow[0] - self.data.close[-1]) / self.p.periodSlow) - ((self.movavFast[0] - self.data.close[-1]) / self.p.periodFast))

    # Market Direction Indicator
    MDI = 100 * (self.CP2[-2] - self.CP2[-1]) / ((self.data.close[-1] + self.data.close[-1]) / 2)

    # Create lines
    self.l.CP2[0] = self.CP2[-1]
    self.l.MDI[0] = MDI

    print("CP2: ", CP2[-1], " MDI: ", MDI)

Thanks

vladisld

IMHO the better way is to define the CP2 line using delaying indexing. See Delayed Indexing Concept.

Probably something like:

  def __init__(self):
    self.addminperiod(self.params.periodSlow)

    # Calculate moving averages
    self.movavSlow = self.p.movav(self.data.close, period=self.p.periodSlow)
    self.movavFast = self.p.movav(self.data.close, period=self.p.periodFast)

    # Perry Kaufman project moving average
    self.CP2 = self.p.periodSlow * ((self.movavSlow(0) - self.data.close(-1)) / self.p.periodSlow) - ((self.movavFast(0) - self.data.close(-1)) / self.p.periodFast)

  def next(self):
    # Market Direction Indicator
    MDI = 100 * (self.CP2[-2] - self.CP2[-1]) / ((self.data.close[-1] + self.data.close[-1]) / 2)

    # Create lines
    self.l.CP2[0] = self.CP2[-1]
    self.l.MDI[0] = MDI

    print("CP2: ", self.CP2[-1], " MDI: ", MDI)

Eddy Bennett

@vladisld said in How to calculate indicator line using prior period values?:

Market Direction Indicator

MDI = 100 * (self.CP2[-2] - self.CP2[-1]) / ((self.data.close[-1] + self.data.close[-1]) / 2)

# Create lines
self.l.CP2[0] = self.CP2[-1]
self.l.MDI[0] = MDI

print("CP2: ", self.CP2[-1], " MDI: ", MDI)

Amazing, thanks @vladisld!