3. 3 Consecutive Highs / Low?
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3 Consecutive Highs / Low?

  • T

    I was doing peak detection but I just realized BT has a wide array of indicators that I am not too 100% familiar with.

    Is there an indicator that determines 3 consecutive highs (each higher than the previous)..?

    0
  • B
    administrators

    There is no such thing, but bt.All(high > high(-1), high(-1) > high(-2), high(-2) > high(-3)) (or And if you prefer) should do the trick.

    0
    T
     1 Reply
  • T

    now that's elegant..
    thank you

    0
  • B
    administrators

    You may alternatively pack it in an indicator, which will allow you to decide how many highs to consider by means of a parameter

    This is untested, but the general idea should be something like it.

    class ConsecutiveIncreases(bt.Indicator):
    lines = ('consecutive',)
    params = (
        ('period', 3),  # how many to consider
        ('ago', 0),  # offset to start in the past
    )

    def __init__(self):
        incs = [self.data(-i) < self.data(-i - 1) for i in range(self.p.ago, self.p.ago + self.p.period)]
        self.lines.consecutive = bt.All(*incs)

    Which you can later use with any of the defined fields of a data feed

    o5 = ConsecutiveIncreases(self.data.open, period=5)  # 5 consecutive higher opens
h5 = ConsecutiveIncreases(self.data.high)  # 3 consecutive higher highs

    Of course the indicator can be directly specialized to use self.data.high rather than the generic self.data

    0
    T
     1 Reply
  • T

    @backtrader

    Will test it out. Thanks once again

    0
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