3 Consecutive Highs / Low?

Taewoo Kim

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)..?

backtrader

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.

Taewoo Kim

now that's elegant..
thank you

backtrader

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

Taewoo Kim

@backtrader

Will test it out. Thanks once again