Momentum indicator, arrays and linregress

wykazox

Dear all,

Still trying to recreate the momentum indicator as part of the Squeeze momentum indicator of LazyBear in TradingView.

Made some huge progress, but I am getting stuck with the linregress function.
The formula involves calculating averages involving the highest high, lowest low and close prices over a certain period, and then calculating the linear regression, via arrays.

I think I need help with using arrays properly.

Here is the code of the indicator itself.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import backtrader as bt
import yfinance as yf
import numpy as np
from scipy.stats import linregress


# Create momentum indicator
class MomInd(bt.Indicator):
    lines = ('Mom',)
    plotlines = dict(Mom=dict(_method='bar', alpha=0.5, width=0.66))  # need to add colours

    params = (('period', 20),)

    plotinfo = dict(subplot=True)

    def _plotlabel(self):
        plabels = [self.p.period]
        return plabels

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

        highest = bt.ind.Highest(self.data.high, period=self.p.period)
        lowest = bt.ind.Lowest(self.data.low, period=self.p.period)
        midline = (highest + lowest) / 2
        mavg = bt.ind.MovingAverageSimple(self.data.close, period=self.p.period)
        delta = self.data.close - ((midline + mavg) / 2)
        y = np.array(delta)
        x = np.array(self.p.period)
        slope, _, _, _, _ = linregress(x, y)
        self.lines.Mom = slope

and the error message when running the code:

ValueError: Inputs must not be empty.

Process finished with exit code 1

Thanks for your help!

Jérémy A.

Hi @wykazox Hi all
Did you get an answer / did you find a way to solve your issue ? Still trying to develop a custom indicator that would include linear regression
Thanks all

Reinke

@Jérémy-A, a lot if the stuff that the original poster did in init() need to be done in next(). There is a very good blog article that describes how to implement a linregress indicator in next() and how to implement the same indicator in init(). https://www.backtrader.com/blog/2019-05-20-momentum-strategy/momentum-strategy/