CCI on other indicator

[Horizion]

Hey guys,

I'm trying to put a CCI on the +DI and -DI of an ADX indicator, and implement them in my strategy but I get an error with my code: "array out of range" here

line 17, in init
self.CCIplusDI = bt.indicators.CommodityChannelIndex(self.ADX.DIplus[0], period=20)

My code is the following

import backtrader as bt
from  datetime import datetime

class firstStrategy(bt.Strategy):

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        self.dataclose = self.datas[0].close
        self.order = None

        self.rsi = bt.indicators.RSI_SMA(self.data.close, period=14)
        self.ADX = bt.indicators.DirectionalMovementIndex(self.data, period=12)
        self.CCIplusDI = bt.indicators.CommodityChannelIndex(self.ADX.DIplus[0], period=20)
        self.CCIminusDI = bt.indicators.CommodityChannelIndex(self.ADX.DIminus[0], period=20)

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            return

        # Check if an order has been completed
        # Attention: broker could reject order if not enougth cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        # Write down: no pending order
        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                 (trade.pnl, trade.pnlcomm))

    def next(self):
        self.log('Close, %.2f' % self.dataclose[0])
        if self.order:
            return

        # Check if we are in the market
        if not self.position:

            # Not yet ... we MIGHT BUY if ...
            if self.rsi < 30 and self.CCIplusDI[-1] > 100 and self.CCIminusDI[-1] < 100:
                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                self.order = self.buy()
        else:

            if self.rsi > 70 and self.CCIplusDI[-1] < 100 and self.CCIminusDI[-1] > 100:
                self.log('SELL CREATE, %.2f' % self.dataclose[0])
                self.order = self.sell()
if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()
    startcash = 10000

    # Add a strategy
    cerebro.addstrategy(firstStrategy)

    # Create a Data Feed
    data = bt.feeds.YahooFinanceData(dataname='BNO', fromdate=datetime(2016, 1, 1), todate=datetime(2017, 11, 25))

     # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(startcash)

    # Set the commission
    cerebro.broker.setcommission(commission=0.0005)

    cerebro.run()
    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Get final portfolio Value
    portvalue = cerebro.broker.getvalue()
    pnl = portvalue - startcash

    # Print out the final result
    print('Final Portfolio Value: ${}'.format(portvalue))
    print('P/L: ${}'.format(pnl))

    # Finally plot the end results
    cerebro.plot()

[ab_trader]

I assume it should with no [0] in the _init()':

        self.CCIplusDI = bt.indicators.CommodityChannelIndex(self.ADX.DIplus, period=20)
        self.CCIminusDI = bt.indicators.CommodityChannelIndex(self.ADX.DIminus, period=20)

but it should be indexing in the next():

        if not self.position:

            # Not yet ... we MIGHT BUY if ...
            if self.rsi[whatever_index_you_need] < 30 and self.CCIplusDI[-1] > 100 and self.CCIminusDI[-1] < 100:
                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                self.order = self.buy()
        else:

            if self.rsi[whatever_index_you_need] > 70 and self.CCIplusDI[-1] < 100 and self.CCIminusDI[-1] > 100:
                self.log('SELL CREATE, %.2f' % self.dataclose[0])
                self.order = self.sell()

[Horizion]

@ab_trader Hey thanks for your answer

I still get errors

Traceback (most recent call last):
  File "C:/Users/mm/PycharmProjects/AlgoTrading/Algo09.py", line 97, in <module>
    cerebro.run()
  File "C:\Users\mm\AppData\Local\Programs\Python\Python36-32\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "C:\Users\mm\AppData\Local\Programs\Python\Python36-32\lib\site-packages\backtrader\cerebro.py", line 1214, in runstrategies
    strat = stratcls(*sargs, **skwargs)
  File "C:\Users\mm\AppData\Local\Programs\Python\Python36-32\lib\site-packages\backtrader\metabase.py", line 88, in __call__
    _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
  File "C:\Users\mm\AppData\Local\Programs\Python\Python36-32\lib\site-packages\backtrader\metabase.py", line 78, in doinit
    _obj.__init__(*args, **kwargs)
  File "C:/Users/mm/PycharmProjects/AlgoTrading/Algo09.py", line 17, in __init__
    self.CCIplusDI = bt.indicators.CommodityChannelIndex(self.ADX.DIplus, period=20)
  File "C:\Users\mm\AppData\Local\Programs\Python\Python36-32\lib\site-packages\backtrader\indicator.py", line 53, in __call__
    return super(MetaIndicator, cls).__call__(*args, **kwargs)
  File "C:\Users\mm\AppData\Local\Programs\Python\Python36-32\lib\site-packages\backtrader\metabase.py", line 88, in __call__
    _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)
  File "C:\Users\mm\AppData\Local\Programs\Python\Python36-32\lib\site-packages\backtrader\metabase.py", line 78, in doinit
    _obj.__init__(*args, **kwargs)
  File "C:\Users\mm\AppData\Local\Programs\Python\Python36-32\lib\site-packages\backtrader\indicators\cci.py", line 62, in __init__
    tp = (self.data.high + self.data.low + self.data.close) / 3.0
  File "C:\Users\mm\AppData\Local\Programs\Python\Python36-32\lib\site-packages\backtrader\lineseries.py", line 461, in __getattr__
    return getattr(self.lines, name)
AttributeError: 'Lines_LineSeries_LineSeriesStub' object has no attribute 'high'

[ab_trader]

As I know CCI calculates typical price which requires high, low and close prices. You calculate CCI on ADX indicator, which doesn't have values required. Probably this is a problem.

You may need to re-write this indicator to be applicable in your case. The code is really simple - backtrader - CCI script

[Paska Houso]

@Horizion said in CCI on other indicator:

I'm trying to put a CCI on the +DI and -DI of an ADX indicator,

The problem is really here: a commodity channel for 2 values and the code shows attempts at using 1 value

@ab_trader said in CCI on other indicator:

As I know CCI calculates typical price which requires high, low and close prices

Because as quoted here: 3 values are used to calculate the commodity channel

If there were no mismatch between 1, 2 and 3, one could easily foresee a very small custom indicator which wraps the ADX and copies the needed values into custom lines high, low and close, which can be fed into the CCI

[Horizion]

@Paska-Houso @ab_trader Hey guys,

Thanks for your answers. I have to admit that I am a little lost, as I don't know much about Python. I was trying to recreate what I used on an other Charting website (Tradingview) which allowed me to put a CCI on the +DI and -DI of the ADX.

when you say "The problem is really here: a commodity channel for 2 values and the code shows attempts at using 1 value" what exactly do you mean ?

What I was trying to do is get two CCI's on both the +DI and -DI. So I don't understand why the code shows attempts at using 1 value.

Regarding the high, low and close: I don't know how to implement these, since the +DI has only one value, and same for the -DI...

I don't know what to do... And where to look

[Paska Houso]

It's not a Python thing ... see

• https://en.wikipedia.org/wiki/Commodity_channel_index

Typical Price == pt in the first formula.

The calculation is based on averaging the high, low and close as pointed out by @ab_trader, and the implementation in backtrader obviously followed that definition (i.e.: you need 3 components)

Because the calculation is made later exclusively based on the averaged price, one could do it (as you try in your code) by passing a single value. But with the current implementation, passing a single data feed (or line) is obviously doomed to fail.

[ab_trader]

First ADX indicators need to be improved a bit, hence write new indicator (shown ADXDIPlus only):

class ADXDIPlus3(bt.Indicator):

    lines = ('high', 'low', 'close')

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

    def __init__(self):

        self.ADX = bt.indicators.DirectionalMovementIndex(period=self.p.period)

        self.lines.high = self.ADX.DIplus
        self.lines.low = self.ADX.DIplus
        self.lines.close = self.ADX.DIplus

Then call this indicator in your strategy __init__:

    def __init__(self):

        self.ADXPlus3 = ADXDIPlus3(period=12)
        self.CCI_ADXPlus = bt.indicators.CommodityChannelIndex(self.ADXPlus3, period=20)

I didn't check the numbers, but the logic seems right. ADXMinus need to be treated the same way.

[Paska Houso]

linealias as described in this blog post, could make things even simpler

• https://www.backtrader.com/blog/posts/2017-06-12-release-1.9.51.121/release-1.9.51.121.html

Something along the lines of

class For_CCI_On_DIplus(bt.indicators.DirectionalMovementIndex)
    linealias = (('DIplus', 'high'), ('DIplus', 'low'), ('DIplus', 'close'),)

[Horizion]

@Paska-Houso @ab_trader

Thanks a LOT guys, amazing community here...

I'll try to implement your solutions as soon as I have access to my PC