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

alt text

Paska Houso

It's not a Python thing ... see

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

0_1512137485782_17e9e6fb-5796-4113-aafb-9042a4e2bc81-image.png

0_1512137492600_d73886e6-6779-42ea-907b-5b7b2bb1894b-image.png

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