Indicator for yesterday's close

I'm looking to develop an indicator for yesterday's close primarily so that I can see it on my charts. I've written it like this:

class LastClose(bt.Indicator):
    lines = ('close',)
    plotinfo = dict(subplot = False)

    def next(self):
        self.lines.close[0] = self.data.close[-1]

And in the strategy:

def __init__(self):
    self.__close = LastClose(self.getdatabyname('daily'))

It appears to work correctly, but I'm wondering if there is a better way to show it on my charts. Primarily, I want to show it on a lower timeframe chart as opposed to daily but I'm not sure what the best way to do it would be.

Thanks!

This is what I ended up doing:

class LevelIndicator(bt.Indicator):
    lines = ('level',)
    plotinfo = dict(subplot = False)

    def __init__(self):
        self.level = None

    def next(self):
        if self.level is not None:
            self.lines.level[0] = self.level

class MyStrategy(bt.Strategy):
   def __init__(self):
      self.__close = LastClose(self.data1)
      self.__closeForPlot = LevelIndicator(self.data0) # lower timeframe
  
   def next(self):
     self.__closeForPlot.lines.level[0] = self.__close.lines.close[0]

Seems kind of obtuse, but if there is a more intelligent approach, please let me know.

Paska Houso

Let me ask ... just to see if I have been able to understand your worries:

You want to record the last close on a 1-day data feed
You want to use the recorded last close value as an indicator (for visual or calculation purposes) in a (for example) 5-minutes data feed.

Is that right? Be it so ... isn't this something like the PivotPointIndicator?

@Paska-Houso

Yes, I think you have the broad strokes. It does sound like PivotIndicator but I am unable to figure out how to use it to JUST plot the close, because it uses high/low and has all the other support lines as well.

Paska Houso

I didn't mean it was actually the PivotPointIndicator, but something along the same lines (I need to refresh what it does by reading) in which data from one timeframe is used (not only plotted) in a different timeframe

@Paska-Houso Ah, ok. I will give it a closer look then, thanks!

Paska Houso

After quickly re-reading the doc, I believe this is what you need

https://www.backtrader.com/docu/mixing-timeframes/indicators-mixing-timeframes.html

The PivotPoint indicator takes the value from the monthly close and the indicator is adapted (coupled in the doc's jargon) to the daily timeframe.

You probably want to try your luck by modifying the PivotPoint to simply generate the close line as output.

https://github.com/mementum/backtrader/blob/master/backtrader/indicators/pivotpoint.py

@Paska-Houso I will try that out, thanks!

ab_trader

@Cheez try this code:
indicator

class LastClose(bt.Indicator):

    lines = ('close',)
    params = (('period', 0),)

    def __init__(self):

        self.lines.close = self.data.close(-self.p.period)

strategy

class MasterStrategy(bt.Strategy):
   
    def __init__(self):

        self.lclose = lclose = LastClose(self.datas[1])
        lclose.plotinfo.subplot = False
        lclose1 = lclose()
        lclose1.plotinfo.subplot = False

results

data0 - smaller timeframe
data1 - higher timeframe (resampled from data0)

Paska Houso

@ab_trader : Impressive.

Even if I have worked with the platform and I thought that PivotPoint was the right direction, the simplicity of your solution (empowered by the underlying mechanics) has really amazed me.

ab_trader

@Paska-Houso
Thank you! But these are DRo's ideas from time frame mixing section. My python skills are not that cool.

@ab_trader ooh very nice! Does data1 need to be resampled from data0 for this to work or are different timeframes enough?

ab_trader

@Cheez
Sorry I missed your question. Probably both options will work, but better test it.