Highest high since position was opened

Benoît Zuber

Hi,
As a newbie I am looking for a simple/elegant way to get the highest high of a data feed since I opened a position in that asset.
Thanks

backtrader

Listen for the nofitication of a trade, write down the bar number and initialize a highest tracking variable

For the available attributes in a Trade see: Docs - Trade

def notify_trade(self, trade):
    if trade.justopened:
        self.position_bar = trade.baropen
        self.position_highest = float('-inf')

check during the regular next cycle

def next(self):
    if self.position_bar:
        self.position_highest = max(self.position_highest, self.data.high[0])

You need to, of course, initialize position_bar and manage what happens when you close the trade.

Benoît Zuber

@backtrader Thank you for your quick reply!

backtrader

See this for a more general solution: Blog - A Dynamic Indicator

Benoît Zuber

@backtrader Actually I have a problem running this, following the solution in the blog post that you wrote. I am not sure if I am missing something but it seems that the indicator is computed all at once during strategy initialization. This is a problem since the indicator should be influenced by trades, which are computed later. This is my indicator code:

class DynamicHighest(bt.Indicator):
"""indicates the highest high since a trade was open."""
lines = ('dyn_highest',)

def __init__(self):
    self._tradeopen = False
    self.addminperdiod = 2

def tradeopen(self, isopen):
    self._tradeopen = isopen
    print("tradeopen {isopen}".format(isopen=isopen))

def next(self):
    if self._tradeopen:
        print("trade is open")
        self.lines.dyn_highest[0] = max(self.data[0].high, self.dyn_highest[-1])
    else:
        print("trade is close")
        self.lines.dyn_highest[0] = 0

now when I run cerebro I get this output:

trade is close
trade is close
trade is close
.
.
.
trade is close
trade is close
trade is close
trade is close
trade is close
dyn_highest: 0.00 | stoplimit: -0.03 | close: 0.13
BUY
tradeopen True
dyn_highest: 0.00 | stoplimit: -0.03 | close: 0.15
dyn_highest: 0.00 | stoplimit: -0.03 | close: 0.19
dyn_highest: 0.00 | stoplimit: -0.03 | close: 0.17
dyn_highest: 0.00 | stoplimit: -0.03 | close: 0.19
dyn_highest: 0.00 | stoplimit: -0.03 | close: 0.20
dyn_highest: 0.00 | stoplimit: -0.04 | close: 0.19
dyn_highest: 0.00 | stoplimit: -0.04 | close: 0.20
dyn_highest: 0.00 | stoplimit: -0.04 | close: 0.19
dyn_highest: 0.00 | stoplimit: -0.04 | close: 0.19
dyn_highest: 0.00 | stoplimit: -0.04 | close: 0.23
.
.
.

So, as we see dyn_highest stays 0 the whole time.
Is there a way to prevent precalculation of the indicator?