A Dynamic Indicator

backtrader

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kazi

Great stuff! Would someone be interested in coding the Mcginley dynamic indicator?

http://www.tradeforextrading.com/index.php/mcginley-dynamic-indicator

kazi

I also came across this one: https://www.investopedia.com/terms/d/dynamicmomentumindex.asp

Benoît Zuber

Actually I have a problem running this. 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

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

Emil Giovanni Constantinescu

Running into the same problem as Benoit described below. Everything gets computed during the initialization of the code resulting in either full nan or 0 (depending the logic assignment you want to adopt).

bigdavediode

Benoît -- have you tried runonce=False?

Benoît Zuber

@bigdavediode Yes, that fixed the problem, thank you!