I don't have a background in maths or data science and I've been reading Perry Kauffman's Trading Systems and Methods and there are a lot of mathematical notation/formulas in the book which I would like to understand. Can someone point me in the direction of a good resource where I can learn about this please? There is a lot out there and I'm not sure where to start.

Many thanks!

@vladisld said in How to calculate indicator line using prior period values?:

Market Direction Indicator

MDI = 100 * (self.CP2[-2] - self.CP2[-1]) / ((self.data.close[-1] + self.data.close[-1]) / 2)

# Create lines
self.l.CP2[0] = self.CP2[-1]
self.l.MDI[0] = MDI

print("CP2: ", self.CP2[-1], " MDI: ", MDI)

Amazing, thanks @vladisld!

Ah that looks like a good place to start thanks!

I'm struggling to get setup for development on my Mac (Monterey), I've been trying to use pyenv but pyenv doesn't support Python 3.2. What are the Mac users out there using in their dev environment?

Thanks!

I am using Backtrader 2 from here: https://github.com/backtrader2/backtrader because I am trying to work with a more up to date version of python after having issues compiling packages etc on older versions.

But I am getting this error:

Any advice would be appreciated. Thanks

@vladisld said in How to calculate indicator line using prior period values?:

Market Direction Indicator

MDI = 100 * (self.CP2[-2] - self.CP2[-1]) / ((self.data.close[-1] + self.data.close[-1]) / 2)

# Create lines
self.l.CP2[0] = self.CP2[-1]
self.l.MDI[0] = MDI

print("CP2: ", self.CP2[-1], " MDI: ", MDI)

Amazing, thanks @vladisld!

I'm attempting to write an indicator based off a projected moving average formula (CP2) which also has Lamberts Marker Direction Formula (MDI) in there as well.

My issue is that I need to use prior period values of CP2 to calculate the MDI formula but I'm not sure of the best approach as I understand that most of the calculations should be done in the init() function.

Here is what I have so far and as you can see I have attempted to use an array to store the CP2 values which is probably not best practice but getting the 'IndexError: list index out of range' error because it can't access the values. I guess I mostly need help in how to write this in the best practice format.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

# Import the backtrader platform
import backtrader as bt
import math
from decimal import *

class ProjectedMovingAverageIndicator(bt.Indicator):

  lines = ('CP2','MDI',)
  params = (('periodSlow', 100),('periodFast', 25),('movav', bt.indicators.MovAv.Simple),)
  plotinfo = dict(subplot=True)
  plotlines = dict(
    CP2=dict(_samecolor=False),
    MDI=dict(_samecolor=False),
    )

  def __init__(self):
    self.addminperiod(self.params.periodSlow)

    # Calculate moving averages
    self.movavSlow = self.p.movav(self.data.close, period=self.p.periodSlow)
    self.movavFast = self.p.movav(self.data.close, period=self.p.periodFast)
    self.CP2 = []

  def next(self):

    # Perry Kaufman project moving average
    self.CP2.append(self.p.periodSlow * ((self.movavSlow[0] - self.data.close[-1]) / self.p.periodSlow) - ((self.movavFast[0] - self.data.close[-1]) / self.p.periodFast))

    # Market Direction Indicator
    MDI = 100 * (self.CP2[-2] - self.CP2[-1]) / ((self.data.close[-1] + self.data.close[-1]) / 2)

    # Create lines
    self.l.CP2[0] = self.CP2[-1]
    self.l.MDI[0] = MDI

    print("CP2: ", CP2[-1], " MDI: ", MDI)

Thanks

Ah that looks like a good place to start thanks!

Ok I played around a bit and got it working:

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

# Import the backtrader platform
import backtrader as bt
import math

class ProjectedMovingAverageIndicator(bt.Indicator):

  lines = ('smaSlow','smaFast',)
  params = (('periodSlow', 200),('periodFast', 100),('movav', bt.indicators.MovAv.Simple),)
  plotinfo = dict(subplot=False)
  plotlines = dict(
    smaSlow=dict(_samecolor=True),
    smaFast=dict(_samecolor=False),
    )

  def __init__(self):
    self.addminperiod(self.params.periodSlow)
    movavSlow = self.p.movav(self.data, period=self.p.periodSlow)
    movavFast = self.p.movav(self.data, period=self.p.periodFast)
    self.l.smaSlow = movavSlow #bt.Cmp(movav, self.data)
    self.l.smaFast = movavFast #bt.Cmp(movav, self.data)

  def signal(self):
    if self.lines.smaFast[-1] < self.lines.smaSlow[-1] and self.lines.smaFast[0] > self.lines.smaSlow[0]:
        signal = True
    else:
        signal = False
    #print(signal)
    return signal

Thanks

Hmm image link didn't work, here is another [https://prnt.sc/vd8mek]

Thanks for the speedy reply @ab_trader. That's what I thought should happen, but as you can see in the attached it's not happening. I must be doing something wrong, I looked at the Bollinger band indicator code on Github and can see that the lines are being declared in the init function as opposed to next:

def __init__(self):
        self.lines.mid = ma = self.p.movav(self.data, period=self.p.period)
        stddev = self.p.devfactor * StdDev(self.data, ma, period=self.p.period,
                                           movav=self.p.movav)
        self.lines.top = ma + stddev
        self.lines.bot = ma - stddev

        super(BollingerBands, self).__init__()

Should I be doing that instead?

Thanks


How do you plot more than one line on a chart with an indicator?

The documentation mentions the LinePlotterIndicator but it doesn't explain how to call it.

For testing I'm just creating a simple Indicator with two moving averages which I would like to plot on the chart:

# Import the backtrader platform
import backtrader as bt
import math

class ProjectedMovingAverageIndicator(bt.Indicator):
  lines = ('smaSlow','smaFast',)
  params = (('periodSlow', 200),('periodFast', 100),)
  plotinfo = dict(subplot=False)

  def __init__(self):
      self.addminperiod(self.params.periodSlow)
      
  def next(self):
      datasum = math.fsum(self.data.close.get(size=self.p.periodSlow))
      self.lines.smaSlow[0] = datasum / self.p.periodSlow
      self.lines.smaFast[0] = datasum / self.p.periodFast
      print(self.lines.smaSlow[0],' ', self.lines.smaFast[0])

  def signal(self):
    if self.lines.smaFast[-1] < self.lines.smaSlow[-1] and self.lines.smaFast[0] > self.lines.smaSlow[0]:
        signal = True
    else:
        signal = False
    #print(signal)
    return signal

Thanks

I don't have a background in maths or data science and I've been reading Perry Kauffman's Trading Systems and Methods and there are a lot of mathematical notation/formulas in the book which I would like to understand. Can someone point me in the direction of a good resource where I can learn about this please? There is a lot out there and I'm not sure where to start.

Many thanks!