Module backtrader.indicators.cci

Expand source code 
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

from . import Indicator, Max, MovAv, MeanDev


class CommodityChannelIndex(Indicator):
    '''
    Introduced by Donald Lambert in 1980 to measure variations of the
    "typical price" (see below) from its mean to identify extremes and
    reversals

    Formula:
      - tp = typical_price = (high + low + close) / 3
      - tpmean = MovingAverage(tp, period)
      - deviation = tp - tpmean
      - meandev = MeanDeviation(tp)
      - cci = deviation / (meandeviation * factor)

    See:
      - https://en.wikipedia.org/wiki/Commodity_channel_index
    '''
    alias = ('CCI',)

    lines = ('cci',)

    params = (('period', 20),
              ('factor', 0.015),
              ('movav', MovAv.Simple),
              ('upperband', 100.0),
              ('lowerband', -100.0),)

    def _plotlabel(self):
        plabels = [self.p.period, self.p.factor]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def _plotinit(self):
        self.plotinfo.plotyhlines = [0.0, self.p.upperband, self.p.lowerband]

    def __init__(self):
        tp = (self.data.high + self.data.low + self.data.close) / 3.0
        tpmean = self.p.movav(tp, period=self.p.period)

        dev = tp - tpmean
        meandev = MeanDev(tp, tpmean, period=self.p.period)

        self.lines.cci = dev / (self.p.factor * meandev)

        super(CommodityChannelIndex, self).__init__()

Classes

class CCI

Introduced by Donald Lambert in 1980 to measure variations of the "typical price" (see below) from its mean to identify extremes and reversals

Formula

  • tp = typical_price = (high + low + close) / 3
  • tpmean = MovingAverage(tp, period)
  • deviation = tp - tpmean
  • meandev = MeanDeviation(tp)
  • cci = deviation / (meandeviation * factor)

See

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class CommodityChannelIndex

Introduced by Donald Lambert in 1980 to measure variations of the "typical price" (see below) from its mean to identify extremes and reversals

Formula

  • tp = typical_price = (high + low + close) / 3
  • tpmean = MovingAverage(tp, period)
  • deviation = tp - tpmean
  • meandev = MeanDeviation(tp)
  • cci = deviation / (meandeviation * factor)

See

Expand source code 
class CommodityChannelIndex(Indicator):
    '''
    Introduced by Donald Lambert in 1980 to measure variations of the
    "typical price" (see below) from its mean to identify extremes and
    reversals

    Formula:
      - tp = typical_price = (high + low + close) / 3
      - tpmean = MovingAverage(tp, period)
      - deviation = tp - tpmean
      - meandev = MeanDeviation(tp)
      - cci = deviation / (meandeviation * factor)

    See:
      - https://en.wikipedia.org/wiki/Commodity_channel_index
    '''
    alias = ('CCI',)

    lines = ('cci',)

    params = (('period', 20),
              ('factor', 0.015),
              ('movav', MovAv.Simple),
              ('upperband', 100.0),
              ('lowerband', -100.0),)

    def _plotlabel(self):
        plabels = [self.p.period, self.p.factor]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def _plotinit(self):
        self.plotinfo.plotyhlines = [0.0, self.p.upperband, self.p.lowerband]

    def __init__(self):
        tp = (self.data.high + self.data.low + self.data.close) / 3.0
        tpmean = self.p.movav(tp, period=self.p.period)

        dev = tp - tpmean
        meandev = MeanDev(tp, tpmean, period=self.p.period)

        self.lines.cci = dev / (self.p.factor * meandev)

        super(CommodityChannelIndex, self).__init__()

Ancestors

Subclasses

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members