Module backtrader.indicators.dma

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 MovingAverageBase, MovAv, ZeroLagIndicator


class DicksonMovingAverage(MovingAverageBase):
    '''By Nathan Dickson

    The *Dickson Moving Average* combines the ``ZeroLagIndicator`` (aka
    *ErrorCorrecting* or *EC*) by *Ehlers*, and the ``HullMovingAverage`` to
    try to deliver a result close to that of the *Jurik* Moving Averages

    Formula:
      - ec = ZeroLagIndicator(period, gainlimit)
      - hma = HullMovingAverage(hperiod)

      - dma = (ec + hma) / 2

      - The default moving average for the *ZeroLagIndicator* is EMA, but can
        be changed with the parameter ``_movav``

        .. note:: the passed moving average must calculate alpha (and 1 -
                  alpha) and make them available as attributes ``alpha`` and
                  ``alpha1``

      - The 2nd moving averag can be changed from *Hull* to anything else with
        the param *_hma*

    See also:
      - https://www.reddit.com/r/algotrading/comments/4xj3vh/dickson_moving_average
    '''
    alias = ('DMA', 'DicksonMA',)
    lines = ('dma',)
    params = (
        ('gainlimit', 50),
        ('hperiod', 7),
        ('_movav', MovAv.EMA),
        ('_hma', MovAv.HMA),
    )

    def _plotlabel(self):
        plabels = [self.p.period, self.p.gainlimit, self.p.hperiod]
        plabels += [self.p._movav] * self.p.notdefault('_movav')
        plabels += [self.p._hma] * self.p.notdefault('_hma')
        return plabels

    def __init__(self):
        ec = ZeroLagIndicator(period=self.p.period,
                              gainlimit=self.p.gainlimit,
                              _movav=self.p._movav)

        hull = self.p._hma(period=self.p.hperiod)

        self.lines.dma = (ec + hull) / 2.0

        # To make mixins work - super at the end for cooperative inheritance
        super(DicksonMovingAverage, self).__init__()

Classes

class DMA

By Nathan Dickson

The Dickson Moving Average combines the ZeroLagIndicator (aka ErrorCorrecting or EC) by Ehlers, and the HullMovingAverage to try to deliver a result close to that of the Jurik Moving Averages

Formula

  • ec = ZeroLagIndicator(period, gainlimit)

  • hma = HullMovingAverage(hperiod)

  • dma = (ec + hma) / 2

  • The default moving average for the ZeroLagIndicator is EMA, but can be changed with the parameter _movav

!!! note "Note: the passed moving average must calculate alpha (and 1 -" alpha) and make them available as attributes alpha and alpha1

  • The 2nd moving averag can be changed from Hull to anything else with the param _hma

See also: - https://www.reddit.com/r/algotrading/comments/4xj3vh/dickson_moving_average

Ancestors

Class variables

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

Inherited members

class DicksonMA

By Nathan Dickson

The Dickson Moving Average combines the ZeroLagIndicator (aka ErrorCorrecting or EC) by Ehlers, and the HullMovingAverage to try to deliver a result close to that of the Jurik Moving Averages

Formula

  • ec = ZeroLagIndicator(period, gainlimit)

  • hma = HullMovingAverage(hperiod)

  • dma = (ec + hma) / 2

  • The default moving average for the ZeroLagIndicator is EMA, but can be changed with the parameter _movav

!!! note "Note: the passed moving average must calculate alpha (and 1 -" alpha) and make them available as attributes alpha and alpha1

  • The 2nd moving averag can be changed from Hull to anything else with the param _hma

See also: - https://www.reddit.com/r/algotrading/comments/4xj3vh/dickson_moving_average

Ancestors

Class variables

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

Inherited members

class DicksonMovingAverage

By Nathan Dickson

The Dickson Moving Average combines the ZeroLagIndicator (aka ErrorCorrecting or EC) by Ehlers, and the HullMovingAverage to try to deliver a result close to that of the Jurik Moving Averages

Formula

  • ec = ZeroLagIndicator(period, gainlimit)

  • hma = HullMovingAverage(hperiod)

  • dma = (ec + hma) / 2

  • The default moving average for the ZeroLagIndicator is EMA, but can be changed with the parameter _movav

!!! note "Note: the passed moving average must calculate alpha (and 1 -" alpha) and make them available as attributes alpha and alpha1

  • The 2nd moving averag can be changed from Hull to anything else with the param _hma

See also: - https://www.reddit.com/r/algotrading/comments/4xj3vh/dickson_moving_average

Expand source code 
class DicksonMovingAverage(MovingAverageBase):
    '''By Nathan Dickson

    The *Dickson Moving Average* combines the ``ZeroLagIndicator`` (aka
    *ErrorCorrecting* or *EC*) by *Ehlers*, and the ``HullMovingAverage`` to
    try to deliver a result close to that of the *Jurik* Moving Averages

    Formula:
      - ec = ZeroLagIndicator(period, gainlimit)
      - hma = HullMovingAverage(hperiod)

      - dma = (ec + hma) / 2

      - The default moving average for the *ZeroLagIndicator* is EMA, but can
        be changed with the parameter ``_movav``

        .. note:: the passed moving average must calculate alpha (and 1 -
                  alpha) and make them available as attributes ``alpha`` and
                  ``alpha1``

      - The 2nd moving averag can be changed from *Hull* to anything else with
        the param *_hma*

    See also:
      - https://www.reddit.com/r/algotrading/comments/4xj3vh/dickson_moving_average
    '''
    alias = ('DMA', 'DicksonMA',)
    lines = ('dma',)
    params = (
        ('gainlimit', 50),
        ('hperiod', 7),
        ('_movav', MovAv.EMA),
        ('_hma', MovAv.HMA),
    )

    def _plotlabel(self):
        plabels = [self.p.period, self.p.gainlimit, self.p.hperiod]
        plabels += [self.p._movav] * self.p.notdefault('_movav')
        plabels += [self.p._hma] * self.p.notdefault('_hma')
        return plabels

    def __init__(self):
        ec = ZeroLagIndicator(period=self.p.period,
                              gainlimit=self.p.gainlimit,
                              _movav=self.p._movav)

        hull = self.p._hma(period=self.p.hperiod)

        self.lines.dma = (ec + hull) / 2.0

        # To make mixins work - super at the end for cooperative inheritance
        super(DicksonMovingAverage, self).__init__()

Ancestors

Subclasses

Class variables

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

Inherited members