Module backtrader.indicators.prettygoodoscillator

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, MovAv, ATR


class PrettyGoodOscillator(Indicator):
    '''
    The "Pretty Good Oscillator" (PGO) by Mark Johnson measures the distance of
    the current close from its simple moving average of period
    Average), expressed in terms of an average true range (see Average True
    Range) over a similar period.

    So for instance a PGO value of +2.5 would mean the current close is 2.5
    average days' range above the SMA.

    Johnson's approach was to use it as a breakout system for longer term
    trades. If the PGO rises above 3.0 then go long, or below -3.0 then go
    short, and in both cases exit on returning to zero (which is a close back
    at the SMA).

    Formula:
      - pgo = (data.close - sma(data, period)) / atr(data, period)

    See also:
      - http://user42.tuxfamily.org/chart/manual/Pretty-Good-Oscillator.html

    '''
    alias = ('PGO', 'PrettyGoodOsc',)
    lines = ('pgo',)

    params = (('period', 14), ('_movav', MovAv.Simple),)

    def __init__(self):
        movav = self.p._movav(self.data, period=self.p.period)
        atr = ATR(self.data, period=self.p.period)

        self.lines.pgo = (self.data - movav) / atr
        super(PrettyGoodOscillator, self).__init__()

Classes

class PGO

The "Pretty Good Oscillator" (PGO) by Mark Johnson measures the distance of the current close from its simple moving average of period Average), expressed in terms of an average true range (see Average True Range) over a similar period.

So for instance a PGO value of +2.5 would mean the current close is 2.5 average days' range above the SMA.

Johnson's approach was to use it as a breakout system for longer term trades. If the PGO rises above 3.0 then go long, or below -3.0 then go short, and in both cases exit on returning to zero (which is a close back at the SMA).

Formula

  • pgo = (data.close - sma(data, period)) / atr(data, period)

See also: - http://user42.tuxfamily.org/chart/manual/Pretty-Good-Oscillator.html

Ancestors

Class variables

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

Inherited members

class PrettyGoodOsc

The "Pretty Good Oscillator" (PGO) by Mark Johnson measures the distance of the current close from its simple moving average of period Average), expressed in terms of an average true range (see Average True Range) over a similar period.

So for instance a PGO value of +2.5 would mean the current close is 2.5 average days' range above the SMA.

Johnson's approach was to use it as a breakout system for longer term trades. If the PGO rises above 3.0 then go long, or below -3.0 then go short, and in both cases exit on returning to zero (which is a close back at the SMA).

Formula

  • pgo = (data.close - sma(data, period)) / atr(data, period)

See also: - http://user42.tuxfamily.org/chart/manual/Pretty-Good-Oscillator.html

Ancestors

Class variables

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

Inherited members

class PrettyGoodOscillator

The "Pretty Good Oscillator" (PGO) by Mark Johnson measures the distance of the current close from its simple moving average of period Average), expressed in terms of an average true range (see Average True Range) over a similar period.

So for instance a PGO value of +2.5 would mean the current close is 2.5 average days' range above the SMA.

Johnson's approach was to use it as a breakout system for longer term trades. If the PGO rises above 3.0 then go long, or below -3.0 then go short, and in both cases exit on returning to zero (which is a close back at the SMA).

Formula

  • pgo = (data.close - sma(data, period)) / atr(data, period)

See also: - http://user42.tuxfamily.org/chart/manual/Pretty-Good-Oscillator.html

Expand source code 
class PrettyGoodOscillator(Indicator):
    '''
    The "Pretty Good Oscillator" (PGO) by Mark Johnson measures the distance of
    the current close from its simple moving average of period
    Average), expressed in terms of an average true range (see Average True
    Range) over a similar period.

    So for instance a PGO value of +2.5 would mean the current close is 2.5
    average days' range above the SMA.

    Johnson's approach was to use it as a breakout system for longer term
    trades. If the PGO rises above 3.0 then go long, or below -3.0 then go
    short, and in both cases exit on returning to zero (which is a close back
    at the SMA).

    Formula:
      - pgo = (data.close - sma(data, period)) / atr(data, period)

    See also:
      - http://user42.tuxfamily.org/chart/manual/Pretty-Good-Oscillator.html

    '''
    alias = ('PGO', 'PrettyGoodOsc',)
    lines = ('pgo',)

    params = (('period', 14), ('_movav', MovAv.Simple),)

    def __init__(self):
        movav = self.p._movav(self.data, period=self.p.period)
        atr = ATR(self.data, period=self.p.period)

        self.lines.pgo = (self.data - movav) / atr
        super(PrettyGoodOscillator, self).__init__()

Ancestors

Subclasses

Class variables

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

Inherited members