Module `backtrader.indicators.tsi`

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)


import backtrader as bt
from . import EMA


class TrueStrengthIndicator(bt.Indicator):
    '''
    The True Strength Indicators was first introduced in Stocks & Commodities
    Magazine by its author William Blau. It measures momentum with a double
    exponential (default) of the prices.

    It shows divergence if the extremes keep on growign but closing prices
    do not in the same manner (distance to the extremes grow)

    Formula:
      - price_change = close - close(pchange periods ago)
      - sm1_simple = EMA(price_close_change, period1)
      - sm1_double = EMA(sm1_simple, period2)
      - sm2_simple = EMA(abs(price_close_change), period1)
      - sm2_double = EMA(sm2_simple, period2)
      - tsi = 100.0 * sm1_double / sm2_double

    See:
      - http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:true_strength_index

    Params

      - ``period1``: the period for the 1st smoothing
      - ``period2``: the period for the 2nd smoothing
      - ``pchange``: the lookback period for the price change
      - ``_movav``: the moving average to apply for the smoothing
    '''
    alias = ('TSI',)
    params = (
        ('period1', 25),
        ('period2', 13),
        ('pchange', 1),
        ('_movav', EMA),
    )
    lines = ('tsi',)

    def __init__(self):
        pc = self.data - self.data(-self.p.pchange)

        sm1 = self.p._movav(pc, period=self.p.period1)
        sm12 = self.p._movav(sm1, period=self.p.period2)

        sm2 = self.p._movav(abs(pc), period=self.p.period1)
        sm22 = self.p._movav(sm2, period=self.p.period2)

        self.lines.tsi = 100.0 * (sm12 / sm22)

Classes

class TSI

The True Strength Indicators was first introduced in Stocks & Commodities Magazine by its author William Blau. It measures momentum with a double exponential (default) of the prices.

It shows divergence if the extremes keep on growign but closing prices do not in the same manner (distance to the extremes grow)

Formula

price_change = close - close(pchange periods ago)
sm1_simple = EMA(price_close_change, period1)
sm1_double = EMA(sm1_simple, period2)
sm2_simple = EMA(abs(price_close_change), period1)
sm2_double = EMA(sm2_simple, period2)
tsi = 100.0 * sm1_double / sm2_double

See

http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:true_strength_index

Params

period1: the period for the 1st smoothing
period2: the period for the 2nd smoothing
pchange: the lookback period for the price change
_movav: the moving average to apply for the smoothing

Ancestors

Class variables

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

Inherited members

TrueStrengthIndicator:
- addminperiod
- incminperiod
- lines
- minbuffer
- next
- nextstart
- once
- oncestart
- prenext
- preonce
- qbuffer
- setminperiod
- updateminperiod

class TrueStrengthIndicator