How to create custom indicators

[samueltg92]

Hello, I have the indicators to create a strategy based on TheStrat from Rob Smith, but I can't figure out how to add them to my strategy class. This is my code so far:

# thestrat indicators
H = df['High']
L = df['Low']

def one(df):
    df['one'] = np.where((H <= H.shift(1)) & (L > L.shift(1)) | (H <= H.shift(1)) & (L == L.shift(1)), 1, 0)
    return df.one

def three(df):
    df['three'] = np.where((H > H.shift(1)) & (L < L.shift(1)), 1, 0)
    return df.three

def twoup(df):
    df['twoup'] = np.where((H > H.shift(1)) & (L >= L.shift(1)),1,0)
    return df.twoup

def twodown(df):
    df['twodown'] = np.where((H <= H.shift(1)) & (L < L.shift(1)),1,0)
    return df.twodown

# Strategy class
class THESTRAT(Strategy):
    
    riskpct = 0.01
    sl_buy = 0.97
    sl_sell = 1.03
    tp_buy = 1.005
    tp_sell = 0.995

    def init(self):
        super().init()

        self.one = self.I(one(self.data))
        self.twoup = self.I(twoup(self.data))
        self.twodown = self.I(twodown(self.data))
        self.three = self.I(three(self.data))
        
        
    def next(self):
        super().next()
        price = self.data.Close[-1]

        
        if self.position:
            self.position.close()

Does anyone know how to solve that?
Thanks!.

PD: I have indicator to calculate support and resistance but have the same problem.

[raro123]

I am also new to this library - but you can define the strategy under the next method - for ex. a snippet from a buyhold strat which I was working to understand the working:

def buy_sell(values):
    np.random.seed(7)
    x = np.random.binomial(0,1,len(values))# fill indicator to 0
    x[0] =1 # buy signal at first day - executed at open on next bar (Default)
    x[-2] = -1 # sell signal at second last day - executed at open on last bar (Default)
    return x

class BuyHold(Strategy):

    
    def init(self):
        # get the buy hold indicator
        self.ind1 = self.I(buy_sell, self.data.Close)

    
    def next(self):

        print(self.ind1, self.data.Close) # to check the data structure passed
        # buy on open after 1st bar
        if self.ind1[-2]==1:
            print(self.ind1, self.data.Close)
            #self.position.close()
            self.buy()
        # sell on open last bar
        elif self.ind1[-2]==-1:
            print(self.ind1, self.data.Close)
            self.position.close()
           # self. Sell()

Sequential array is passed to next (snippet below) - so you can workout the logic using indexes or signal generated -

[kernc]

Strategy.I evaluates the passed indicator function on its own. This should help you:

self.one = self.I(one, self.data.df)

And in next():

if self.one[-1]:
    ...