backtrader.indicators.prettygoodoscillator 源代码

#!/usr/bin/env python
"""Pretty Good Oscillator Module - PGO indicator.

This module provides the Pretty Good Oscillator (PGO) developed
by Mark Johnson for measuring price distance from moving average
in terms of ATR.

Classes:
    PrettyGoodOscillator: PGO indicator (aliases: PGO, PrettyGoodOsc).

Example:
    class MyStrategy(bt.Strategy):
        def __init__(self):
            # Calculate Pretty Good Oscillator with 14-period
            self.pgo = bt.indicators.PrettyGoodOscillator(self.data, period=14)

        def next(self):
            # Buy when PGO rises above 3.0 (breakout signal)
            if self.pgo[0] > 3.0:
                self.buy()
            # Sell short when PGO falls below -3.0
            elif self.pgo[0] < -3.0:
                self.sell()
            # Exit positions when returning to zero
            elif len(self.position) > 0 and abs(self.pgo[0]) < 0.5:
                self.close()
"""

import math

from . import ATR, Indicator, MovAv




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):
        """Initialize the Pretty Good Oscillator.

        Creates moving average and ATR sub-indicators.
        """
        super().__init__()
        self.movav = self.p._movav(self.data, period=self.p.period)
        self.atr = ATR(self.data, period=self.p.period)



    def next(self):
        """Calculate PGO for the current bar.

        Formula: PGO = (price - MA) / ATR
        """
        atr_val = self.atr[0]
        if atr_val != 0:
            self.lines.pgo[0] = (self.data[0] - self.movav[0]) / atr_val
        else:
            self.lines.pgo[0] = 0.0




    def once(self, start, end):
        """Calculate PGO in runonce mode."""
        darray = self.data.array
        ma_array = self.movav.lines[0].array
        atr_array = self.atr.lines[0].array
        larray = self.lines.pgo.array

        while len(larray) < end:
            larray.append(0.0)

        for i in range(start, min(end, len(darray), len(ma_array), len(atr_array))):
            data_val = darray[i] if i < len(darray) else 0.0
            ma_val = ma_array[i] if i < len(ma_array) else 0.0
            atr_val = atr_array[i] if i < len(atr_array) else 0.0

            if isinstance(ma_val, float) and math.isnan(ma_val):
                larray[i] = float("nan")
            elif isinstance(atr_val, float) and math.isnan(atr_val):
                larray[i] = float("nan")
            elif atr_val != 0:
                larray[i] = (data_val - ma_val) / atr_val
            else:
                larray[i] = 0.0