backtrader.utils.fractal 源代码

#!/usr/bin/env python
"""Fractal Indicator Module - Fractal pattern detection.

This module provides the Fractal indicator for identifying fractal
patterns in price data. Fractals are reversal patterns that indicate
potential trend changes.

Classes:
    Fractal: Identifies bullish and bearish fractal patterns.

References:
    http://www.investopedia.com/articles/trading/06/fractals.asp

Example:
    >>> from backtrader.utils.fractal import Fractal
    >>> class MyStrategy(bt.Strategy):
    ...     def __init__(self):
    ...         self.fractal = Fractal(self.data)
    ...     def next(self):
    ...         if self.fractal.fractal_bullish[0] > 0:
    ...             self.buy()
"""

from ..indicators import PeriodN

__all__ = ["Fractal"]




class Fractal(PeriodN):
    """Fractal pattern indicator.

    Identifies bullish and bearish fractal patterns which indicate
    potential reversal points in price trends.

    A bearish fractal occurs when there's a pattern with the highest
    high in the middle and two lower highs on each side.

    A bullish fractal occurs when there's a pattern with the lowest
    low in the middle and two higher lows on each side.

    Params:
        period: Number of bars to check (default: 5).
        bardist: Distance to max/min in percentage (default: 0.015).
        shift_to_potential_fractal: Index of potential fractal (default: 2).

    Lines:
        fractal_bearish: Bearish fractal levels.
        fractal_bullish: Bullish fractal levels.
    """

    lines = ("fractal_bearish", "fractal_bullish")

    plotinfo = dict(subplot=False, plotlinelabels=False, plot=True)

    plotlines = dict(
        fractal_bearish=dict(
            marker="^", markersize=4.0, color="lightblue", fillstyle="full", ls=""
        ),
        fractal_bullish=dict(
            marker="v", markersize=4.0, color="lightblue", fillstyle="full", ls=""
        ),
    )
    params = (
        ("period", 5),
        ("bardist", 0.015),  # distance to max/min in absolute perc
        ("shift_to_potential_fractal", 2),
    )



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

        Identifies bearish fractals (highest high in middle with two lower
        highs on sides) and bullish fractals (lowest low in middle with two
        higher lows on sides).
        """
        # A bearish turning point occurs when there is a pattern with the
        # highest high in the middle and two lower highs on each side. [Ref 1]

        last_five_highs = self.data.high.get(size=self.p.period)
        max_val = max(last_five_highs)
        max_idx = last_five_highs.index(max_val)

        if max_idx == self.p.shift_to_potential_fractal:
            self.lines.fractal_bearish[-2] = max_val * (1 + self.p.bardist)

        # A bullish turning point occurs when there is a pattern with the
        # lowest low in the middle and two higher lowers on each side. [Ref 1]
        last_five_lows = self.data.low.get(size=self.p.period)
        min_val = min(last_five_lows)
        min_idx = last_five_lows.index(min_val)

        if min_idx == self.p.shift_to_potential_fractal:
            self.l.fractal_bullish[-2] = min_val * (1 - self.p.bardist)