backtrader.indicators.directionalmove module¶

Directional Movement Indicator Module - ADX and DI indicators.

This module provides the ADX (Average Directional Index) and Directional Indicators developed by J. Welles Wilder, Jr. for measuring trend strength.

Classes:: UpMove: Upward move calculation. DownMove: Downward move calculation. _DirectionalIndicator: Base class for DI calculations. DirectionalIndicator: DI indicator (alias: DI). PlusDirectionalIndicator: +DI indicator (aliases: PlusDI, +DI). MinusDirectionalIndicator: -DI indicator (aliases: MinusDI, -DI). AverageDirectionalMovementIndex: ADX indicator (alias: ADX). AverageDirectionalMovementIndexRating: ADXR indicator (alias: ADXR). DirectionalMovementIndex: DMI with ADX and DI (alias: DMI). DirectionalMovement: Complete DM system (alias: DM).

Example

class MyStrategy(bt.Strategy):

def __init__(self):

# Calculate ADX to measure trend strength self.adx = bt.indicators.ADX(self.data, period=14)

# Or use DI for +DI and -DI self.di = bt.indicators.DI(self.data, period=14)

def next(self):

# Buy when trend is strong (ADX > 25) and +DI crosses above -DI if self.adx[0] > 25 and self.di.plusDI[0] > self.di.minusDI[0]:

self.buy()

class backtrader.indicators.directionalmove.UpMove[source]¶

Bases: Indicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems” as part of the Directional Move System to calculate Directional Indicators.

Positive if the given data has moved higher than the previous day

Formula:

upmove = data - data(-1)

See:

https://en.wikipedia.org/wiki/Average_directional_movement_index

__init__(*args, **kwargs)¶

next()[source]¶

Calculate up move for the current bar.

Returns data - data(-1), the positive price change.

once(start, end)[source]¶

Calculate up moves in runonce mode.

Computes data[i] - data[i-1] for each bar.

frompackages = ()¶

packages = ()¶

class backtrader.indicators.directionalmove.DownMove[source]¶

Bases: Indicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems” as part of the Directional Move System to calculate Directional Indicators.

Positive if the given data has moved lower than the previous day

Formula:

downmove = data(-1) - data

See:

https://en.wikipedia.org/wiki/Average_directional_movement_index

__init__(*args, **kwargs)¶

next()[source]¶

Calculate down move for the current bar.

Returns data(-1) - data, the negative price change as positive value.

once(start, end)[source]¶

Calculate down moves in runonce mode.

Computes data[i-1] - data[i] for each bar.

frompackages = ()¶

packages = ()¶

class backtrader.indicators.directionalmove.DirectionalIndicator[source]¶

Bases: _DirectionalIndicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems”.

Intended to measure trend strength

This indicator shows +DI, -DI:

Use PlusDirectionalIndicator (PlusDI) to get +DI
Use MinusDirectionalIndicator (MinusDI) to get -DI
Use AverageDirectionalIndex (ADX) to get ADX
Use AverageDirectionalIndexRating (ADXR) to get ADX, ADXR
Use DirectionalMovementIndex (DMI) to get ADX, +DI, -DI
Use DirectionalMovement (DM) to get ADX, ADXR, +DI, -DI

Formula:

upmove = high - high(-1)
downmove = low(-1) - low
+dm = upmove if upmove > downmove and upmove > 0 else 0
-dm = downmove if downmove > upmove and downmove > 0 else 0
+di = 100 * MovingAverage(+dm, period) / atr(period)
-di = 100 * MovingAverage(-dm, period) / atr(period)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See:

https://en.wikipedia.org/wiki/Average_directional_movement_index

alias = ('DI',)¶

__init__(*args, **kwargs)¶

next()[source]¶

Calculate +DI and -DI for the current bar.

Copies DI values from parent calculation.

once(start, end)[source]¶

Calculate DI values in runonce mode.

Copies +DI and -DI values across all bars.

frompackages = ()¶

packages = ()¶

class backtrader.indicators.directionalmove.PlusDirectionalIndicator[source]¶

Bases: _DirectionalIndicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems”.

Intended to measure trend strength

This indicator shows +DI:

Use MinusDirectionalIndicator (MinusDI) to get -DI
Use Directional Indicator (DI) to get +DI, -DI
Use AverageDirectionalIndex (ADX) to get ADX
Use AverageDirectionalIndexRating (ADXR) to get ADX, ADXR
Use DirectionalMovementIndex (DMI) to get ADX, +DI, -DI
Use DirectionalMovement (DM) to get ADX, ADXR, +DI, -DI

Formula:

upmove = high - high(-1)
downmove = low(-1) - low
+dm = upmove if upmove > downmove and upmove > 0 else 0
+di = 100 * MovingAverage(+dm, period) / atr(period)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See:

https://en.wikipedia.org/wiki/Average_directional_movement_index

alias = (('PlusDI', '+DI'),)¶

plotinfo = <backtrader.metabase.plotinfo_obj object>¶

__init__(*args, **kwargs)¶

next()[source]¶

Calculate +DI for the current bar.

Copies +DI value from parent calculation.

once(start, end)[source]¶

Calculate +DI in runonce mode.

Copies +DI values across all bars.

frompackages = ()¶

packages = ()¶

class backtrader.indicators.directionalmove.MinusDirectionalIndicator[source]¶

Bases: _DirectionalIndicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems”.

Intended to measure trend strength

This indicator shows -DI:

Use PlusDirectionalIndicator (PlusDI) to get +DI
Use Directional Indicator (DI) to get +DI, -DI
Use AverageDirectionalIndex (ADX) to get ADX
Use AverageDirectionalIndexRating (ADXR) to get ADX, ADXR
Use DirectionalMovementIndex (DMI) to get ADX, +DI, -DI
Use DirectionalMovement (DM) to get ADX, ADXR, +DI, -DI

Formula:

upmove = high - high(-1)
downmove = low(-1) - low
-dm = downmove if downmove > upmove and downmove > 0 else 0
-di = 100 * MovingAverage(-dm, period) / atr(period)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See:

https://en.wikipedia.org/wiki/Average_directional_movement_index

alias = (('MinusDI', '-DI'),)¶

plotinfo = <backtrader.metabase.plotinfo_obj object>¶

__init__(*args, **kwargs)¶

next()[source]¶

Calculate -DI for the current bar.

Copies -DI value from parent calculation.

once(start, end)[source]¶

Calculate -DI in runonce mode.

Copies -DI values across all bars.

frompackages = ()¶

packages = ()¶

class backtrader.indicators.directionalmove.AverageDirectionalMovementIndex[source]¶

Bases: Indicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems”.

Intended to measure trend strength. Rewritten following MACD pattern with explicit next()/once() methods for reliable calculation.

Formula:

upmove = high - high(-1)
downmove = low(-1) - low
+dm = upmove if upmove > downmove and upmove > 0 else 0
-dm = downmove if downmove > upmove and downmove > 0 else 0
+di = 100 * MovingAverage(+dm, period) / atr(period)
-di = 100 * MovingAverage(-dm, period) / atr(period)
dx = 100 * abs(+di - -di) / (+di + -di)
adx = MovingAverage(dx, period)

alias = ('ADX',)¶

plotlines = <backtrader.metabase.plotlines_obj object>¶

__init__(*args, **kwargs)¶

prenext()[source]¶

Track previous high/low during warmup.

Stores high and low values for directional move calculation.

nextstart()[source]¶

Seed ADX calculation on first valid bar.

Calculates initial DM, DI, DX, and ADX values.

next()[source]¶

Calculate ADX for the current bar.

Calculates DM smoothing, DI, DX, and ADX values.

once(start, end)[source]¶: Calculate ADX in runonce mode

frompackages = ()¶

packages = ()¶

class backtrader.indicators.directionalmove.AverageDirectionalMovementIndexRating[source]¶

Bases: AverageDirectionalMovementIndex

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems”.

Intended to measure trend strength.

ADXR is the average of ADX with a value period bars ago

This indicator shows the ADX and ADXR:

Use PlusDirectionalIndicator (PlusDI) to get +DI
Use MinusDirectionalIndicator (MinusDI) to get -DI
Use Directional Indicator (DI) to get +DI, -DI
Use AverageDirectionalIndex (ADX) to get ADX
Use DirectionalMovementIndex (DMI) to get ADX, +DI, -DI
Use DirectionalMovement (DM) to get ADX, ADXR, +DI, -DI

Formula:

upmove = high - high(-1)
downmove = low(-1) - low
+dm = upmove if upmove > downmove and upmove > 0 else 0
-dm = downmove if downmove > upmove and downmove > 0 else 0
+di = 100 * MovingAverage(+dm, period) / atr(period)
-di = 100 * MovingAverage(-dm, period) / atr(period)
dx = 100 * abs(+di - -di) / (+di + -di)
adx = MovingAverage(dx, period)
adxr = (adx + adx(-period)) / 2

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See:

https://en.wikipedia.org/wiki/Average_directional_movement_index

alias = ('ADXR',)¶

plotlines = <backtrader.metabase.plotlines_obj object>¶

__init__(*args, **kwargs)¶

next()[source]¶

Calculate ADX and ADXR for the current bar.

ADXR = (ADX + ADX(-period)) / 2

once(start, end)[source]¶

Calculate ADXR in runonce mode.

Computes ADXR as average of current ADX and ADX from period ago.

frompackages = ()¶

packages = ()¶

class backtrader.indicators.directionalmove.DirectionalMovementIndex[source]¶

Bases: AverageDirectionalMovementIndex, DirectionalIndicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems”.

Intended to measure trend strength

This indicator shows the ADX, +DI, -DI:

Use PlusDirectionalIndicator (PlusDI) to get +DI
Use MinusDirectionalIndicator (MinusDI) to get -DI
Use Directional Indicator (DI) to get +DI, -DI
Use AverageDirectionalIndex (ADX) to get ADX
Use AverageDirectionalIndexRating (ADXRating) to get ADX, ADXR
Use DirectionalMovement (DM) to get ADX, ADXR, +DI, -DI

Formula:

upmove = high - high(-1)
downmove = low(-1) - low
+dm = upmove if upmove > downmove and upmove > 0 else 0
-dm = downmove if downmove > upmove and downmove > 0 else 0
+di = 100 * MovingAverage(+dm, period) / atr(period)
-di = 100 * MovingAverage(-dm, period) / atr(period)
dx = 100 * abs(+di - -di) / (+di + -di)
adx = MovingAverage(dx, period)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See:

https://en.wikipedia.org/wiki/Average_directional_movement_index

alias = ('DMI',)¶

frompackages = ()¶

packages = ()¶

class backtrader.indicators.directionalmove.DirectionalMovement[source]¶

Bases: AverageDirectionalMovementIndexRating, DirectionalIndicator

Defined by J. Welles Wilder, Jr. in 1978 in his book “New Concepts in Technical Trading Systems”.

Intended to measure trend strength

This indicator shows ADX, ADXR, +DI, -DI.

Use PlusDirectionalIndicator (PlusDI) to get +DI

Use MinusDirectionalIndicator (MinusDI) to get -DI

Use Directional Indicator (DI) to get +DI, -DI

Use AverageDirectionalIndex (ADX) to get ADX

Use AverageDirectionalIndexRating (ADXR) to get ADX, ADXR

Use DirectionalMovementIndex (DMI) to get ADX, +DI, -DI

Formula:

upmove = high - high(-1)
downmove = low(-1) - low
+dm = upmove if upmove > downmove and upmove > 0 else 0
-dm = downmove if downmove > upmove and downmove > 0 else 0
+di = 100 * MovingAverage(+dm, period) / atr(period)
-di = 100 * MovingAverage(-dm, period) / atr(period)
dx = 100 * abs(+di - -di) / (+di + -di)
adx = MovingAverage(dx, period)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See:

https://en.wikipedia.org/wiki/Average_directional_movement_index

alias = ('DM',)¶

frompackages = ()¶

packages = ()¶