backtrader.indicators.momentum module¶

Momentum Indicator Module - Momentum and Rate of Change.

This module provides momentum-based indicators for measuring the rate of price change over a given period.

Classes:: Momentum: Measures price change (difference). MomentumOscillator: Momentum as ratio (alias: MomentumOsc). RateOfChange: Rate of change indicator (alias: ROC). RateOfChange100: ROC with base 100 (alias: ROC100).

Example

class MyStrategy(bt.Strategy):

def __init__(self):

self.mom = bt.indicators.Momentum(self.data.close, period=12) self.roc = bt.indicators.ROC(self.data.close, period=10) self.roc100 = bt.indicators.ROC100(self.data.close, period=12)

def next(self):

# Momentum-based strategy if self.mom.momentum[0] > 0:

self.buy()

elif self.mom.momentum[0] < 0:: self.sell()

class backtrader.indicators.momentum.Momentum[source]¶

Bases: Indicator

Measures the change in price by calculating the difference between the current price and the price from a given period ago

Formula:

momentum = data - data_period

See:

http://en.wikipedia.org/wiki/Momentum_(technical_analysis)

plotinfo = <backtrader.metabase.plotinfo_obj object>¶

__init__(*args, **kwargs)¶

next()[source]¶

Calculate momentum for the current bar.

Momentum = current_price - price_period_ago

once(start, end)[source]¶

Calculate momentum in runonce mode.

Computes price difference across all bars.

frompackages = ()¶

packages = ()¶

class backtrader.indicators.momentum.MomentumOscillator[source]¶

Bases: Indicator

Measures the ratio of change in prices over a period

Formula:

mosc = 100 * (data / data_period)

See:

http://ta.mql4.com/indicators/oscillators/momentum

alias = ('MomentumOsc',)¶

__init__(*args, **kwargs)¶

next()[source]¶

Calculate momentum oscillator for the current bar.

Oscillator = 100 * (current_price / price_period_ago) Returns 0.0 if previous value is 0 to avoid division by zero.

once(start, end)[source]¶

Calculate momentum oscillator in runonce mode.

Computes 100 * ratio across all bars.

frompackages = ()¶

packages = ()¶

class backtrader.indicators.momentum.RateOfChange[source]¶

Bases: Indicator

Measures the ratio of change in prices over a period

Formula:

roc = (data - data_period) / data_period

See:

http://en.wikipedia.org/wiki/Momentum_(technical_analysis)

alias = ('ROC',)¶

__init__(*args, **kwargs)¶

next()[source]¶

Calculate ROC for the current bar.

ROC = (current_price - price_period_ago) / price_period_ago Returns 0.0 if previous value is 0 to avoid division by zero.

once(start, end)[source]¶

Calculate ROC in runonce mode.

Computes rate of change ratio across all bars.

frompackages = ()¶

packages = ()¶

class backtrader.indicators.momentum.RateOfChange100[source]¶

Bases: Indicator

Measures the ratio of change in prices over a period with base 100

This is, for example, how ROC is defined in stockcharts

Formula:

roc = 100 * (data - data_period) / data_period

See:

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

alias = ('ROC100',)¶

__init__(*args, **kwargs)¶

next()[source]¶

Calculate ROC100 for the current bar.

ROC100 = 100 * (current_price - price_period_ago) / price_period_ago Returns 0.0 if previous value is 0 to avoid division by zero.

once(start, end)[source]¶

Calculate ROC100 in runonce mode.

Computes rate of change with base 100 across all bars.

frompackages = ()¶

packages = ()¶

backtrader.indicators.momentum.ROC¶: alias of RateOfChange

backtrader.indicators.momentum.ROC100¶: alias of RateOfChange100