Indicator - Pivot Point High Low

Hi Tomer,

Although Lean does not have a built-in pivot point high/low indicator, you can implement it yourself. Let's say we want to create a 5 period pivot point high indicator. We can accomplish this using a rolling window of size 11, which will let us analyze the previous 11 bars.

Then we can use our window to calculate if the middle bar is a pivot point.

Best
Rahul

Very nice, I changed it slightly so it will always find the index in the middle of the window, as long as the len(self.window) is an odd number.

@classmethod
def GetMidIndex(cls, lst):
    if len(lst) % 2 != 0:
        return int((len(lst) / 2) - 0.5)
    else:
        raise Exception('Length list not odd')

def PivotPointHigh(self):
    lst = list(self.window)
    mid_index = self.GetMidIndex(lst)
    mid_bar = lst[mid_index]
    lst2 = [x for index, x in enumerate(lst) if index != mid_index]

    for bar in lst2:
        if bar.High >= mid_bar.High:
            return False
    return True

Hi All

Please be noted that LEAN now supports PivotPointHighLow candlestick indicator. Please refer to this page for details.

Best
Louis

Hey Louis Szeto, I see there are two documentation URL's, one for lean V1 and for version 2, is there any difference between them ? 
more specifically for indicators that are present only in Lean V2 (like the SuperTrend and Pivot Point H/L)
Shner,

Louis Szeto

Thank you for the good news. 

In the attached backtest, I'm trying to compare two PivotPointHighLow candlestick indicators. 

self.pphld is based on daily data, and self.pphl is based on a resampled 390-minute bar. 

For some reason, the commented out part of the code throws an error.