UpCloseRatio: Up-Close Ratio

The percentage of the last N bars that closed above the bar before. Blunt, robust and immune to outliers: a single huge down bar counts exactly as much as a small one, which is the point.

Signature

UpCloseRatio(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Window. Default 20, bounds 1–400.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{UpCloseRatio} = 100,\frac{#{C_i > C_{i-1}}}{n} $$

Warmup

period + 1 bars; partial windows count only the bars seen.

Reading the value

ucr.value
ucr > 60

Example

class UpBarFilter(Strategy):
    """Only hold when most recent bars have been up bars."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        ucr = UpCloseRatio(20, on=self.trade)
        if ucr.value > 60 and self.trade.is_flat:
            self.buy(self.trade, reason=f"{ucr.value:.0f} pct up bars")
        if ucr.value < 40 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Up bars now a minority")

Notes

• Unchanged closes count as down bars (strict > test), stated because it matters on low-tick instruments.
• Proven by an assert-via-trade run on SPY daily (matched a strategy-side count exactly on every bar; zero alarm trades).
• A 50% reading is the coin-flip baseline; sustained departures are what a regime filter reads.