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daily fix

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This commit is contained in:
David Brazda
2024-10-17 09:30:05 +02:00
parent 58b6bde651
commit 3152fcb0b5
1 changed files with 14 additions and 5 deletions
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vbt-snippets.md
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@ -239,8 +239,9 @@ mask.sum()
```python
#create entries/exits based on open of first symbol
entries = pd.DataFrame.vbt.signals.empty_like(data.open.iloc[:,0])
exits = pd.DataFrame.vbt.signals.empty_like(entries)
#create entries/exits based on symbol level
#OR create entries/exits based on symbol level if needed (for each columns)
symbol_wrapper = data.get_symbol_wrapper()
entries = symbol_wrapper.fill(False)
exits = symbol_wrapper.fill(False)
@ -261,7 +262,6 @@ exits.vbt.set(
)
```
## STOPS
[doc from_signal](http://5.161.179.223:8000/vbt-doc/api/portfolio/base/#vectorbtpro.portfolio.base.Portfolio.from_signals)
@ -315,6 +315,10 @@ exits = t1data.get_symbol_wrapper().fill(False)
exits.loc[last_n_daily_rows.index] = True
#visualize
t1data.ohlcv.data["BAC"].lw.plot(right=[(t1data.close,"close",exits)], size="s")
#which is ALTERNATIVE to
exits = create_mask_from_window(t1data.close, 387, 390, use_cal=False)
t1data.ohlcv.data["BAC"].lw.plot(right=[(t1data.close,"close",exits)], size="s")
```
## REGULAR EXITS
Time based.
@ -333,11 +337,11 @@ exits.vbt.set(
# DF/SR ACCESSORS
## Generic
- for common taks ([docs](http://5.161.179.223:8000/vbt-doc/api/generic/accessors/index.html#vectorbtpro.generic.accessors.GenericAccessor))
For common taks ([docs](http://5.161.179.223:8000/vbt-doc/api/generic/accessors/index.html#vectorbtpro.generic.accessors.GenericAccessor))
`rolling_apply` - runs custom function over a rolling window of a fixed size (number of bars or frequency)
* `rolling_apply` - runs custom function over a rolling window of a fixed size (number of bars or frequency)
`expanding_apply` - runs custome function over expanding the window from the start of the data to the current poin
* `expanding_apply` - runs custome function over expanding the window from the start of the data to the current poin
```python
from numba import njit
@ -346,6 +350,7 @@ hourly_anchored_expanding_mean = t1data.close.vbt.rolling_apply("1H", mean_nb) #
t1data.ohlcv.data["BAC"].lw.plot(right=[(t1data.close,"close"),(hourly_anchored_expanding_mean, "hourly_anchored_expanding_mean")], size="s")
#NOTE for anchored "1D" frequency - it measures timedelta that means requires 1 day between reseting (16:00 end of market, 9:30 start - not a full day, so it is enOugh to set 7H)
#HEATMAP OVERLAY
df['a'].vbt.overlay_with_heatmap(df['b']).show()
```
@ -529,6 +534,7 @@ t1data.ohlcv.data["BAC"].lw.plot(auto_scale=[mom_anch_d, mom])
```python
#SPLITTER - splitting wrapper based on index
#http://5.161.179.223:8000/vbt-doc/tutorials/cross-validation/splitter/index.html#anchored
#based on GROUPER
daily_splitter = vbt.Splitter.from_grouper(t1data.index, "D", split=None) #DOES contain last DAY
daily_splitter = vbt.Splitter.from_ranges( #doesnt contain last DY
@ -539,6 +545,9 @@ daily_splitter = vbt.Splitter.from_ranges( #doesnt contain last DY
daily_splitter.stats()
daily_splitter.plot()
daily_splitter.coverage()
daily_splitter.get_bounds(index_bounds=True) #shows the exact times
daily_splitter.get_bounds_arr()
daily_splitter.get_range_coverage(relative=True)
#TAKING and APPLY MANUALLY - run UDF on ALL takes and concatenates
taken = daily_splitter.take(t1data)