daily updae
This commit is contained in:
David Brazda
116
vbt.py
116
vbt.py
@ -14,9 +14,12 @@ basic_data = con.pull(symbols=[SYMBOL], schema=SCHEMA,start="2024-08-01", end="2
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#region DISCOVERY
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#get parameters of method
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vbt.IF.list_locations() #lists categories
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vbt.IF.list_indicators(pattern="vbt") #all in category vbt
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vbt.IF.list_indicators("*sma")
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vbt.phelp(vbt.indicator("talib:MOM").run)
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vbt.IF.list_indicators("*sma")
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#endregion
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@ -143,36 +146,7 @@ SignalContaxt (contains various metrics)
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#endregion
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#region INDICATORS
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#anchored VWAP
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t1vwap_h = vbt.VWAP.run(t1data.high, t1data.low, t1data.close, t1data.volume, anchor="H")
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t1vwap_d = vbt.VWAP.run(t1data.high, t1data.low, t1data.close, t1data.volume, anchor="D")
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t1vwap_t = vbt.VWAP.run(t1data.high, t1data.low, t1data.close, t1data.volume, anchor="T")
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t1vwap_h_real = t1vwap_h.vwap.vbt.realign_closing(resampler_s)
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t1vwap_d_real = t1vwap_d.vwap.vbt.realign_closing(resampler_s)
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t1vwap_t_real = t1vwap_t.vwap.vbt.realign_closing(resampler_s)
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#BBANDS = vbt.indicator("pandas_ta:BBANDS")
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mom_anch_d = AnchoredIndicator("talib:MOM", anchor='30min').run(t1data.data["BAC"].close, timeperiod=10)
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mom = vbt.indicator("talib:MOM").run(t1data.data["BAC"].close, timeperiod=10, skipna=True)
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#macd = vbt.indicator("talib:MACD").run(t1data.data["BAC"].close) #, timeframe=["1T"]) #,
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t1data.ohlcv.data["BAC"].lw.plot(auto_scale=[mom_anch_d, mom])
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#SMA - note for TALIB use skipna=True
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mom_multi_beztf = vbt.indicator("talib:MOM").run(t1data.close, timeperiod=5, skipna=True)
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#TALIB INDICATORS can do realing closing : timeframe=["1T"]
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mom_multi = vbt.indicator("talib:MOM").run(t1data.close, timeperiod=5, timeframe=["1T","5T"], skipna=True) #returned 5T can be directly compared with 1T
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#ANCHORED indciators vbt.indicator("pandas_ta:BBANDS") is called AnchoredIndicator("pandas_ta:BBANDS")
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from ttools import AnchoredIndicator
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#BBANDS = vbt.indicator("pandas_ta:BBANDS")
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mom_anch_d = AnchoredIndicator("talib:MOM", anchor='30min').run(t1data.data["BAC"].close, timeperiod=10)
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mom = vbt.indicator("talib:MOM").run(t1data.data["BAC"].close, timeperiod=10, skipna=True)
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#macd = vbt.indicator("talib:MACD").run(t1data.data["BAC"].close) #, timeframe=["1T"]) #,
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t1data.ohlcv.data["BAC"].lw.plot(auto_scale=[mom_anch_d, mom])
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#region INDICATORS DEV
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#REGISTER CUSTOM INDICATOR
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vbt.IndicatorFactory.register_custom_indicator(
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@ -182,6 +156,67 @@ vbt.IndicatorFactory.register_custom_indicator(
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if_exists='raise'
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)
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#RUN INDICATOR on DATA WRAPPER
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cdlbreakaway = s1data.run(vbt.indicator("talib:CDLHAMMER"), skipna=True, timeframe=["12s"])
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#FROM EXPRESSION http://5.161.179.223:8000/vbt-doc/api/indicators/factory/#vectorbtpro.indicators.factory.IndicatorFactory.from_expr
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WMA = vbt.IF(
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class_name='WMA',
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input_names=['close'],
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param_names=['window'],
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output_names=['wma']
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).from_expr("wm_mean_nb(close, window)")
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wma = WMA.run(t1data.close, window=10)
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wma.wma
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#endregion
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#region FAV INDICATORS
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#for TALIB indicator always use skipna=True
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#TALIB INDICATORS can do realing closing : timeframe=["1T"]
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mom_multi = vbt.indicator("talib:MOM").run(t1data.close, timeperiod=5, timeframe=["1T","5T"], skipna=True) #returned 5T can be directly compared with 1T
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#ANCHORED indciators vbt.indicator("talib:MOM") becomes AnchoredIndicator("talib:MOM", anchor="D") - freq of pd.Grouper
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from ttools import AnchoredIndicator
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mom_anch_d = AnchoredIndicator("talib:MOM", anchor='30min').run(t1data.data["BAC"].close, timeperiod=10)
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mom = vbt.indicator("talib:MOM").run(t1data.data["BAC"].close, timeperiod=10, skipna=True)
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t1data.ohlcv.data["BAC"].lw.plot(auto_scale=[mom_anch_d, mom])
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#FIBO RETRACEMENT
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fibo = vbt.indicator("technical:FIBONACCI_RETRACEMENTS").run(t1data.close, skipna=True)
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#fibo.fibonacci_retracements
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fibo_plusclose = t1data.close + fibo.fibonacci_retracements
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fibo_minusclose = t1data.close - fibo.fibonacci_retracements
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#fibo_plusclose
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Panel(
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auto_scale=[fibo_plusclose["BAC"]],
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ohlcv=(t1data.ohlcv.data["BAC"],),
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histogram=[],
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right=[(fibo_plusclose["BAC"],),(fibo_minusclose["BAC"],)],
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left=[],
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middle1=[(fibo.fibonacci_retracements["BAC"],"fibonacci_retracements")],
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middle2=[]
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).chart(size="xs")
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#CHOPINESS indicator
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chopiness = vbt.indicator("technical:CHOPINESS").run(s1data.open, s1data.high, s1data.low, s1data.close, t1data.volume, skipna=True)
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s1data.ohlcv.data["BAC"].lw.plot(auto_scale=[chopiness])
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#anchored VWAP
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t1vwap_h = vbt.VWAP.run(t1data.high, t1data.low, t1data.close, t1data.volume, anchor="H")
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t1vwap_h_real = t1vwap_h.vwap.vbt.realign_closing(resampler_s)
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#BBANDS = vbt.indicator("pandas_ta:BBANDS")
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mom_anch_d = AnchoredIndicator("talib:MOM", anchor='30min').run(t1data.data["BAC"].close, timeperiod=10)
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mom = vbt.indicator("talib:MOM").run(t1data.data["BAC"].close, timeperiod=10, skipna=True)
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#macd = vbt.indicator("talib:MACD").run(t1data.data["BAC"].close) #, timeframe=["1T"]) #,
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t1data.ohlcv.data["BAC"].lw.plot(auto_scale=[mom_anch_d, mom])
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#endregion
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#region GROUPING - SPLITTING
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@ -242,7 +277,18 @@ t5data.ohlcv.data["BAC"].lw.plot(
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right=[(t1data.data["BAC"].close, "t1 close"),(t5data.data["BAC"].close, "t5 close")],
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size="s") #.loc[:,(20,"1T","BAC")]
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#PANEL
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#SINGLE PANEL
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Panel(
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auto_scale=[cdlbreakaway],
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ohlcv=(t1data.ohlcv.data["BAC"],entries),
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histogram=[],
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right=[],
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left=[],
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middle1=[],
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middle2=[]
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).chart(size="xs")
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#MULTI PANEL
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pane1 = Panel(
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#auto_scale=[mom_multi, mom_multi_1t],
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#ohlcv=(t1data.data["BAC"],), #(series, entries, exits, other_markers)
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@ -254,9 +300,9 @@ pane1 = Panel(
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#xloc="2024-02-12 09:30",
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precision=3
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)
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pane2 = Panel(....)
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ch = chart([pane1], size="s")
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ch = chart([pane1, pane2], size="s")
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#endregion
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@ -278,6 +324,8 @@ pf_join = vbt.PF.column_stack((pf1, pf2), group_by=True)
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#region ANALYSIS
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#ROBUSTNESS
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pf_stats.sort_values(by='Sharpe Ratio', ascending=False).iloc[::-1].vbt.heatmap().show() #works when there are more metrics
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#endregion
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