daily update

vbt-helper.ipynb

@@ -2,34 +2,35 @@
  "cells": [
   {
    "cell_type": "code",
-   "execution_count": 4,
+   "execution_count": 5,
    "metadata": {},
    "outputs": [
     {
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "MACD.run(\n",
+      "BBANDS.run(\n",
       "    close,\n",
-      "    fastperiod=Default(value=12),\n",
+      "    timeperiod=Default(value=5),\n",
-      "    slowperiod=Default(value=26),\n",
+      "    nbdevup=Default(value=2.0),\n",
-      "    signalperiod=Default(value=9),\n",
+      "    nbdevdn=Default(value=2.0),\n",
+      "    matype=Default(value=0),\n",
       "    timeframe=Default(value=None),\n",
-      "    short_name='macd',\n",
+      "    short_name='bbands',\n",
       "    hide_params=None,\n",
       "    hide_default=True,\n",
       "    **kwargs\n",
       "):\n",
-      "    Run `MACD` indicator.\n",
+      "    Run `BBANDS` indicator.\n",
       "    \n",
       "    * Inputs: `close`\n",
-      "    * Parameters: `fastperiod`, `slowperiod`, `signalperiod`, `timeframe`\n",
+      "    * Parameters: `timeperiod`, `nbdevup`, `nbdevdn`, `matype`, `timeframe`\n",
-      "    * Outputs: `macd`, `macdsignal`, `macdhist`\n",
+      "    * Outputs: `upperband`, `middleband`, `lowerband`\n",
       "    \n",
       "    Pass a list of parameter names as `hide_params` to hide their column levels, or True to hide all.\n",
       "    Set `hide_default` to False to show the column levels of the parameters with a default value.\n",
       "    \n",
-      "    Other keyword arguments are passed to `MACD.run_pipeline`.\n"
+      "    Other keyword arguments are passed to `BBANDS.run_pipeline`.\n"
      ]
     }
    ],
@@ -37,7 +38,7 @@
     "import vectorbtpro as vbt\n",
     "\n",
     "vbt.IF.list_indicators(\"*SMA\")\n",
-    "vbt.phelp(vbt.indicator(\"talib:MACD\").run)\n"
+    "vbt.phelp(vbt.indicator(\"talib:BBANDS\").run)\n"
    ]
   }
  ],

vbt.py

@@ -62,11 +62,18 @@ t1close_realigned = t1data.data["BAC"].close.vbt.realign_closing(resampler_s)
 #endregion
 
 #region ENTRIES/EXITS
+#doc from_signal http://5.161.179.223:8000/vbt-doc/api/portfolio/base/#vectorbtpro.portfolio.base.Portfolio.from_signals
+- StopExitPrice (Which price to use when exiting a position upon a stop signal?)
+- StopEntryPrice (Which price to use as an initial stop price?)
+                  
+price = close.vbt.wrapper.fill()
+price[entries] = entry_price
+price[exits] = exit_price
+
 
 # window open/close 
 
 
-
 #END OF DAY EXITS
 # end_of_day_dates = index.to_series().resample("1d").last().values
 # exit_signals.loc[end_of_day_dates] = True
@@ -75,6 +82,64 @@ df['exit'][df['exit'].index.isin(end_of_day_dates)] = True
 # This index should be probably open_hours_index
 # But also check that end_of_day_dates doesn't have nans (NaT), and if it has, you need to filter them out (edited)
 
+#endregion
+
+#region STOPLOSS/TAKEPROFIT
+
+#doc StopOrders http://5.161.179.223:8000/vbt-doc/documentation/portfolio/from-signals/index.html#stop-orders
+
+#SL - ATR based
+atr = data.run("atr").atr
+pf = vbt.Portfolio.from_signals(
+    data,
+    entries=entries,
+    sl_stop=atr / sub_data.close
+)
+
+#EXIT after time http://5.161.179.223:8000/vbt-doc/cookbook/portfolio/index.html#from-signals
+f = vbt.PF.from_signals(..., td_stop="7 days")  
+pf = vbt.PF.from_signals(..., td_stop=pd.Timedelta(days=7))
+pf = vbt.PF.from_signals(..., td_stop=td_arr) 
+#EXIT at time
+pf = vbt.PF.from_signals(..., dt_stop="16:00")  #exit at 16 and later
+pf = vbt.PF.from_signals(..., dt_stop=datetime.time(16, 0))
+pf = vbt.PF.from_signals(  #exit last bar before
+    ..., 
+    dt_stop="16:00", 
+    arg_config=dict(dt_stop=dict(last_before=True))
+)
+
+#CALLBACKS - 
+"""
+ - a signal function (signal_func_nb)
+    - can dynamically generate signals (True, True, False,False)
+    - runs at beginning of bar
+ - an adjustment function (adjust_func_nb) 
+    - runs only if signal function above was not provided, but entry,exit arrays
+    - runs before default signal function ls_signal_func_nb http://5.161.179.223:8000/vbt-doc/api/portfolio/nb/from_signals/index.html#vectorbtpro.portfolio.nb.from_signals.ls_signal_func_nb
+        - can change pending limit orders etc.
+ - a post-signal function (post_signal_func_nb)
+ - post-segment function (post_segment_func_nb)
+
+all of them are accessing SignalContext (c) as named tuple http://5.161.179.223:8000/vbt-doc/api/portfolio/enums/index.html#vectorbtpro.portfolio.enums.SignalContext
+SignalContaxt (contains various metrics)
+   - last_limit_info - 1D with latest limit order per column
+    - order_counts
+    - last_return ...
+    
+"""
+
+#MEMORY http://5.161.179.223:8000/vbt-doc/cookbook/portfolio/index.html#callbacks
+#save an information piece at one timestamp and re-use at a later timestamp
+
+
+#MULTIPLE LIMIT ORDERS at TIME http://5.161.179.223:8000/vbt-doc/cookbook/portfolio/index.html#callbacks
+
+#IGNORE ENTRIES number of DAYS after losing trade - signal function http://5.161.179.223:8000/vbt-doc/cookbook/portfolio/index.html#callbacks
+
+#adjust_func_nb http://5.161.179.223:8000/vbt-doc/documentation/portfolio/from-signals/#adjustment
+
+
 #endregion
 
 
@@ -88,6 +153,12 @@ t1vwap_h_real = t1vwap_h.vwap.vbt.realign_closing(resampler_s)
 t1vwap_d_real = t1vwap_d.vwap.vbt.realign_closing(resampler_s)
 t1vwap_t_real = t1vwap_t.vwap.vbt.realign_closing(resampler_s)
 
+#BBANDS = vbt.indicator("pandas_ta:BBANDS")
+mom_anch_d = AnchoredIndicator("talib:MOM", anchor='30min').run(t1data.data["BAC"].close, timeperiod=10)
+mom = vbt.indicator("talib:MOM").run(t1data.data["BAC"].close, timeperiod=10, skipna=True)
+#macd = vbt.indicator("talib:MACD").run(t1data.data["BAC"].close) #, timeframe=["1T"]) #, 
+t1data.ohlcv.data["BAC"].lw.plot(auto_scale=[mom_anch_d, mom])
+
 #SMA - note for TALIB use skipna=True
 mom_multi_beztf = vbt.indicator("talib:MOM").run(t1data.close, timeperiod=5, skipna=True)
 
@@ -133,13 +204,19 @@ mom = vbt.indicator("talib:MOM").run(t1data.close, timeperiod=10, skipna=True)
 t1data.ohlcv.data["BAC"].lw.plot(left=[(mom_daily, "daily_splitter"),(mom, "original mom")]) #OHLCV with indicators on top
 
 #TAKING and APPLY AUTOMATIC
+daily_splitter = vbt.Splitter.from_grouper(t1data.index, "D", split=None) #DOES contain last DAY
 def indi_run(sr):
     return vbt.indicator("talib:MOM").run(sr.close, timeperiod=10, skipna=True)
 
-res = daily_splitter.apply(indi_run, vbt.Takeable(sr), merge_func="row_stack", freq="1T") 
+res = daily_splitter.apply(indi_run, vbt.Takeable(t1data), merge_func="row_stack", freq="1T") 
 
 
+#use of IDX accessor (docs:http://5.161.179.223:8000/vbt-doc/api/base/accessors/index.html#vectorbtpro.base.accessors.BaseIDXAccessor)
+daily_grouper = t1data.index.vbt.get_grouper("D")
 
+#grouper instance can be iterated over
+for name, indices in daily_grouper.iter_groups():
+    print(name, indices)
 
 #PANDAS GROUPING - series/df grouping resulting in GroupBySeries placeholder that can be aggregated(sum, mean), transformed iterated over or fitlered
 for name, group in t1data.data["BAC"].close.groupby(pd.Grouper(freq='D')):
@@ -176,4 +253,25 @@ ch = chart([pane1], size="s")
 
 
 
+#endregion
+
+#region MULTIACCOUNT
+#simultaneous LONG and short (hedging)
+#VBT: One position requires one column of data, so hedging is possible by using two columns representing the same asset but different directions,
+# then stack both portfolio together (http://5.161.179.223:8000/vbt-doc/features/productivity/#column-stacking)
+pf_join = vbt.PF.column_stack((pf1, pf2), group_by=True)
+
+
+#endregion
+
+#region CUSTOM SIMULATION
+
+
+
+#endregion
+
+
+#region ANALYSIS
+
+
 #endregion