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David Brazda
2024-10-16 20:36:01 +02:00
parent cc91d106c3
commit 58b6bde651
1 changed files with 11 additions and 7 deletions
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vbt-snippets.md
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@ -1,5 +1,6 @@
- [FETCHING DATA](#fetching-data) - [FETCHING DATA](#fetching-data)
- [REINDEX to main session](#reindex-to-main-session) - [REINDEX to main session](#reindex-to-main-session)
- [indexing](#indexing)
- [DISCOVERY](#discovery) - [DISCOVERY](#discovery)
- [DATA/WRAPPER](#datawrapper) - [DATA/WRAPPER](#datawrapper)
- [create WRAPPER manually](#create-wrapper-manually) - [create WRAPPER manually](#create-wrapper-manually)
@ -10,8 +11,8 @@
- [SIGNALS](#signals) - [SIGNALS](#signals)
- [ENTRIES/EXITS time based](#entriesexits-time-based) - [ENTRIES/EXITS time based](#entriesexits-time-based)
- [STOPS](#stops) - [STOPS](#stops)
- [OHLCSTX module](#ohlcstx-module) - [OHLCSTX Module](#ohlcstx-module)
- [ENTRY WINDOW and FORCED EXIT WINDOW](#entry-window-and-forced-exit-window) - [Entry Window and Forced Exit Window](#entry-window-and-forced-exit-window)
- [END OF DAY EXITS](#end-of-day-exits) - [END OF DAY EXITS](#end-of-day-exits)
- [REGULAR EXITS](#regular-exits) - [REGULAR EXITS](#regular-exits)
- [DF/SR ACCESSORS](#dfsr-accessors) - [DF/SR ACCESSORS](#dfsr-accessors)
@ -95,7 +96,10 @@ testData = vbt.YFData.fetch(['MSFT'], start=start, end=end, timeframe=timeframe,
# of market hours) # of market hours)
testData = testData.transform(lambda x: x.reindex(market_klines)) testData = testData.transform(lambda x: x.reindex(market_klines))
``` ```
## indexing
```python
entries.vbt.xloc[slice("2024-08-01","2024-08-03")].obj.info()
```
# DISCOVERY # DISCOVERY
```python ```python
@ -268,12 +272,12 @@ price = close.vbt.wrapper.fill()
price[entries] = entry_price price[entries] = entry_price
price[exits] = exit_price price[exits] = exit_price
## OHLCSTX module ## OHLCSTX Module
- exit signal generator based on price and stop values - exit signal generator based on price and stop values
[doc](ttp://5.161.179.223:8000/vbt-doc/api/signals/generators/ohlcstx/index.html) [doc](ttp://5.161.179.223:8000/vbt-doc/api/signals/generators/ohlcstx/index.html)
## ENTRY WINDOW and FORCED EXIT WINDOW ## Entry Window and Forced Exit Window
Applying `entry window `range (denoted by minutes from the session start) to `entries` and applying `forced exit window` to `exits`. Applying `entry window `range (denoted by minutes from the session start) to `entries` and applying `forced exit window` to `exits`.
`create_mask_from_window` with param `use_cal=True` (default) uses market calendar data for each day to denote session start and end. When disabled it uses just fixed 9:30-16:00 for each day. `create_mask_from_window` with param `use_cal=True` (default) uses market calendar data for each day to denote session start and end. When disabled it uses just fixed 9:30-16:00 for each day.
@ -287,12 +291,12 @@ forced_exit_start = 387
forced_exit_end = 390 forced_exit_end = 390
#create mask based on main session that day #create mask based on main session that day
entry_window_opened = create_mask_from_window(entries, entry_window_opens, entry_window_closes) entry_window_opened = create_mask_from_window(entries, entry_window_opens, entry_window_closes, use_cal=True)
#limit entries to the window #limit entries to the window
entries = entries & entry_window_opened entries = entries & entry_window_opened
#create forced exits mask #create forced exits mask
forced_exits_window = create_mask_from_window(exits, forced_exit_start, forced_exit_end) forced_exits_window = create_mask_from_window(exits, forced_exit_start, forced_exit_end, use_cal=True)
#add forced_exits to exits #add forced_exits to exits
exits = exits | forced_exits_window exits = exits | forced_exits_window