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use_cal added

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David Brazda
2024-10-16 20:20:41 +02:00
parent b498d8df3d
commit 85aae58aee
3 changed files with 68 additions and 33 deletions
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README.md
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@ -17,3 +17,26 @@ mom = vbt.indicator("talib:MOM").run(t1data.data["BAC"].close, timeperiod=10, sk
mom_anch_d = AnchoredIndicator("talib:MOM", anchor='D').run(t1data.data["BAC"].close, timeperiod=10, skipna=True) #anchored to D
```
`create_mask_from_window` - creates mask of the same size AS INPUT, True values denotes that the window is open. Used to filter entry window or forced eod window. Range is denoted by pair (start, end) indicating minutes elapsed from the market start of that day.
```python
from ttools import create_mask_from_window
entry_window_opens = 3 #in minutes from start of the market
entry_window_closes = 388
forced_exit_start = 387
forced_exit_end = 390
#create mask based on main session that day
entry_window_opened = create_mask_from_window(entries, entry_window_opens, entry_window_closes)
#limit entries to the window
entries = entries & entry_window_opened
#create forced exits mask
forced_exits_window = create_mask_from_window(exits, forced_exit_start, forced_exit_end)
#add forced_exits to exits
exits = exits | forced_exits_window
exits.tail(20)
```