From 8d5036c5aafc79f121dcff0742edc314ae0fdaec Mon Sep 17 00:00:00 2001
From: David Brazda <davidbrazda61@gmail.com>
Date: Thu, 10 Oct 2024 09:42:25 +0200
Subject: [PATCH] Initial commit

---
 README.md             |  5 +++++
 setup.py              | 11 ++++++++++
 tests/vbt-anchored.py |  0
 utils/__init__.py     |  0
 utils/vbtutils.py     | 50 +++++++++++++++++++++++++++++++++++++++++++
 5 files changed, 66 insertions(+)
 create mode 100644 setup.py
 create mode 100644 tests/vbt-anchored.py
 create mode 100644 utils/__init__.py
 create mode 100644 utils/vbtutils.py

diff --git a/README.md b/README.md
index 2016c38..2d376da 100644
--- a/README.md
+++ b/README.md
@@ -1,2 +1,7 @@
 # ttools
 A Python library for tools, utilities, and helpers for my trading research workflow.
+
+# Modules
+
+- `utils.vbtutils` - contains helpers for vbtpro
+  - `AnchoredIndicator` - allows runing any vbt indicator in anchored mode (reset by Day, Hour etc.)
diff --git a/setup.py b/setup.py
new file mode 100644
index 0000000..915bd78
--- /dev/null
+++ b/setup.py
@@ -0,0 +1,11 @@
+from setuptools import setup, find_packages
+
+setup(
+    name='ttools',
+    version='0.1.0',
+    packages=find_packages(),
+    install_requires=[
+        'vectorbtpro',
+        # list your dependencies here
+    ],
+)
\ No newline at end of file
diff --git a/tests/vbt-anchored.py b/tests/vbt-anchored.py
new file mode 100644
index 0000000..e69de29
diff --git a/utils/__init__.py b/utils/__init__.py
new file mode 100644
index 0000000..e69de29
diff --git a/utils/vbtutils.py b/utils/vbtutils.py
new file mode 100644
index 0000000..8aab64f
--- /dev/null
+++ b/utils/vbtutils.py
@@ -0,0 +1,50 @@
+import pandas as pd
+import vectorbtpro as vbt
+
+class AnchoredIndicator:
+    """
+    Allows to run any VBT indicator in anchored mode (reset per Day, Hour, or Minute).
+    """
+    def __init__(self, indicator_name: str, split_by='D'):
+        """
+        Initialize with the name of the indicator (e.g., "talib:MOM").
+        
+        Parameters:
+        - indicator_name: str, the name of the vectorbt indicator.
+        - split_by: str, 'D' for day, 'H' for hour, 'T' for minute (default is 'D').
+        """
+        self.indicator_name = indicator_name
+        self.indicator = vbt.indicator(indicator_name)
+        self.split_by = split_by
+
+    def run(self, data, split_by=None, *args, **kwargs):
+        """
+        Run the indicator on a Series or DataFrame by splitting it by day, hour, or minute,
+        applying the indicator to each group, and concatenating the results.
+        
+        Parameters:
+        - data: pd.Series or pd.DataFrame, the input data series or dataframe (e.g., close prices).
+        - split_by: str, 'D' for day, 'H' for hour, 'T' for minute (default is 'D').
+        - *args, **kwargs: Arguments and keyword arguments passed to the indicator.
+        """
+
+        if split_by is None:
+            split_by = self.split_by
+
+        # Group by the specified frequency
+        if split_by == 'D':
+            grouped_data = data.groupby(data.index.date)
+        elif split_by in ['H', 'T']:
+            grouped_data = data.groupby(pd.Grouper(freq=split_by))
+        else:
+            raise ValueError("Invalid split_by value. Use 'D' (day), 'H' (hour), or 'T' (minute).")
+
+        # Run the indicator function for each group and concatenate the results
+        results = []
+        for date, group in grouped_data:
+            # Run the indicator for each group's data
+            result = self.indicator.run(group, *args, **kwargs)
+            results.append(result)
+
+        # Concatenate the results and return
+        return vbt.base.merging.row_stack_merge(results)
\ No newline at end of file