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This commit is contained in:
David Brazda
2024-10-18 13:26:56 +02:00
parent 246ea48281
commit 953bea03cd
2 changed files with 8 additions and 4 deletions
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2
setup.py
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@ -2,7 +2,7 @@ from setuptools import setup, find_packages
setup( setup(
name='ttools', name='ttools',
version='0.2.7', version='0.2.8',
packages=find_packages(), packages=find_packages(),
install_requires=[ install_requires=[
'vectorbtpro', 'vectorbtpro',

10
ttools/vbtindicators.py
View File

@ -20,7 +20,7 @@ def substitute_anchor(wrapper: ArrayWrapper, anchor: tp.Optional[tp.FrequencyLik
return wrapper.get_index_grouper(anchor).get_group_lens() return wrapper.get_index_grouper(anchor).get_group_lens()
@jit(nopython=True) @jit(nopython=True)
def vwap_cum(high, low, close, volume, group_lens): def vwap_cum(high, low, close, volume, group_lens, drag):
#anchor based grouping - prepare group indexes #anchor based grouping - prepare group indexes
group_end_idxs = np.cumsum(group_lens) group_end_idxs = np.cumsum(group_lens)
group_start_idxs = group_end_idxs - group_lens group_start_idxs = group_end_idxs - group_lens
@ -33,6 +33,7 @@ def vwap_cum(high, low, close, volume, group_lens):
#iterate over groups #iterate over groups
for group in range(len(group_lens)): for group in range(len(group_lens)):
from_i = group_start_idxs[group] from_i = group_start_idxs[group]
from_i = max(0, from_i - drag)
to_i = group_end_idxs[group] to_i = group_end_idxs[group]
nom_cumsum = 0 nom_cumsum = 0
denum_cumsum = 0 denum_cumsum = 0
@ -47,13 +48,15 @@ def vwap_cum(high, low, close, volume, group_lens):
return out return out
""" """
cumulative anchored vwap indicator on HLCC4 price cumulative anchored vwap indicator on HLCC4 price, anchor = "D", "h", or "min" ...
drag = 0 - overlap with previous group. takes into account last N elements from previous group
when calculating (simulating v2realbot logic)
""" """
IND_CUVWAP = vbt.IF( IND_CUVWAP = vbt.IF(
class_name='CUVWAP', class_name='CUVWAP',
module_name='ttools', module_name='ttools',
input_names=['high', 'low', 'close', 'volume'], input_names=['high', 'low', 'close', 'volume'],
param_names=['anchor'], param_names=['anchor', "drag"],
output_names=['vwap'] output_names=['vwap']
).with_apply_func(vwap_cum, ).with_apply_func(vwap_cum,
takes_1d=True, takes_1d=True,
@ -61,6 +64,7 @@ IND_CUVWAP = vbt.IF(
anchor=dict(template=RepFunc(substitute_anchor)), anchor=dict(template=RepFunc(substitute_anchor)),
), ),
anchor="D", anchor="D",
drag=0
) )
def register_custom_inds(indicator_name: str = None, if_exists: str ="skip"): def register_custom_inds(indicator_name: str = None, if_exists: str ="skip"):