fix
This commit is contained in:
David Brazda
2
setup.py
2
setup.py
@ -2,7 +2,7 @@ from setuptools import setup, find_packages
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setup(
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name='ttools',
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version='0.2.9',
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version='0.3.0',
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packages=find_packages(),
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install_requires=[
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'vectorbtpro',
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@ -1,76 +0,0 @@
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{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 4,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"The autoreload extension is already loaded. To reload it, use:\n",
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" %reload_ext autoreload\n"
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]
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},
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{
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"ename": "ModuleNotFoundError",
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"evalue": "No module named 'indicators'",
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"output_type": "error",
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"traceback": [
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"\u001b[0;31m---------------------------------------------------------------------------\u001b[0m",
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"\u001b[0;31mModuleNotFoundError\u001b[0m Traceback (most recent call last)",
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"Cell \u001b[0;32mIn[4], line 5\u001b[0m\n\u001b[1;32m 3\u001b[0m \u001b[38;5;28;01mimport\u001b[39;00m \u001b[38;5;21;01mvectorbtpro\u001b[39;00m \u001b[38;5;28;01mas\u001b[39;00m \u001b[38;5;21;01mvbt\u001b[39;00m\n\u001b[1;32m 4\u001b[0m \u001b[38;5;28;01mfrom\u001b[39;00m \u001b[38;5;21;01mttools\u001b[39;00m\u001b[38;5;21;01m.\u001b[39;00m\u001b[38;5;21;01mvbtindicators\u001b[39;00m \u001b[38;5;28;01mimport\u001b[39;00m register_custom_inds\n\u001b[0;32m----> 5\u001b[0m \u001b[43mregister_custom_inds\u001b[49m\u001b[43m(\u001b[49m\u001b[38;5;28;43;01mNone\u001b[39;49;00m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[38;5;124;43moverride\u001b[39;49m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[43m)\u001b[49m\n\u001b[1;32m 6\u001b[0m \u001b[38;5;66;03m#chopiness = vbt.indicator(\"technical:CHOPINESS\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100)\u001b[39;00m\n\u001b[1;32m 7\u001b[0m \u001b[38;5;66;03m#vwap_cum_roll = vbt.indicator(\"technical:ROLLING_VWAP\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100, min_periods = 5)\u001b[39;00m\n\u001b[1;32m 8\u001b[0m \u001b[38;5;66;03m#vwap_cum_d = vbt.indicator(\"ttools:CUVWAP\").run(s12_data.high, s12_data.low, s12_data.close, s12_data.volume, anchor=\"D\", drag=50)\u001b[39;00m\n\u001b[1;32m 9\u001b[0m \u001b[38;5;66;03m#vwap_lin_angle = vbt.indicator(\"talib:LINEARREG_ANGLE\").run(vwap_cum_d.vwap, timeperiod=2)\u001b[39;00m\n\u001b[1;32m 11\u001b[0m vbt\u001b[38;5;241m.\u001b[39mIF\u001b[38;5;241m.\u001b[39mlist_indicators(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mttools\u001b[39m\u001b[38;5;124m\"\u001b[39m)\n",
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"File \u001b[0;32m~/Documents/Development/python/ttools/ttools/vbtindicators.py:28\u001b[0m, in \u001b[0;36mregister_custom_inds\u001b[0;34m(indicator_name, if_exists)\u001b[0m\n\u001b[1;32m 26\u001b[0m \u001b[38;5;28;01mif\u001b[39;00m file_name\u001b[38;5;241m.\u001b[39mendswith(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124m.py\u001b[39m\u001b[38;5;124m\"\u001b[39m) \u001b[38;5;129;01mand\u001b[39;00m \u001b[38;5;129;01mnot\u001b[39;00m file_name\u001b[38;5;241m.\u001b[39mstartswith(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124m_\u001b[39m\u001b[38;5;124m\"\u001b[39m):\n\u001b[1;32m 27\u001b[0m module_name \u001b[38;5;241m=\u001b[39m file_name[:\u001b[38;5;241m-\u001b[39m\u001b[38;5;241m3\u001b[39m]\n\u001b[0;32m---> 28\u001b[0m module \u001b[38;5;241m=\u001b[39m \u001b[43mimportlib\u001b[49m\u001b[38;5;241;43m.\u001b[39;49m\u001b[43mimport_module\u001b[49m\u001b[43m(\u001b[49m\u001b[38;5;124;43mf\u001b[39;49m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[38;5;124;43mindicators.\u001b[39;49m\u001b[38;5;132;43;01m{\u001b[39;49;00m\u001b[43mfile_name\u001b[49m\u001b[43m[\u001b[49m\u001b[43m:\u001b[49m\u001b[38;5;241;43m-\u001b[39;49m\u001b[38;5;241;43m3\u001b[39;49m\u001b[43m]\u001b[49m\u001b[38;5;132;43;01m}\u001b[39;49;00m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[43m)\u001b[49m\n\u001b[1;32m 29\u001b[0m \u001b[38;5;28;01mfor\u001b[39;00m var_name, var_value \u001b[38;5;129;01min\u001b[39;00m \u001b[38;5;28mvars\u001b[39m(module)\u001b[38;5;241m.\u001b[39mitems():\n\u001b[1;32m 30\u001b[0m \u001b[38;5;28;01mif\u001b[39;00m var_name\u001b[38;5;241m.\u001b[39mstartswith(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mIND_\u001b[39m\u001b[38;5;124m\"\u001b[39m) \u001b[38;5;129;01mand\u001b[39;00m \u001b[38;5;28misinstance\u001b[39m(var_value, vbt\u001b[38;5;241m.\u001b[39mIndicatorFactory):\n",
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"File \u001b[0;32m/Library/Frameworks/Python.framework/Versions/3.10/lib/python3.10/importlib/__init__.py:126\u001b[0m, in \u001b[0;36mimport_module\u001b[0;34m(name, package)\u001b[0m\n\u001b[1;32m 124\u001b[0m \u001b[38;5;28;01mbreak\u001b[39;00m\n\u001b[1;32m 125\u001b[0m level \u001b[38;5;241m+\u001b[39m\u001b[38;5;241m=\u001b[39m \u001b[38;5;241m1\u001b[39m\n\u001b[0;32m--> 126\u001b[0m \u001b[38;5;28;01mreturn\u001b[39;00m \u001b[43m_bootstrap\u001b[49m\u001b[38;5;241;43m.\u001b[39;49m\u001b[43m_gcd_import\u001b[49m\u001b[43m(\u001b[49m\u001b[43mname\u001b[49m\u001b[43m[\u001b[49m\u001b[43mlevel\u001b[49m\u001b[43m:\u001b[49m\u001b[43m]\u001b[49m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[43mpackage\u001b[49m\u001b[43m,\u001b[49m\u001b[43m \u001b[49m\u001b[43mlevel\u001b[49m\u001b[43m)\u001b[49m\n",
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"File \u001b[0;32m<frozen importlib._bootstrap>:1050\u001b[0m, in \u001b[0;36m_gcd_import\u001b[0;34m(name, package, level)\u001b[0m\n",
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"File \u001b[0;32m<frozen importlib._bootstrap>:1027\u001b[0m, in \u001b[0;36m_find_and_load\u001b[0;34m(name, import_)\u001b[0m\n",
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"File \u001b[0;32m<frozen importlib._bootstrap>:992\u001b[0m, in \u001b[0;36m_find_and_load_unlocked\u001b[0;34m(name, import_)\u001b[0m\n",
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"File \u001b[0;32m<frozen importlib._bootstrap>:241\u001b[0m, in \u001b[0;36m_call_with_frames_removed\u001b[0;34m(f, *args, **kwds)\u001b[0m\n",
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"File \u001b[0;32m<frozen importlib._bootstrap>:1050\u001b[0m, in \u001b[0;36m_gcd_import\u001b[0;34m(name, package, level)\u001b[0m\n",
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"File \u001b[0;32m<frozen importlib._bootstrap>:1027\u001b[0m, in \u001b[0;36m_find_and_load\u001b[0;34m(name, import_)\u001b[0m\n",
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"File \u001b[0;32m<frozen importlib._bootstrap>:1004\u001b[0m, in \u001b[0;36m_find_and_load_unlocked\u001b[0;34m(name, import_)\u001b[0m\n",
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"\u001b[0;31mModuleNotFoundError\u001b[0m: No module named 'indicators'"
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]
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}
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],
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"source": [
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"%load_ext autoreload\n",
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"%autoreload 2\n",
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"import vectorbtpro as vbt\n",
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"from ttools.vbtindicators import register_custom_inds\n",
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"from ttools.indicators import CUVWAP\n",
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"\n",
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"\n",
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"register_custom_inds(None, \"override\")\n",
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"#chopiness = vbt.indicator(\"technical:CHOPINESS\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100)\n",
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"#vwap_cum_roll = vbt.indicator(\"technical:ROLLING_VWAP\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100, min_periods = 5)\n",
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"#vwap_cum_d = vbt.indicator(\"ttools:CUVWAP\").run(s12_data.high, s12_data.low, s12_data.close, s12_data.volume, anchor=\"D\", drag=50)\n",
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"#vwap_lin_angle = vbt.indicator(\"talib:LINEARREG_ANGLE\").run(vwap_cum_d.vwap, timeperiod=2)\n",
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"\n",
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"vbt.IF.list_indicators(\"ttools\")\n"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": ".venv",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.10.11"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 2
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}
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66
tests/test_ntb.ipynb
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66
tests/test_ntb.ipynb
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@ -0,0 +1,66 @@
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{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 8,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"The autoreload extension is already loaded. To reload it, use:\n",
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" %reload_ext autoreload\n"
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]
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},
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{
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"data": {
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"text/plain": [
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"['CUVWAP']"
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]
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},
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"execution_count": 8,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"%load_ext autoreload\n",
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"%autoreload 2\n",
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"import vectorbtpro as vbt\n",
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"from ttools.vbtindicators import register_custom_inds\n",
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"from ttools.indicators import CUVWAP\n",
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"\n",
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"\n",
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"register_custom_inds(None, \"override\")\n",
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"#chopiness = vbt.indicator(\"technical:CHOPINESS\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100)\n",
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"#vwap_cum_roll = vbt.indicator(\"technical:ROLLING_VWAP\").run(s12_data.open, s12_data.high, s12_data.low, s12_data.close, s12_data.volume, window = 100, min_periods = 5)\n",
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"#vwap_cum_d = vbt.indicator(\"ttools:CUVWAP\").run(s12_data.high, s12_data.low, s12_data.close, s12_data.volume, anchor=\"D\", drag=50)\n",
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"#vwap_lin_angle = vbt.indicator(\"talib:LINEARREG_ANGLE\").run(vwap_cum_d.vwap, timeperiod=2)\n",
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"\n",
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"vbt.IF.list_indicators(\"ttools\")\n"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": ".venv",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.10.11"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 2
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}
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@ -6,11 +6,9 @@ from vectorbtpro.base.wrapping import ArrayWrapper
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from vectorbtpro.utils.template import RepFunc
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"""
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Contains custom indicators for vectorbtpro.
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import and run register_custom_inds() to register all custom indicators.
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They are available under `vbt.IF.list_indicators("ttols")`
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Cumulative Anchored VWAP indicator on HLCC4 price, anchor = "D", "h", or "min" ...
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drag = 0 - overlap with previous group. takes into account last N elements from previous group
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when calculating (simulating v2realbot logic)
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"""
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def substitute_anchor(wrapper: ArrayWrapper, anchor: tp.Optional[tp.FrequencyLike]) -> tp.Array1d:
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59
ttools/indicators/DIVRELN.py
Normal file
59
ttools/indicators/DIVRELN.py
Normal file
@ -0,0 +1,59 @@
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import numpy as np
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from numba import jit
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import vectorbtpro as vbt
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from vectorbtpro import _typing as tp
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from vectorbtpro.base.wrapping import ArrayWrapper
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from vectorbtpro.utils.template import RepFunc
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"""
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DIVERGENCE - of two time series, same like in v2realbot
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if mode == "abs":
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val = round(abs(float(source1_series[-1]) - float(source2_series[-1])),4)
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elif mode == "absn":
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val = round((abs(float(source1_series[-1]) - float(source2_series[-1])))/float(source1_series[-1]),4)
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elif mode == "rel":
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val = round(float(source1_series[-1]) - float(source2_series[-1]),4)
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elif mode == "reln": #div = a+b / a-b will give value between -1 and 1
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val = round((float(source1_series[-1]) - float(source2_series[-1]))/(float(source1_series[-1])+float(source2_series[-1])),4)
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elif mode == "pctabs":
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val = pct_diff(num1=float(source1_series[-1]),num2=float(source2_series[-1]), absolute=True)
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elif mode == "pct":
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val = pct_diff(num1=float(source1_series[-1]),num2=float(source2_series[-1]))
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"""
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@jit(nopython=True)
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def divergence(series1, series2, divtype):
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print(divtype)
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#div = a+b / a-b will give value between -1 and 1
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if divtype == "reln":
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return (series1 - series2) / (series1 + series2)
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elif divtype == "rel":
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return series1 - series2
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elif divtype == "abs":
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return np.abs(series1 - series2)
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elif divtype == "absn":
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return np.abs(series1 - series2) / series1
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elif divtype == "pctabs":
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return np.abs(((series1 - series2) / series1) * 100)
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elif divtype == "pct":
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return ((series1 - series2) / series1) * 100
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else:
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return np.full_like(series1, np.nan)
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"""
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Divergence indicator - various divergences between two series
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"""
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IND_DIVRELN = vbt.IF(
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class_name='DIVRELN',
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module_name='ttools',
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input_names=['series1', 'series2'],
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param_names=["divtype"],
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output_names=['div']
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).with_apply_func(divergence,
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takes_1d=True,
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param_settings=dict(
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),
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divtype="reln"
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)
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