65 lines
2.3 KiB
Python
65 lines
2.3 KiB
Python
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, round):
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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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out = (series1 - series2) / (series1 + series2)
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elif divtype == "rel":
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out = series1 - series2
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elif divtype == "abs":
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out = np.abs(series1 - series2)
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elif divtype == "absn":
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out = np.abs(series1 - series2) / series1
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elif divtype == "pctabs":
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out = np.abs(((series1 - series2) / series1) * 100)
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elif divtype == "pct":
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out = ((series1 - series2) / series1) * 100
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else:
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out = np.full_like(series1, np.nan)
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for i in range(out.shape[0]):
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if not np.isnan(out[i]):
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out[i] = np.round(out[i], round)
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return out
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"""
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Divergence indicator - various divergences between two series
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"""
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IND_DIVERGENCE = vbt.IF(
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class_name='DIVERGENCE',
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module_name='ttools',
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input_names=['series1', 'series2'],
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param_names=["divtype", "round"],
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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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round=4
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) |