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.)

Example usage:

from ttools import AnchoredIndicator

mom = vbt.indicator("talib:MOM").run(t1data.data["BAC"].close, timeperiod=10, skipna=True) #standard indicator
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.

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)

isrising(series,n),isfalling(series, n) - returns mask where the condition is satisfied of consecutive rising or falling elements