42 lines
1.4 KiB
Markdown
42 lines
1.4 KiB
Markdown
# ttools
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A Python library for tools, utilities, and helpers for my trading research workflow.
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Modules:
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# utils
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## vbtutils
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Contains helpers for vbtpro
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`AnchoredIndicator` - allows runing any vbt indicator in anchored mode (reset by Day, Hour etc.)
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Example usage:
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```python
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from ttools import AnchoredIndicator
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mom = vbt.indicator("talib:MOM").run(t1data.data["BAC"].close, timeperiod=10, skipna=True) #standard indicator
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mom_anch_d = AnchoredIndicator("talib:MOM", anchor='D').run(t1data.data["BAC"].close, timeperiod=10, skipna=True) #anchored to D
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```
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`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.
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```python
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from ttools import create_mask_from_window
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entry_window_opens = 3 #in minutes from start of the market
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entry_window_closes = 388
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forced_exit_start = 387
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forced_exit_end = 390
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#create mask based on main session that day
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entry_window_opened = create_mask_from_window(entries, entry_window_opens, entry_window_closes)
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#limit entries to the window
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entries = entries & entry_window_opened
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#create forced exits mask
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forced_exits_window = create_mask_from_window(exits, forced_exit_start, forced_exit_end)
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#add forced_exits to exits
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exits = exits | forced_exits_window
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exits.tail(20)
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``` |