ohlcstx module¶

Module with OHLCSTX.

ohlcstx_config ReadonlyConfig¶

Factory config for OHLCSTX.

ohlcstx_func_config ReadonlyConfig¶

Exit function config for OHLCSTX.

bind_ohlcstx_plot function¶

bind_ohlcstx_plot(
    base_cls,
    entries_attr
)

OHLCSTX class¶

OHLCSTX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Exit signal generator based on OHLC and stop values.

Generates exits based on entries and ohlc_stop_place_nb().

Usage

Test each stop type:

>>> from vectorbtpro import *

>>> entries = pd.Series([True, False, False, False, False, False])
>>> price = pd.DataFrame({
...     'open': [10, 11, 12, 11, 10, 9],
...     'high': [11, 12, 13, 12, 11, 10],
...     'low': [9, 10, 11, 10, 9, 8],
...     'close': [10, 11, 12, 11, 10, 9]
... })
>>> ohlcstx = vbt.OHLCSTX.run(
...     entries,
...     price['open'],
...     price['open'],
...     price['high'],
...     price['low'],
...     price['close'],
...     sl_stop=[0.1, np.nan, np.nan, np.nan],
...     tsl_th=[np.nan, np.nan, 0.2, np.nan],
...     tsl_stop=[np.nan, 0.1, 0.3, np.nan],
...     tp_stop=[np.nan, np.nan, np.nan, 0.1],
...     is_entry_open=True
... )

>>> ohlcstx.entries
ohlcstx_sl_stop      0.1    NaN    NaN    NaN
ohlcstx_tsl_th       NaN    NaN    0.2    NaN
ohlcstx_tsl_stop     NaN    0.1    0.3    NaN
ohlcstx_tp_stop      NaN    NaN    NaN    0.1
0                   True   True   True   True
1                  False  False  False  False
2                  False  False  False  False
3                  False  False  False  False
4                  False  False  False  False
5                  False  False  False  False

>>> ohlcstx.exits
ohlcstx_sl_stop      0.1    NaN    NaN    NaN
ohlcstx_tsl_th       NaN    NaN    0.2    NaN
ohlcstx_tsl_stop     NaN    0.1    0.3    NaN
ohlcstx_tp_stop      NaN    NaN    NaN    0.1
0                  False  False  False  False
1                  False  False  False   True
2                  False  False  False  False
3                  False   True  False  False
4                   True  False   True  False
5                  False  False  False  False

>>> ohlcstx.stop_price
ohlcstx_sl_stop    0.1   NaN  NaN   NaN
ohlcstx_tsl_th     NaN   NaN  0.2   NaN
ohlcstx_tsl_stop   NaN   0.1  0.3   NaN
ohlcstx_tp_stop    NaN   NaN  NaN   0.1
0                  NaN   NaN  NaN   NaN
1                  NaN   NaN  NaN  11.0
2                  NaN   NaN  NaN   NaN
3                  NaN  11.7  NaN   NaN
4                  9.0   NaN  9.1   NaN
5                  NaN   NaN  NaN   NaN

>>> ohlcstx.stop_type_readable
ohlcstx_sl_stop     0.1   NaN   NaN   NaN
ohlcstx_tsl_th      NaN   NaN   0.2   NaN
ohlcstx_tsl_stop    NaN   0.1   0.3   NaN
ohlcstx_tp_stop     NaN   NaN   NaN   0.1
0                  None  None  None  None
1                  None  None  None    TP
2                  None  None  None  None
3                  None   TSL  None  None
4                    SL  None   TTP  None
5                  None  None  None  None

Superclasses

• Analyzable
• AttrResolverMixin
• Cacheable
• Chainable
• Comparable
• Configured
• ExtPandasIndexer
• HasSettings
• IndexingBase
• IndicatorBase
• PandasIndexer
• Pickleable
• PlotsBuilderMixin
• Prettified
• StatsBuilderMixin
• Wrapping
• vectorbtpro.signals.generators.ohlcstx.ParamIndexer

Inherited members

• AttrResolverMixin.deep_getattr()
• AttrResolverMixin.post_resolve_attr()
• AttrResolverMixin.pre_resolve_attr()
• AttrResolverMixin.resolve_attr()
• AttrResolverMixin.resolve_shortcut_attr()
• Cacheable.get_ca_setup()
• Chainable.pipe()
• Configured.copy()
• Configured.equals()
• Configured.get_writeable_attrs()
• Configured.prettify()
• Configured.replace()
• Configured.resolve_merge_kwargs()
• Configured.update_config()
• HasSettings.get_path_setting()
• HasSettings.get_path_settings()
• HasSettings.get_setting()
• HasSettings.get_settings()
• HasSettings.has_path_setting()
• HasSettings.has_path_settings()
• HasSettings.has_setting()
• HasSettings.has_settings()
• HasSettings.reset_settings()
• HasSettings.resolve_setting()
• HasSettings.resolve_settings_paths()
• HasSettings.set_settings()
• IndexingBase.indexing_setter_func()
• IndicatorBase.cls_dir
• IndicatorBase.column_only_select
• IndicatorBase.column_stack()
• IndicatorBase.config
• IndicatorBase.dropna()
• IndicatorBase.group_select
• IndicatorBase.iloc
• IndicatorBase.in_output_names
• IndicatorBase.indexing_func()
• IndicatorBase.indexing_kwargs
• IndicatorBase.input_names
• IndicatorBase.lazy_output_names
• IndicatorBase.level_names
• IndicatorBase.loc
• IndicatorBase.output_flags
• IndicatorBase.output_names
• IndicatorBase.param_names
• IndicatorBase.plots_defaults
• IndicatorBase.range_only_select
• IndicatorBase.rec_state
• IndicatorBase.row_stack()
• IndicatorBase.run_pipeline()
• IndicatorBase.self_aliases
• IndicatorBase.short_name
• IndicatorBase.stats_defaults
• IndicatorBase.to_dict()
• IndicatorBase.to_frame()
• IndicatorBase.unpack()
• IndicatorBase.wrapper
• IndicatorBase.xloc
• PandasIndexer.xs()
• Pickleable.decode_config()
• Pickleable.decode_config_node()
• Pickleable.dumps()
• Pickleable.encode_config()
• Pickleable.encode_config_node()
• Pickleable.file_exists()
• Pickleable.getsize()
• Pickleable.load()
• Pickleable.loads()
• Pickleable.modify_state()
• Pickleable.resolve_file_path()
• Pickleable.save()
• PlotsBuilderMixin.build_subplots_doc()
• PlotsBuilderMixin.override_subplots_doc()
• PlotsBuilderMixin.plots()
• StatsBuilderMixin.build_metrics_doc()
• StatsBuilderMixin.override_metrics_doc()
• StatsBuilderMixin.stats()
• Wrapping.regroup()
• Wrapping.resample()
• Wrapping.resolve_column_stack_kwargs()
• Wrapping.resolve_row_stack_kwargs()
• Wrapping.resolve_self()
• Wrapping.resolve_stack_kwargs()
• Wrapping.select_col()
• Wrapping.select_col_from_obj()
• Wrapping.split()

Subclasses

• vectorbtpro.signals.generators.ohlcstx._OHLCSTX

apply_func method¶

OHLCSTX.apply_func(
    i,
    entries,
    entry_price,
    open,
    high,
    low,
    close,
    stop_price,
    stop_type,
    sl_stop,
    tsl_th,
    tsl_stop,
    tp_stop,
    reverse,
    exit_args,
    wait,
    until_next,
    skip_until_exit
)

close property¶

Input array.

close_above method¶

OHLCSTX.close_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is above other.

See combine_objs().

close_below method¶

OHLCSTX.close_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is below other.

See combine_objs().

close_crossed_above method¶

OHLCSTX.close_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_above other.

See combine_objs().

close_crossed_below method¶

OHLCSTX.close_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_below other.

See combine_objs().

close_equal method¶

OHLCSTX.close_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is equal other.

See combine_objs().

close_stats method¶

OHLCSTX.close_stats(
    *args,
    **kwargs
)

Stats of close as generic.

custom_func method¶

SignalFactory.with_place_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    place_args=None,
    entry_place_args=None,
    exit_place_args=None,
    entry_args=None,
    exit_args=None,
    cache_args=None,
    entry_kwargs=None,
    exit_kwargs=None,
    cache_kwargs=None,
    return_cache=False,
    use_cache=None,
    execute_kwargs=None,
    **_kwargs
)

entries property¶

Input array.

entries_and method¶

OHLCSTX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

OHLCSTX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

OHLCSTX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

OHLCSTX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

entry_place_func_nb class variable¶

entry_price property¶

Input array.

entry_price_above method¶

OHLCSTX.entry_price_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where entry_price is above other.

See combine_objs().

entry_price_below method¶

OHLCSTX.entry_price_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where entry_price is below other.

See combine_objs().

entry_price_crossed_above method¶

OHLCSTX.entry_price_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where entry_price is crossed_above other.

See combine_objs().

entry_price_crossed_below method¶

OHLCSTX.entry_price_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where entry_price is crossed_below other.

See combine_objs().

entry_price_equal method¶

OHLCSTX.entry_price_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where entry_price is equal other.

See combine_objs().

entry_price_stats method¶

OHLCSTX.entry_price_stats(
    *args,
    **kwargs
)

Stats of entry_price as generic.

exit_place_func_nb method¶

OHLCSTX.exit_place_func_nb(
    c,
    entry_price,
    open,
    high,
    low,
    close,
    stop_price_out,
    stop_type_out,
    sl_stop,
    tsl_th,
    tsl_stop,
    tp_stop,
    reverse,
    is_entry_open=False
)

place_func_nb that places an exit signal whenever a threshold is being hit using OHLC.

Compared to stop_place_nb, takes into account the whole bar, can check for both (trailing) stop loss and take profit simultaneously, and tracks hit price and stop type.

Args

c : GenExContext or GenEnExContext

Signal context.

entry_price : array of float

Entry price.

Utilizes flexible indexing.

open : array of float

Open price.

Utilizes flexible indexing. If Nan and is_entry_open is True, defaults to entry price.

high : array of float

High price.

Utilizes flexible indexing. If NaN, gets calculated from open and close.

low : array of float

Low price.

Utilizes flexible indexing. If NaN, gets calculated from open and close.

close : array of float

Close price.

Utilizes flexible indexing. If Nan and is_entry_open is False, defaults to entry price.

stop_price_out : array of float

Array where hit price of each exit will be stored.

Must be of the full shape.

stop_type_out : array of int

Array where stop type of each exit will be stored.

Must be of the full shape. 0 for stop loss, 1 for take profit.

sl_stop : array of float

Stop loss as a percentage.

Utilizes flexible indexing. Set an element to np.nan to disable.

tsl_th : array of float

Take profit threshold as a percentage for the trailing stop loss.

Utilizes flexible indexing. Set an element to np.nan to disable.

tsl_stop : array of float

Trailing stop loss as a percentage for the trailing stop loss.

Utilizes flexible indexing. Set an element to np.nan to disable.

tp_stop : array of float

Take profit as a percentage.

Utilizes flexible indexing. Set an element to np.nan to disable.

reverse : array of float

Whether to do the opposite, i.e.: prices are followed downwards.

Utilizes flexible indexing.

is_entry_open : bool

Whether entry price comes right at or before open.

If True, uses high and low of the entry bar. Otherwise, uses only close.

exits property¶

Output array.

exits_and method¶

OHLCSTX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

OHLCSTX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

OHLCSTX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

OHLCSTX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

high property¶

Input array.

high_above method¶

OHLCSTX.high_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is above other.

See combine_objs().

high_below method¶

OHLCSTX.high_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is below other.

See combine_objs().

high_crossed_above method¶

OHLCSTX.high_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is crossed_above other.

See combine_objs().

high_crossed_below method¶

OHLCSTX.high_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is crossed_below other.

See combine_objs().

high_equal method¶

OHLCSTX.high_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is equal other.

See combine_objs().

high_stats method¶

OHLCSTX.high_stats(
    *args,
    **kwargs
)

Stats of high as generic.

low property¶

Input array.

low_above method¶

OHLCSTX.low_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is above other.

See combine_objs().

low_below method¶

OHLCSTX.low_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is below other.

See combine_objs().

low_crossed_above method¶

OHLCSTX.low_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is crossed_above other.

See combine_objs().

low_crossed_below method¶

OHLCSTX.low_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is crossed_below other.

See combine_objs().

low_equal method¶

OHLCSTX.low_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is equal other.

See combine_objs().

low_stats method¶

OHLCSTX.low_stats(
    *args,
    **kwargs
)

Stats of low as generic.

open property¶

Input array.

open_above method¶

OHLCSTX.open_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is above other.

See combine_objs().

open_below method¶

OHLCSTX.open_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is below other.

See combine_objs().

open_crossed_above method¶

OHLCSTX.open_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is crossed_above other.

See combine_objs().

open_crossed_below method¶

OHLCSTX.open_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is crossed_below other.

See combine_objs().

open_equal method¶

OHLCSTX.open_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is equal other.

See combine_objs().

open_stats method¶

OHLCSTX.open_stats(
    *args,
    **kwargs
)

Stats of open as generic.

plot method¶

bind_ohlcstx_plot.<locals>.plot(
    column=None,
    ohlc_kwargs=None,
    entry_price_kwargs=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    add_trace_kwargs=None,
    fig=None,
    **layout_kwargs
)

Plot OHLC, OHLCSTX.entries and OHLCSTX.exits.

Args

ohlc_kwargs : dict

Keyword arguments passed to OHLCVDFAccessor.plot().

entry_trace_kwargs : dict

Keyword arguments passed to SignalsAccessor.plot_as_entries() for OHLCSTX.entries.

exit_trace_kwargs : dict

Keyword arguments passed to SignalsAccessor.plot_as_exits() for OHLCSTX.exits.

fig : Figure or FigureWidget

Figure to add traces to.

**layout_kwargs

Keyword arguments for layout.

Usage

>>> ohlcstx.iloc[:, 0].plot().show()

reverse_list property¶

List of reverse values.

run class method¶

OHLCSTX.run(
    entries,
    entry_price,
    open=nan,
    high=nan,
    low=nan,
    close=nan,
    sl_stop=Default(value=nan),
    tsl_th=Default(value=nan),
    tsl_stop=Default(value=nan),
    tp_stop=Default(value=nan),
    reverse=Default(value=False),
    stop_price=nan,
    stop_type=-1,
    short_name='ohlcstx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run OHLCSTX indicator.

• Inputs: entries, entry_price, open, high, low, close
• In-place outputs: stop_price, stop_type
• Parameters: sl_stop, tsl_th, tsl_stop, tp_stop, reverse
• Outputs: exits

Pass a list of parameter names as hide_params to hide their column levels, or True to hide all. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to IndicatorBase.run_pipeline().

run_combs class method¶

OHLCSTX.run_combs(
    entries,
    entry_price,
    open=nan,
    high=nan,
    low=nan,
    close=nan,
    sl_stop=Default(value=nan),
    tsl_th=Default(value=nan),
    tsl_stop=Default(value=nan),
    tp_stop=Default(value=nan),
    reverse=Default(value=False),
    stop_price=nan,
    stop_type=-1,
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple OHLCSTX indicators using function comb_func.

• Inputs: entries, entry_price, open, high, low, close
• In-place outputs: stop_price, stop_type
• Parameters: sl_stop, tsl_th, tsl_stop, tp_stop, reverse
• Outputs: exits

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to OHLCSTX.run().

sl_stop_list property¶

List of sl_stop values.

stop_price property¶

In-place output array.

stop_price_above method¶

OHLCSTX.stop_price_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is above other.

See combine_objs().

stop_price_below method¶

OHLCSTX.stop_price_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is below other.

See combine_objs().

stop_price_crossed_above method¶

OHLCSTX.stop_price_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is crossed_above other.

See combine_objs().

stop_price_crossed_below method¶

OHLCSTX.stop_price_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is crossed_below other.

See combine_objs().

stop_price_equal method¶

OHLCSTX.stop_price_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is equal other.

See combine_objs().

stop_price_stats method¶

OHLCSTX.stop_price_stats(
    *args,
    **kwargs
)

Stats of stop_price as generic.

stop_type property¶

In-place output array.

stop_type_readable property¶

stop_type in readable format based on the following mapping:

{
    0: 'SL',
    1: 'TSL',
    2: 'TTP',
    3: 'TP',
    4: 'TD',
    5: 'DT',
    -1: None
}

stop_type_stats method¶

OHLCSTX.stop_type_stats(
    *args,
    **kwargs
)

Stats of stop_type based on the following mapping:

{
    0: 'SL',
    1: 'TSL',
    2: 'TTP',
    3: 'TP',
    4: 'TD',
    5: 'DT',
    -1: None
}

tp_stop_list property¶

List of tp_stop values.

tsl_stop_list property¶

List of tsl_stop values.

tsl_th_list property¶

List of tsl_th values.