def get(open, high, low, close, wrb, wrb_hg):
"""Calculate directional creeper movment
Parameters
----------
Returns
-------
"""
size = open.shape[0]
result = np.zeros(size, dtype=np.int8)
most_recent_wrb = 0
last_dcm = 0
for i in range(size-3):
# bull dcm
if wrb_hg[i] == 1:
# look for most recent bear wrb_hg
for j in range(1, min(65, i)):
if wrb_hg[i-j] == -1:
most_recent_wrb = i-j
break
else:
most_recent_wrb = 0
# check volatiliti contraction
if (most_recent_wrb and
close[i] > open[most_recent_wrb] and
not dt.any(wrb[i+1:i+4]) and
dt.nanmin(low[i+1:i+4]) > open[i] and
dt.nanmin(close[i+1:i+4]) > close[i]):
last_dcm = 1
elif last_dcm == -1:
last_dcm = 0
# bear dcm
if wrb_hg[i] == -1:
# look for most recent bear wrb_hg
for j in range(1, min(65, i)):
if wrb_hg[i-j] == 1:
most_recent_wrb = i-j
break
else:
most_recent_wrb = 0
# check volatiliti contraction
if (most_recent_wrb and
close[i] < open[most_recent_wrb] and
not dt.any(wrb[i+1:i+4]) and
dt.nanmax(high[i+1:i+4]) < open[i] and
dt.nanmax(close[i+1:i+4]) < close[i]):
last_dcm = -1
elif last_dcm == 1:
last_dcm = 0
result[i] = last_dcm
return result
def get(open, high, low, close, wrb, wrb_hg):
"""Calculate directional creeper movment
Parameters
----------
Returns
-------
"""
size = open.shape[0]
result = np.zeros(size, dtype=np.int8)
most_recent_wrb = 0
last_dcm = 0
for i in range(size - 3):
# bull dcm
if wrb_hg[i] == 1:
# look for most recent bear wrb_hg
for j in range(1, min(65, i)):
if wrb_hg[i - j] == -1:
most_recent_wrb = i - j
break
else:
most_recent_wrb = 0
# check volatiliti contraction
if (most_recent_wrb and close[i] > open[most_recent_wrb]
and not dt.any(wrb[i + 1:i + 4])
and dt.nanmin(low[i + 1:i + 4]) > open[i]
and dt.nanmin(close[i + 1:i + 4]) > close[i]):
last_dcm = 1
elif last_dcm == -1:
last_dcm = 0
# bear dcm
if wrb_hg[i] == -1:
# look for most recent bear wrb_hg
for j in range(1, min(65, i)):
if wrb_hg[i - j] == 1:
most_recent_wrb = i - j
break
else:
most_recent_wrb = 0
# check volatiliti contraction
if (most_recent_wrb and close[i] < open[most_recent_wrb]
and not dt.any(wrb[i + 1:i + 4])
and dt.nanmax(high[i + 1:i + 4]) < open[i]
and dt.nanmax(close[i + 1:i + 4]) < close[i]):
last_dcm = -1
elif last_dcm == 1:
last_dcm = 0
result[i] = last_dcm
return result
def contraction_fill(v1, v2, high, low, dir):
if dir[v2] == 1:
if dt.nanmin(low[v2+1:v1]) <= open[v2]:
return True
elif dir[v2] == -1:
if dt.nanmax(high[v2+1:v1]) >= open[v2]:
return True
return False
def contraction_retrace(v1, v2, count, high, low, dir):
if dir[v2] == 1:
return dt.nanmin(low[v2 - 1 - count:v2 - 1]) <= dt.nanmin(low[v2 + 1:v1])
elif dir[v2] == -1:
return dt.nanmax(high[v2 - 1 - count:v2 - 1]) >= dt.nanmax(high[v2 + 1:v1])
def strong_continuation4(open, high, low, close, dir, body_size,
body_mid_point, bars_broken_by_body, wrb_hg):
"""Calculate wrb strong continuation def 3 zone
Parameters
----------
candle open: int64[:]
candle high: int64[:]
candle low: double[:]
candle dir: int64[:]
candle body size: double[:]
candle bars broken by body: int64[:]
candle wrb hg: int64[:]
Returns
-------
int64[:] where
strong continuation = 1
no strong continuation = 0
"""
size = open.shape[0]
result = np.zeros(size, dtype=np.int8)
for v1 in range(4, size):
# Look for V1 WRB HG
if not wrb_hg[v1]:
continue
# Bullish Swing Point
# Look for V2
for v2 in range(v1 - 4, v1 - QUANTUM_CONTRACTION, -1): # 4 + 64 = 68
# V2 wrb hg and must be bull
if (dir[v1] == 1 and wrb_hg[v2] == 1 and
# V1 body > V2 body and close V1 > close V2
body_size[v1] > body_size[v2] and close[v1] > close[2] and
body_mid_point[v2] > dt.nanmin(close[v2 + 1:v1]) and
# Contraction volatility must share min 1 pip with V2
contraction_share(v1, v2, high, low) and
# V1 must breakout volatility contraction
contraction_break(v1, v2, bars_broken_by_body) and
# Body of V1/V2 must be greater than volatiliti
# contraction
contraction_body_size_break(v1, v2, body_size)):
result[v1] = 1
break
# Bearish Swing Point
# V2 wrb hg and must be bear
elif (dir[v1] == -1 and wrb_hg[v2] == -1 and
# V1 body > V2 body and close V1 > close V2
body_size[v1] > body_size[v2] and close[v1] > close[2] and
body_mid_point[v2] < dt.nanmin(close[v2 + 1:v1]) and
# Contraction volatility must share min 1 pip with V2
contraction_share(v1, v2, high, low) and
# V1 must breakout volatility contraction
contraction_break(v1, v2, bars_broken_by_body) and
# Body of V1/V2 must be greater than volatiliti
# contraction
contraction_body_size_break(v1, v2, body_size)):
result[v1] = -1
break
return result