def test_adx_invalid_data(self):
period = 6
self.close_data.append(0)
with self.assertRaises(Exception) as cm:
directional_indicators.average_directional_index(self.close_data, self.high_data, self.low_data, period)
expected = ("Error: mismatched data lengths, check to ensure that all input data is the same length and valid")
self.assertEqual(str(cm.exception), expected)
def test_adx_invalid_period(self):
period = 128
with self.assertRaises(Exception) as cm:
directional_indicators.average_directional_index(
self.close_data, self.high_data, self.low_data, period)
expected = "Error: data_len < period"
self.assertEqual(str(cm.exception), expected)
def preProcessCalculation(df, limit):
df = df.reset_index()
adx = np.array(
average_directional_index(df['close'], df['high'], df['low'], limit))
mfi = np.array(
money_flow_index(df['close'], df['high'], df['low'], df['volume'],
limit - 1))
atr = np.array(average_true_range(df['close'], limit))
obv = np.array(on_balance_volume(df['close'], df['volume']))
rocr = np.array(rate_of_change(df['close'], limit))
mom = np.array(momentum(df['close'], limit))
return adx, mfi, atr, obv, rocr, mom
def double_top_double_bottom(key, price_action, time_frame):
#To determine up/down trend and the strength
pdi = np.array(
positive_directional_index(price_action[id.close],
price_action[id.high], price_action[id.low],
id.window_size))
ndi = np.array(
negative_directional_index(price_action[id.close],
price_action[id.high], price_action[id.low],
id.window_size))
adx = np.array(
average_directional_index(price_action[id.close],
price_action[id.high], price_action[id.low],
id.window_size))
obv = np.array(
on_balance_volume(price_action[id.close], price_action[id.volume]))
#Calculate the local maxima and minima in the window frame
local_minima, local_maxima, indices_minima, indices_maxima = get_local_min_max(
np.array(price_action[id.high]))
notifier = {values.double_top: False, values.double_bottom: False}
if pdi[len(pdi) - 1] > ndi[len(ndi) - 1] and adx[len(adx) - 1] >= 25:
notifier[values.double_top] = check_double_top(price_action,
indices_maxima, obv)
if pdi[len(pdi) - 1] < ndi[len(ndi) - 1] and adx[len(adx) - 1] >= 25:
notifier[values.double_bottom] = check_double_bottom(
price_action, indices_minima, obv)
if notifier[values.double_top]:
db.insert_strategy(key, time_frame, values.double_top,
price_action.iloc[-1][id.time])
if notifier[values.double_bottom]:
db.insert_strategy(key, time_frame, values.double_bottom,
price_action.iloc[-1][id.time])
def test_adx_period_10(self):
period = 10
adx = directional_indicators.average_directional_index(
self.close_data, self.high_data, self.low_data, period)
np.testing.assert_allclose(adx, self.adx_period_10_expected)
def test_adx_period_8(self):
period = 8
adx = directional_indicators.average_directional_index(self.close_data, self.high_data, self.low_data, period)
np.testing.assert_array_equal(adx, self.adx_period_8_expected)
def _get_ta_features(high, low, close, volume, desc):
"""
Returns a dict containing the technical analysis indicators calculated on the given
high, low, close and volumes.
"""
ta = {}
# Set numpy to ignore division error and invalid values (since not all features are complete)
old_settings = np.seterr(divide='ignore', invalid='ignore')
record_count = len(close)
# Determine relative moving averages
for _short, _long in desc['rsma']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for rsma (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['rsma_{}_{}'.format(_short,
_long)] = relative_sma(close, _short, _long)
for _short, _long in desc['rema']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for rema (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['rema_{}_{}'.format(_short,
_long)] = relative_ema(close, _short, _long)
# MACD Indicator
if 'macd' in desc:
for _short, _long in desc['macd']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for rema (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['macd_{}_{}'.format(
_short, _long)] = moving_average_convergence_divergence(
close, _short, _long)
# Aroon Indicator
if 'ao' in desc:
for _period in desc['ao']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for ao (period={}, records={})"
.format(_period, record_count))
continue
ta['ao_{}'.format(_period)] = aroon_oscillator(close, _period)
# Average Directional Movement Index (ADX)
if 'adx' in desc:
for _period in desc['adx']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for adx (period={}, records={})"
.format(_period, record_count))
continue
ta['adx_{}'.format(_period)] = average_directional_index(
close, high, low, _period)
# Difference between Positive Directional Index(DI+) and Negative Directional Index(DI-)
if 'wd' in desc:
for _period in desc['wd']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for wd (period={}, records={})"
.format(_period, record_count))
continue
ta['wd_{}'.format(_period)] = \
positive_directional_index(close, high, low, _period) \
- negative_directional_index(close, high, low, _period)
# Percentage Price Oscillator
if 'ppo' in desc:
for _short, _long in desc['ppo']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for ppo (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['ppo_{}_{}'.format(_short, _long)] = price_oscillator(
close, _short, _long)
# Relative Strength Index
if 'rsi' in desc:
for _period in desc['rsi']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for rsi (period={}, records={})"
.format(_period, record_count))
continue
ta['rsi_{}'.format(_period)] = relative_strength_index(
close, _period)
# Money Flow Index
if 'mfi' in desc:
for _period in desc['mfi']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for mfi (period={}, records={})"
.format(_period, record_count))
continue
ta['mfi_{}'.format(_period)] = money_flow_index(
close, high, low, volume, _period)
# True Strength Index
if 'tsi' in desc and len(close) >= 40:
if record_count < 40:
logging.error(
"get_ta_features: not enough records for tsi (period={}, records={})"
.format(40, record_count))
else:
ta['tsi'] = true_strength_index(close)
if 'boll' in desc:
for _period in desc['stoch']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for boll (period={}, records={})"
.format(_period, record_count))
continue
ta['boll_{}'.format(_period)] = percent_b(close, _period)
# Stochastic Oscillator
if 'stoch' in desc:
for _period in desc['stoch']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for stoch (period={}, records={})"
.format(_period, record_count))
continue
ta['stoch_{}'.format(_period)] = percent_k(close, _period)
# ta.py['stoch'] = percent_k(high, low, close, 14)
# Chande Momentum Oscillator
## Not available in ta.py
if 'cmo' in desc:
for _period in desc['cmo']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for cmo (period={}, records={})"
.format(_period, record_count))
continue
ta['cmo_{}'.format(_period)] = chande_momentum_oscillator(
close, _period)
# Average True Range Percentage
if 'atrp' in desc:
for _period in desc['atrp']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for atrp (period={}, records={})"
.format(_period, record_count))
continue
ta['atrp_{}'.format(_period)] = average_true_range_percent(
close, _period)
# Percentage Volume Oscillator
if 'pvo' in desc:
for _short, _long in desc['pvo']:
if record_count < _short or record_count < _long:
logging.error(
"get_ta_features: not enough records for pvo (short={}, long={}, records={})"
.format(_short, _long, record_count))
continue
ta['pvo_{}_{}'.format(_short, _long)] = volume_oscillator(
volume, _short, _long)
# Force Index
if 'fi' in desc:
fi = force_index(close, volume)
for _period in desc['fi']:
if record_count < _period:
logging.error(
"get_ta_features: not enough records for atrp (period={}, records={})"
.format(_period, record_count))
continue
ta['fi_{}'.format(_period)] = exponential_moving_average(
fi, _period)
# Accumulation Distribution Line
if 'adi' in desc:
ta['adi'] = accumulation_distribution(close, high, low, volume)
# On Balance Volume
if 'obv' in desc:
ta['obv'] = on_balance_volume(close, volume)
# Restore numpy error settings
np.seterr(**old_settings)
return ta
