def upper_bollinger_feature(eq, period=20, stds=2):
upper_bol_vec, _ = eq.bollinger_bands(period, stds)
upper_bol_vec = np.array(upper_bol_vec)
upper_bol_vec = upper_bol_vec.T
return [Indicator(upper_bol_vec)]
def macd_signal(eq, slow_period, fast_period):
macd_sig = np.array(
Indicators.ema(
np.array(Indicators.macd(eq.closes, slow_period, fast_period)), 9))
macd_sig = macd_sig.T
return [Indicator(macd_sig)]
def lower_bollinger_feature(eq, period=20, stds=2):
_, lower_bol_vec = eq.bollinger_bands(period, stds)
lower_bol_vec = np.array(lower_bol_vec)
lower_bol_vec = lower_bol_vec.T
return [Indicator(lower_bol_vec)]
def oil_feature():
wti_file = os.path.join('../', 'commodities', 'OIL')
wti = Equity(wti_file)
wti_closes = np.array(wti.closes)
wti_closes = wti_closes.T
return [Indicator(wti_closes)]
def snp_feature():
snp_file = os.path.join('../', 'indexes', 'SNP')
snp_eq = Equity(snp_file)
snp_closes = np.array(snp_eq.closes)
snp_closes = snp_closes.T
return [Indicator(snp_closes)]
def reit_feature():
reit_file = os.path.join('../', 'indexes', 'RE')
reit_eq = Equity(reit_file)
reit_closes = np.array(reit_eq.closes)
reit_closes = reit_closes.T
return [Indicator(reit_closes)]
def macd_raw_feature(eq, slow_period, fast_period):
"""
Generates a feature vector of macd_raw for the last num_days
"""
macd_raw_vec = np.array(
Indicators.macd(eq.closes, slow_period, fast_period))
macd_raw_vec = macd_raw_vec.T
return [Indicator(macd_raw_vec)]
def olhc_feature(eq):
ohlc_vec = eq.ohlc()
return [Indicator(ohlc_vec)]
def prings_feature(eq):
prings_vec = np.array(Indicators.prings_know_sure_thing(eq.closes))
prings_vec = prings_vec.T
return [Indicator(prings_vec)]
def rsi_feature(eq, period=20, type='sma'):
rsi_vec = np.array(Indicators.rsi(eq.closes, period, type))
rsi_vec = rsi_vec.T
return [Indicator(rsi_vec)]
def trix_vec_feature(eq):
trix_vec = np.array(Indicators.trix_indicator(eq.closes))
trix_vec = trix_vec.T
return [Indicator(trix_vec)]
def kst_trix_vec_feature(eq):
kst_trix_vec = np.array(Indicators.kst_trix_indicator(eq.closes))
kst_trix_vec = kst_trix_vec.T
return [Indicator(kst_trix_vec)]
def bop_feature(eq):
bop_vec = np.array(eq.balance_of_power())
bop_vec = bop_vec.T
return [Indicator(bop_vec)]
def atr_feature(eq, period):
atr_vec = np.array(Indicators.average_true_range(eq, period))
atr_vec = atr_vec.T
return [Indicator(atr_vec)]
def gop_feature(eq, period):
gop_vec = np.array(eq.gop_range_index(period))
gop_vec = gop_vec.T
return [Indicator(gop_vec)]
def volume_feature(eq):
vol_vec = np.array(eq.volumes)
vol_vec = vol_vec.T
return [Indicator(vol_vec)]
def wilder_feature(eq, period):
wilder_vec = np.array(Indicators.ema(eq.closes, period, 'wilder'))
wilder_vec = wilder_vec.T
return [Indicator(wilder_vec)]
def ema_feature(eq, period):
ema_vec = np.array(Indicators.ema(eq.closes, period))
ema_vec = ema_vec.T
return [Indicator(ema_vec)]
def sma_feature(eq, period):
sma_vec = np.array(Indicators.sma(eq.closes, period))
sma_vec = sma_vec.T
return [Indicator(sma_vec)]
def close_feature(eq):
close_vec = np.array(eq.closes)
close_vec = close_vec.T
return [Indicator(close_vec)]
def accum_swing_feature(eq):
accum_swing_vec = np.array(eq.accumulative_swing_index())
accum_swing_vec = accum_swing_vec.T
return [Indicator(accum_swing_vec)]
def rainbow_ma(prices, periods=(1, 3, 5, 7, 9)):
return [
Indicator(Indicators.sma(prices, period).T) for period in periods
]