def get_pnf(hl, ll, cl, boxtype="m"):
lenc = len(cl)
if lenc < 5:
return [], [], []
cl = np.array(cl)
hl = np.array(hl)
ll = np.array(ll)
tl = (cl+hl+ll)/3
joints = [cl[0]]
indexes = [0]
pmmask = [0]
df = tl[1:]-tl[:-1]
last_peak = cl[0]
peak_idx = 0
jidx = 1
boxnum = 3
boxsizes = [0]*boxnum
uptrend = (df[0]>=0)
for day in range(1,lenc):
filter = 0
cnt = 0
for i in range(boxnum-1):
if boxsizes[i] > 0:
filter += boxsizes[i]
cnt += 1
if boxtype == "l":
boxsizes[-1] = kf.get_lboxsize(tl[day])
if boxtype == "m":
boxsizes[-1] = kf.get_boxsize(tl[day])
if boxtype == "b":
boxsizes[-1] = kf.get_bollinger_boxsize(tl[day])
if cnt < boxnum-1:
filter = boxsizes[-1]*boxnum
else:
filter += boxsizes[-1]
for i in range(boxnum-1):
boxsizes[i] = boxsizes[i+1]
if day < lenc-1:
dfp = df[day-1]
curp = tl[day]
if uptrend and dfp>=0:
if last_peak < curp:
last_peak = curp
peak_idx = day
elif uptrend==False and dfp<0:
if last_peak > curp:
last_peak = curp
peak_idx = day
elif (uptrend and dfp<0) or (uptrend==False and dfp>=0):
if abs(last_peak - curp) > filter:
if uptrend:
joints.append(hl[peak_idx])
pmmask.append(1)
else:
joints.append(ll[peak_idx])
pmmask.append(-1)
indexes.append(peak_idx)
uptrend = not uptrend
jidx += 1
last_peak = curp
peak_idx = day
return joints, indexes, pmmask
def old2_get_pnf(hl, ll, cl):
lenc = len(cl)
joints = np.ones(lenc)*(-1)
#joints2 = np.ones(lenc)*(-1)
indexes = np.ones(lenc)*(-1)
#indexes2 = np.ones(lenc)*(-1)
cl = np.array(cl)
hl = np.array(hl)
ll = np.array(ll)
tl = (cl+hl+ll)/3
joints[0] = cl[0]
indexes[0] = 0
df = tl[1:]-tl[:-1]
last_peak = cl[0]
peak_idx = 0
jidx = 1
boxnum = 3
boxsizes = [0]*boxnum
uptrend = (df[0]>=0)
for day in range(1,lenc):
filter = 0
cnt = 0
for i in range(boxnum-1):
if boxsizes[i] > 0:
filter += boxsizes[i]
cnt += 1
boxsizes[-1] = kf.get_bollinger_boxsize(cl[day])
if cnt < boxnum-1:
filter = boxsizes[-1]*boxnum
else:
filter += boxsizes[-1]
for i in range(boxnum-1):
boxsizes[i] = boxsizes[i+1]
if day < lenc-1:
dfp = df[day-1]
curp = tl[day]
#if day == lenc-1:
# joints2[-1] = curp
# indexes2[-1] = day
# for j in range(1, jidx+1):
# joints2[(-1)*j-1] = joints[jidx-j]
# indexes2[(-1)*j-1] = indexes[jidx-j]
if uptrend and dfp>=0:
if last_peak < curp:
last_peak = curp
peak_idx = day
elif uptrend==False and dfp<0:
if last_peak > curp:
last_peak = curp
peak_idx = day
elif (uptrend and dfp<0) or (uptrend==False and dfp>=0):
if abs(last_peak - curp) > filter:
if uptrend:
joints[jidx] = hl[peak_idx]
else:
joints[jidx] = ll[peak_idx]
indexes[jidx] = peak_idx
uptrend = not uptrend
jidx += 1
last_peak = curp
peak_idx = day
joints = (np.intc(joints)).tolist()
indexes = (np.intc(indexes)).tolist()
return joints, indexes
