Example #1
0
def atr_nonull(H, L, C, period):
    return atr_nonull_eqty(C, period)
Example #2
0
def risk_ddq95(eq, risk_period):
    atr = atr_nonull_eqty(eq, risk_period)
    dd_series = eq - eq.expanding().max()
    dd = dd_series.rolling(risk_period).quantile(0.95).abs()
    # In case if DD is too low use ATR!
    return np.maximum(atr, dd)
Example #3
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def risk_atrmax(eq, risk_period):
    atr = atr_nonull_eqty(eq, risk_period)
    return atr.rolling(risk_period).max()
Example #4
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def risk_ddavg(eq, risk_period):
    atr = atr_nonull_eqty(eq, risk_period)
    dd_series = eq - eq.expanding().max()
    avg_dd = dd_series.rolling(risk_period).mean().abs()
    # In case if DD is too low use ATR!
    return np.maximum(atr, avg_dd)
Example #5
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def risk_atr(eq, risk_period):
    return atr_nonull_eqty(eq, risk_period)