def AROON(self, df): #trend
'''
data range (0%,100%)
'''
df_AROON = df.copy()
aroon = AroonIndicator(df['Close'])
df['aroon_up'] = aroon.aroon_up()
df['aroon_down'] = aroon.aroon_down()
return df
kama_indicator = KAMAIndicator(close = df["Close"], window = 10, pow1 = 2, pow2 = 30, fillna = False)
df['kama'] = kama_indicator.kama()
ppo_indicator = PercentagePriceOscillator(close = df["Close"], window_slow = 20, window_fast = 10, window_sign = 9, fillna = False)
df['ppo'] = ppo_indicator.ppo()
roc_indicator = ROCIndicator(close = df["Close"], window = 12, fillna = False)
df['roc'] = roc_indicator.roc()
macd_indicator = MACD(close = df["Close"], window_slow = 20, window_fast = 12, window_sign = 9, fillna = False)
df['macd'] = macd_indicator.macd()
rsi_indicator = RSIIndicator(close = df["Close"], window = 14, fillna = False)
df['rsi'] = rsi_indicator.rsi()
aroon_indicator = AroonIndicator(close = df["Close"], window = 20, fillna = False)
df['aroon'] = aroon_indicator.aroon_indicator()
boll_indicator = BollingerBands(close = df["Close"], window = 20, window_dev = 2, fillna = False)
df['boll_mavg'] = boll_indicator.bollinger_mavg()
df.rename(columns = {"Close": "price"}, inplace=True)
prices = df['price'].to_numpy()
df['day_of_month'] = df.index.day
df['day_of_week'] = df.index.dayofweek
df['month'] = df.index.month
df.dropna(inplace=True)
df = df.drop(df.columns[[0, 1, 2, 4, 5]], axis=1)
def applyIndicator(self, full_company_price):
self.data = full_company_price
high = self.data['high']
low = self.data['low']
close = self.data['close']
volume = self.data['volume']
EMA12 = EMAIndicator(close, 12, fillna=False)
EMA30 = EMAIndicator(close, 20, fillna=False)
EMA60 = EMAIndicator(close, 60, fillna=False)
MACD1226 = MACD(close, 26, 12, 9, fillna=False)
MACD2452 = MACD(close, 52, 24, 18, fillna=False)
ROC12 = ROCIndicator(close, 12, fillna=False)
ROC30 = ROCIndicator(close, 30, fillna=False)
ROC60 = ROCIndicator(close, 60, fillna=False)
RSI14 = RSIIndicator(close, 14, fillna=False)
RSI28 = RSIIndicator(close, 28, fillna=False)
RSI60 = RSIIndicator(close, 60, fillna=False)
AROON25 = AroonIndicator(close, 25, fillna=False)
AROON50 = AroonIndicator(close, 50, fillna=False)
AROON80 = AroonIndicator(close, 80, fillna=False)
MFI14 = MFIIndicator(high, low, close, volume, 14, fillna=False)
MFI28 = MFIIndicator(high, low, close, volume, 28, fillna=False)
MFI80 = MFIIndicator(high, low, close, volume, 80, fillna=False)
CCI20 = CCIIndicator(high, low, close, 20, 0.015, fillna=False)
CCI40 = CCIIndicator(high, low, close, 40, 0.015, fillna=False)
CCI100 = CCIIndicator(high, low, close, 100, 0.015, fillna=False)
WILLR14 = WilliamsRIndicator(high, low, close, 14, fillna=False)
WILLR28 = WilliamsRIndicator(high, low, close, 28, fillna=False)
WILLR60 = WilliamsRIndicator(high, low, close, 60, fillna=False)
BBANDS20 = BollingerBands(close, 20, 2, fillna=False)
KC20 = KeltnerChannel(high, low, close, 20, 10, fillna=False)
STOCH14 = StochasticOscillator(high, low, close, 14, 3, fillna=False)
STOCH28 = StochasticOscillator(high, low, close, 28, 6, fillna=False)
STOCH60 = StochasticOscillator(high, low, close, 60, 12, fillna=False)
CMI20 = ChaikinMoneyFlowIndicator(high,
low,
close,
volume,
20,
fillna=False)
CMI40 = ChaikinMoneyFlowIndicator(high,
low,
close,
volume,
40,
fillna=False)
CMI100 = ChaikinMoneyFlowIndicator(high,
low,
close,
volume,
100,
fillna=False)
self.data['ema12'] = (close - EMA12.ema_indicator()) / close
self.data['ema30'] = (close - EMA30.ema_indicator()) / close
self.data['ema60'] = (close - EMA60.ema_indicator()) / close
self.data['macd1226'] = MACD1226.macd() - MACD1226.macd_signal()
self.data['macd2452'] = MACD2452.macd() - MACD2452.macd_signal()
self.data['roc12'] = ROC12.roc()
self.data['roc30'] = ROC30.roc()
self.data['roc60'] = ROC60.roc()
self.data['rsi14'] = RSI14.rsi()
self.data['rsi28'] = RSI28.rsi()
self.data['rsi60'] = RSI60.rsi()
self.data['aroon25'] = AROON25.aroon_indicator()
self.data['aroon50'] = AROON50.aroon_indicator()
self.data['aroon80'] = AROON80.aroon_indicator()
self.data['mfi14'] = MFI14.money_flow_index()
self.data['mfi28'] = MFI28.money_flow_index()
self.data['mfi80'] = MFI80.money_flow_index()
self.data['cci20'] = CCI20.cci()
self.data['cci40'] = CCI40.cci()
self.data['cci100'] = CCI100.cci()
self.data['willr14'] = WILLR14.wr()
self.data['willr28'] = WILLR28.wr()
self.data['willr60'] = WILLR60.wr()
self.data['bband20up'] = (BBANDS20.bollinger_hband() - close) / close
self.data['bband20down'] = (close - BBANDS20.bollinger_lband()) / close
self.data['stoch14'] = STOCH14.stoch()
self.data['stoch28'] = STOCH28.stoch()
self.data['stoch60'] = STOCH60.stoch()
self.data['cmi20'] = CMI20.chaikin_money_flow()
self.data['cmi40'] = CMI40.chaikin_money_flow()
self.data['cmi100'] = CMI100.chaikin_money_flow()
self.data['kc20up'] = (KC20.keltner_channel_hband() - close) / close
self.data['kc20down'] = (close - KC20.keltner_channel_lband()) / close
return self.data
def add_trend_ta(
df: pd.DataFrame,
high: str,
low: str,
close: str,
fillna: bool = False,
colprefix: str = "",
vectorized: bool = False,
) -> pd.DataFrame:
"""Add trend technical analysis features to dataframe.
Args:
df (pandas.core.frame.DataFrame): Dataframe base.
high (str): Name of 'high' column.
low (str): Name of 'low' column.
close (str): Name of 'close' column.
fillna(bool): if True, fill nan values.
colprefix(str): Prefix column names inserted
vectorized(bool): if True, use only vectorized functions indicators
Returns:
pandas.core.frame.DataFrame: Dataframe with new features.
"""
# MACD
indicator_macd = MACD(close=df[close],
window_slow=26,
window_fast=12,
window_sign=9,
fillna=fillna)
df[f"{colprefix}trend_macd"] = indicator_macd.macd()
df[f"{colprefix}trend_macd_signal"] = indicator_macd.macd_signal()
df[f"{colprefix}trend_macd_diff"] = indicator_macd.macd_diff()
# SMAs
df[f"{colprefix}trend_sma_fast"] = SMAIndicator(
close=df[close], window=12, fillna=fillna).sma_indicator()
df[f"{colprefix}trend_sma_slow"] = SMAIndicator(
close=df[close], window=26, fillna=fillna).sma_indicator()
# EMAs
df[f"{colprefix}trend_ema_fast"] = EMAIndicator(
close=df[close], window=12, fillna=fillna).ema_indicator()
df[f"{colprefix}trend_ema_slow"] = EMAIndicator(
close=df[close], window=26, fillna=fillna).ema_indicator()
# Vortex Indicator
indicator_vortex = VortexIndicator(high=df[high],
low=df[low],
close=df[close],
window=14,
fillna=fillna)
df[f"{colprefix}trend_vortex_ind_pos"] = indicator_vortex.vortex_indicator_pos(
)
df[f"{colprefix}trend_vortex_ind_neg"] = indicator_vortex.vortex_indicator_neg(
)
df[f"{colprefix}trend_vortex_ind_diff"] = indicator_vortex.vortex_indicator_diff(
)
# TRIX Indicator
df[f"{colprefix}trend_trix"] = TRIXIndicator(close=df[close],
window=15,
fillna=fillna).trix()
# Mass Index
df[f"{colprefix}trend_mass_index"] = MassIndex(high=df[high],
low=df[low],
window_fast=9,
window_slow=25,
fillna=fillna).mass_index()
# DPO Indicator
df[f"{colprefix}trend_dpo"] = DPOIndicator(close=df[close],
window=20,
fillna=fillna).dpo()
# KST Indicator
indicator_kst = KSTIndicator(
close=df[close],
roc1=10,
roc2=15,
roc3=20,
roc4=30,
window1=10,
window2=10,
window3=10,
window4=15,
nsig=9,
fillna=fillna,
)
df[f"{colprefix}trend_kst"] = indicator_kst.kst()
df[f"{colprefix}trend_kst_sig"] = indicator_kst.kst_sig()
df[f"{colprefix}trend_kst_diff"] = indicator_kst.kst_diff()
# Ichimoku Indicator
indicator_ichi = IchimokuIndicator(
high=df[high],
low=df[low],
window1=9,
window2=26,
window3=52,
visual=False,
fillna=fillna,
)
df[f"{colprefix}trend_ichimoku_conv"] = indicator_ichi.ichimoku_conversion_line(
)
df[f"{colprefix}trend_ichimoku_base"] = indicator_ichi.ichimoku_base_line()
df[f"{colprefix}trend_ichimoku_a"] = indicator_ichi.ichimoku_a()
df[f"{colprefix}trend_ichimoku_b"] = indicator_ichi.ichimoku_b()
# Schaff Trend Cycle (STC)
df[f"{colprefix}trend_stc"] = STCIndicator(
close=df[close],
window_slow=50,
window_fast=23,
cycle=10,
smooth1=3,
smooth2=3,
fillna=fillna,
).stc()
if not vectorized:
# Average Directional Movement Index (ADX)
indicator_adx = ADXIndicator(high=df[high],
low=df[low],
close=df[close],
window=14,
fillna=fillna)
df[f"{colprefix}trend_adx"] = indicator_adx.adx()
df[f"{colprefix}trend_adx_pos"] = indicator_adx.adx_pos()
df[f"{colprefix}trend_adx_neg"] = indicator_adx.adx_neg()
# CCI Indicator
df[f"{colprefix}trend_cci"] = CCIIndicator(
high=df[high],
low=df[low],
close=df[close],
window=20,
constant=0.015,
fillna=fillna,
).cci()
# Ichimoku Visual Indicator
indicator_ichi_visual = IchimokuIndicator(
high=df[high],
low=df[low],
window1=9,
window2=26,
window3=52,
visual=True,
fillna=fillna,
)
df[f"{colprefix}trend_visual_ichimoku_a"] = indicator_ichi_visual.ichimoku_a(
)
df[f"{colprefix}trend_visual_ichimoku_b"] = indicator_ichi_visual.ichimoku_b(
)
# Aroon Indicator
indicator_aroon = AroonIndicator(close=df[close],
window=25,
fillna=fillna)
df[f"{colprefix}trend_aroon_up"] = indicator_aroon.aroon_up()
df[f"{colprefix}trend_aroon_down"] = indicator_aroon.aroon_down()
df[f"{colprefix}trend_aroon_ind"] = indicator_aroon.aroon_indicator()
# PSAR Indicator
indicator_psar = PSARIndicator(
high=df[high],
low=df[low],
close=df[close],
step=0.02,
max_step=0.20,
fillna=fillna,
)
# df[f'{colprefix}trend_psar'] = indicator.psar()
df[f"{colprefix}trend_psar_up"] = indicator_psar.psar_up()
df[f"{colprefix}trend_psar_down"] = indicator_psar.psar_down()
df[f"{colprefix}trend_psar_up_indicator"] = indicator_psar.psar_up_indicator(
)
df[f"{colprefix}trend_psar_down_indicator"] = indicator_psar.psar_down_indicator(
)
return df
def add_trend_ta(df: pd.DataFrame,
high: str,
low: str,
close: str,
fillna: bool = False,
colprefix: str = ""):
"""Add trend technical analysis features to dataframe.
Args:
df (pandas.core.frame.DataFrame): Dataframe base.
high (str): Name of 'high' column.
low (str): Name of 'low' column.
close (str): Name of 'close' column.
fillna(bool): if True, fill nan values.
colprefix(str): Prefix column names inserted
Returns:
pandas.core.frame.DataFrame: Dataframe with new features.
"""
# MACD
indicator_macd = MACD(close=df[close],
n_fast=12,
n_slow=26,
n_sign=9,
fillna=fillna)
df[f'{colprefix}trend_macd'] = indicator_macd.macd()
df[f'{colprefix}trend_macd_signal'] = indicator_macd.macd_signal()
df[f'{colprefix}trend_macd_diff'] = indicator_macd.macd_diff()
# EMAs
df[f'{colprefix}trend_ema_fast'] = EMAIndicator(
close=df[close], n=12, fillna=fillna).ema_indicator()
df[f'{colprefix}trend_ema_slow'] = EMAIndicator(
close=df[close], n=26, fillna=fillna).ema_indicator()
# Average Directional Movement Index (ADX)
indicator = ADXIndicator(high=df[high],
low=df[low],
close=df[close],
n=14,
fillna=fillna)
df[f'{colprefix}trend_adx'] = indicator.adx()
df[f'{colprefix}trend_adx_pos'] = indicator.adx_pos()
df[f'{colprefix}trend_adx_neg'] = indicator.adx_neg()
# Vortex Indicator
indicator = VortexIndicator(high=df[high],
low=df[low],
close=df[close],
n=14,
fillna=fillna)
df[f'{colprefix}trend_vortex_ind_pos'] = indicator.vortex_indicator_pos()
df[f'{colprefix}trend_vortex_ind_neg'] = indicator.vortex_indicator_neg()
df[f'{colprefix}trend_vortex_ind_diff'] = indicator.vortex_indicator_diff()
# TRIX Indicator
indicator = TRIXIndicator(close=df[close], n=15, fillna=fillna)
df[f'{colprefix}trend_trix'] = indicator.trix()
# Mass Index
indicator = MassIndex(high=df[high],
low=df[low],
n=9,
n2=25,
fillna=fillna)
df[f'{colprefix}trend_mass_index'] = indicator.mass_index()
# CCI Indicator
indicator = CCIIndicator(high=df[high],
low=df[low],
close=df[close],
n=20,
c=0.015,
fillna=fillna)
df[f'{colprefix}trend_cci'] = indicator.cci()
# DPO Indicator
indicator = DPOIndicator(close=df[close], n=20, fillna=fillna)
df[f'{colprefix}trend_dpo'] = indicator.dpo()
# KST Indicator
indicator = KSTIndicator(close=df[close],
r1=10,
r2=15,
r3=20,
r4=30,
n1=10,
n2=10,
n3=10,
n4=15,
nsig=9,
fillna=fillna)
df[f'{colprefix}trend_kst'] = indicator.kst()
df[f'{colprefix}trend_kst_sig'] = indicator.kst_sig()
df[f'{colprefix}trend_kst_diff'] = indicator.kst_diff()
# Ichimoku Indicator
indicator = IchimokuIndicator(high=df[high],
low=df[low],
n1=9,
n2=26,
n3=52,
visual=False,
fillna=fillna)
df[f'{colprefix}trend_ichimoku_a'] = indicator.ichimoku_a()
df[f'{colprefix}trend_ichimoku_b'] = indicator.ichimoku_b()
indicator = IchimokuIndicator(high=df[high],
low=df[low],
n1=9,
n2=26,
n3=52,
visual=True,
fillna=fillna)
df[f'{colprefix}trend_visual_ichimoku_a'] = indicator.ichimoku_a()
df[f'{colprefix}trend_visual_ichimoku_b'] = indicator.ichimoku_b()
# Aroon Indicator
indicator = AroonIndicator(close=df[close], n=25, fillna=fillna)
df[f'{colprefix}trend_aroon_up'] = indicator.aroon_up()
df[f'{colprefix}trend_aroon_down'] = indicator.aroon_down()
df[f'{colprefix}trend_aroon_ind'] = indicator.aroon_indicator()
# PSAR Indicator
indicator = PSARIndicator(high=df[high],
low=df[low],
close=df[close],
step=0.02,
max_step=0.20,
fillna=fillna)
df[f'{colprefix}trend_psar'] = indicator.psar()
df[f'{colprefix}trend_psar_up'] = indicator.psar_up()
df[f'{colprefix}trend_psar_down'] = indicator.psar_down()
df[f'{colprefix}trend_psar_up_indicator'] = indicator.psar_up_indicator()
df[f'{colprefix}trend_psar_down_indicator'] = indicator.psar_down_indicator(
)
return df