def get_relative_features(dDataRelative, sym):
sma = ft.featMA(dDataRelative, lLookback = 20)
sma1 = ft.featMA(dDataRelative, lLookback = 10)
sma2 = ft.featMA(dDataRelative, lLookback = 5)
sma3 = ft.featMA(dDataRelative, lLookback = 80)
sma4 = ft.featMA(dDataRelative, lLookback = 40)
rsi = ft.featRSI(dDataRelative, lLookback = 20)
rsi1 = ft.featRSI(dDataRelative, lLookback = 10)
rsi2 = ft.featRSI(dDataRelative, lLookback = 5)
rsi3 = ft.featRSI(dDataRelative, lLookback = 80)
rsi4 = ft.featRSI(dDataRelative, lLookback = 40)
#volumeDelta = ft.featVolumeDelta(dDataRelative, lLookback = 20)
aroon = ft.featAroon(dDataRelative, lLookback = 20)
aroon1 = ft.featAroon(dDataRelative, lLookback = 10)
aroon2 = ft.featAroon(dDataRelative, lLookback = 5)
aroon3 = ft.featAroon(dDataRelative, lLookback = 80)
aroon4 = ft.featAroon(dDataRelative, lLookback = 40)
bollinger = ft.featBollinger(dDataRelative, lLookback = 20)
bollinger1 = ft.featBollinger(dDataRelative, lLookback = 10)
bollinger2 = ft.featBollinger(dDataRelative, lLookback = 5)
bollinger3 = ft.featBollinger(dDataRelative, lLookback = 80)
bollinger4 = ft.featBollinger(dDataRelative, lLookback = 40)
#stochastics = ft.featStochastic(dDataRelative, lLookback = 20)
dfX = pd.DataFrame( index=dDataRelative['close'].index,
columns=['SMA', 'RSI', 'AROON', 'BOLL'],
data=np.zeros((len(dDataRelative['close'].index), 4)))
dfX['SMA'] = sma[sym]
dfX['SMA1'] = sma1[sym]
dfX['SMA2'] = sma2[sym]
dfX['SMA3'] = sma3[sym]
dfX['SMA4'] = sma4[sym]
dfX['RSI'] = rsi[sym]
dfX['RSI1'] = rsi1[sym]
dfX['RSI2'] = rsi2[sym]
dfX['RSI3'] = rsi3[sym]
dfX['RSI4'] = rsi4[sym]
dfX['AROON'] = aroon[sym]
dfX['AROON1'] = aroon1[sym]
dfX['AROON2'] = aroon2[sym]
dfX['AROON3'] = aroon3[sym]
dfX['AROON4'] = aroon4[sym]
dfX['BOLL'] = bollinger[sym]
dfX['BOLL1'] = bollinger1[sym]
dfX['BOLL2'] = bollinger2[sym]
dfX['BOLL3'] = bollinger3[sym]
dfX['BOLL4'] = bollinger4[sym]
return dfX
def get_features_old(self):
feats = pd.DataFrame( index=self.relative_data['close'].index)
periods = self.default_periods
for x in periods:
feats['SMA' + str(x)] = ft.featMA(self.relative_data, lLookback = x)[self.stock_period.symbol]
for x in periods:
feats['RSI' + str(x)] = ft.featRSI(self.relative_data, lLookback = x)[self.stock_period.symbol]
for x in periods:
feats['AROON' + str(x)] = ft.featAroon(self.relative_data, lLookback = x)[self.stock_period.symbol]
for x in periods:
feats['BOLL' + str(x)] = ft.featBollinger(self.relative_data, lLookback = x)[self.stock_period.symbol]
for x in periods:
feats['MOM' + str(x)] = ft.featMomentum(self.relative_data, lLookback = x)[self.stock_period.symbol]
for x in periods:
feats['EMA' + str(x)] = ft.featEMA(self.relative_data, lLookback = x)[self.stock_period.symbol]
#for x in periods:
# feats['STD' + str(x)] = ft.featSTD(self.relative_data, lLookback = x)[self.stock_period.symbol]
#for x in periods:
# feats['VOLD' + str(x)] = ft.featVolumeDelta(self.relative_data, lLookback = x)[self.stock_period.symbol]
return feats