コード例 #1
0
ファイル: ATR.py プロジェクト: alejandropriv/stocksAnalysis
    def get_atr(input_df, params=None):

        n = params["n"]

        # Set temp dataframe keys
        h_l_key = Ct.get_key("H-L")
        h_pc_key = Ct.get_key("H-PC")
        l_pc_key = Ct.get_key("L-PC")
        tr_key = Ct.get_key("TR")

        df_data = input_df.copy()
        df_data.columns = df_data.columns.droplevel(1)

        df_data[h_l_key] = abs(df_data[Ct.high_key()] - df_data[Ct.low_key()])
        df_data[h_pc_key] = abs(df_data[Ct.high_key()] -
                                df_data[Ct.prices_key()].shift(1))
        df_data[l_pc_key] = abs(df_data[Ct.low_key()] -
                                df_data[Ct.prices_key()].shift(1))
        df_data[tr_key] = df_data[[h_l_key, h_pc_key,
                                   l_pc_key]].max(axis=1, skipna=False)
        df_data[Ct.atr_key()] = df_data[tr_key].rolling(n).mean()
        # df[Ct.atr_key()] = df[tr_key].ewm(span=n,adjust=False,min_periods=n).mean()
        # df_data.dropna(inplace=True, axis=0)

        df_data.drop([h_l_key, h_pc_key, l_pc_key], axis=1, inplace=True)

        result_df = pd.DataFrame()
        result_df.append(df_data.loc[:, [Ct.atr_key(), tr_key]])

        return result_df
コード例 #2
0
    def get_prices_data(self, keys=None):

        if keys is None or len(keys) == 0:
            print("No keys has been specified. All keys were selected. ")

            keys = {
                Ct.high_key(): True,
                Ct.low_key(): True,
                Ct.open_key(): True,
                Ct.close_key(): True,
                Ct.adj_close_key(): True,
                Ct.volume_key(): True
            }

        method_tag = "get_prices_data"

        if self.data_source_historical is not None:
            if self.data_source_historical.prices is None or self.data_source_historical.prices.empty is True:
                raise ValueError(
                    "No historical data available, call method self.get_historical_data() first"
                )

            key_titles = self.get_key_titles(keys)

            if len(key_titles) > 0:

                prices = self.data_source_historical.get_prices(
                    self.tickers, key_titles)

            else:
                print("{} - There are no prices information, for ticker:{}".
                      format(method_tag, self.tickers))
                raise ValueError

        else:
            print("There has been an error in {}".format(method_tag))
            raise ValueError

        # Validate Price dataframe
        if prices.empty == True:
            print("There has been an error in {}".format(method_tag))
            raise ValueError

        self.price_info = prices
        return prices