def add_indicators(data: pd.DataFrame) -> pd.DataFrame:
"""
This method creates technical indicators, based on the OHLC and volume bars
:param data: pandas DataFrame, containing open, high, low and close and
optional volume columns
:return: DataFrame with added technical indicators
"""
assert 'open' in data.columns, "open column not present or with different name"
assert 'high' in data.columns, "high column not present or with different name"
assert 'low' in data.columns, "low column not present or with different name"
assert 'close' in data.columns, "close column not present or with different name"
try:
data['RSI'] = ta.rsi(data["close"])
data['TSI'] = ta.tsi(data["close"])
data['UO'] = ta.uo(data["high"], data["low"], data["close"])
data['AO'] = ta.ao(data["high"], data["low"])
data['MACD_diff'] = ta.macd_diff(data["close"])
data['Vortex_pos'] = ta.vortex_indicator_pos(data["high"], data["low"], data["close"])
data['Vortex_neg'] = ta.vortex_indicator_neg(data["high"], data["low"], data["close"])
data['Vortex_diff'] = abs(data['Vortex_pos'] - data['Vortex_neg'])
data['Trix'] = ta.trix(data["close"])
data['Mass_index'] = ta.mass_index(data["high"], data["low"])
data['CCI'] = ta.cci(data["high"], data["low"], data["close"])
data['DPO'] = ta.dpo(data["close"])
data['KST'] = ta.kst(data["close"])
data['KST_sig'] = ta.kst_sig(data["close"])
data['KST_diff'] = (data['KST'] - data['KST_sig'])
data['Aroon_up'] = ta.aroon_up(data["close"])
data['Aroon_down'] = ta.aroon_down(data["close"])
data['Aroon_ind'] = (data['Aroon_up'] - data['Aroon_down'])
data['BBH'] = ta.bollinger_hband(data["close"])
data['BBL'] = ta.bollinger_lband(data["close"])
data['BBM'] = ta.bollinger_mavg(data["close"])
data['BBHI'] = ta.bollinger_hband_indicator(data["close"])
data['BBLI'] = ta.bollinger_lband_indicator(data["close"])
data['KCHI'] = ta.keltner_channel_hband_indicator(data["high"], data["low"], data["close"])
data['KCLI'] = ta.keltner_channel_lband_indicator(data["high"], data["low"], data["close"])
data['DCHI'] = ta.donchian_channel_hband_indicator(data["close"])
data['DCLI'] = ta.donchian_channel_lband_indicator(data["close"])
data['DR'] = ta.daily_return(data["close"])
data['DLR'] = ta.daily_log_return(data["close"])
if 'volume' in data.columns:
data['MFI'] = ta.money_flow_index(data["high"], data["low"], data["close"], data["volume"])
data['ADI'] = ta.acc_dist_index(data["high"], data["low"], data["close"], data["volume"])
data['OBV'] = ta.on_balance_volume(data["close"], data["volume"])
data['CMF'] = ta.chaikin_money_flow(data["high"], data["low"], data["close"], data["volume"])
data['FI'] = ta.force_index(data["close"], data["volume"])
data['EM'] = ta.ease_of_movement(data["high"], data["low"], data["close"], data["volume"])
data['VPT'] = ta.volume_price_trend(data["close"], data["volume"])
data['NVI'] = ta.negative_volume_index(data["close"], data["volume"])
data.fillna(method='bfill', inplace=True)
return data
except (AssertionError, Exception) as error:
raise IndicatorsError(error)
LOGGER.error(error)
def add_indicators(df):
df['RSI'] = ta.rsi(df["Close"])
df['MFI'] = ta.money_flow_index(df["High"], df["Low"], df["Close"],
df["Volume"])
df['TSI'] = ta.tsi(df["Close"])
df['UO'] = ta.uo(df["High"], df["Low"], df["Close"])
df['AO'] = ta.ao(df["High"], df["Low"])
df['MACD_diff'] = ta.macd_diff(df["Close"])
df['Vortex_pos'] = ta.vortex_indicator_pos(df["High"], df["Low"],
df["Close"])
df['Vortex_neg'] = ta.vortex_indicator_neg(df["High"], df["Low"],
df["Close"])
df['Vortex_diff'] = abs(df['Vortex_pos'] - df['Vortex_neg'])
df['Trix'] = ta.trix(df["Close"])
df['Mass_index'] = ta.mass_index(df["High"], df["Low"])
df['CCI'] = ta.cci(df["High"], df["Low"], df["Close"])
df['DPO'] = ta.dpo(df["Close"])
df['KST'] = ta.kst(df["Close"])
df['KST_sig'] = ta.kst_sig(df["Close"])
df['KST_diff'] = (df['KST'] - df['KST_sig'])
df['Aroon_up'] = ta.aroon_up(df["Close"])
df['Aroon_down'] = ta.aroon_down(df["Close"])
df['Aroon_ind'] = (df['Aroon_up'] - df['Aroon_down'])
df['BBH'] = ta.bollinger_hband(df["Close"])
df['BBL'] = ta.bollinger_lband(df["Close"])
df['BBM'] = ta.bollinger_mavg(df["Close"])
df['BBHI'] = ta.bollinger_hband_indicator(df["Close"])
df['BBLI'] = ta.bollinger_lband_indicator(df["Close"])
df['KCHI'] = ta.keltner_channel_hband_indicator(df["High"], df["Low"],
df["Close"])
df['KCLI'] = ta.keltner_channel_lband_indicator(df["High"], df["Low"],
df["Close"])
df['DCHI'] = ta.donchian_channel_hband_indicator(df["Close"])
df['DCLI'] = ta.donchian_channel_lband_indicator(df["Close"])
df['ADI'] = ta.acc_dist_index(df["High"], df["Low"], df["Close"],
df["Volume"])
df['OBV'] = ta.on_balance_volume(df["Close"], df["Volume"])
df['CMF'] = ta.chaikin_money_flow(df["High"], df["Low"], df["Close"],
df["Volume"])
df['FI'] = ta.force_index(df["Close"], df["Volume"])
df['EM'] = ta.ease_of_movement(df["High"], df["Low"], df["Close"],
df["Volume"])
df['VPT'] = ta.volume_price_trend(df["Close"], df["Volume"])
df['NVI'] = ta.negative_volume_index(df["Close"], df["Volume"])
df['DR'] = ta.daily_return(df["Close"])
df['DLR'] = ta.daily_log_return(df["Close"])
df.fillna(method='bfill', inplace=True)
return df
def add_candle_indicators(df, l, ck, hk, lk, vk):
df[l + 'rsi'] = ta.rsi(df[ck])
df[l + 'mfi'] = ta.money_flow_index(df[hk], df[lk], df[ck], df[vk])
df[l + 'tsi'] = ta.tsi(df[ck])
df[l + 'uo'] = ta.uo(df[hk], df[lk], df[ck])
df[l + 'ao'] = ta.ao(df[hk], df[lk])
df[l + 'macd_diff'] = ta.macd_diff(df[ck])
df[l + 'vortex_pos'] = ta.vortex_indicator_pos(df[hk], df[lk], df[ck])
df[l + 'vortex_neg'] = ta.vortex_indicator_neg(df[hk], df[lk], df[ck])
df[l + 'vortex_diff'] = abs(df[l + 'vortex_pos'] - df[l + 'vortex_neg'])
df[l + 'trix'] = ta.trix(df[ck])
df[l + 'mass_index'] = ta.mass_index(df[hk], df[lk])
df[l + 'cci'] = ta.cci(df[hk], df[lk], df[ck])
df[l + 'dpo'] = ta.dpo(df[ck])
df[l + 'kst'] = ta.kst(df[ck])
df[l + 'kst_sig'] = ta.kst_sig(df[ck])
df[l + 'kst_diff'] = (df[l + 'kst'] - df[l + 'kst_sig'])
df[l + 'aroon_up'] = ta.aroon_up(df[ck])
df[l + 'aroon_down'] = ta.aroon_down(df[ck])
df[l + 'aroon_ind'] = (df[l + 'aroon_up'] - df[l + 'aroon_down'])
df[l + 'bbh'] = ta.bollinger_hband(df[ck])
df[l + 'bbl'] = ta.bollinger_lband(df[ck])
df[l + 'bbm'] = ta.bollinger_mavg(df[ck])
df[l + 'bbhi'] = ta.bollinger_hband_indicator(df[ck])
df[l + 'bbli'] = ta.bollinger_lband_indicator(df[ck])
df[l + 'kchi'] = ta.keltner_channel_hband_indicator(df[hk], df[lk], df[ck])
df[l + 'kcli'] = ta.keltner_channel_lband_indicator(df[hk], df[lk], df[ck])
df[l + 'dchi'] = ta.donchian_channel_hband_indicator(df[ck])
df[l + 'dcli'] = ta.donchian_channel_lband_indicator(df[ck])
df[l + 'adi'] = ta.acc_dist_index(df[hk], df[lk], df[ck], df[vk])
df[l + 'obv'] = ta.on_balance_volume(df[ck], df[vk])
df[l + 'cmf'] = ta.chaikin_money_flow(df[hk], df[lk], df[ck], df[vk])
df[l + 'fi'] = ta.force_index(df[ck], df[vk])
df[l + 'em'] = ta.ease_of_movement(df[hk], df[lk], df[ck], df[vk])
df[l + 'vpt'] = ta.volume_price_trend(df[ck], df[vk])
df[l + 'nvi'] = ta.negative_volume_index(df[ck], df[vk])
df[l + 'dr'] = ta.daily_return(df[ck])
df[l + 'dlr'] = ta.daily_log_return(df[ck])
df[l + 'ma50'] = df[ck].rolling(window=50).mean()
df[l + 'ma100'] = df[ck].rolling(window=100).mean()
df[l + '26ema'] = df[[ck]].ewm(span=26).mean()
df[l + '12ema'] = df[[ck]].ewm(span=12).mean()
df[l + 'macd'] = (df[l + '12ema'] - df[l + '26ema'])
df[l + '100sd'] = df[[ck]].rolling(100).std()
df[l + 'upper_band'] = df[l + 'ma100'] + (df[l + '100sd'] * 2)
df[l + 'lower_band'] = df[l + 'ma100'] - (df[l + '100sd'] * 2)
df[l + 'ema'] = df[ck].ewm(com=0.5).mean()
df[l + 'momentum'] = df[ck] - 1
return df
def process_data(data):
data['BB_5'] = ta.bollinger_mavg(
data['CLOSE'], 5) #bollinger_moving average 5 trading periods
data['BB_10'] = ta.bollinger_mavg(
data['CLOSE'], 10) #bollinger_moving average 10 trading periods
data['BB_20'] = ta.bollinger_mavg(
data['CLOSE'], 20) # bollinger_moving average 20 periods
data['ADX'] = ta.adx(data['HIGH'], data['LOW'], data['CLOSE'],
14) #Average Directional Index
data['ATR'] = ta.average_true_range(data['HIGH'], data['LOW'],
data['CLOSE'], 14) #Average True Range
data['CCI'] = ta.cci(data['HIGH'], data['LOW'], data['CLOSE'],
14) #Commodity Channel Index
data['DCH'] = ta.donchian_channel_hband(
data['CLOSE']) #Donchian Channel High Band
data['DCL'] = ta.donchian_channel_lband(
data['CLOSE']) #Donchian Channel Low Band
data['DPO'] = ta.dpo(data['CLOSE']) #Detrend Price Oscilator
data['EMAf'] = ta.ema_fast(
data['CLOSE']) #Expornential Moving Average fast
data['EMAs'] = ta.ema_slow(
data['CLOSE']) #Expornential Moving Average slow
data['FI'] = ta.force_index(
data['CLOSE'],
data['VOLUME']) # Force Index(reveals the value of a trend)
data['ICHa'] = ta.ichimoku_a(data['HIGH'], data['LOW']) #Ichimoku A
data['ICHb'] = ta.ichimoku_b(data['HIGH'], data['LOW']) #Ichimoku B
data['KC'] = ta.keltner_channel_central(
data['HIGH'], data['LOW'], data['CLOSE']) #Keltner channel(KC) Central
data['KST'] = ta.kst(
data['CLOSE']
) #KST Oscillator (KST) identify major stock market cycle junctures
data['MACD'] = ta.macd(
data['CLOSE']) # Moving Average convergence divergence
data['OBV'] = ta.on_balance_volume_mean(
data['CLOSE'], data['VOLUME']) # on_balance_volume_mean
data['RSI'] = ta.rsi(data['CLOSE']) # Relative Strength Index (RSI)
data['TRIX'] = ta.trix(
data['CLOSE']
) #Shows the percent rate of change of a triple exponentially smoothed moving average
data['TSI'] = ta.tsi(data['CLOSE']) #True strength index (TSI)
data['ROC1'] = (data['CLOSE'] - data['OPEN']) / data['OPEN']
data['RET'] = data['CLOSE'].pct_change()
data['y'] = np.where(data['OPEN'] <= data['CLOSE'], 1, -1)
data = data.dropna()
return data
def add_indicators(df):
df['RSI'] = ta.rsi(df["Close"])
df['TSI'] = ta.tsi(df["Close"])
df['UO'] = ta.uo(df["High"], df["Low"], df["Close"])
df['AO'] = ta.ao(df["High"], df["Low"])
df['MACD_diff'] = ta.macd_diff(df["Close"])
df['Vortex_pos'] = ta.vortex_indicator_pos(df["High"], df["Low"],
df["Close"])
df['Vortex_neg'] = ta.vortex_indicator_neg(df["High"], df["Low"],
df["Close"])
df['Vortex_diff'] = abs(df['Vortex_pos'] - df['Vortex_neg'])
df['Trix'] = ta.trix(df["Close"])
df['Mass_index'] = ta.mass_index(df["High"], df["Low"])
df['CCI'] = ta.cci(df["High"], df["Low"], df["Close"])
df['DPO'] = ta.dpo(df["Close"])
df['KST'] = ta.kst(df["Close"])
df['KST_sig'] = ta.kst_sig(df["Close"])
df['KST_diff'] = (df['KST'] - df['KST_sig'])
df['Aroon_up'] = ta.aroon_up(df["Close"])
df['Aroon_down'] = ta.aroon_down(df["Close"])
df['Aroon_ind'] = (df['Aroon_up'] - df['Aroon_down'])
df['BBH'] = ta.bollinger_hband(df["Close"])
df['BBL'] = ta.bollinger_lband(df["Close"])
df['BBM'] = ta.bollinger_mavg(df["Close"])
df['BBHI'] = ta.bollinger_hband_indicator(df["Close"])
df['BBLI'] = ta.bollinger_lband_indicator(df["Close"])
df['KCHI'] = ta.keltner_channel_hband_indicator(df["High"], df["Low"],
df["Close"])
df['KCLI'] = ta.keltner_channel_lband_indicator(df["High"], df["Low"],
df["Close"])
df['DCHI'] = ta.donchian_channel_hband_indicator(df["Close"])
df['DCLI'] = ta.donchian_channel_lband_indicator(df["Close"])
df['DR'] = ta.daily_return(df["Close"])
df['DLR'] = ta.daily_log_return(df["Close"])
df.fillna(method='bfill', inplace=True)
return df
ta_df['WR'] = ta.wr(df["High"], df["Low"], df["Close"])
ta_df['AO'] = ta.ao(df["High"], df["Low"])
ta_df['MACD'] = ta.macd(df["Close"])
ta_df['MACD_signal'] = ta.macd_signal(df["Close"])
ta_df['MACD_diff'] = ta.macd_diff(df["Close"])
ta_df['EMA_fast'] = ta.ema_indicator(df["Close"])
ta_df['EMA_slow'] = ta.ema_indicator(df["Close"])
ta_df['Vortex_pos'] = ta.vortex_indicator_pos(
df["High"], df["Low"], df["Close"])
ta_df['Vortex_neg'] = ta.vortex_indicator_neg(
df["High"], df["Low"], df["Close"])
ta_df['Vortex_diff'] = abs(
ta_df['Vortex_pos'] -
ta_df['Vortex_neg'])
ta_df['Trix'] = ta.trix(df["Close"])
ta_df['Mass_index'] = ta.mass_index(df["High"], df["Low"])
ta_df['CCI'] = ta.cci(df["High"], df["Low"], df["Close"])
ta_df['DPO'] = ta.dpo(df["Close"])
ta_df['KST'] = ta.kst(df["Close"])
ta_df['KST_sig'] = ta.kst_sig(df["Close"])
ta_df['KST_diff'] = (
ta_df['KST'] -
ta_df['KST_sig'])
ta_df['Ichimoku_a'] = ta.ichimoku_a(df["High"], df["Low"], visual=True)
ta_df['Ichimoku_b'] = ta.ichimoku_b(df["High"], df["Low"], visual=True)
ta_df['Aroon_up'] = ta.aroon_up(df["Close"])
ta_df['Aroon_down'] = ta.aroon_down(df["Close"])
ta_df['Aroon_ind'] = (
ta_df['Aroon_up'] -
ta_df['Aroon_down']
def get_data(context, data_, window):
# Crear ventana de datos.
h1 = data_.history(
context.symbols,
context.row_features,
bar_count=window,
frequency=str(context.bar_period) + "T",
)
h1 = h1.swapaxes(2, 0)
norm_data = []
close_prices = []
for i, asset in enumerate(context.assets):
data = h1.iloc[i]
close = h1.iloc[i].close
if context.include_ha:
ha = heikenashi(data)
data = pd.concat((data, ha), axis=1)
for period in [3, 6, 8, 10, 15, 20]:
data["rsi" + str(period)] = ta.rsi(data.close,
n=period,
fillna=True)
data["stoch" + str(period)] = ta.stoch(data.high,
data.low,
data.close,
n=period,
fillna=True)
data["stoch_signal" + str(period)] = ta.stoch_signal(
high=data.high,
low=data.low,
close=data.close,
n=period,
d_n=3,
fillna=True)
data["dpo" + str(period)] = ta.dpo(close=data.close,
n=period,
fillna=True)
data["atr" + str(period)] = ta.average_true_range(high=data.high,
low=data.low,
close=data.close,
n=period,
fillna=True)
for period in [6, 7, 8, 9, 10]:
data["williams" + str(period)] = ta.wr(high=data.high,
low=data.low,
close=data.close,
lbp=period,
fillna=True)
for period in [12, 13, 14, 15]:
data["proc" + str(period)] = ta.trix(close=data.close,
n=period,
fillna=True)
data["macd_diff"] = ta.macd_diff(close=data.close,
n_fast=15,
n_slow=30,
n_sign=9,
fillna=True)
data["macd_signal"] = ta.macd_signal(close=data.close,
n_fast=15,
n_slow=30,
n_sign=9,
fillna=True)
data["bb_high_indicator"] = ta.bollinger_hband_indicator(
close=data.close, n=15, ndev=2, fillna=True)
data["bb_low_indicator"] = ta.bollinger_lband_indicator(
close=data.close, n=15, ndev=2, fillna=True)
data["dc_high_indicator"] = ta.donchian_channel_hband_indicator(
close=data.close, n=20, fillna=True)
data["dc_low_indicator"] = ta.donchian_channel_lband_indicator(
close=data.close, n=20, fillna=True)
data["ichimoku_a"] = ta.ichimoku_a(high=data.high,
low=data.low,
n1=9,
n2=26,
fillna=True)
data.fillna(method="bfill")
# Normalizar los valores
for feature in data.columns:
norm_feature = preprocessing.normalize(
data[feature].values.reshape(-1, 1), axis=0)
data[feature] = pd.DataFrame(data=norm_feature,
index=data.index,
columns=[feature])
norm_data.append(data.values)
close_prices.append(close)
context.features = data.columns
return np.array(norm_data), np.array(close_prices)
X['adx_neg'] = ta.adx_neg(price['High'],
price['Low'],
price['Adj. Close'],
n=14,
fillna=True)
X['vortex_indicator_neg'] = ta.vortex_indicator_neg(price['High'],
price['Low'],
price['Adj. Close'],
n=14,
fillna=True)
X['vortex_indicator_pos'] = ta.vortex_indicator_pos(price['High'],
price['Low'],
price['Adj. Close'],
n=14,
fillna=True)
X['trix'] = ta.trix(price['Adj. Close'], n=15, fillna=True)
X['mass_index'] = ta.mass_index(price['High'],
price['Low'],
n=9,
n2=25,
fillna=True)
X['cci'] = ta.cci(price['High'],
price['Low'],
price['Adj. Close'],
n=20,
c=1,
fillna=True)
X['dpo'] = ta.dpo(price['Adj. Close'], n=20, fillna=True)
X['kst_sig'] = ta.kst_sig(price['Adj. Close'],
r1=10,
r2=15,
def get_trayectory(self, t_intervals):
"""
:param t_intervals: número de intervalos en cada trayectoria
:return: Datos con características de la trayectoria sintética y precios de cierre en bruto de al misma
"""
trayectories = []
closes = []
p = True
for i, asset in enumerate(self.context.assets):
synthetic_return = np.exp(
self.drift[i] + self.stdev[i] * norm.ppf(np.random.rand((t_intervals * self.frequency) + self.frequency, 1)))
initial_close = self.close[i, -1]
synthetic_close = np.zeros_like(synthetic_return)
synthetic_close[0] = initial_close
for t in range(1, synthetic_return.shape[0]):
synthetic_close[t] = synthetic_close[t - 1] * synthetic_return[t]
OHLC = []
for t in range(synthetic_return.shape[0]):
if t % self.frequency == 0 and t > 0:
open = synthetic_close[t - self.frequency]
high = np.max(synthetic_close[t - self.frequency: t])
low = np.min(synthetic_close[t - self.frequency: t])
close = synthetic_close[t]
OHLC.append([open, high, close, low])
data = pd.DataFrame(data=OHLC, columns=["open", "high", "low", "close"])
close = data.close
if self.context.include_ha:
ha = heikenashi(data)
data = pd.concat((data, ha), axis=1)
for period in [3, 6, 8, 10, 15, 20]:
data["rsi" + str(period)] = ta.rsi(data.close, n=period, fillna=True)
data["stoch" + str(period)] = ta.stoch(data.high, data.low, data.close, n=period, fillna=True)
data["stoch_signal" + str(period)] = ta.stoch_signal(high=data.high,
low=data.low,
close=data.close,
n=period,
d_n=3,
fillna=True)
data["dpo" + str(period)] = ta.dpo(close=data.close,
n=period,
fillna=True)
data["atr" + str(period)] = ta.average_true_range(high=data.high,
low=data.low,
close=data.close,
n=period,
fillna=True)
for period in [6, 7, 8, 9, 10]:
data["williams" + str(period)] = ta.wr(high=data.high,
low=data.low,
close=data.close,
lbp=period,
fillna=True)
for period in [12, 13, 14, 15]:
data["proc" + str(period)] = ta.trix(close=data.close,
n=period,
fillna=True)
data["macd_diff"] = ta.macd_diff(close=data.close,
n_fast=15,
n_slow=30,
n_sign=9,
fillna=True)
data["macd_signal"] = ta.macd_signal(close=data.close,
n_fast=15,
n_slow=30,
n_sign=9,
fillna=True)
data["bb_high_indicator"] = ta.bollinger_hband_indicator(close=data.close,
n=15,
ndev=2,
fillna=True)
data["bb_low_indicator"] = ta.bollinger_lband_indicator(close=data.close,
n=15,
ndev=2,
fillna=True)
data["dc_high_indicator"] = ta.donchian_channel_hband_indicator(close=data.close,
n=20,
fillna=True)
data["dc_low_indicator"] = ta.donchian_channel_lband_indicator(close=data.close,
n=20,
fillna=True)
data["ichimoku_a"] = ta.ichimoku_a(high=data.high,
low=data.low,
n1=9,
n2=26,
fillna=True)
data.fillna(method="bfill")
# Normalizar los valores
for feature in data.columns:
norm_feature = preprocessing.normalize(data[feature].values.reshape(-1, 1), axis=0)
data[feature] = pd.DataFrame(data=norm_feature, index=data.index, columns=[feature])
self.assets = data.columns
trayectories.append(data.values)
closes.append(close)
return np.array(trayectories), np.array(closes)
def add_technical_indicators(df):
"""
Args:
df (pd.DataFrame): The processed dataframe returned by `process_data`.
Returns:
pd.DataFrame: The updated dataframe with the technical indicators inside.
Acknowledgements:
- Thanks for Adam King for this compilation of technical indicators!
The original file and code can be found here:
https://github.com/notadamking/RLTrader/blob/e5b83b1571f9fcfa6a67a2a810222f1f1751996c/util/indicators.py
"""
# Add momentum indicators
df["AO"] = ta.ao(df["High"], df["Low"])
df["MFI"] = ta.money_flow_index(df["High"], df["Low"], df["Close"],
df["Volume"])
df["RSI"] = ta.rsi(df["Close"])
df["TSI"] = ta.tsi(df["Close"])
df["UO"] = ta.uo(df["High"], df["Low"], df["Close"])
# Add trend indicators
df["Aroon_up"] = ta.aroon_up(df["Close"])
df["Aroon_down"] = ta.aroon_down(df["Close"])
df["Aroon_ind"] = (df["Aroon_up"] - df["Aroon_down"])
df["CCI"] = ta.cci(df["High"], df["Low"], df["Close"])
df["DPO"] = ta.dpo(df["Close"])
df["KST"] = ta.kst(df["Close"])
df["KST_sig"] = ta.kst_sig(df["Close"])
df["KST_diff"] = (df["KST"] - df["KST_sig"])
df["MACD_diff"] = ta.macd_diff(df["Close"])
df["Mass_index"] = ta.mass_index(df["High"], df["Low"])
df["Trix"] = ta.trix(df["Close"])
df["Vortex_pos"] = ta.vortex_indicator_pos(df["High"], df["Low"],
df["Close"])
df["Vortex_neg"] = ta.vortex_indicator_neg(df["High"], df["Low"],
df["Close"])
df["Vortex_diff"] = abs(df["Vortex_pos"] - df["Vortex_neg"])
# Add volatility indicators
df["BBH"] = ta.bollinger_hband(df["Close"])
df["BBL"] = ta.bollinger_lband(df["Close"])
df["BBM"] = ta.bollinger_mavg(df["Close"])
df["BBHI"] = ta.bollinger_hband_indicator(df["Close"])
df["BBLI"] = ta.bollinger_lband_indicator(df["Close"])
df["KCHI"] = ta.keltner_channel_hband_indicator(df["High"], df["Low"],
df["Close"])
df["KCLI"] = ta.keltner_channel_lband_indicator(df["High"], df["Low"],
df["Close"])
df["DCHI"] = ta.donchian_channel_hband_indicator(df["Close"])
df["DCLI"] = ta.donchian_channel_lband_indicator(df["Close"])
# Volume indicators
df["ADI"] = ta.acc_dist_index(df["High"], df["Low"], df["Close"],
df["Volume"])
df["CMF"] = ta.chaikin_money_flow(df["High"], df["Low"], df["Close"],
df["Volume"])
df["EM"] = ta.ease_of_movement(df["High"], df["Low"], df["Close"],
df["Volume"])
df["FI"] = ta.force_index(df["Close"], df["Volume"])
df["NVI"] = ta.negative_volume_index(df["Close"], df["Volume"])
df["OBV"] = ta.on_balance_volume(df["Close"], df["Volume"])
df["VPT"] = ta.volume_price_trend(df["Close"], df["Volume"])
# Add miscellaneous indicators
df["DR"] = ta.daily_return(df["Close"])
df["DLR"] = ta.daily_log_return(df["Close"])
# Fill in NaN values
df.fillna(method="bfill", inplace=True) # First try `bfill`
df.fillna(value=0,
inplace=True) # Then replace the rest of the NANs with 0s
return df
