def AddInfo(stock, market):
stock['sma10'] = techindicators.sma(stock['adj_close'], 10)
stock['sma20'] = techindicators.sma(stock['adj_close'], 20)
if len(stock['adj_close']) > 100:
stock['sma100'] = techindicators.sma(stock['adj_close'], 100)
else:
stock['sma100'] = np.zeros(len(stock['adj_close']))
if len(stock['adj_close']) > 200:
stock['sma200'] = techindicators.sma(stock['adj_close'], 200)
else:
stock['sma200'] = np.zeros(len(stock['adj_close']))
stock['rstd10'] = techindicators.rstd(stock['adj_close'], 10)
stock['rsi10'] = techindicators.rsi(stock['adj_close'], 10)
stock['cmf'] = techindicators.cmf(stock['high'], stock['low'],
stock['close'], stock['volume'], 10)
stock['KeltLower'], stock['KeltCenter'], stock[
'KeltUpper'] = techindicators.kelt(stock['high'], stock['low'],
stock['close'], 20, 2.0, 20)
stock['copp'] = techindicators.copp(stock['close'], 14, 11, 10)
stock['daily_return'] = stock['adj_close'].pct_change(periods=1)
stock['daily_return_stddev14'] = techindicators.rstd(
stock['daily_return'], 14)
stock['beta'] = techindicators.rollingBetav2(stock, 14, market)
stock['alpha'] = techindicators.rollingAlpha(stock, 14, market)
#stock['rsquare']=techindicators.rollingRsquare(stock,14)
stock['rsquare'] = techindicators.rollingRsquare(stock, 14, spy)
stock['sharpe'] = techindicators.sharpe(stock['daily_return'],
30) # generally above 1 is good
stock['cci'] = techindicators.cci(stock['high'], stock['low'],
stock['close'], 20)
stock['stochK'], stock['stochD'] = techindicators.stoch(
stock['high'], stock['low'], stock['close'], 14, 3, 3)
stock['obv'] = techindicators.obv(stock['adj_close'], stock['volume'])
stock['force'] = techindicators.force(stock['adj_close'], stock['volume'],
13)
stock['macd'], stock['macdsignal'] = techindicators.macd(
stock['adj_close'], 12, 26, 9)
stock['market'] = market['adj_close']
stock['corr14'] = stock['adj_close'].rolling(14).corr(spy['market'])
#stock['pdmd'],stock['ndmd'],stock['adx']=techindicators.adx(stock['high'],stock['low'],stock['close'],14)
#stock['aroonUp'],stock['aroonDown'],stock['aroon']=techindicators.aroon(stock['high'],stock['low'],25)
stock['vwap14'] = techindicators.vwap(stock['high'], stock['low'],
stock['close'], stock['volume'], 14)
stock['vwap10'] = techindicators.vwap(stock['high'], stock['low'],
stock['close'], stock['volume'], 10)
stock['vwap20'] = techindicators.vwap(stock['high'], stock['low'],
stock['close'], stock['volume'], 20)
stock['chosc'] = techindicators.chosc(stock['high'], stock['low'],
stock['close'], stock['volume'], 3,
10)
stock['vwap10diff'] = (stock['adj_close'] -
stock['vwap10']) / stock['adj_close']
#stock['max_drawdown'] = stock['adj_close'].rolling(250).apply(max_drawdown)
day365 = GetTimeSlot(stock, 365)
stock['max_drawdown'] = np.ones(len(stocks)) * zigzag.max_drawdown(
day365['adj_close'].values)
def test_rise_fall_rise_drawdown(self):
data = np.array([1.0, 1.05, 1.1, 1.0, 0.9, 1.5])
self.assertAlmostEqual(zigzag.max_drawdown(data), 0.18181818181818188)
def test_strictly_decreasing(self):
data = np.linspace(100.0, 1.0, 10)
self.assertEquals(zigzag.max_drawdown(data), 0.99)
def test_rise_fall_rise_drawdown(self):
data = np.array([1.0, 1.05, 1.1, 1.0, 0.9, 1.5])
self.assertAlmostEqual(zigzag.max_drawdown(data), 0.18181818181818188)
def test_strictly_decreasing(self):
data = np.linspace(100.0, 1.0, 10)
self.assertEquals(zigzag.max_drawdown(data), 0.99)
