bullishpy 0.5.0__py3-none-any.whl → 0.6.0__py3-none-any.whl

bullish/analysis/indicators.py

@@ -0,0 +1,450 @@
+import logging
+from datetime import date
+from typing import Optional, List, Callable, Any, Literal, Dict, Union, Self
+
+import numpy as np
+import pandas as pd
+from pydantic import BaseModel, Field, PrivateAttr, create_model, model_validator
+
+from bullish.analysis.functions import (
+    cross,
+    cross_value,
+    ADX,
+    MACD,
+    RSI,
+    STOCH,
+    MFI,
+    ROC,
+    CANDLESTOCK_PATTERNS,
+    SMA,
+    ADOSC,
+)
+
+logger = logging.getLogger(__name__)
+SignalType = Literal["Short", "Long", "Oversold", "Overbought", "Value"]
+
+
+class Signal(BaseModel):
+    name: str
+    type_info: SignalType
+    type: Any
+    range: Optional[List[float]] = None
+    function: Callable[[pd.DataFrame], Optional[Union[date, float]]]
+    description: str
+    date: Optional[date] = None
+    value: Optional[float] = None
+
+    def is_date(self) -> bool:
+        if self.type == Optional[date]:
+            return True
+        elif self.type == Optional[float]:
+            return False
+        else:
+            raise NotImplementedError
+
+    def compute(self, data: pd.DataFrame) -> None:
+        if self.is_date():
+            self.date = self.function(data)  # type: ignore
+        else:
+            self.value = self.function(data)  # type: ignore
+
+    @model_validator(mode="after")
+    def _validate(self) -> Self:
+        if self.type == Optional[float] and self.range is None:
+            raise ValueError(
+                "Range must be defined for signals of type Optional[float]"
+            )
+        return self
+
+
+class Indicator(BaseModel):
+    name: str
+    description: str
+    expected_columns: List[str]
+    function: Callable[[pd.DataFrame], pd.DataFrame]
+    _data: pd.DataFrame = PrivateAttr(default=pd.DataFrame())
+    signals: List[Signal] = Field(default_factory=list)
+
+    def compute(self, data: pd.DataFrame) -> None:
+        results = self.function(data)
+        if not set(self.expected_columns).issubset(results.columns):
+            raise ValueError(
+                f"Expected columns {self.expected_columns}, but got {results.columns.tolist()}"
+            )
+        self._data = results
+        self._signals()
+
+    def _signals(self) -> None:
+        for signal in self.signals:
+            try:
+                signal.compute(self._data)
+            except Exception as e:  # noqa: PERF203
+                logger.error(
+                    f"Fail to compute signal {signal.name} for indicator {self.name}: {e}"
+                )
+
+
+def indicators_factory() -> List[Indicator]:
+    return [
+        Indicator(
+            name="ADX_14",
+            description="Average Directional Movement Index",
+            expected_columns=["ADX_14", "MINUS_DI", "PLUS_DI"],
+            function=ADX.call,
+            signals=[
+                Signal(
+                    name="ADX_14_LONG",
+                    description="ADX 14 Long Signal",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: d[
+                        (d.ADX_14 > 20) & (d.PLUS_DI > d.MINUS_DI)
+                    ].index[-1],
+                ),
+                Signal(
+                    name="ADX_14_SHORT",
+                    description="ADX 14 Short Signal",
+                    type_info="Short",
+                    type=Optional[date],
+                    function=lambda d: d[
+                        (d.ADX_14 > 20) & (d.MINUS_DI > d.PLUS_DI)
+                    ].index[-1],
+                ),
+            ],
+        ),
+        Indicator(
+            name="MACD_12_26_9",
+            description="Moving Average Convergence/Divergence",
+            expected_columns=[
+                "MACD_12_26_9",
+                "MACD_12_26_9_SIGNAL",
+                "MACD_12_26_9_HIST",
+            ],
+            function=MACD.call,
+            signals=[
+                Signal(
+                    name="MACD_12_26_9_BULLISH_CROSSOVER",
+                    description="MACD 12-26-9 Bullish Crossover",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: cross(d.MACD_12_26_9, d.MACD_12_26_9_SIGNAL),
+                ),
+                Signal(
+                    name="MACD_12_26_9_BEARISH_CROSSOVER",
+                    description="MACD 12-26-9 Bearish Crossover",
+                    type_info="Short",
+                    type=Optional[date],
+                    function=lambda d: cross(d.MACD_12_26_9_SIGNAL, d.MACD_12_26_9),
+                ),
+                Signal(
+                    name="MACD_12_26_9_ZERO_LINE_CROSS_UP",
+                    description="MACD 12-26-9 Zero Line Cross Up",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: cross_value(d.MACD_12_26_9, 0),
+                ),
+                Signal(
+                    name="MACD_12_26_9_ZERO_LINE_CROSS_DOWN",
+                    description="MACD 12-26-9 Zero Line Cross Down",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: cross_value(d.MACD_12_26_9, 0, above=False),
+                ),
+            ],
+        ),
+        Indicator(
+            name="RSI",
+            description="Relative Strength Index",
+            expected_columns=["RSI"],
+            function=RSI.call,
+            signals=[
+                Signal(
+                    name="RSI_BULLISH_CROSSOVER",
+                    description="RSI Bullish Crossover",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: cross_value(d.RSI, 30),
+                ),
+                Signal(
+                    name="RSI_BEARISH_CROSSOVER",
+                    description="RSI Bearish Crossover",
+                    type_info="Short",
+                    type=Optional[date],
+                    function=lambda d: cross_value(d.RSI, 70, above=False),
+                ),
+                Signal(
+                    name="RSI_OVERSOLD",
+                    description="RSI Oversold Signal",
+                    type_info="Oversold",
+                    type=Optional[date],
+                    function=lambda d: d[(d.RSI < 30) & (d.RSI > 0)].index[-1],
+                ),
+                Signal(
+                    name="RSI_OVERBOUGHT",
+                    description="RSI Overbought Signal",
+                    type_info="Overbought",
+                    type=Optional[date],
+                    function=lambda d: d[(d.RSI < 100) & (d.RSI > 70)].index[-1],
+                ),
+            ],
+        ),
+        Indicator(
+            name="STOCH",
+            description="Stochastic",
+            expected_columns=["SLOW_K", "SLOW_D"],
+            function=STOCH.call,
+            signals=[
+                Signal(
+                    name="STOCH_OVERSOLD",
+                    description="Stoch Oversold Signal",
+                    type_info="Oversold",
+                    type=Optional[date],
+                    function=lambda d: d[(d.SLOW_K < 20) & (d.SLOW_K > 0)].index[-1],
+                ),
+                Signal(
+                    name="STOCH_OVERBOUGHT",
+                    description="Stoch Overbought Signal",
+                    type_info="Overbought",
+                    type=Optional[date],
+                    function=lambda d: d[(d.SLOW_K < 100) & (d.SLOW_K > 80)].index[-1],
+                ),
+            ],
+        ),
+        Indicator(
+            name="MFI",
+            description="Money Flow Index",
+            expected_columns=["MFI"],
+            function=MFI.call,
+            signals=[
+                Signal(
+                    name="MFI_OVERSOLD",
+                    description="MFI Oversold Signal",
+                    type_info="Oversold",
+                    type=Optional[date],
+                    function=lambda d: d[(d.MFI < 20)].index[-1],
+                ),
+                Signal(
+                    name="MFI_OVERBOUGHT",
+                    description="MFI Overbought Signal",
+                    type_info="Overbought",
+                    type=Optional[date],
+                    function=lambda d: d[(d.MFI > 80)].index[-1],
+                ),
+            ],
+        ),
+        Indicator(
+            name="SMA",
+            description="Money Flow Index",
+            expected_columns=["SMA_50", "SMA_200"],
+            function=SMA.call,
+            signals=[
+                Signal(
+                    name="GOLDEN_CROSS",
+                    description="Golden cross: SMA 50 crosses above SMA 200",
+                    type_info="Oversold",
+                    type=Optional[date],
+                    function=lambda d: cross(d.SMA_50, d.SMA_200),
+                ),
+                Signal(
+                    name="DEATH_CROSS",
+                    description="Death cross: SMA 50 crosses below SMA 200",
+                    type_info="Overbought",
+                    type=Optional[date],
+                    function=lambda d: cross(d.SMA_50, d.SMA_200, above=False),
+                ),
+            ],
+        ),
+        Indicator(
+            name="ROC",
+            description="Rate Of Change",
+            expected_columns=["ROC_7", "ROC_30", "ROC_1"],
+            function=ROC.call,
+            signals=[
+                Signal(
+                    name="MEDIAN_RATE_OF_CHANGE_1",
+                    type_info="Value",
+                    description="Median daily Rate of Change of the last 30 days",
+                    type=Optional[float],
+                    range=[-100, 100],
+                    function=lambda d: np.median(d.ROC_1.tolist()[-30:]),
+                ),
+                Signal(
+                    name="MEDIAN_RATE_OF_CHANGE_7_4",
+                    type_info="Value",
+                    description="Median weekly Rate of Change of the last 4 weeks",
+                    type=Optional[float],
+                    range=[-100, 100],
+                    function=lambda d: np.median(d.ROC_7.tolist()[-4:]),
+                ),
+                Signal(
+                    name="MEDIAN_RATE_OF_CHANGE_7_12",
+                    type_info="Value",
+                    description="Median weekly Rate of Change of the last 12 weeks",
+                    type=Optional[float],
+                    range=[-100, 100],
+                    function=lambda d: np.median(d.ROC_7.tolist()[-12:]),
+                ),
+                Signal(
+                    name="MEDIAN_RATE_OF_CHANGE_30",
+                    type_info="Value",
+                    description="Median monthly Rate of Change of the last 12 Months",
+                    type=Optional[float],
+                    range=[-100, 100],
+                    function=lambda d: np.median(d.ROC_30.tolist()[-12:]),
+                ),
+                Signal(
+                    name="RATE_OF_CHANGE_30",
+                    type_info="Value",
+                    description="30-day Rate of Change",
+                    type=Optional[float],
+                    range=[-100, 100],
+                    function=lambda d: d.ROC_30.tolist()[-1],
+                ),
+                Signal(
+                    name="RATE_OF_CHANGE_7",
+                    type_info="Value",
+                    description="7-day Rate of Change",
+                    type=Optional[float],
+                    range=[-100, 100],
+                    function=lambda d: d.ROC_7.tolist()[-1],
+                ),
+            ],
+        ),
+        Indicator(
+            name="ADOSC",
+            description="Chaikin A/D Oscillator",
+            expected_columns=["ADOSC", "ADOSC_SIGNAL"],
+            function=ADOSC.call,
+            signals=[
+                Signal(
+                    name="ADOSC_CROSSES_ABOVE_0",
+                    type_info="Oversold",
+                    description="Bullish momentum in money flow",
+                    type=Optional[date],
+                    function=lambda d: cross_value(d.ADOSC, 0, above=True),
+                ),
+                Signal(
+                    name="POSITIVE_ADOSC_20_DAY_BREAKOUT",
+                    type_info="Oversold",
+                    description="20-day breakout confirmed by positive ADOSC",
+                    type=Optional[date],
+                    function=lambda d: d[(d.ADOSC_SIGNAL == True)].index[  # noqa: E712
+                        -1
+                    ],
+                ),
+            ],
+        ),
+        Indicator(
+            name="CANDLESTICKS",
+            description="Candlestick Patterns",
+            expected_columns=[
+                "CDLMORNINGSTAR",
+                "CDL3LINESTRIKE",
+                "CDL3WHITESOLDIERS",
+                "CDLABANDONEDBABY",
+                "CDLTASUKIGAP",
+                "CDLPIERCING",
+                "CDLENGULFING",
+            ],
+            function=CANDLESTOCK_PATTERNS.call,
+            signals=[
+                Signal(
+                    name="CDLMORNINGSTAR",
+                    type_info="Long",
+                    description="Morning Star Candlestick Pattern",
+                    type=Optional[date],
+                    function=lambda d: d[(d.CDLMORNINGSTAR == 100)].index[-1],
+                ),
+                Signal(
+                    name="CDL3LINESTRIKE",
+                    description="3 Line Strike Candlestick Pattern",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: d[(d.CDL3LINESTRIKE == 100)].index[-1],
+                ),
+                Signal(
+                    name="CDL3WHITESOLDIERS",
+                    description="3 White Soldiers Candlestick Pattern",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: d[(d.CDL3WHITESOLDIERS == 100)].index[-1],
+                ),
+                Signal(
+                    name="CDLABANDONEDBABY",
+                    description="Abandoned Baby Candlestick Pattern",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: d[(d.CDLABANDONEDBABY == 100)].index[-1],
+                ),
+                Signal(
+                    name="CDLTASUKIGAP",
+                    description="Tasukigap Candlestick Pattern",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: d[(d.CDLTASUKIGAP == 100)].index[-1],
+                ),
+                Signal(
+                    name="CDLPIERCING",
+                    description="Piercing Candlestick Pattern",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: d[(d.CDLPIERCING == 100)].index[-1],
+                ),
+                Signal(
+                    name="CDLENGULFING",
+                    description="Engulfing Candlestick Pattern",
+                    type_info="Long",
+                    type=Optional[date],
+                    function=lambda d: d[(d.CDLENGULFING == 100)].index[-1],
+                ),
+            ],
+        ),
+    ]
+
+
+class Indicators(BaseModel):
+    indicators: List[Indicator] = Field(default_factory=indicators_factory)
+
+    def compute(self, data: pd.DataFrame) -> None:
+        for indicator in self.indicators:
+            indicator.compute(data)
+            logger.info(
+                f"Computed {indicator.name} with {len(indicator.signals)} signals"
+            )
+
+    def to_dict(self, data: pd.DataFrame) -> Dict[str, Any]:
+        self.compute(data)
+        res = {}
+        for indicator in self.indicators:
+            for signal in indicator.signals:
+                res[signal.name.lower()] = (
+                    signal.date if signal.is_date() else signal.value
+                )
+        return res
+
+    def create_indicator_models(self) -> List[type[BaseModel]]:
+        models = []
+        for indicator in self.indicators:
+            model_parameters = {}
+            for signal in indicator.signals:
+                range_ = {}
+                if signal.range:
+                    range_ = {"ge": signal.range[0], "le": signal.range[1]}
+                model_parameters[signal.name.lower()] = (
+                    signal.type,
+                    Field(  # type: ignore
+                        None,
+                        **range_,
+                        description=(
+                            signal.description
+                            or " ".join(signal.name.lower().capitalize().split("_"))
+                        ),
+                    ),
+                )
+            model = create_model(indicator.name, **model_parameters)  # type: ignore
+            model._description = indicator.description
+            models.append(model)
+        return models
+
+
+IndicatorModels = Indicators().create_indicator_models()

bullish/analysis/predefined_filters.py

@@ -0,0 +1,87 @@
+import datetime
+from typing import Dict, Any, Optional
+
+from bullish.analysis.filter import FilterQuery
+from pydantic import BaseModel, Field
+
+
+class NamedFilterQuery(FilterQuery):
+    name: str
+    description: Optional[str] = None
+
+    def to_dict(self) -> Dict[str, Any]:
+        return self.model_dump(
+            exclude_unset=True,
+            exclude_none=True,
+            exclude_defaults=True,
+            exclude={"name"},
+        )
+
+
+STRONG_FUNDAMENTALS = NamedFilterQuery(
+    name="Strong Fundamentals",
+    income=[
+        "positive_operating_income",
+        "growing_operating_income",
+        "positive_net_income",
+        "growing_net_income",
+    ],
+    cash_flow=["positive_free_cash_flow", "growing_operating_cash_flow"],
+    eps=["positive_diluted_eps", "growing_diluted_eps"],
+    properties=[
+        "operating_cash_flow_is_higher_than_net_income",
+        "positive_return_on_equity",
+        "positive_return_on_assets",
+        "positive_debt_to_equity",
+    ],
+    market_capitalization=[1e10, 1e12],  # 1 billion to 1 trillion
+)
+
+GOOD_FUNDAMENTALS = NamedFilterQuery(
+    name="Good Fundamentals",
+    income=[
+        "positive_operating_income",
+        "positive_net_income",
+    ],
+    cash_flow=["positive_free_cash_flow"],
+    eps=["positive_diluted_eps"],
+    properties=[
+        "positive_return_on_equity",
+        "positive_return_on_assets",
+        "positive_debt_to_equity",
+    ],
+    market_capitalization=[1e10, 1e12],  # 1 billion to 1 trillion
+)
+
+MICRO_CAP_EVENT_SPECULATION = NamedFilterQuery(
+    name="Micro-Cap Event Speculation",
+    description="seeks tiny names where unusual volume and price gaps hint at "
+    "pending corporate events (patent win, FDA news, buy-out rumors).",
+    positive_adosc_20_day_breakout=[
+        datetime.date.today() - datetime.timedelta(days=5),
+        datetime.date.today(),
+    ],
+    cdltasukigap=[
+        datetime.date.today() - datetime.timedelta(days=5),
+        datetime.date.today(),
+    ],
+    rate_of_change_30=[20, 100],  # 10% to 50% in the last 30 days
+    market_capitalization=[0, 5e8],
+)
+
+
+def predefined_filters() -> list[NamedFilterQuery]:
+    return [STRONG_FUNDAMENTALS, GOOD_FUNDAMENTALS, MICRO_CAP_EVENT_SPECULATION]
+
+
+class PredefinedFilters(BaseModel):
+    filters: list[NamedFilterQuery] = Field(default_factory=predefined_filters)
+
+    def get_predefined_filter_names(self) -> list[str]:
+        return [filter.name for filter in self.filters]
+
+    def get_predefined_filter(self, name: str) -> Dict[str, Any]:
+        for filter in self.filters:
+            if filter.name == name:
+                return filter.to_dict()
+        raise ValueError(f"Filter with name '{name}' not found.")