quantmod 0.0.1__tar.gz → 0.0.2__tar.gz

{quantmod-0.0.1 → quantmod-0.0.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: quantmod
-Version: 0.0.1
+Version: 0.0.2
 Summary: Quantmod Python Package
 Home-page: https://kannansingaravelu.com/
 Author: Kannan Singaravelu
@@ -10,7 +10,6 @@ Keywords: python,quant,quantmod,quantmod-python
 Platform: any
 Classifier: License :: OSI Approved :: Apache Software License
 Classifier: Programming Language :: Python :: 3
-Classifier: Programming Language :: Python :: 3.9
 Classifier: Programming Language :: Python :: 3.10
 Classifier: Operating System :: OS Independent
 Classifier: Intended Audience :: Developers
@@ -18,7 +17,7 @@ Classifier: Topic :: Office/Business :: Financial
 Classifier: Topic :: Office/Business :: Financial :: Investment
 Classifier: Topic :: Software Development :: Libraries
 Classifier: Topic :: Software Development :: Libraries :: Python Modules
-Requires-Python: >=3.9
+Requires-Python: >=3.10
 Description-Content-Type: text/markdown
 License-File: LICENSE.txt
 Requires-Dist: numpy>=2.0.2

{quantmod-0.0.1 → quantmod-0.0.2}/quantmod/__init__.py

@@ -17,9 +17,10 @@
 
 # updated by Kannan Singaravelu on 2024-08-26
 
-from . import _version
-__version__ = _version.get_versions()['version']
+# from . import _version
+# __version__ = _version.get_versions()['version']
 
+from . import version
 from .main import hello
 
 from quantmod import (
@@ -41,3 +42,6 @@ __all__ = [
     "timeseries",
     "datasets"
 ]
+
+__version__ = version.version
+__author__ = "Kannan Singaravelu"

{quantmod-0.0.1 → quantmod-0.0.2}/quantmod/datasets/__init__.py

@@ -16,9 +16,9 @@
 # limitations under the License.
 #
 
-from .dataloader import load_historical_data
+from .dataloader import fetch_historical_data
 
 
 __all__ = [
-    "load_historical_data",
+    "fetch_historical_data",
 ]

{quantmod-0.0.1/quantmod/indicators → quantmod-0.0.2/quantmod/datasets/data}/__init__.py

@@ -14,10 +14,4 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
-#
-
-from .indicators import ATR
-
-__all__ = [
-    "ATR",
-]
+#

{quantmod-0.0.1 → quantmod-0.0.2}/quantmod/datasets/dataloader.py

@@ -1,5 +1,8 @@
 import pandas as pd
 from quantmod.utils import convert_date_format
+import importlib.resources as pkg_resources
+from . import data
+
 
 def fetch_historical_data(symbol: str, start_date: str=None, end_date: str=None) -> pd.DataFrame:
     """
@@ -27,10 +30,16 @@ def fetch_historical_data(symbol: str, start_date: str=None, end_date: str=None)
         If the start date is greater than the last date in the dataset or the end date is less than the first date in the dataset
     """
 
+    def read_csv_file(filename):
+        with pkg_resources.path(data, filename) as file_path:
+            return pd.read_csv(file_path)
+
     if symbol.lower() == "spx":    
-        df = pd.read_csv("./data/spx.csv")
+        df = read_csv_file("spx.csv")
+        # df = pd.read_csv("./data/spx.csv")
     elif symbol.lower() == "nifty":
-        df = pd.read_csv("./data/nifty50.csv")
+        df = read_csv_file("nifty50.csv")
+        # df = pd.read_csv("./data/nifty50.csv")
     else:
         raise ValueError("Invalid symbol. Only SPX & NIFTY is supported")
     
@@ -54,8 +63,3 @@ def fetch_historical_data(symbol: str, start_date: str=None, end_date: str=None)
         query_str = f"date >= '{start_date}' and date <= '{end_date}'"
         return df.query(query_str)
     
-
-# if __name__ == "__main__":
-#     df = fetch_historical_data("nifty")
-#     print(df.head())
-#     print(df.tail())

quantmod-0.0.2/quantmod/indicators/__init__.py

@@ -0,0 +1,28 @@
+# Quantmod Python Package
+# https://kannansingaravelu.com/
+
+# Copyright 2024 Kannan Singaravelu
+
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+#
+
+from .indicators import ATR, BBands, SMA, EMA, MACD, RSI
+
+__all__ = [
+    "ATR",
+    "BBands",
+    "SMA",
+    "EMA",
+    "MACD",
+    "RSI"
+]

quantmod-0.0.2/quantmod/indicators/indicators.py

@@ -0,0 +1,167 @@
+import pandas as pd
+
+def ATR(df: pd.DataFrame, lookback: int = 14) -> pd.Series:
+    """
+    Calculate the Average True Range (ATR).
+
+    ATR is a volatility indicator that measures the average of the true range values
+    over a specified period. An expanding ATR indicates increased volatility, while
+    a low ATR value indicates a series of periods with small price ranges.
+
+    Parameters
+    ----------
+    df : pd.DataFrame
+        dataFrame with OHLC (Open, High, Low, Close) price data
+    lookback : int, optional
+        number of periods to use for ATR calculation, by default 14
+
+    Returns
+    -------
+    pd.Series
+        series containing the ATR values for each period
+    """
+    
+    df = df.copy()
+    df.rename(columns=str.lower, inplace=True)
+    
+    df['H-L']=abs(df['high']-df['low'])
+    df['H-PC']=abs(df['high']-df['close'].shift(1))
+    df['L-PC']=abs(df['low']-df['close'].shift(1))
+   
+    df['TR']=df[['H-L','H-PC','L-PC']].max(axis=1,skipna=False)
+    df['ATR']=df['TR'].rolling(lookback).mean()
+    
+    data = df.drop(['H-L','H-PC','L-PC'],axis=1) # drop columns
+    
+    return data['ATR']
+
+
+def BBands(series: pd.Series, lookback: int, multiplier: float = 2) -> pd.Series:
+    """
+    Calculate Bollinger Bands for a given DataFrame
+
+    Parameters
+    ----------
+    series : pd.Series
+        price series
+    lookback : int
+        lookback period for the bollinger bands
+    multiplier : float, optional
+        multiplier for the standard deviation, by default 2
+
+    Returns
+    -------
+    pd.Series
+        series containing the Bollinger Bands
+    """
+
+    # Calculate rolling mean and standard deviation
+    rolling_mean = series.rolling(window=lookback).mean()
+    rolling_std = series.rolling(window=lookback).std()
+
+    # Calculate upper and lower bands
+    upper = rolling_mean + (rolling_std * multiplier)
+    middle = rolling_mean
+    lower = rolling_mean - (rolling_std * multiplier)
+
+    return lower, middle, upper
+
+
+def SMA(series: pd.Series, lookback: int) -> pd.Series:
+    """
+    Moving Average
+
+    Parameters
+    ----------
+    series : pd.Series
+        time series to calculate the Moving Average for
+    lookback : int
+        lookback period for the Moving Average
+        
+    Returns
+    -------
+    pd.Series
+        series containing the Moving Average
+    """
+
+    return series.rolling(lookback).mean()
+
+def EMA(series: pd.Series, lookback: int) -> pd.Series:
+    """
+    Exponential Moving Average
+
+    Parameters
+    ----------
+    series : pd.Series
+        time series to calculate the Exponential Moving Average for
+    lookback : int
+        lookback period for the Exponential Moving Average
+        
+    Returns
+    -------
+    pd.Series
+        series containing the Exponential Moving Average
+    """
+
+    return series.ewm(span=lookback, adjust=False).mean()
+
+
+def MACD(series: pd.Series, lookback: int, fast: int, slow: int) -> pd.Series:
+    """
+    Moving Average Convergence Divergence
+
+    Parameters
+    ----------
+    series : pd.Series
+        time series to calculate the MACD for
+    lookback : int
+        lookback period for the MACD
+    fast : int
+        fast period for the MACD
+    slow : int
+        slow period for the MACD
+        
+    Returns
+    -------
+    pd.Series
+        series containing the MACD
+    """
+
+    # Calculate MACD line
+    macd = series.ewm(span=fast, adjust=False).mean() - series.ewm(span=slow, adjust=False).mean()
+    
+    # Calculate Signal line from the MACD line
+    signal = macd.ewm(span=lookback, adjust=False).mean()
+    
+    return macd, signal
+
+def RSI(series: pd.Series, lookback: int) -> pd.Series:
+    """
+    Relative Strength Index
+
+    Parameters
+    ----------
+    series : pd.Series
+        time series to calculate the RSI for
+    lookback : int
+        lookback period for the RSI
+        
+    Returns
+    -------
+    pd.Series
+        series containing the RSI
+    """
+
+    # Calculate price changes
+    delta = series.diff()
+    delta.where(delta > 0, 0)
+    # Separate gains and losses
+    gain = (delta.where(delta > 0, 0)).rolling(window=lookback).mean()
+    loss = (-delta.where(delta < 0, 0)).rolling(window=lookback).mean()
+    
+    # Calculate the Relative Strength (RS)
+    rs = gain / loss
+    
+    # Calculate RSI
+    return 100 - (100 / (1 + rs))
+    

{quantmod-0.0.1 → quantmod-0.0.2}/quantmod/timeseries/performance.py

@@ -2,84 +2,94 @@
 import numpy as np
 import pandas as pd
 
-
-def periodReturn(series: pd.Series, period: str = None) -> pd.DataFrame:
+def periodReturn(data: pd.DataFrame | pd.Series, period: str = None) -> pd.DataFrame | pd.Series:
     """
     Calculates periodic returns for the specified inputs
 
     Parameters
     ----------
-    series : pd.Series
-        price series
+    data : pd.DataFrame | pd.Series
+        price data
     period : str, optional
         None, defaults to daily frequency
-        Sepcifiy W, M, Q and A for weekly, monthly, quarterly and annual frequency
-    
+        Sepcifiy W, M, Q and Y for weekly, monthly, quarterly and annual frequency
+
     Returns
     -------
-    pd.DataFrame
+    pd.DataFrame | pd.Series
         resampled dataframe series of log returns
     """
-    
+
+    # Check if the input is a Series or DataFrame
+    if not isinstance(data, (pd.DataFrame, pd.Series)):
+        raise ValueError("Input must be a pandas DataFrame or Series")
+
+    # Initialize variable to hold log returns
+    temp = pd.Series(dtype=float)
+
     if period is None:
-        temp = np.log(df).diff()
+        temp = np.log(data).diff()
     
-    if period == 'week':
-        df = df.resample('W').last()
-        temp = np.log(df).diff()
+    elif period == 'W':
+        data = data.resample('W').last()
+        temp = np.log(data).diff()
     
-    if period == 'month':
-        df = df.resample('M').last()
-        temp = np.log(df).diff()
+    elif period == 'M':
+        data = data.resample('ME').last()
+        temp = np.log(data).diff()
     
-    if period == 'quarter':
-        df = df.resample('Q').last()
-        temp = np.log(df).diff()
+    elif period == 'Q':
+        data = data.resample('QE').last()
+        temp = np.log(data).diff()
     
-    if period == 'annual':
-        df = df.resample('A').last()
-        temp = np.log(df).diff()
-
-    if period == 'all':
-        temp = pd.DataFrame({
-            'daily': dailyReturn(df).iloc[-1],
-            'week': weeklyReturn(df).iloc[-1],
-            'month': monthlyReturn(df).iloc[-1],
-            'quarter': quarterlyReturn(df).iloc[-1],
-            'annual': annualReturn(df).iloc[-1]
-            }, index=[df.index[-1]])
+    elif period == 'A':
+        data = data.resample('YE').last()
+        temp = np.log(data).diff()
+
+    elif period == 'all':
+        if isinstance(data, pd.Series):
+            temp = pd.DataFrame({
+                'daily': dailyReturn(data).iloc[-1],
+                'weekly': weeklyReturn(data).iloc[-1],
+                'monthly': monthlyReturn(data).iloc[-1],
+                'quarterly': quarterlyReturn(data).iloc[-1],
+                'annual': annualReturn(data).iloc[-1]
+            }, index=[data.index[-1]])
+            return temp.dropna()
+        else:
+            raise ValueError("Please pass a Series for period 'all'")
 
     return temp.dropna()
 
 
-def dailyReturn(df: pd.DataFrame) -> pd.DataFrame:
+def dailyReturn(data: pd.DataFrame | pd.Series) -> pd.DataFrame | pd.Series:
     """Calculates daily returns for the specified inputs."""
-    return periodReturn(df)
+    return periodReturn(data)
 
 
-def weeklyReturn(df: pd.DataFrame) -> pd.DataFrame:
+def weeklyReturn(data: pd.DataFrame | pd.Series) -> pd.DataFrame | pd.Series:
     """Calculates weekly returns for the specified inputs."""
-    return periodReturn(df, period='week')
+    return periodReturn(data, period='W')
 
 
-def monthlyReturn(df: pd.DataFrame) -> pd.DataFrame:
+def monthlyReturn(data: pd.DataFrame | pd.Series) -> pd.DataFrame | pd.Series:
     """Calculates monthly returns for the specified inputs."""
-    return periodReturn(df, period='month')
+    return periodReturn(data, period='M')
 
 
-def quarterlyReturn(df: pd.DataFrame) -> pd.DataFrame:
+def quarterlyReturn(data: pd.DataFrame | pd.Series) -> pd.DataFrame | pd.Series:
     """Calculates quarterly returns for the specified inputs."""
-    return periodReturn(df, period='quarter')
+    return periodReturn(data, period='Q')
 
 
-def annualReturn(df: pd.DataFrame) -> pd.DataFrame:
+def annualReturn(data: pd.DataFrame | pd.Series) -> pd.DataFrame | pd.Series:
     """Calculates annual returns for the specified inputs."""
-    return periodReturn(df, period='annual')   
+    return periodReturn(data, period='A')   
 
 
-def allReturn(df: pd.DataFrame) -> pd.DataFrame:
+def allReturn(data: pd.DataFrame | pd.Series) -> pd.DataFrame | pd.Series:
     """Calculates annual returns for the specified inputs."""
-    return periodReturn(df, period='all')
+    return periodReturn(data, period='all')
 
 
 def cagr(returns: pd.Series, intra_period: int = 1, is_log: bool = False) -> float:

quantmod-0.0.2/quantmod/version.py

@@ -0,0 +1 @@
+version = "0.0.2"

{quantmod-0.0.1 → quantmod-0.0.2}/quantmod.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: quantmod
-Version: 0.0.1
+Version: 0.0.2
 Summary: Quantmod Python Package
 Home-page: https://kannansingaravelu.com/
 Author: Kannan Singaravelu
@@ -10,7 +10,6 @@ Keywords: python,quant,quantmod,quantmod-python
 Platform: any
 Classifier: License :: OSI Approved :: Apache Software License
 Classifier: Programming Language :: Python :: 3
-Classifier: Programming Language :: Python :: 3.9
 Classifier: Programming Language :: Python :: 3.10
 Classifier: Operating System :: OS Independent
 Classifier: Intended Audience :: Developers
@@ -18,7 +17,7 @@ Classifier: Topic :: Office/Business :: Financial
 Classifier: Topic :: Office/Business :: Financial :: Investment
 Classifier: Topic :: Software Development :: Libraries
 Classifier: Topic :: Software Development :: Libraries :: Python Modules
-Requires-Python: >=3.9
+Requires-Python: >=3.10
 Description-Content-Type: text/markdown
 License-File: LICENSE.txt
 Requires-Dist: numpy>=2.0.2

{quantmod-0.0.1 → quantmod-0.0.2}/quantmod.egg-info/SOURCES.txt

@@ -6,6 +6,7 @@ quantmod/__init__.py
 quantmod/_version.py
 quantmod/main.py
 quantmod/utils.py
+quantmod/version.py
 quantmod.egg-info/PKG-INFO
 quantmod.egg-info/SOURCES.txt
 quantmod.egg-info/dependency_links.txt
@@ -15,6 +16,7 @@ quantmod.egg-info/requires.txt
 quantmod.egg-info/top_level.txt
 quantmod/datasets/__init__.py
 quantmod/datasets/dataloader.py
+quantmod/datasets/data/__init__.py
 quantmod/derivatives/__init__.py
 quantmod/derivatives/options.py
 quantmod/indicators/__init__.py

{quantmod-0.0.1 → quantmod-0.0.2}/setup.py

@@ -11,9 +11,16 @@ README = (HERE / "README.md").read_text(encoding="utf-8")
 with open('requirements.txt', 'r', encoding="utf-8") as f:
     requirements = f.read().splitlines()
 
+# --- get version ---
+version = "unknown"
+with open("quantmod/version.py") as f:
+    line = f.read().strip()
+    version = line.replace("version = ", "").replace('"', '')
+# --- /get version ---
+
 setup(
     name="quantmod",
-    version="0.0.1",
+    version=version,
     # version=versioneer.get_version(),
     # cmdclass=versioneer.get_cmdclass(),
     description="Quantmod Python Package",
@@ -29,7 +36,6 @@ setup(
     classifiers=[
         "License :: OSI Approved :: Apache Software License",
         "Programming Language :: Python :: 3",
-        "Programming Language :: Python :: 3.9",
         "Programming Language :: Python :: 3.10",
         "Operating System :: OS Independent",  
         "Intended Audience :: Developers",
@@ -39,7 +45,7 @@ setup(
         "Topic :: Software Development :: Libraries :: Python Modules",
     ],
     platforms=['any'],
-    python_requires=">=3.9",
+    python_requires=">=3.10",
     zip_safe=False,
     entry_points={
         'console_scripts': [

quantmod-0.0.1/quantmod/indicators/indicators.py

@@ -1,51 +0,0 @@
-import pandas as pd
-
-def ATR(df: pd.DataFrame, lookback: int = 14) -> pd.Series:
-    """
-    Calculate the Average True Range (ATR).
-
-    ATR is a volatility indicator that measures the average of the true range values
-    over a specified period. An expanding ATR indicates increased volatility, while
-    a low ATR value indicates a series of periods with small price ranges.
-
-    Parameters
-    ----------
-    df : pd.DataFrame
-        DataFrame with OHLC (Open, High, Low, Close) price data.
-    lookback : int, optional
-        Number of periods to use for ATR calculation, by default 14.
-
-    Returns
-    -------
-    pd.Series
-        A pandas Series containing the ATR values for each period.
-
-    Examples
-    --------
-    >>> import pandas as pd
-    >>> df = pd.DataFrame({
-    ...     'Open': [10, 11, 12],
-    ...     'High': [12, 13, 14],
-    ...     'Low': [9, 10, 11],
-    ...     'Close': [11, 12, 13]
-    ... })
-    >>> atr = ATR(df, lookback=2)
-    >>> print(atr)
-    0         NaN
-    1    3.000000
-    2    2.750000
-    dtype: float64
-    """
-    
-    df = df.copy()
-    
-    df['H-L']=abs(df['High']-df['Low'])
-    df['H-PC']=abs(df['High']-df['Close'].shift(1))
-    df['L-PC']=abs(df['Low']-df['Close'].shift(1))
-   
-    df['TR']=df[['H-L','H-PC','L-PC']].max(axis=1,skipna=False)
-    df['ATR']=df['TR'].rolling(lookback).mean()
-    
-    data = df.drop(['H-L','H-PC','L-PC'],axis=1) # drop columns
-    
-    return data['ATR']