siglab-py 0.3.1__py3-none-any.whl → 0.3.2__py3-none-any.whl

siglab_py/tests/unit/trading_util_tests.py

@@ -12,7 +12,7 @@ class TradingUtilTests(unittest.TestCase):
         tp_min_percent : float = 1.5
         tp_max_percent : float = 2.5
         sl_percent_trailing : float = 50 # Trailing stop loss in percent
-        default_effective_tp_percent_trailing : float = 50
+        default_effective_tp_trailing_percent : float = 50
 
         pnl_percent_notional : float = 0.5 # Trade's current pnl in percent.
 
@@ -21,7 +21,7 @@ class TradingUtilTests(unittest.TestCase):
             tp_max_percent = tp_max_percent,
             sl_percent_trailing = sl_percent_trailing,
             pnl_percent_notional = pnl_percent_notional,
-            default_effective_tp_percent_trailing = default_effective_tp_percent_trailing
+            default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
         )
         assert(effective_tp_trailing_percent==50) # Generous trailing SL when trading starting out and pnl small.
 
@@ -29,7 +29,7 @@ class TradingUtilTests(unittest.TestCase):
         tp_min_percent : float = 1.5
         tp_max_percent : float = 2.5
         sl_percent_trailing : float = 50 # Trailing stop loss in percent
-        default_effective_tp_percent_trailing : float = 50
+        default_effective_tp_trailing_percent : float = 50
 
         pnl_percent_notional : float = 2 # Trade's current pnl in percent.
 
@@ -38,7 +38,7 @@ class TradingUtilTests(unittest.TestCase):
             tp_max_percent = tp_max_percent,
             sl_percent_trailing = sl_percent_trailing,
             pnl_percent_notional = pnl_percent_notional,
-            default_effective_tp_percent_trailing = default_effective_tp_percent_trailing
+            default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
         )
         assert(effective_tp_trailing_percent==25) # Intermediate trailing SL
 
@@ -46,7 +46,7 @@ class TradingUtilTests(unittest.TestCase):
         tp_min_percent : float = 1.5
         tp_max_percent : float = 2.5
         sl_percent_trailing : float = 50 # Trailing stop loss in percent
-        default_effective_tp_percent_trailing : float = 50
+        default_effective_tp_trailing_percent : float = 50
 
         pnl_percent_notional : float = 2.5 # Trade's current pnl in percent.
 
@@ -55,6 +55,6 @@ class TradingUtilTests(unittest.TestCase):
             tp_max_percent = tp_max_percent,
             sl_percent_trailing = sl_percent_trailing,
             pnl_percent_notional = pnl_percent_notional,
-            default_effective_tp_percent_trailing = default_effective_tp_percent_trailing
+            default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
         )
         assert(effective_tp_trailing_percent==0) # Most tight trailing SL

siglab_py/util/analytic_util.py

@@ -98,10 +98,13 @@ def compute_candles_stats(
     pd_candles['ema_short_periods'] = close_short_periods_ewm.mean()
     pd_candles['ema_long_periods'] = close_long_periods_ewm.mean()
     pd_candles['ema_close'] = pd_candles['ema_long_periods'] # Alias, shorter name
-    pd_candles['std'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).std()
+    pd_candles['std'] = close_long_periods_rolling.std()
 
     pd_candles['std_percent'] = pd_candles['std'] / pd_candles['ema_close'] * 100
 
+    pd_candles['normalized_close_short'] = (pd_candles['close'] - pd_candles['sma_short_periods']) / close_short_periods_rolling.std()
+    pd_candles['normalized_close_long'] = (pd_candles['close'] - pd_candles['sma_long_periods']) / pd_candles['std']
+
     pd_candles['candle_height_percent'] = pd_candles['candle_height'] / pd_candles['ema_close'] * 100
     pd_candles['candle_height_percent_rounded'] = pd_candles['candle_height_percent'].round().astype('Int64')
 
@@ -368,12 +371,12 @@ def compute_candles_stats(
         import statsmodels.api as sm # in-compatible with pypy
 
         # Slopes
-        X = sm.add_constant(range(len(pd_candles['close'])))
-        rolling_slope = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
+        X = sm.add_constant(range(len(pd_candles['normalized_close_short'])))
+        rolling_slope = pd_candles['normalized_close_short'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
         pd_candles['close_short_slope'] = rolling_slope
 
-        X = sm.add_constant(range(len(pd_candles['close'])))
-        rolling_slope = pd_candles['close'].rolling(window=sliding_window_how_many_candles).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
+        X = sm.add_constant(range(len(pd_candles['normalized_close_long'])))
+        rolling_slope = pd_candles['normalized_close_long'].rolling(window=sliding_window_how_many_candles).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
         pd_candles['close_long_slope'] = rolling_slope
         
         X = sm.add_constant(range(len(pd_candles['ema_short_periods'])))

siglab_py/util/trading_util.py

@@ -11,11 +11,11 @@ Examples,
         min TP = 1.5% <-- min TP
         max TP = 2.5% <-- max TP
 
-    slope = (0-50)/(2.5-1.5) = -50
+    slope = (0-50)/(2.5-1.5) = -50/+1 = -50
     effective_tp_trailing_percent = slope * (pnl_percent_notional - 1.5%) + sl_percent_trailing
 
-Case 1. pnl_percent_notional = 0.5% (Trade starting off, only +50bps pnl. i.e. min TP)
-            effective_tp_trailing_percent = slope * (pnl_percent_notional - 0.5%) + sl_percent_trailing
+Case 1. pnl_percent_notional = 1.5% (Trade starting off, only +50bps pnl. i.e. min TP)
+            effective_tp_trailing_percent = slope * (pnl_percent_notional - 1.5%) + sl_percent_trailing
                                             = -50 * (1.5-1.5) + 50%
                                             = 0 + 50
                                             = 50% (Most loose)

{siglab_py-0.3.1.dist-info → siglab_py-0.3.2.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.1
+Version: 0.3.2
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.1.dist-info → siglab_py-0.3.2.dist-info}/RECORD

@@ -23,16 +23,16 @@ siglab_py/tests/integration/market_data_util_tests.py,sha256=p-RWIJZLyj0lAdfi4QT
 siglab_py/tests/unit/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/unit/analytic_util_tests.py,sha256=68FTWDrfXTAyFLte6wiRfwcFVJItU5F47_DebgF6hAc,3788
 siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGola8wTf1D1xbelMvgw,2026
-siglab_py/tests/unit/trading_util_tests.py,sha256=VywV-wvRBDoN7ZE6-SgUzYyyjnd6wv0HgQD2RWpkkZQ,2689
+siglab_py/tests/unit/trading_util_tests.py,sha256=tyefqOTQOoXSlemSDonqmdHp61-1nuXb0_6oeLlaNSM,2689
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/util/analytic_util.py,sha256=TunVYV4DhedRFk0dYhKdm4zh5ztGcORH8-MDBV2LLZg,44944
+siglab_py/util/analytic_util.py,sha256=gEEKB0_qDbpoK7QbDAow5jm2Uo-Ij3wad9iGs1xI-KM,45225
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
 siglab_py/util/market_data_util.py,sha256=9Uze8DE5z90H4Qm15R55ZllAi5trUkwCAW-BWYbfaW8,19420
 siglab_py/util/notification_util.py,sha256=vySgHjpHgwFDLW0tHSi_AGh9JBbPc25IUgvWxmjAeT8,2658
 siglab_py/util/retry_util.py,sha256=mxYuRFZRZoaQQjENcwPmxhxixtd1TFvbxIdPx4RwfRc,743
 siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
-siglab_py/util/trading_util.py,sha256=djE3_q6hAyFDuLMVsUmgbHZLzFxrlZHVqDcYRvM7n3c,3038
-siglab_py-0.3.1.dist-info/METADATA,sha256=5PVfvOBOGHHHAU_9IKXJ8_D5szXcYx87Y9dxw1xArrY,979
-siglab_py-0.3.1.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.3.1.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.3.1.dist-info/RECORD,,
+siglab_py/util/trading_util.py,sha256=FmqsamuPhMjZUkz4lCyuE8MHFapXn6yNl8Isy7peQEs,3047
+siglab_py-0.3.2.dist-info/METADATA,sha256=dbBew40mI924gqRR91kUk-hcFFZynmBDyt_PKINmorI,979
+siglab_py-0.3.2.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.3.2.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.3.2.dist-info/RECORD,,