siglab-py 0.5.18__py3-none-any.whl → 0.5.20__py3-none-any.whl

siglab_py/util/analytic_util.py

@@ -83,7 +83,8 @@ def compute_candles_stats(
         rsi_ema : bool = True,
         boillenger_ema : bool = False,
         slow_fast_interval_ratio : float = 3,
-        rsi_sliding_window_how_many_candles : Union[int, None] = None, # RSI standard 14
+        rsi_sliding_window_how_many_candles : int = 14, # RSI standard 14
+        rsi_trend_sliding_window_how_many_candles : int = 24*7, # This is for purpose of RSI trend identification (Locating local peaks/troughs in RSI). This should typically be multiples of 'rsi_sliding_window_how_many_candles'.
         hurst_exp_window_how_many_candles : Union[int, None] = None, # Hurst exp standard 100-200
         boillenger_std_multiples_for_aggressive_moves_detect : int = 3, # Aggressive moves if candle low/high breaches boillenger bands from 3 standard deviations.
         target_fib_level : float = 0.618,
@@ -346,9 +347,9 @@ def compute_candles_stats(
     if rsi_ema == True:
         # Use exponential moving average
         lo_ma_up = lo_up.ewm(
-            com = (rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles) - 1, 
+            com = rsi_sliding_window_how_many_candles -1, 
             adjust=True, 
-            min_periods = rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles).mean()
+            min_periods = rsi_sliding_window_how_many_candles).mean()
         lo_ma_down = lo_down.ewm(
             com = (rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles) - 1, 
             adjust=True, 
@@ -356,16 +357,16 @@ def compute_candles_stats(
 
     else:
         # Use simple moving average
-        lo_ma_up = lo_up.rolling(window = rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles).mean()
-        lo_ma_down = lo_down.rolling(window = rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles).mean()
+        lo_ma_up = lo_up.rolling(window = rsi_sliding_window_how_many_candles).mean()
+        lo_ma_down = lo_down.rolling(window = rsi_sliding_window_how_many_candles).mean()
         
     lo_rs = lo_ma_up / lo_ma_down
     pd_candles.loc[:,'rsi'] = 100 - (100/(1 + lo_rs))
     pd_candles['ema_rsi'] = pd_candles['rsi'].ewm(
-        span=rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles, 
+        span=rsi_sliding_window_how_many_candles, 
         adjust=False).mean()
 
-    rsi_rolling = pd_candles['rsi'].rolling(window=int(rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles))
+    rsi_rolling = pd_candles['rsi'].rolling(window=int(rsi_trend_sliding_window_how_many_candles))
     pd_candles['rsi_max'] = rsi_rolling.max()
     pd_candles['rsi_idmax'] = rsi_rolling.apply(lambda x : x.idxmax())
     pd_candles['rsi_min'] = rsi_rolling.min()
@@ -375,6 +376,8 @@ def compute_candles_stats(
             row,
             rsi_upper_threshold : float = 70,
             rsi_lower_threshold : float = 30):
+        if pd.isna(row['rsi_idmax']) or pd.isna(row['rsi_idmin']):
+            return np.nan
         if row['rsi_idmax'] > row['rsi_idmin']:
             return 'down' if row.name > row['rsi_idmax'] and row['rsi'] <= rsi_upper_threshold else 'up'
         else:

{siglab_py-0.5.18.dist-info → siglab_py-0.5.20.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.18
+Version: 0.5.20
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.18.dist-info → siglab_py-0.5.20.dist-info}/RECORD

@@ -26,14 +26,14 @@ siglab_py/tests/unit/analytic_util_tests.py,sha256=vt6DKH-Flf9Og3gqivZ9W-sz5z-Kc
 siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGola8wTf1D1xbelMvgw,2026
 siglab_py/tests/unit/trading_util_tests.py,sha256=9DZmTZlW55lPtNfTCukgDdiyBiMYv9R4mEFWJIJiTNg,3870
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/util/analytic_util.py,sha256=gA3kj-C18sqG1DGf6cr-6dx3DPERfpDtzv08ZIFO49A,49107
+siglab_py/util/analytic_util.py,sha256=Do_H30Dt-ISTPnNQ6JcLhBnIgvu3NGV6WYGWnplvgtY,48965
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
 siglab_py/util/market_data_util.py,sha256=mUXg4uaiX3b6_klgJWIEgnUQU4IUd6CwTOqKLiQWRlU,31307
 siglab_py/util/notification_util.py,sha256=vySgHjpHgwFDLW0tHSi_AGh9JBbPc25IUgvWxmjAeT8,2658
 siglab_py/util/retry_util.py,sha256=g-UU6pkPouWZZRZEqP99R2Z0lX5xzckYkzjwqqSDpVQ,922
 siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
 siglab_py/util/trading_util.py,sha256=-TGNgJdy4HMDPgq31KQn_lRawFxuXnFU5NnLRb1XM5o,5757
-siglab_py-0.5.18.dist-info/METADATA,sha256=M5SseNFH6bf_4JDo33YDDsVibWmvxi30sZZRlT4400I,829
-siglab_py-0.5.18.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
-siglab_py-0.5.18.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.18.dist-info/RECORD,,
+siglab_py-0.5.20.dist-info/METADATA,sha256=05smcq4TjV5yqXk9cI6GwzA2-4eDf2YQx7VYDJmNVVg,829
+siglab_py-0.5.20.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
+siglab_py-0.5.20.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.20.dist-info/RECORD,,