siglab-py 0.5.21__py3-none-any.whl → 0.5.23__py3-none-any.whl

siglab_py/tests/unit/analytic_util_tests.py

@@ -57,13 +57,14 @@ class AnalyticUtilTests(unittest.TestCase):
             'ema_volume_short_periods', 'ema_volume_long_periods', 
             'max_short_periods', 'max_long_periods', 'idmax_short_periods', 'idmax_long_periods', 'min_short_periods', 'min_long_periods', 'idmin_short_periods', 'idmin_long_periods', 
             'price_swing_short_periods', 'price_swing_long_periods',
+            'higher_highs_long_periods', 'lower_lows_long_periods', 'higher_highs_short_periods', 'lower_lows_short_periods',
             'h_l', 'h_pc', 'l_pc', 'tr', 'atr', 'atr_avg_short_periods', 'atr_avg_long_periods',
             'hurst_exp', 
             'boillenger_upper', 'boillenger_lower', 'boillenger_channel_height', 'boillenger_upper_agg', 'boillenger_lower_agg', 'boillenger_channel_height_agg', 
             'aggressive_up', 'aggressive_up_index', 'aggressive_up_candle_height', 'aggressive_up_candle_high', 'aggressive_up_candle_low', 'aggressive_down', 'aggressive_down_index', 'aggressive_down_candle_height', 'aggressive_down_candle_high', 'aggressive_down_candle_low', 
             'fvg_low', 'fvg_high', 'fvg_gap', 'fvg_mitigated', 
             'close_delta', 'close_delta_percent', 'up', 'down', 
-            'rsi', 'ema_rsi', 'rsi_max', 'rsi_idmax', 'rsi_min', 'rsi_idmin', 'rsi_trend',
+            'rsi', 'ema_rsi', 'rsi_max', 'rsi_idmax', 'rsi_min', 'rsi_idmin', 'rsi_trend', 'rsi_higher_highs', 'rsi_lower_lows', 'rsi_divergence',
             'typical_price', 
             'money_flow', 'money_flow_positive', 'money_flow_negative', 'positive_flow_sum', 'negative_flow_sum', 'money_flow_ratio', 'mfi', 
             'macd', 'signal', 'macd_minus_signal', 

siglab_py/util/analytic_util.py

@@ -50,7 +50,31 @@ def calculate_slope(
     pd_data[f"normalized_{slope_col_name}_max"] = normalized_slope_rolling.max()
     pd_data[f"normalized_{slope_col_name}_idmin"] = normalized_slope_rolling.apply(lambda x : x.idxmin())
     pd_data[f"normalized_{slope_col_name}_idmax"] = normalized_slope_rolling.apply(lambda x : x.idxmax())
-    
+
+def higherhighs(series: pd.Series) -> str:
+    unique_maxima = series.dropna()[series.dropna().diff().ne(0)]
+    if len(unique_maxima) < 2:
+        return 'sideways'
+    first, last = unique_maxima.iloc[0], unique_maxima.iloc[-1]
+    if first > last:
+        return 'lower_highs'
+    elif first < last:
+        return 'higher_highs'
+    else:
+        return 'sideways'
+
+def lowerlows(series: pd.Series) -> str:
+    unique_minima = series.dropna()[series.dropna().diff().ne(0)]
+    if len(unique_minima) < 2:
+        return 'sideways'
+    first, last = unique_minima.iloc[0], unique_minima.iloc[-1]
+    if first > last:
+        return 'lower_lows'
+    elif first < last:
+        return 'higher_lows'
+    else:
+        return 'sideways'
+
 '''
 compute_candles_stats will calculate typical/basic technical indicators using in many trading strategies:
     a. Basic SMA/EMAs (And slopes)
@@ -180,6 +204,11 @@ def compute_candles_stats(
         pd_candles['min_long_periods'] - pd_candles['max_long_periods']   # Down swing (negative)
     )
 
+    pd_candles['higher_highs_long_periods'] = higherhighs(pd_candles['max_long_periods'])
+    pd_candles['lower_lows_long_periods'] = lowerlows(pd_candles['min_long_periods'])
+    pd_candles['higher_highs_short_periods'] = higherhighs(pd_candles['max_short_periods'])
+    pd_candles['lower_lows_short_periods'] = lowerlows(pd_candles['min_short_periods'])
+
     # ATR https://medium.com/codex/detecting-ranging-and-trending-markets-with-choppiness-index-in-python-1942e6450b58 
     pd_candles.loc[:,'h_l'] = pd_candles['high'] - pd_candles['low']
     pd_candles.loc[:,'h_pc'] = abs(pd_candles['high'] - pd_candles['close'].shift(1))
@@ -199,10 +228,10 @@ def compute_candles_stats(
     Sometimes you may encounter "Exception has occurred: FloatingPointError invalid value encountered in scalar divide"
     And for example adjusting window size from 120 to 125 will resolve the issue.
     '''
+    if not hurst_exp_window_how_many_candles:
+        hurst_exp_window_how_many_candles = (sliding_window_how_many_candles if sliding_window_how_many_candles>=125 else 125)
     pd_candles['hurst_exp'] = pd_candles['close'].rolling(
-        window=(
-            hurst_exp_window_how_many_candles if hurst_exp_window_how_many_candles else (sliding_window_how_many_candles if sliding_window_how_many_candles>=125 else 125)
-            )
+        window=hurst_exp_window_how_many_candles
         ).apply(lambda x: compute_Hc(x, kind='price', simplified=True)[0])
 
 
@@ -395,6 +424,20 @@ def compute_candles_stats(
             return 'up' if row.name > row['rsi_idmin'] and row['rsi'] >= rsi_lower_threshold else 'down'
 
     pd_candles['rsi_trend'] = pd_candles.apply(lambda row: rsi_trend(row), axis=1)
+
+    pd_candles['rsi_higher_highs'] = higherhighs(pd_candles['rsi_max'])
+    pd_candles['rsi_lower_lows'] = lowerlows(pd_candles['rsi_min'])
+
+    def _rsi_divergence(row):
+		# Bullish Divergence: Price lower low + RSI higher low
+        if row['lower_lows_long_periods']=='lower_lows' and row['rsi_lower_lows']=='higher_lows':
+            return 'bullish_divergence'
+		# Bearish Divergence: Price higher high + RSI lower high
+        elif row['higher_highs_long_periods']=='higher_highs' and row['rsi_higher_highs']=='lower_highs':
+            return 'bearish_divergence'
+        else:
+            return 'no_divergence'
+    pd_candles['rsi_divergence'] = pd_candles.apply(_rsi_divergence, axis=1)
     
 
     # MFI (Money Flow Index) https://randerson112358.medium.com/algorithmic-trading-strategy-using-money-flow-index-mfi-python-aa46461a5ea5 
@@ -474,6 +517,13 @@ def compute_candles_stats(
             (pd_candles['ema_long_slope'] > 0) & (pd_candles['ema_rsi_slope'] < 0) |
             (pd_candles['ema_long_slope'] < 0) & (pd_candles['ema_rsi_slope'] > 0)
         )
+
+        calculate_slope(
+            pd_data=pd_candles,
+            src_col_name='hurst_exp',
+            slope_col_name='hurst_exp_slope',
+            sliding_window_how_many_candles=hurst_exp_window_how_many_candles
+        )
         
 
     # Fibonacci

{siglab_py-0.5.21.dist-info → siglab_py-0.5.23.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.21
+Version: 0.5.23
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.21.dist-info → siglab_py-0.5.23.dist-info}/RECORD

@@ -22,18 +22,18 @@ siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/market_data_util_tests.py,sha256=p-RWIJZLyj0lAdfi4QTIeAttCm_e8mEVWFKh4OWuogU,7189
 siglab_py/tests/unit/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/tests/unit/analytic_util_tests.py,sha256=zxR4s3qZe7i84HcDk41pBHZ4yUyr_cP3dmzM7y8l3FY,4054
+siglab_py/tests/unit/analytic_util_tests.py,sha256=aY6OvICgIrNz-Is4lPPlBtDBF0c8TC7NDPTwhzRJeVI,4237
 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=7ueK2D3qB9pMLy8Ls3dL78zP8_ckIc23408vav-jnd0,49626
+siglab_py/util/analytic_util.py,sha256=rVP7srGSgCidhB79GXWdYjuAy3G1HCGPblV-kmHAiKg,51713
 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-0.5.21.dist-info/METADATA,sha256=AM9i1CZxuZZqMHgDkZaVpvVuG7rN2LuAYue3o00o8p0,829
-siglab_py-0.5.21.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
-siglab_py-0.5.21.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.21.dist-info/RECORD,,
+siglab_py-0.5.23.dist-info/METADATA,sha256=PkNx6i-RLTKhh1iIaFM3SOQIgXEGg4LTGDiXoKg2i-E,829
+siglab_py-0.5.23.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
+siglab_py-0.5.23.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.23.dist-info/RECORD,,