siglab-py 0.5.28__tar.gz → 0.5.29__tar.gz

{siglab_py-0.5.28 → siglab_py-0.5.29}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.28
+Version: 0.5.29
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.28 → siglab_py-0.5.29}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.5.28"
+version = "0.5.29"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.5.28 → siglab_py-0.5.29}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.5.28
+version = 0.5.29
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.5.28 → siglab_py-0.5.29}/siglab_py/tests/unit/analytic_util_tests.py

@@ -55,6 +55,7 @@ class AnalyticUtilTests(unittest.TestCase):
             'log_return', 'interval_hist_vol', 'annualized_hist_vol',
             'chop_against_ema', 
             'ema_volume_short_periods', 'ema_volume_long_periods', 
+            'ema_cross', 'ema_cross_last', 'ema_bullish_cross_last_id', 'ema_bearish_cross_last_id',
             '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',
             'trend_from_highs_long_periods', 'trend_from_lows_long_periods', 'trend_from_highs_short_periods', 'trend_from_lows_short_periods',

{siglab_py-0.5.28 → siglab_py-0.5.29}/siglab_py/util/analytic_util.py

@@ -187,6 +187,40 @@ def compute_candles_stats(
     pd_candles['ema_volume_short_periods'] = pd_candles['volume'].ewm(span=sliding_window_how_many_candles/slow_fast_interval_ratio, adjust=False).mean()
     pd_candles['ema_volume_long_periods'] = pd_candles['volume'].ewm(span=sliding_window_how_many_candles, adjust=False).mean()
 
+    pd_candles['ema_cross'] = None
+    pd_candles['ema_cross_last'] = None
+    pd_candles['ema_bullish_cross_last_id'] = None
+    pd_candles['ema_bearish_cross_last_id'] = None
+    ema_short_periods_prev = pd_candles['ema_short_periods'].shift(1)
+    ema_long_periods_prev = pd_candles['ema_long_periods'].shift(1)
+    ema_short_periods_curr = pd_candles['ema_short_periods']
+    ema_long_periods_curr = pd_candles['ema_long_periods']
+    bullish_ema_crosses = (ema_short_periods_prev <= ema_long_periods_prev) & (ema_short_periods_curr > ema_long_periods_curr)
+    bearish_ema_crosses = (ema_short_periods_prev >= ema_long_periods_prev) & (ema_short_periods_curr < ema_long_periods_curr)
+    pd_candles.loc[bullish_ema_crosses, 'ema_cross'] = 1
+    pd_candles.loc[bearish_ema_crosses, 'ema_cross'] = -1
+    pd_candles['ema_bullish_cross_last_id'] = pd_candles['ema_cross'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmax())
+    pd_candles['ema_bearish_cross_last_id'] = pd_candles['ema_cross'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmin())
+    pd_candles.loc[bullish_ema_crosses, 'ema_cross'] = np.where(
+        pd_candles.loc[bullish_ema_crosses, 'ema_cross']==1,
+        'bullish',
+        pd_candles.loc[bullish_ema_crosses, 'ema_cross']
+    )
+    pd_candles['ema_cross_last'] = np.where(
+        pd_candles['ema_bullish_cross_last_id'] > pd_candles['ema_bearish_cross_last_id'],
+        'bullish',
+        np.where(
+            pd_candles['ema_bearish_cross_last_id'] > pd_candles['ema_bullish_cross_last_id'],
+            'bearish',
+            None # type: ignore
+        )
+    )
+
+    pd_candles['ema_cross_last'] = pd_candles['ema_cross_last'].where(
+        pd_candles['ema_bullish_cross_last_id'].isnull() & pd_candles['ema_bearish_cross_last_id'].isnull(),
+        None
+    )
+
     pd_candles['max_short_periods'] = close_short_periods_rolling.max()
     pd_candles['max_long_periods'] = close_long_periods_rolling.max()
     pd_candles['idmax_short_periods'] = close_short_periods_rolling.apply(lambda x : x.idxmax())

{siglab_py-0.5.28 → siglab_py-0.5.29}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.28
+Version: 0.5.29
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>