siglab-py 0.5.36__tar.gz → 0.5.38__tar.gz

{siglab_py-0.5.36 → siglab_py-0.5.38}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.36
+Version: 0.5.38
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.36 → siglab_py-0.5.38}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.5.36"
+version = "0.5.38"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.5.36 → siglab_py-0.5.38}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.5.36
+version = 0.5.38
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.5.36 → siglab_py-0.5.38}/siglab_py/tests/unit/analytic_util_tests.py

@@ -2,7 +2,7 @@ import unittest
 from typing import List
 from pathlib import Path
 
-from util.analytic_util import compute_candles_stats
+from util.analytic_util import compute_candles_stats, lookup_fib_target
 
 import pandas as pd
 
@@ -38,7 +38,7 @@ class AnalyticUtilTests(unittest.TestCase):
             pd_candles=pd_candles,
             boillenger_std_multiples=2,
             sliding_window_how_many_candles=20,
-            pypy_compat=True
+            pypy_compat=True # Slopes calculation? Set pypy_compat to False
         )
 
         expected_columns : List[str] = [
@@ -78,4 +78,29 @@ class AnalyticUtilTests(unittest.TestCase):
         missing_columns = [ expected for expected in expected_columns if expected not in pd_candles.columns.to_list() ]
         unexpected_columns = [ actual for actual in pd_candles.columns.to_list() if actual not in expected_columns ]
 
-        assert(pd_candles.columns.to_list()==expected_columns)
+        assert(pd_candles.columns.to_list()==expected_columns)
+
+    def test_lookup_fib_target(self):
+        data_dir = Path(__file__).parent.parent.parent.parent / "data"
+        csv_path = data_dir / "sample_btc_candles.csv"
+        pd_candles : pd.DataFrame = pd.read_csv(csv_path)
+        target_fib_level : float = 0.618
+        compute_candles_stats(
+            pd_candles=pd_candles,
+            boillenger_std_multiples=2,
+            sliding_window_how_many_candles=20,
+            target_fib_level=target_fib_level,
+            pypy_compat=True # Slopes calculation? Set pypy_compat to False
+        )
+
+        last_row = pd_candles.iloc[-1]
+        result = lookup_fib_target(
+            row=last_row, 
+            pd_candles=pd_candles,
+            target_fib_level=target_fib_level
+            )
+        if result:
+            assert(result['short_periods']['min']<result['short_periods']['fib_target']<result['short_periods']['max'])
+            assert(result['long_periods']['min']<result['long_periods']['fib_target']<result['long_periods']['max'])
+        
+

{siglab_py-0.5.36 → siglab_py-0.5.38}/siglab_py/util/analytic_util.py

@@ -83,14 +83,15 @@ def trend_from_lows(series: np.ndarray) -> float:
 '''
 compute_candles_stats will calculate typical/basic technical indicators using in many trading strategies:
     a. Basic SMA/EMAs (And slopes)
-    b. ATR
-    c. Boillenger bands (Yes incorrect spelling sorry)
-    d. FVG
-    e. Hurst Exponent
-    f. RSI, MFI
-    g. MACD
-    h. Fibonacci
-    i. Inflections points: where 'close' crosses EMA from above or below.
+    b. EMA crosses
+    c. ATR
+    d. Boillenger bands (Yes incorrect spelling sorry)
+    e. FVG
+    f. Hurst Exponent
+    g. RSI, MFI
+    h. MACD
+    i. Fibonacci
+    j. Inflections points: where 'close' crosses EMA from above or below.
 
 Parameters:
     a. boillenger_std_multiples: For boillenger upper and lower calc
@@ -167,6 +168,8 @@ def compute_candles_stats(
         pd_candles['annualized_volatility'] = (
             pd_candles['interval_historical_volatility'] * annualization_factor
         )
+
+    Why log return? Trading Dude https://python.plainenglish.io/stop-using-percentage-returns-logarithmic-returns-explained-with-code-64a4634b883a
     '''
     pd_candles['log_return'] = np.log(pd_candles['close'] / pd_candles['close'].shift(1))
     pd_candles['interval_hist_vol'] = pd_candles['log_return'].rolling(window=sliding_window_how_many_candles).std()
@@ -431,8 +434,11 @@ def compute_candles_stats(
 
     pd_candles['fvg_mitigated'] = pd_candles.apply(lambda row: compute_fvg_mitigated(row, pd_candles), axis=1)
 
-
-    # RSI - https://www.youtube.com/watch?v=G9oUTi-PI18&t=809s 
+    '''
+        RSI
+        Divergences from Bybit Learn https://www.youtube.com/watch?v=G9oUTi-PI18&t=809s 
+        RSI Reversals from BK Traders https://www.youtube.com/watch?v=MvkbrHjiQlI
+    '''
     pd_candles.loc[:,'close_delta'] = pd_candles['close'].diff()
     pd_candles.loc[:,'close_delta_percent'] = pd_candles['close'].pct_change()
     lo_up = pd_candles['close_delta'].clip(lower=0)
@@ -606,6 +612,68 @@ def compute_candles_stats(
         'close_vs_ema_inflection'
     ] = np.sign(pd_candles['close'] - pd_candles['ema_long_periods'])
 
+def lookup_fib_target(
+            row,
+            pd_candles,
+            target_fib_level : float = 0.618
+        ) -> Union[Dict, None]:
+            if row is None:
+                return None
+            
+            fib_target_short_periods = None
+            fib_target_long_periods = None
+
+            max_short_periods = row['max_short_periods']
+            idmax_short_periods = int(row['idmax_short_periods']) if not math.isnan(row['idmax_short_periods']) else None
+            max_long_periods = row['max_long_periods']
+            idmax_long_periods = int(row['idmax_long_periods']) if not math.isnan(row['idmax_long_periods']) else None
+
+            min_short_periods = row['min_short_periods']
+            idmin_short_periods = int(row['idmin_short_periods']) if not math.isnan(row['idmin_short_periods']) else None
+            min_long_periods = row['min_long_periods']
+            idmin_long_periods = int(row['idmin_long_periods']) if not math.isnan(row['idmin_long_periods']) else None
+                        
+            if idmax_short_periods and idmin_short_periods and idmax_short_periods>0 and idmin_short_periods>0:
+                if idmax_short_periods>idmin_short_periods and idmax_short_periods < len(pd_candles):
+                    # Falling from prev peak
+                    last_peak = pd_candles.iloc[idmax_short_periods]
+                    fib_target_short_periods = last_peak[f'fib_{target_fib_level}_short_periods'] if not math.isnan(last_peak[f'fib_{target_fib_level}_short_periods']) else None
+                    
+                else:
+                    # Bouncing from prev bottom
+                    if idmin_short_periods < len(pd_candles):
+                        last_bottom = pd_candles.iloc[idmin_short_periods]
+                        fib_target_short_periods = last_bottom[f'fib_{target_fib_level}_short_periods'] if not math.isnan(last_bottom[f'fib_{target_fib_level}_short_periods']) else None
+                        
+            if idmax_long_periods and idmin_long_periods and idmax_long_periods>0 and idmin_long_periods>0:
+                if idmax_long_periods>idmin_long_periods and idmax_long_periods < len(pd_candles):
+                    # Falling from prev peak
+                    last_peak = pd_candles.iloc[idmax_long_periods]
+                    fib_target_long_periods = last_peak[f'fib_{target_fib_level}_long_periods'] if not math.isnan(last_peak[f'fib_{target_fib_level}_long_periods']) else None
+                    
+                else:
+                    # Bouncing from prev bottom
+                    if idmin_long_periods < len(pd_candles):
+                        last_bottom = pd_candles.iloc[idmin_long_periods]
+                        fib_target_long_periods = last_bottom[f'fib_{target_fib_level}_long_periods'] if not math.isnan(last_bottom[f'fib_{target_fib_level}_long_periods']) else None
+            
+            return {
+                'short_periods' : {
+                    'idmin' : idmin_short_periods,
+                    'idmax' : idmax_short_periods,
+                    'min' : min_short_periods,
+                    'max' : max_short_periods,
+                    'fib_target' : fib_target_short_periods,
+                },
+                'long_periods' : {
+                    'idmin' : idmin_long_periods,
+                    'idmax' : idmax_long_periods,
+                    'min' : min_long_periods,
+                    'max' : max_long_periods,
+                    'fib_target' : fib_target_long_periods
+                }
+            }
+
 ''' 
 The implementation from Geeksforgeeks https://www.geeksforgeeks.org/find-indices-of-all-local-maxima-and-local-minima-in-an-array/ is wrong. 
 If you have consecutive-duplicates, things will gall apart!

{siglab_py-0.5.36 → siglab_py-0.5.38}/siglab_py/util/notification_util.py

@@ -5,7 +5,7 @@ import pandas as pd
 import numpy as np
 from tabulate import tabulate
 
-from util.slack_notification_util import slack_dispatch_notification
+from siglab_py.util.slack_notification_util import slack_dispatch_notification
 
 from siglab_py.constants import LogLevel
 

{siglab_py-0.5.36 → siglab_py-0.5.38}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.36
+Version: 0.5.38
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>