MyTT

Features

# ----- 0 level:core tools function ---------
 def MA(S,N): 
 return pd.Series(S).rolling(N).mean().values 
 def DIFF(S, N=1): 
 return pd.Series(S).diff(N) 
 
 def STD(S,N): 
 return pd.Series(S).rolling(N).std(ddof=0).values
 def EMA(S,N): # alpha=2/(span+1) 
 return pd.Series(S).ewm(span=N, adjust=False).mean().values 
 def SMA(S, N, M=1): # alpha=1/(1+com)
 return pd.Series(S).ewm(com=N-M, adjust=True).mean().values 
 def AVEDEV(S,N): 
 return pd.Series(S).rolling(N).apply(lambda x: (np.abs(x - x.mean())).mean()).values 
 def IF(S_BOOL,S_TRUE,S_FALSE): 
 return np.where(S_BOOL, S_TRUE, S_FALSE)
 def SUM(S, N): 
 return pd.Series(S).rolling(N).sum().values if N>0 else pd.Series(S).cumsum() 
 def HHV(S,N): 
 return pd.Series(S).rolling(N).max().values 
 def LLV(S,N): 
 return pd.Series(S).rolling(N).min().values 

#----- 1 level: Logic and Statistical function (only use 0 level function to implemented) -----
def COUNT(S_BOOL, N): # COUNT(CLOSE>O, N): 
 return SUM(S_BOOL,N) 
def EVERY(S_BOOL, N): # EVERY(CLOSE>O, 5) 
 R=SUM(S_BOOL, N)
 return IF(R==N, True, False)
 
def LAST(S_BOOL, A, B): 
 if A<B: A=B #LAST(CLOSE>OPEN,5,3) 
 return S_BOOL[-A:-B].sum()==(A-B) 
def EXIST(S_BOOL, N=5): # EXIST(CLOSE>3010, N=5) 
 R=SUM(S_BOOL,N) 
 return IF(R>0, True ,False)
def BARSLAST(S_BOOL): 
 M=np.argwhere(S_BOOL); # BARSLAST(CLOSE/REF(CLOSE)>=1.1) 
 return len(S_BOOL)-int(M[-1])-1 if M.size>0 else -1
def FORCAST(S,N): 
 K,Y=SLOPE(S,N,RS=True)
 return Y[-1]+K
 
def CROSS(S1,S2): # GoldCross CROSS(MA(C,5),MA(C,10)) 
 CROSS_BOOL=IF(S1>S2, True ,False) # DieCross CROSS(MA(C,10),MA(C,5))
 return (COUNT(CROSS_BOOL>0,2)==1)*CROSS_BOOL

# ------ Technical Indicators ( 2 level only use 0,1 level functions to implemented) --------------
def MACD(CLOSE,SHORT=12,LONG=26,M=9): 
 DIF = EMA(CLOSE,SHORT)-EMA(CLOSE,LONG); 
 DEA = EMA(DIF,M); MACD=(DIF-DEA)*2
 return DIF,DEA,MACD
def KDJ(CLOSE,HIGH,LOW, N=9,M1=3,M2=3): 
 RSV = (CLOSE - LLV(LOW, N)) / (HHV(HIGH, N) - LLV(LOW, N)) * 100
 K = EMA(RSV, (M1*2-1)); D = EMA(K,(M2*2-1)); J=K*3-D*2
 return K, D, J
def RSI(CLOSE, N=24): 
 DIF = CLOSE-REF(CLOSE,1) 
 return (SMA(MAX(DIF,0), N) / SMA(ABS(DIF), N) * 100) 
def WR(CLOSE, HIGH, LOW, N=10, N1=6): 
 WR = (HHV(HIGH, N) - CLOSE) / (HHV(HIGH, N) - LLV(LOW, N)) * 100
 WR1 = (HHV(HIGH, N1) - CLOSE) / (HHV(HIGH, N1) - LLV(LOW, N1)) * 100
 return WR, WR1
def BIAS(CLOSE,L1=6, L2=12, L3=24): 
 BIAS1 = (CLOSE - MA(CLOSE, L1)) / MA(CLOSE, L1) * 100
 BIAS2 = (CLOSE - MA(CLOSE, L2)) / MA(CLOSE, L2) * 100
 BIAS3 = (CLOSE - MA(CLOSE, L3)) / MA(CLOSE, L3) * 100
 return BIAS1, BIAS2, BIAS3
def BOLL(CLOSE,N=20, P=2): 
 MID = MA(CLOSE, N); 
 UPPER = MID + STD(CLOSE, N) * P
 LOWER = MID - STD(CLOSE, N) * P
 return UPPER, MID, LOWER
def PSY(CLOSE,N=12, M=6): 
 PSY=COUNT(CLOSE>REF(CLOSE,1),N)/N*100
 PSYMA=MA(PSY,M)
 return PSY,PSYMA
def CCI(CLOSE,HIGH,LOW,N=14): 
 TP=(HIGH+LOW+CLOSE)/3
 return (TP-MA(TP,N))/(0.015*AVEDEV(TP,N))
 
def ATR(CLOSE,HIGH,LOW, N=20): 
 TR = MAX(MAX((HIGH - LOW), ABS(REF(CLOSE, 1) - HIGH)), ABS(REF(CLOSE, 1) - LOW))
 return MA(TR, N)
def BBI(CLOSE,M1=3,M2=6,M3=12,M4=20): 
 return (MA(CLOSE,M1)+MA(CLOSE,M2)+MA(CLOSE,M3)+MA(CLOSE,M4))/4 
def DMI(CLOSE,HIGH,LOW,M1=14,M2=6): 
 TR = SUM(MAX(MAX(HIGH - LOW, ABS(HIGH - REF(CLOSE, 1))), ABS(LOW - REF(CLOSE, 1))), M1)
 HD = HIGH - REF(HIGH, 1); LD = REF(LOW, 1) - LOW
 DMP = SUM(IF((HD > 0) & (HD > LD), HD, 0), M1)
 DMM = SUM(IF((LD > 0) & (LD > HD), LD, 0), M1)
 PDI = DMP * 100 / TR; MDI = DMM * 100 / TR
 ADX = MA(ABS(MDI - PDI) / (PDI + MDI) * 100, M2)
 ADXR = (ADX + REF(ADX, M2)) / 2
 return PDI, MDI, ADX, ADXR 
 
def TRIX(CLOSE,M1=12, M2=20): 
 TR = EMA(EMA(EMA(CLOSE, M1), M1), M1)
 TRIX = (TR - REF(TR, 1)) / REF(TR, 1) * 100
 TRMA = MA(TRIX, M2)
 return TRIX, TRMA
def VR(CLOSE,VOL,M1=26): 
 LC = REF(CLOSE, 1)
 return SUM(IF(CLOSE > LC, VOL, 0), M1) / SUM(IF(CLOSE <= LC, VOL, 0), M1) * 100
def EMV(HIGH,LOW,VOL,N=14,M=9): 
 VOLUME=MA(VOL,N)/VOL; MID=100*(HIGH+LOW-REF(HIGH+LOW,1))/(HIGH+LOW)
 EMV=MA(MID*VOLUME*(HIGH-LOW)/MA(HIGH-LOW,N),N); MAEMV=MA(EMV,M)
 return EMV,MAEMV
def DMA(CLOSE,N1=10,N2=50,M=10): 
 DIF=MA(CLOSE,N1)-MA(CLOSE,N2); DIFMA=MA(DIF,M)
 return DIF,DIFMA
def MTM(CLOSE,N=12,M=6): 
 MTM=CLOSE-REF(CLOSE,N); MTMMA=MA(MTM,M)
 return MTM,MTMMA
 
def EXPMA(CLOSE,N1=12,N2=50): 
 return EMA(CLOSE,N1),EMA(CLOSE,N2);
def OBV(CLOSE,VOL): 
 return SUM(IF(CLOSE>REF(CLOSE,1),VOL,IF(CLOSE<REF(CLOSE,1),-VOL,0)),0)/10000

Usage Example

from hb_hq_api import * # btc day data on Huobi cryptocoin exchange 
from MyTT import * # to import lib
df=get_price('btc.usdt',count=120,frequency='1d'); #'1d'=1day , '4h'=4hour
#-----------df view-------------------------------------------

CLOSE=df.close.values #or CLOSE=list(df.close)
OPEN =df.open.values 
HIGH =df.high.values 
LOW = df.low.values 
MA5=MA(CLOSE,5) 
MA10=MA(CLOSE,10) 
RSI12=RSI(CLOSE,12)
CCI12=CCI(CLOSE,12)
ATR20=ATR(CLOSE,HIGH,LOW, N=20)
print('BTC5 MA5', MA5[-1] ) 
print('BTC MA10,RET(MA10)) # RET(MA10) == MA10[-1]
print('today ma5 coross ma10? ',RET(CROSS(MA5,MA10)))
print('every close price> ma10? ',EVERY(CLOSE>MA10,5) )

BOLL and graphs

up,mid,lower=BOLL(CLOSE) 
plt.figure(figsize=(15,8)) 
plt.plot(CLOSE,label='shanghai');
plt.plot(up,label='up'); 
plt.plot(mid,label='mid'); 
plt.plot(lower,label='lower');

python lib need to install