pybroker.indicator module

Contains indicator related functionality.

class Indicator(name: str, fn: Callable[[...], ndarray[tuple[int, ...], dtype[float64]]], kwargs: dict[str, Any])

基类：object

Class representing an indicator.

参数:

• name -- Name of indicator.

• fn -- Callable used to compute the series of indicator values.

• kwargs -- dict of kwargs to pass to fn.

__call__(data: BarData | DataFrame) → Series

Computes indicator values.

iqr(data: BarData | DataFrame) → float

Generates indicator data with data and computes its interquartile range (IQR).

relative_entropy(data: BarData | DataFrame) → float

Generates indicator data with data and computes its relative entropy.

class IndicatorSet

基类：IndicatorsMixin

Computes data for multiple indicators.

__call__(df: DataFrame, disable_parallel: bool = False) → DataFrame

Computes indicator data.

参数:

• df -- pandas.DataFrame of input data.

• disable_parallel -- If True, indicator data is computed serially. If False, indicator data is computed in parallel using multiple processes. Defaults to False.

返回:

pandas.DataFrame containing the computed indicator data.

add(indicators: Indicator | Iterable[Indicator], *args)

Adds indicators.

clear()

Removes all indicators.

remove(indicators: Indicator | Iterable[Indicator], *args)

Removes indicators.

class IndicatorsMixin

基类：object

Mixin implementing indicator related functionality.

compute_indicators(df: DataFrame, indicator_syms: Iterable[IndicatorSymbol], cache_date_fields: CacheDateFields | None, disable_parallel: bool) → dict[IndicatorSymbol, Series]

Computes indicator data for the provided pybroker.common.IndicatorSymbol pairs.

参数:

• df -- pandas.DataFrame used to compute the indicator values.

• indicator_syms -- Iterable of pybroker.common.IndicatorSymbol pairs of indicators to compute.

• cache_date_fields -- Date fields used to key cache data. Pass None to disable caching.

• disable_parallel -- If True, indicator data is computed serially for all pybroker.common.IndicatorSymbol pairs. If False, indicator data is computed in parallel using multiple processes.

返回:

dict mapping each pybroker.common.IndicatorSymbol pair to a computed pandas.Series of indicator values.

adx(name: str, lookback: int) → Indicator

Average Directional Movement Index.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

返回:

Average Directional Movement Index Indicator.

aroon_diff(name: str, lookback: int) → Indicator

Aroon Upward Trend minus Aroon Downward Trend.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

返回:

Aroon Upward Trend minus Aroon Downward Trend Indicator.

aroon_down(name: str, lookback: int) → Indicator

Aroon Downward Trend.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

返回:

Aroon Downward Trend Indicator.

aroon_up(name: str, lookback: int) → Indicator

Aroon Upward Trend.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

返回:

Aroon Upward Trend Indicator.

close_minus_ma(name: str, lookback: int, atr_length: int, scale: float = 1.0) → Indicator

Close Minus Moving Average.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• atr_length -- Lookback length used for Average True Range (ATR) normalization.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 1.0.

返回:

Close Minus Moving Average Indicator.

cubic_deviation(name: str, field: str, lookback: int, scale: float = 0.6) → Indicator

Deviation from Cubic Trend.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field name.

• lookback -- Number of lookback bars.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 0.6.

返回:

Deviation from Cubic Trend Indicator.

cubic_trend(name: str, field: str, lookback: int, atr_length: int, scale: float = 1.0) → Indicator

Cubic Trend Strength.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field name.

• lookback -- Number of lookback bars.

• atr_length -- Lookback length used for Average True Range (ATR) normalization.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 1.0.

返回:

Cubic Trend Strength Indicator.

delta_on_balance_volume(name: str, lookback: int, delta_length: int = 0, scale: float = 0.6) → Indicator

Delta On-Balance Volume.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• delta_length -- Lag for differencing.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 0.6.

返回:

Delta On-Balance Volume Indicator.

detrended_rsi(name: str, field: str, short_length: int, long_length: int, reg_length: int) → Indicator

Detrended Relative Strength Index (RSI).

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field name.

• short_length -- Lookback for the short-term RSI.

• long_length -- Lookback for the long-term RSI.

• reg_length -- Number of bars used for linear regressions.

返回:

Detrended RSI Indicator.

highest(name: str, field: str, period: int) → Indicator

Creates a rolling high Indicator.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field for computing the rolling high.

• period -- Lookback period.

返回:

Rolling high Indicator.

indicator(name: str, fn: Callable[[...], ndarray[tuple[int, ...], dtype[float64]]], **kwargs) → Indicator

Creates an Indicator instance and registers it globally with name.

参数:

• name -- Name for referencing the indicator globally.

• fn -- Callable[[BarData, ...], NDArray[float]] used to compute the series of indicator values.

• **kwargs -- Additional arguments to pass to fn.

返回:

Indicator instance.

intraday_intensity(name: str, lookback: int, smoothing: float = 0.0) → Indicator

Intraday Intensity.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• smoothing -- Amount of smoothing; <= 1 for none. Defaults to 0.

返回:

Intraday Intensity Indicator.

laguerre_rsi(name: str, fe_length: int = 13) → Indicator

Laguerre Relative Strength Index (RSI).

参数:

• name -- Indicator name.

• fe_length -- Fractal Energy length. Defaults to 13.

返回:

Laguerre RSI Indicator.

linear_deviation(name: str, field: str, lookback: int, scale: float = 0.6) → Indicator

Deviation from Linear Trend.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field name.

• lookback -- Number of lookback bars.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 0.6.

返回:

Deviation from Linear Trend Indicator.

linear_trend(name: str, field: str, lookback: int, atr_length: int, scale: float = 1.0) → Indicator

Linear Trend Strength.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field name.

• lookback -- Number of lookback bars.

• atr_length -- Lookback length used for Average True Range (ATR) normalization.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 1.0.

返回:

Linear Trend Strength Indicator.

lowest(name: str, field: str, period: int) → Indicator

Creates a rolling low Indicator.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field for computing the rolling low.

• period -- Lookback period.

返回:

Rolling low Indicator.

macd(name: str, short_length: int, long_length: int, smoothing: float = 0.0, scale: float = 1.0) → Indicator

Moving Average Convergence Divergence.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field name.

• short_length -- Short-term lookback.

• long_length -- Long-term lookback.

• smoothing -- Compute MACD minus smoothed if >= 2.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 1.0.

返回:

Moving Average Convergence Divergence Indicator.

money_flow(name: str, lookback: int, smoothing: float = 0.0) → Indicator

Chaikin's Money Flow.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• smoothing -- Amount of smoothing; <= 1 for none. Defaults to 0.

返回:

Chaikin's Money Flow Indicator.

normalized_negative_volume_index(name: str, lookback: int, scale: float = 0.5) → Indicator

Normalized Negative Volume Index.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 0.5.

返回:

Normalized Negative Volume Index Indicator.

normalized_on_balance_volume(name: str, lookback: int, scale: float = 0.6) → Indicator

Normalized On-Balance Volume.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 0.6.

返回:

Normalized On-Balance Volume Indicator.

normalized_positive_volume_index(name: str, lookback: int, scale: float = 0.5) → Indicator

Normalized Positive Volume Index.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 0.5.

返回:

Normalized Positive Volume Index Indicator.

price_change_oscillator(name: str, short_length: int, multiplier: int, scale: float = 4.0) → Indicator

Price Change Oscillator.

参数:

• name -- Indicator name.

• short_length -- Number of short lookback bars.

• multiplier -- Multiplier used to compute number of long lookback bars = multiplier * short_length.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 4.0.

返回:

Price Change Oscillator Indicator.

price_intensity(name: str, smoothing: float = 0.0, scale: float = 0.8) → Indicator

Price Intensity.

参数:

• name -- Indicator name.

• smoothing -- Amount of smoothing. Defaults to 0.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 0.8.

返回:

Price Intensity Indicator.

price_volume_fit(name: str, lookback: int, scale: float = 9.0) → Indicator

Price Volume Fit.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 9.0.

返回:

Price Volume Fit Indicator.

quadratic_deviation(name: str, field: str, lookback: int, scale: float = 0.6) → Indicator

Deviation from Quadratic Trend.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field name.

• lookback -- Number of lookback bars.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 0.6.

返回:

Deviation from Quadratic Trend Indicator.

quadratic_trend(name: str, field: str, lookback: int, atr_length: int, scale: float = 1.0) → Indicator

Quadratic Trend Strength.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field name.

• lookback -- Number of lookback bars.

• atr_length -- Lookback length used for Average True Range (ATR) normalization.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 1.0.

返回:

Quadratic Trend Strength Indicator.

reactivity(name: str, lookback: int, smoothing: float = 0.0, scale: float = 0.6) → Indicator

Reactivity.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• smoothing -- Smoothing multiplier.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 0.6.

返回:

Reactivity Indicator.

returns(name: str, field: str, period: int = 1) → Indicator

Creates a rolling returns Indicator.

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field for computing the rolling returns.

• period -- Returns period. Defaults to 1.

返回:

Rolling returns Indicator.

stochastic(name: str, lookback: int, smoothing: int = 0) → Indicator

Stochastic.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• smoothing -- Number of times the raw stochastic is smoothed, either 0, 1, or 2 times. Defaults to 0.

返回:

Stochastic Indicator.

stochastic_rsi(name: str, field: str, rsi_lookback: int, sto_lookback: int, smoothing: float = 0.0) → Indicator

Stochastic Relative Strength Index (RSI).

参数:

• name -- Indicator name.

• field -- pybroker.common.BarData field name.

• rsi_lookback -- Lookback length for RSI calculation.

• sto_lookback -- Lookback length for Stochastic calculation.

• smoothing -- Amount of smoothing; <= 1 for none. Defaults to 0.

返回:

Stochastic RSI Indicator.

volume_momentum(name: str, short_length: int, multiplier: int = 2, scale: float = 3.0) → Indicator

Volume Momentum.

参数:

• name -- Indicator name.

• short_length -- Number of short lookback bars.

• multiplier -- Lookback multiplier. Defaults to 2.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 3.0.

返回:

Volume Momentum Indicator.

volume_weighted_ma_ratio(name: str, lookback: int, scale: float = 1.0) → Indicator

Volume-Weighted Moving Average Ratio.

参数:

• name -- Indicator name.

• lookback -- Number of lookback bars.

• scale -- Increase > 1.0 for more compression of return values, decrease < 1.0 for less. Defaults to 1.0.

返回:

Volume-Weighted Moving Average Ratio Indicator.