diff --git a/examples/PandasTA_Strategy_Examples.ipynb b/examples/PandasTA_Strategy_Examples.ipynb
index d327050..00e9b9e 100644
--- a/examples/PandasTA_Strategy_Examples.ipynb
+++ b/examples/PandasTA_Strategy_Examples.ipynb
@@ -88,7 +88,7 @@
"text": [
"name = All\n",
"description = All the indicators with their default settings. Pandas TA default.\n",
- "created = 07/22/2020, 17:02:37\n",
+ "created = 07/25/2020, 11:24:19\n",
"ta = None\n"
]
}
@@ -119,7 +119,7 @@
"text": [
"name = Common Price and Volume SMAs\n",
"description = Common Price SMAs: 10, 20, 50, 200 and Volume SMA: 20.\n",
- "created = 07/22/2020, 17:02:37\n",
+ "created = 07/25/2020, 11:24:19\n",
"ta = [{'kind': 'sma', 'length': 10}, {'kind': 'sma', 'length': 20}, {'kind': 'sma', 'length': 50}, {'kind': 'sma', 'length': 200}, {'kind': 'sma', 'close': 'volume', 'length': 20, 'prefix': 'VOL'}]\n"
]
}
@@ -161,7 +161,7 @@
{
"data": {
"text/plain": [
- "Strategy(name='A', ta=[{'kind': 'sma', 'length': 50}, {'kind': 'sma', 'length': 200}], description=None, created='07/22/2020, 17:02:37', last_run=None, run_time=None)"
+ "Strategy(name='A', ta=[{'kind': 'sma', 'length': 50}, {'kind': 'sma', 'length': 200}], description=None, created='07/25/2020, 11:24:19', last_run=None, run_time=None)"
]
},
"execution_count": 4,
@@ -189,7 +189,7 @@
{
"data": {
"text/plain": [
- "Strategy(name='B', ta=[{'kind': 'ema', 'length': 8}, {'kind': 'ema', 'length': 21}, {'kind': 'log_return', 'cumulative': True}, {'kind': 'rsi'}, {'kind': 'supertrend'}], description=None, created='07/22/2020, 17:02:37', last_run=None, run_time=None)"
+ "Strategy(name='B', ta=[{'kind': 'ema', 'length': 8}, {'kind': 'ema', 'length': 21}, {'kind': 'log_return', 'cumulative': True}, {'kind': 'rsi'}, {'kind': 'supertrend'}], description=None, created='07/25/2020, 11:24:19', last_run=None, run_time=None)"
]
},
"execution_count": 5,
@@ -217,7 +217,7 @@
{
"data": {
"text/plain": [
- "Strategy(name='Runtime Failure', ta=[{'kind': 'percet_return'}], description=None, created='07/22/2020, 17:02:37', last_run=None, run_time=None)"
+ "Strategy(name='Runtime Failure', ta=[{'kind': 'percet_return'}], description=None, created='07/25/2020, 11:24:19', last_run=None, run_time=None)"
]
},
"execution_count": 6,
@@ -476,11 +476,11 @@
" 1999-11-04 136.7500 137.3593 135.7656 136.5312 7907500.0 NaN \n",
" 1999-11-05 138.6250 139.1093 136.7812 137.8750 7431500.0 136.332267 \n",
" ... ... ... ... ... ... ... \n",
- " 2020-07-16 319.7900 321.2800 319.0900 320.7900 54433400.0 318.394000 \n",
- " 2020-07-17 321.8800 322.5700 319.7400 321.7200 64421800.0 319.447333 \n",
- " 2020-07-20 321.4300 325.1300 320.6200 324.3200 56150200.0 320.673333 \n",
- " 2020-07-21 326.4500 326.9300 323.9400 325.0100 57245300.0 322.353333 \n",
- " 2020-07-22 324.6200 327.2000 324.5000 326.8600 49338600.0 323.313333 \n",
+ " 2020-07-20 321.4300 325.1300 320.6200 324.3200 56150230.0 320.673333 \n",
+ " 2020-07-21 326.4500 326.9300 323.9400 325.0100 57245315.0 322.353333 \n",
+ " 2020-07-22 324.6200 327.2000 324.5000 326.8600 57792915.0 323.313333 \n",
+ " 2020-07-23 326.4700 327.2300 321.4800 322.9600 75737989.0 324.014000 \n",
+ " 2020-07-24 320.9500 321.9900 319.2460 320.8800 73766597.0 323.886400 \n",
" \n",
" ABER_SG_5_15 ABER_XG_5_15 ABER_ATR_5_15 ACCBL_20 ... \\\n",
" date ... \n",
@@ -490,11 +490,11 @@
" 1999-11-04 NaN NaN NaN NaN ... \n",
" 1999-11-05 NaN NaN NaN NaN ... \n",
" ... ... ... ... ... ... \n",
- " 2020-07-16 324.301437 312.486563 5.907437 299.367555 ... \n",
- " 2020-07-17 325.149608 313.745059 5.702275 299.875050 ... \n",
" 2020-07-20 326.296123 315.050544 5.622790 300.906776 ... \n",
" 2020-07-21 327.800604 316.906063 5.447270 301.895656 ... \n",
" 2020-07-22 328.577452 318.049214 5.264119 302.558926 ... \n",
+ " 2020-07-23 329.310511 318.717489 5.296511 303.787477 ... \n",
+ " 2020-07-24 329.077410 318.695390 5.191010 305.041909 ... \n",
" \n",
" VAR_30 VTXP_14 VTXM_14 VWAP VWMA_10 WCP \\\n",
" date \n",
@@ -504,11 +504,11 @@
" 1999-11-04 NaN NaN NaN 135.950504 NaN 136.546825 \n",
" 1999-11-05 NaN NaN NaN 136.393305 NaN 137.910125 \n",
" ... ... ... ... ... ... ... \n",
- " 2020-07-16 39.296390 1.142186 0.731933 153.225976 316.788363 320.487500 \n",
- " 2020-07-17 42.042623 1.200811 0.690749 153.244606 317.735725 321.437500 \n",
- " 2020-07-20 45.091757 1.223611 0.623952 153.261035 318.474591 323.597500 \n",
- " 2020-07-21 46.469833 1.211493 0.661493 153.277972 319.600245 325.222500 \n",
- " 2020-07-22 50.919143 1.153997 0.689436 153.292643 320.677611 326.355000 \n",
+ " 2020-07-20 45.091757 1.223611 0.623952 153.261128 318.474591 323.597500 \n",
+ " 2020-07-21 46.469833 1.211493 0.661493 153.278065 319.600245 325.222500 \n",
+ " 2020-07-22 50.919143 1.153997 0.689436 153.295250 320.677611 326.355000 \n",
+ " 2020-07-23 52.999190 1.085706 0.763560 153.317466 321.522738 323.657500 \n",
+ " 2020-07-24 48.773943 1.027629 0.904621 153.338694 321.846761 320.749000 \n",
" \n",
" WILLR_14 WMA_10 ZL_EMA_10 Z_30 \n",
" date \n",
@@ -518,26 +518,26 @@
" 1999-11-04 NaN NaN NaN NaN \n",
" 1999-11-05 NaN NaN NaN NaN \n",
" ... ... ... ... ... \n",
- " 2020-07-16 -9.332227 317.993091 320.251663 1.318671 \n",
- " 2020-07-17 -5.474907 318.894727 321.769543 1.365046 \n",
" 2020-07-20 -3.801032 320.096545 323.215081 1.680556 \n",
" 2020-07-21 -10.750280 321.291636 324.115975 1.747819 \n",
" 2020-07-22 -2.058111 322.618909 325.718525 1.900614 \n",
+ " 2020-07-23 -25.800604 323.042909 325.442430 1.309102 \n",
+ " 2020-07-24 -38.368580 322.932727 323.987442 0.970050 \n",
" \n",
- " [5214 rows x 157 columns],\n",
- " 'IWM': open high low close volume ABER_ZG_5_15 \\\n",
- " date \n",
- " 2000-05-26 91.06 91.44 90.63 91.44 37400.0 NaN \n",
- " 2000-05-30 92.75 94.81 92.75 94.81 28800.0 NaN \n",
- " 2000-05-31 95.13 96.38 95.13 95.75 18000.0 NaN \n",
- " 2000-06-01 97.11 97.31 97.11 97.31 3500.0 NaN \n",
- " 2000-06-02 101.70 102.40 101.70 102.40 14700.0 96.091333 \n",
- " ... ... ... ... ... ... ... \n",
- " 2020-07-16 146.11 146.67 144.88 146.16 30386200.0 142.972000 \n",
- " 2020-07-17 146.68 147.59 145.51 146.59 20632700.0 144.200000 \n",
- " 2020-07-20 146.12 146.85 145.15 145.96 19581700.0 145.160667 \n",
- " 2020-07-21 147.47 149.16 147.20 148.03 24467100.0 146.623333 \n",
- " 2020-07-22 147.09 148.67 147.03 148.11 19080800.0 146.904000 \n",
+ " [5216 rows x 157 columns],\n",
+ " 'IWM': open high low close volume ABER_ZG_5_15 \\\n",
+ " date \n",
+ " 2000-05-26 91.06 91.440 90.63 91.44 37400.0 NaN \n",
+ " 2000-05-30 92.75 94.810 92.75 94.81 28800.0 NaN \n",
+ " 2000-05-31 95.13 96.380 95.13 95.75 18000.0 NaN \n",
+ " 2000-06-01 97.11 97.310 97.11 97.31 3500.0 NaN \n",
+ " 2000-06-02 101.70 102.400 101.70 102.40 14700.0 96.091333 \n",
+ " ... ... ... ... ... ... ... \n",
+ " 2020-07-20 146.12 146.850 145.15 145.96 19581689.0 145.160667 \n",
+ " 2020-07-21 147.47 149.160 147.20 148.03 24467065.0 146.623333 \n",
+ " 2020-07-22 147.09 148.670 147.03 148.11 24424808.0 146.904000 \n",
+ " 2020-07-23 147.98 150.200 146.70 148.26 21704889.0 147.400667 \n",
+ " 2020-07-24 147.29 147.665 145.56 146.08 20015547.0 147.375000 \n",
" \n",
" ABER_SG_5_15 ABER_XG_5_15 ABER_ATR_5_15 ACCBL_20 ... \\\n",
" date ... \n",
@@ -547,25 +547,25 @@
" 2000-06-01 NaN NaN NaN NaN ... \n",
" 2000-06-02 NaN NaN NaN NaN ... \n",
" ... ... ... ... ... ... \n",
- " 2020-07-16 147.233237 138.710763 4.261237 132.740467 ... \n",
- " 2020-07-17 148.315822 140.084178 4.115822 133.164616 ... \n",
- " 2020-07-20 149.115433 141.205900 3.954767 133.720436 ... \n",
- " 2020-07-21 150.527782 142.718884 3.904449 134.312288 ... \n",
- " 2020-07-22 150.657486 143.150514 3.753486 134.567792 ... \n",
+ " 2020-07-20 149.115307 141.206027 3.954640 133.720919 ... \n",
+ " 2020-07-21 150.527664 142.719003 3.904331 134.312771 ... \n",
+ " 2020-07-22 150.657375 143.150625 3.753375 134.568274 ... \n",
+ " 2020-07-23 151.137150 143.664183 3.736483 135.260831 ... \n",
+ " 2020-07-24 151.042385 143.707615 3.667385 135.937695 ... \n",
" \n",
- " VAR_30 VTXP_14 VTXM_14 VWAP VWMA_10 WCP \\\n",
- " date \n",
- " 2000-05-26 NaN NaN NaN 91.170000 NaN 91.2375 \n",
- " 2000-05-30 NaN NaN NaN 92.454834 NaN 94.2950 \n",
- " 2000-05-31 NaN NaN NaN 93.159976 NaN 95.7525 \n",
- " 2000-06-01 NaN NaN NaN 93.322938 NaN 97.2600 \n",
- " 2000-06-02 NaN NaN NaN 94.592497 NaN 102.2250 \n",
- " ... ... ... ... ... ... ... \n",
- " 2020-07-16 15.532794 1.067613 0.898394 88.352707 142.400151 145.9675 \n",
- " 2020-07-17 15.940380 1.090399 0.874371 88.359302 142.830341 146.5700 \n",
- " 2020-07-20 14.347839 1.085970 0.934221 88.365497 143.089584 145.9800 \n",
- " 2020-07-21 11.515402 1.030077 0.909147 88.373523 143.813948 148.1050 \n",
- " 2020-07-22 10.497958 1.013525 0.935595 88.379761 144.438962 147.9800 \n",
+ " VAR_30 VTXP_14 VTXM_14 VWAP VWMA_10 WCP \\\n",
+ " date \n",
+ " 2000-05-26 NaN NaN NaN 91.170000 NaN 91.23750 \n",
+ " 2000-05-30 NaN NaN NaN 92.454834 NaN 94.29500 \n",
+ " 2000-05-31 NaN NaN NaN 93.159976 NaN 95.75250 \n",
+ " 2000-06-01 NaN NaN NaN 93.322938 NaN 97.26000 \n",
+ " 2000-06-02 NaN NaN NaN 94.592497 NaN 102.22500 \n",
+ " ... ... ... ... ... ... ... \n",
+ " 2020-07-20 14.347839 1.085970 0.934117 88.365517 143.089584 145.98000 \n",
+ " 2020-07-21 11.515402 1.030077 0.909147 88.373544 143.813948 148.10500 \n",
+ " 2020-07-22 10.497958 1.013525 0.935595 88.381529 144.438962 147.98000 \n",
+ " 2020-07-23 11.200568 0.993994 0.920849 88.388676 145.342850 148.35500 \n",
+ " 2020-07-24 9.687226 0.945133 0.982616 88.395051 145.807709 146.34625 \n",
" \n",
" WILLR_14 WMA_10 ZL_EMA_10 Z_30 \n",
" date \n",
@@ -575,13 +575,13 @@
" 2000-06-01 NaN NaN NaN NaN \n",
" 2000-06-02 NaN NaN NaN NaN \n",
" ... ... ... ... ... \n",
- " 2020-07-16 -14.348981 142.891818 144.553735 0.902863 \n",
- " 2020-07-17 -11.142322 143.661273 146.209420 0.982248 \n",
" 2020-07-20 -17.267552 144.240000 146.914980 0.906142 \n",
" 2020-07-21 -9.479866 145.149091 147.299529 1.671168 \n",
" 2020-07-22 -8.808725 145.942909 147.801433 1.797089 \n",
+ " 2020-07-23 -14.969136 146.651818 148.188445 1.763914 \n",
+ " 2020-07-24 -31.790123 146.797273 147.826909 1.077936 \n",
" \n",
- " [5070 rows x 157 columns]}"
+ " [5072 rows x 157 columns]}"
]
},
"execution_count": 12,
@@ -819,60 +819,12 @@
" | ... | \n",
" \n",
" \n",
- " | 2020-07-16 | \n",
- " 319.7900 | \n",
- " 321.2800 | \n",
- " 319.0900 | \n",
- " 320.7900 | \n",
- " 54433400.0 | \n",
- " 318.394000 | \n",
- " 324.301437 | \n",
- " 312.486563 | \n",
- " 5.907437 | \n",
- " 299.367555 | \n",
- " ... | \n",
- " 39.296390 | \n",
- " 1.142186 | \n",
- " 0.731933 | \n",
- " 153.225976 | \n",
- " 316.788363 | \n",
- " 320.487500 | \n",
- " -9.332227 | \n",
- " 317.993091 | \n",
- " 320.251663 | \n",
- " 1.318671 | \n",
- "
\n",
- " \n",
- " | 2020-07-17 | \n",
- " 321.8800 | \n",
- " 322.5700 | \n",
- " 319.7400 | \n",
- " 321.7200 | \n",
- " 64421800.0 | \n",
- " 319.447333 | \n",
- " 325.149608 | \n",
- " 313.745059 | \n",
- " 5.702275 | \n",
- " 299.875050 | \n",
- " ... | \n",
- " 42.042623 | \n",
- " 1.200811 | \n",
- " 0.690749 | \n",
- " 153.244606 | \n",
- " 317.735725 | \n",
- " 321.437500 | \n",
- " -5.474907 | \n",
- " 318.894727 | \n",
- " 321.769543 | \n",
- " 1.365046 | \n",
- "
\n",
- " \n",
" | 2020-07-20 | \n",
" 321.4300 | \n",
" 325.1300 | \n",
" 320.6200 | \n",
" 324.3200 | \n",
- " 56150200.0 | \n",
+ " 56150230.0 | \n",
" 320.673333 | \n",
" 326.296123 | \n",
" 315.050544 | \n",
@@ -882,7 +834,7 @@
" 45.091757 | \n",
" 1.223611 | \n",
" 0.623952 | \n",
- " 153.261035 | \n",
+ " 153.261128 | \n",
" 318.474591 | \n",
" 323.597500 | \n",
" -3.801032 | \n",
@@ -896,7 +848,7 @@
" 326.9300 | \n",
" 323.9400 | \n",
" 325.0100 | \n",
- " 57245300.0 | \n",
+ " 57245315.0 | \n",
" 322.353333 | \n",
" 327.800604 | \n",
" 316.906063 | \n",
@@ -906,7 +858,7 @@
" 46.469833 | \n",
" 1.211493 | \n",
" 0.661493 | \n",
- " 153.277972 | \n",
+ " 153.278065 | \n",
" 319.600245 | \n",
" 325.222500 | \n",
" -10.750280 | \n",
@@ -920,7 +872,7 @@
" 327.2000 | \n",
" 324.5000 | \n",
" 326.8600 | \n",
- " 49338600.0 | \n",
+ " 57792915.0 | \n",
" 323.313333 | \n",
" 328.577452 | \n",
" 318.049214 | \n",
@@ -930,7 +882,7 @@
" 50.919143 | \n",
" 1.153997 | \n",
" 0.689436 | \n",
- " 153.292643 | \n",
+ " 153.295250 | \n",
" 320.677611 | \n",
" 326.355000 | \n",
" -2.058111 | \n",
@@ -938,9 +890,57 @@
" 325.718525 | \n",
" 1.900614 | \n",
"
\n",
+ " \n",
+ " | 2020-07-23 | \n",
+ " 326.4700 | \n",
+ " 327.2300 | \n",
+ " 321.4800 | \n",
+ " 322.9600 | \n",
+ " 75737989.0 | \n",
+ " 324.014000 | \n",
+ " 329.310511 | \n",
+ " 318.717489 | \n",
+ " 5.296511 | \n",
+ " 303.787477 | \n",
+ " ... | \n",
+ " 52.999190 | \n",
+ " 1.085706 | \n",
+ " 0.763560 | \n",
+ " 153.317466 | \n",
+ " 321.522738 | \n",
+ " 323.657500 | \n",
+ " -25.800604 | \n",
+ " 323.042909 | \n",
+ " 325.442430 | \n",
+ " 1.309102 | \n",
+ "
\n",
+ " \n",
+ " | 2020-07-24 | \n",
+ " 320.9500 | \n",
+ " 321.9900 | \n",
+ " 319.2460 | \n",
+ " 320.8800 | \n",
+ " 73766597.0 | \n",
+ " 323.886400 | \n",
+ " 329.077410 | \n",
+ " 318.695390 | \n",
+ " 5.191010 | \n",
+ " 305.041909 | \n",
+ " ... | \n",
+ " 48.773943 | \n",
+ " 1.027629 | \n",
+ " 0.904621 | \n",
+ " 153.338694 | \n",
+ " 321.846761 | \n",
+ " 320.749000 | \n",
+ " -38.368580 | \n",
+ " 322.932727 | \n",
+ " 323.987442 | \n",
+ " 0.970050 | \n",
+ "
\n",
" \n",
"\n",
- "5214 rows × 157 columns
\n",
+ "5216 rows × 157 columns
\n",
""
],
"text/plain": [
@@ -952,11 +952,11 @@
"1999-11-04 136.7500 137.3593 135.7656 136.5312 7907500.0 NaN \n",
"1999-11-05 138.6250 139.1093 136.7812 137.8750 7431500.0 136.332267 \n",
"... ... ... ... ... ... ... \n",
- "2020-07-16 319.7900 321.2800 319.0900 320.7900 54433400.0 318.394000 \n",
- "2020-07-17 321.8800 322.5700 319.7400 321.7200 64421800.0 319.447333 \n",
- "2020-07-20 321.4300 325.1300 320.6200 324.3200 56150200.0 320.673333 \n",
- "2020-07-21 326.4500 326.9300 323.9400 325.0100 57245300.0 322.353333 \n",
- "2020-07-22 324.6200 327.2000 324.5000 326.8600 49338600.0 323.313333 \n",
+ "2020-07-20 321.4300 325.1300 320.6200 324.3200 56150230.0 320.673333 \n",
+ "2020-07-21 326.4500 326.9300 323.9400 325.0100 57245315.0 322.353333 \n",
+ "2020-07-22 324.6200 327.2000 324.5000 326.8600 57792915.0 323.313333 \n",
+ "2020-07-23 326.4700 327.2300 321.4800 322.9600 75737989.0 324.014000 \n",
+ "2020-07-24 320.9500 321.9900 319.2460 320.8800 73766597.0 323.886400 \n",
"\n",
" ABER_SG_5_15 ABER_XG_5_15 ABER_ATR_5_15 ACCBL_20 ... \\\n",
"date ... \n",
@@ -966,11 +966,11 @@
"1999-11-04 NaN NaN NaN NaN ... \n",
"1999-11-05 NaN NaN NaN NaN ... \n",
"... ... ... ... ... ... \n",
- "2020-07-16 324.301437 312.486563 5.907437 299.367555 ... \n",
- "2020-07-17 325.149608 313.745059 5.702275 299.875050 ... \n",
"2020-07-20 326.296123 315.050544 5.622790 300.906776 ... \n",
"2020-07-21 327.800604 316.906063 5.447270 301.895656 ... \n",
"2020-07-22 328.577452 318.049214 5.264119 302.558926 ... \n",
+ "2020-07-23 329.310511 318.717489 5.296511 303.787477 ... \n",
+ "2020-07-24 329.077410 318.695390 5.191010 305.041909 ... \n",
"\n",
" VAR_30 VTXP_14 VTXM_14 VWAP VWMA_10 WCP \\\n",
"date \n",
@@ -980,11 +980,11 @@
"1999-11-04 NaN NaN NaN 135.950504 NaN 136.546825 \n",
"1999-11-05 NaN NaN NaN 136.393305 NaN 137.910125 \n",
"... ... ... ... ... ... ... \n",
- "2020-07-16 39.296390 1.142186 0.731933 153.225976 316.788363 320.487500 \n",
- "2020-07-17 42.042623 1.200811 0.690749 153.244606 317.735725 321.437500 \n",
- "2020-07-20 45.091757 1.223611 0.623952 153.261035 318.474591 323.597500 \n",
- "2020-07-21 46.469833 1.211493 0.661493 153.277972 319.600245 325.222500 \n",
- "2020-07-22 50.919143 1.153997 0.689436 153.292643 320.677611 326.355000 \n",
+ "2020-07-20 45.091757 1.223611 0.623952 153.261128 318.474591 323.597500 \n",
+ "2020-07-21 46.469833 1.211493 0.661493 153.278065 319.600245 325.222500 \n",
+ "2020-07-22 50.919143 1.153997 0.689436 153.295250 320.677611 326.355000 \n",
+ "2020-07-23 52.999190 1.085706 0.763560 153.317466 321.522738 323.657500 \n",
+ "2020-07-24 48.773943 1.027629 0.904621 153.338694 321.846761 320.749000 \n",
"\n",
" WILLR_14 WMA_10 ZL_EMA_10 Z_30 \n",
"date \n",
@@ -994,13 +994,13 @@
"1999-11-04 NaN NaN NaN NaN \n",
"1999-11-05 NaN NaN NaN NaN \n",
"... ... ... ... ... \n",
- "2020-07-16 -9.332227 317.993091 320.251663 1.318671 \n",
- "2020-07-17 -5.474907 318.894727 321.769543 1.365046 \n",
"2020-07-20 -3.801032 320.096545 323.215081 1.680556 \n",
"2020-07-21 -10.750280 321.291636 324.115975 1.747819 \n",
"2020-07-22 -2.058111 322.618909 325.718525 1.900614 \n",
+ "2020-07-23 -25.800604 323.042909 325.442430 1.309102 \n",
+ "2020-07-24 -38.368580 322.932727 323.987442 0.970050 \n",
"\n",
- "[5214 rows x 157 columns]"
+ "[5216 rows x 157 columns]"
]
},
"execution_count": 13,
@@ -1041,7 +1041,7 @@
{
"data": {
"text/plain": [
- "Strategy(name='A', ta=[{'kind': 'sma', 'length': 50}, {'kind': 'sma', 'length': 200}], description=None, created='07/22/2020, 17:02:37', last_run=None, run_time=None)"
+ "Strategy(name='A', ta=[{'kind': 'sma', 'length': 50}, {'kind': 'sma', 'length': 200}], description=None, created='07/25/2020, 11:24:19', last_run=None, run_time=None)"
]
},
"execution_count": 14,
@@ -1065,8 +1065,7 @@
"output_type": "stream",
"text": [
"\n",
- "[i] Loaded['D']: IWM_D.csv\n",
- "[i] Set 'df.ta.mp = True' to enable multiprocessing. This computer has 4 cores. Default: False\n"
+ "[i] Loaded['D']: IWM_D.csv\n"
]
},
{
@@ -1113,7 +1112,7 @@
" \n",
" | 2000-05-26 | \n",
" 91.06 | \n",
- " 91.44 | \n",
+ " 91.440 | \n",
" 90.63 | \n",
" 91.44 | \n",
" 37400.0 | \n",
@@ -1123,7 +1122,7 @@
"
\n",
" | 2000-05-30 | \n",
" 92.75 | \n",
- " 94.81 | \n",
+ " 94.810 | \n",
" 92.75 | \n",
" 94.81 | \n",
" 28800.0 | \n",
@@ -1133,7 +1132,7 @@
"
\n",
" | 2000-05-31 | \n",
" 95.13 | \n",
- " 96.38 | \n",
+ " 96.380 | \n",
" 95.13 | \n",
" 95.75 | \n",
" 18000.0 | \n",
@@ -1143,7 +1142,7 @@
"
\n",
" | 2000-06-01 | \n",
" 97.11 | \n",
- " 97.31 | \n",
+ " 97.310 | \n",
" 97.11 | \n",
" 97.31 | \n",
" 3500.0 | \n",
@@ -1153,7 +1152,7 @@
"
\n",
" | 2000-06-02 | \n",
" 101.70 | \n",
- " 102.40 | \n",
+ " 102.400 | \n",
" 101.70 | \n",
" 102.40 | \n",
" 14700.0 | \n",
@@ -1171,76 +1170,76 @@
" ... | \n",
"
\n",
" \n",
- " | 2020-07-16 | \n",
- " 146.11 | \n",
- " 146.67 | \n",
- " 144.88 | \n",
- " 146.16 | \n",
- " 30386200.0 | \n",
- " 138.9184 | \n",
- " 145.95140 | \n",
- "
\n",
- " \n",
- " | 2020-07-17 | \n",
- " 146.68 | \n",
- " 147.59 | \n",
- " 145.51 | \n",
- " 146.59 | \n",
- " 20632700.0 | \n",
- " 139.3358 | \n",
- " 145.94250 | \n",
- "
\n",
- " \n",
" | 2020-07-20 | \n",
" 146.12 | \n",
- " 146.85 | \n",
+ " 146.850 | \n",
" 145.15 | \n",
" 145.96 | \n",
- " 19581700.0 | \n",
+ " 19581689.0 | \n",
" 139.7062 | \n",
" 145.93605 | \n",
"
\n",
" \n",
" | 2020-07-21 | \n",
" 147.47 | \n",
- " 149.16 | \n",
+ " 149.160 | \n",
" 147.20 | \n",
" 148.03 | \n",
- " 24467100.0 | \n",
+ " 24467065.0 | \n",
" 140.0196 | \n",
" 145.93750 | \n",
"
\n",
" \n",
" | 2020-07-22 | \n",
" 147.09 | \n",
- " 148.67 | \n",
+ " 148.670 | \n",
" 147.03 | \n",
" 148.11 | \n",
- " 19080800.0 | \n",
+ " 24424808.0 | \n",
" 140.3478 | \n",
" 145.93235 | \n",
"
\n",
+ " \n",
+ " | 2020-07-23 | \n",
+ " 147.98 | \n",
+ " 150.200 | \n",
+ " 146.70 | \n",
+ " 148.26 | \n",
+ " 21704889.0 | \n",
+ " 140.7736 | \n",
+ " 145.92925 | \n",
+ "
\n",
+ " \n",
+ " | 2020-07-24 | \n",
+ " 147.29 | \n",
+ " 147.665 | \n",
+ " 145.56 | \n",
+ " 146.08 | \n",
+ " 20015547.0 | \n",
+ " 141.2408 | \n",
+ " 145.92735 | \n",
+ "
\n",
" \n",
"\n",
- "5070 rows × 7 columns
\n",
+ "5072 rows × 7 columns
\n",
""
],
"text/plain": [
- " open high low close volume SMA_50 SMA_200\n",
- "date \n",
- "2000-05-26 91.06 91.44 90.63 91.44 37400.0 NaN NaN\n",
- "2000-05-30 92.75 94.81 92.75 94.81 28800.0 NaN NaN\n",
- "2000-05-31 95.13 96.38 95.13 95.75 18000.0 NaN NaN\n",
- "2000-06-01 97.11 97.31 97.11 97.31 3500.0 NaN NaN\n",
- "2000-06-02 101.70 102.40 101.70 102.40 14700.0 NaN NaN\n",
- "... ... ... ... ... ... ... ...\n",
- "2020-07-16 146.11 146.67 144.88 146.16 30386200.0 138.9184 145.95140\n",
- "2020-07-17 146.68 147.59 145.51 146.59 20632700.0 139.3358 145.94250\n",
- "2020-07-20 146.12 146.85 145.15 145.96 19581700.0 139.7062 145.93605\n",
- "2020-07-21 147.47 149.16 147.20 148.03 24467100.0 140.0196 145.93750\n",
- "2020-07-22 147.09 148.67 147.03 148.11 19080800.0 140.3478 145.93235\n",
+ " open high low close volume SMA_50 SMA_200\n",
+ "date \n",
+ "2000-05-26 91.06 91.440 90.63 91.44 37400.0 NaN NaN\n",
+ "2000-05-30 92.75 94.810 92.75 94.81 28800.0 NaN NaN\n",
+ "2000-05-31 95.13 96.380 95.13 95.75 18000.0 NaN NaN\n",
+ "2000-06-01 97.11 97.310 97.11 97.31 3500.0 NaN NaN\n",
+ "2000-06-02 101.70 102.400 101.70 102.40 14700.0 NaN NaN\n",
+ "... ... ... ... ... ... ... ...\n",
+ "2020-07-20 146.12 146.850 145.15 145.96 19581689.0 139.7062 145.93605\n",
+ "2020-07-21 147.47 149.160 147.20 148.03 24467065.0 140.0196 145.93750\n",
+ "2020-07-22 147.09 148.670 147.03 148.11 24424808.0 140.3478 145.93235\n",
+ "2020-07-23 147.98 150.200 146.70 148.26 21704889.0 140.7736 145.92925\n",
+ "2020-07-24 147.29 147.665 145.56 146.08 20015547.0 141.2408 145.92735\n",
"\n",
- "[5070 rows x 7 columns]"
+ "[5072 rows x 7 columns]"
]
},
"execution_count": 15,
@@ -1267,7 +1266,7 @@
{
"data": {
"text/plain": [
- "Strategy(name='B', ta=[{'kind': 'ema', 'length': 8}, {'kind': 'ema', 'length': 21}, {'kind': 'log_return', 'cumulative': True}, {'kind': 'rsi'}, {'kind': 'supertrend'}], description=None, created='07/22/2020, 17:02:37', last_run=None, run_time=None)"
+ "Strategy(name='B', ta=[{'kind': 'ema', 'length': 8}, {'kind': 'ema', 'length': 21}, {'kind': 'log_return', 'cumulative': True}, {'kind': 'rsi'}, {'kind': 'supertrend'}], description=None, created='07/25/2020, 11:24:19', last_run=None, run_time=None)"
]
},
"execution_count": 16,
@@ -1291,8 +1290,7 @@
"output_type": "stream",
"text": [
"\n",
- "[i] Loaded['D']: SPY_D.csv\n",
- "[i] Set 'df.ta.mp = True' to enable multiprocessing. This computer has 4 cores. Default: False\n"
+ "[i] Loaded['D']: SPY_D.csv\n"
]
},
{
@@ -1390,7 +1388,7 @@
" NaN | \n",
" NaN | \n",
" -0.000461 | \n",
- " 6.263520 | \n",
+ " 50.185503 | \n",
" NaN | \n",
" 1 | \n",
" NaN | \n",
@@ -1406,7 +1404,7 @@
" NaN | \n",
" NaN | \n",
" 0.007120 | \n",
- " 12.913259 | \n",
+ " 69.153995 | \n",
" NaN | \n",
" 1 | \n",
" NaN | \n",
@@ -1422,7 +1420,7 @@
" NaN | \n",
" NaN | \n",
" 0.016915 | \n",
- " 20.761745 | \n",
+ " 79.896816 | \n",
" NaN | \n",
" 1 | \n",
" NaN | \n",
@@ -1445,48 +1443,16 @@
" ... | \n",
" \n",
" \n",
- " | 2020-07-16 | \n",
- " 319.7900 | \n",
- " 321.2800 | \n",
- " 319.0900 | \n",
- " 320.7900 | \n",
- " 54433400.0 | \n",
- " 317.563448 | \n",
- " 313.395304 | \n",
- " 0.861354 | \n",
- " 60.141122 | \n",
- " 321.864382 | \n",
- " -1 | \n",
- " NaN | \n",
- " 321.864382 | \n",
- "
\n",
- " \n",
- " | 2020-07-17 | \n",
- " 321.8800 | \n",
- " 322.5700 | \n",
- " 319.7400 | \n",
- " 321.7200 | \n",
- " 64421800.0 | \n",
- " 318.487126 | \n",
- " 314.152095 | \n",
- " 0.864249 | \n",
- " 60.911280 | \n",
- " 321.864382 | \n",
- " -1 | \n",
- " NaN | \n",
- " 321.864382 | \n",
- "
\n",
- " \n",
" | 2020-07-20 | \n",
" 321.4300 | \n",
" 325.1300 | \n",
" 320.6200 | \n",
" 324.3200 | \n",
- " 56150200.0 | \n",
+ " 56150230.0 | \n",
" 319.783320 | \n",
" 315.076450 | \n",
" 0.872298 | \n",
- " 63.049858 | \n",
+ " 63.569724 | \n",
" 307.890439 | \n",
" 1 | \n",
" 307.890439 | \n",
@@ -1498,11 +1464,11 @@
" 326.9300 | \n",
" 323.9400 | \n",
" 325.0100 | \n",
- " 57245300.0 | \n",
+ " 57245315.0 | \n",
" 320.944805 | \n",
" 315.979500 | \n",
" 0.874423 | \n",
- " 63.615869 | \n",
+ " 64.179426 | \n",
" 311.309662 | \n",
" 1 | \n",
" 311.309662 | \n",
@@ -1514,11 +1480,43 @@
" 327.2000 | \n",
" 324.5000 | \n",
" 326.8600 | \n",
- " 49338600.0 | \n",
+ " 57792915.0 | \n",
" 322.259293 | \n",
" 316.968636 | \n",
" 0.880099 | \n",
- " 65.149441 | \n",
+ " 65.830627 | \n",
+ " 312.585425 | \n",
+ " 1 | \n",
+ " 312.585425 | \n",
+ " NaN | \n",
+ "
\n",
+ " \n",
+ " | 2020-07-23 | \n",
+ " 326.4700 | \n",
+ " 327.2300 | \n",
+ " 321.4800 | \n",
+ " 322.9600 | \n",
+ " 75737989.0 | \n",
+ " 322.415005 | \n",
+ " 317.513306 | \n",
+ " 0.868096 | \n",
+ " 59.594031 | \n",
+ " 312.585425 | \n",
+ " 1 | \n",
+ " 312.585425 | \n",
+ " NaN | \n",
+ "
\n",
+ " \n",
+ " | 2020-07-24 | \n",
+ " 320.9500 | \n",
+ " 321.9900 | \n",
+ " 319.2460 | \n",
+ " 320.8800 | \n",
+ " 73766597.0 | \n",
+ " 322.073893 | \n",
+ " 317.819369 | \n",
+ " 0.861634 | \n",
+ " 56.518677 | \n",
" 312.585425 | \n",
" 1 | \n",
" 312.585425 | \n",
@@ -1526,7 +1524,7 @@
"
\n",
" \n",
"\n",
- "5214 rows × 13 columns
\n",
+ "5216 rows × 13 columns
\n",
""
],
"text/plain": [
@@ -1538,25 +1536,25 @@
"1999-11-04 136.7500 137.3593 135.7656 136.5312 7907500.0 NaN \n",
"1999-11-05 138.6250 139.1093 136.7812 137.8750 7431500.0 NaN \n",
"... ... ... ... ... ... ... \n",
- "2020-07-16 319.7900 321.2800 319.0900 320.7900 54433400.0 317.563448 \n",
- "2020-07-17 321.8800 322.5700 319.7400 321.7200 64421800.0 318.487126 \n",
- "2020-07-20 321.4300 325.1300 320.6200 324.3200 56150200.0 319.783320 \n",
- "2020-07-21 326.4500 326.9300 323.9400 325.0100 57245300.0 320.944805 \n",
- "2020-07-22 324.6200 327.2000 324.5000 326.8600 49338600.0 322.259293 \n",
+ "2020-07-20 321.4300 325.1300 320.6200 324.3200 56150230.0 319.783320 \n",
+ "2020-07-21 326.4500 326.9300 323.9400 325.0100 57245315.0 320.944805 \n",
+ "2020-07-22 324.6200 327.2000 324.5000 326.8600 57792915.0 322.259293 \n",
+ "2020-07-23 326.4700 327.2300 321.4800 322.9600 75737989.0 322.415005 \n",
+ "2020-07-24 320.9500 321.9900 319.2460 320.8800 73766597.0 322.073893 \n",
"\n",
" EMA_21 CUMLOGRET_1 RSI_14 SUPERT_7_3.0 SUPERTd_7_3.0 \\\n",
"date \n",
"1999-11-01 NaN NaN NaN 0.000000 1 \n",
"1999-11-02 NaN -0.007172 0.000000 NaN 1 \n",
- "1999-11-03 NaN -0.000461 6.263520 NaN 1 \n",
- "1999-11-04 NaN 0.007120 12.913259 NaN 1 \n",
- "1999-11-05 NaN 0.016915 20.761745 NaN 1 \n",
+ "1999-11-03 NaN -0.000461 50.185503 NaN 1 \n",
+ "1999-11-04 NaN 0.007120 69.153995 NaN 1 \n",
+ "1999-11-05 NaN 0.016915 79.896816 NaN 1 \n",
"... ... ... ... ... ... \n",
- "2020-07-16 313.395304 0.861354 60.141122 321.864382 -1 \n",
- "2020-07-17 314.152095 0.864249 60.911280 321.864382 -1 \n",
- "2020-07-20 315.076450 0.872298 63.049858 307.890439 1 \n",
- "2020-07-21 315.979500 0.874423 63.615869 311.309662 1 \n",
- "2020-07-22 316.968636 0.880099 65.149441 312.585425 1 \n",
+ "2020-07-20 315.076450 0.872298 63.569724 307.890439 1 \n",
+ "2020-07-21 315.979500 0.874423 64.179426 311.309662 1 \n",
+ "2020-07-22 316.968636 0.880099 65.830627 312.585425 1 \n",
+ "2020-07-23 317.513306 0.868096 59.594031 312.585425 1 \n",
+ "2020-07-24 317.819369 0.861634 56.518677 312.585425 1 \n",
"\n",
" SUPERTl_7_3.0 SUPERTs_7_3.0 \n",
"date \n",
@@ -1566,13 +1564,13 @@
"1999-11-04 NaN NaN \n",
"1999-11-05 NaN NaN \n",
"... ... ... \n",
- "2020-07-16 NaN 321.864382 \n",
- "2020-07-17 NaN 321.864382 \n",
"2020-07-20 307.890439 NaN \n",
"2020-07-21 311.309662 NaN \n",
"2020-07-22 312.585425 NaN \n",
+ "2020-07-23 312.585425 NaN \n",
+ "2020-07-24 312.585425 NaN \n",
"\n",
- "[5214 rows x 13 columns]"
+ "[5216 rows x 13 columns]"
]
},
"execution_count": 17,
@@ -1599,7 +1597,7 @@
{
"data": {
"text/plain": [
- "Strategy(name='Runtime Failure', ta=[{'kind': 'percet_return'}], description=None, created='07/22/2020, 17:02:37', last_run=None, run_time=None)"
+ "Strategy(name='Runtime Failure', ta=[{'kind': 'percet_return'}], description=None, created='07/25/2020, 11:24:19', last_run=None, run_time=None)"
]
},
"execution_count": 18,
@@ -1666,7 +1664,7 @@
{
"data": {
"text/plain": [
- "Strategy(name='Volume MAs and Price MA chain', ta=[{'kind': 'ema', 'close': 'volume', 'length': 10, 'prefix': 'VOLUME'}, {'kind': 'sma', 'close': 'volume', 'length': 20, 'prefix': 'VOLUME'}, {'kind': 'ema', 'length': 5}, {'kind': 'linreg', 'close': 'EMA_5', 'length': 8, 'prefix': 'EMA_5'}], description=None, created='07/22/2020, 17:02:37', last_run=None, run_time=None)"
+ "Strategy(name='Volume MAs and Price MA chain', ta=[{'kind': 'ema', 'close': 'volume', 'length': 10, 'prefix': 'VOLUME'}, {'kind': 'sma', 'close': 'volume', 'length': 20, 'prefix': 'VOLUME'}, {'kind': 'ema', 'length': 5}, {'kind': 'linreg', 'close': 'EMA_5', 'length': 8, 'prefix': 'EMA_5'}], description=None, created='07/25/2020, 11:24:19', last_run=None, run_time=None)"
]
},
"execution_count": 20,
@@ -1840,38 +1838,14 @@
" ... | \n",
" \n",
" \n",
- " | 2020-07-16 | \n",
- " 319.7900 | \n",
- " 321.2800 | \n",
- " 319.0900 | \n",
- " 320.7900 | \n",
- " 54433400.0 | \n",
- " 7.880249e+07 | \n",
- " 85750820.85 | \n",
- " 319.046435 | \n",
- " 317.729875 | \n",
- "
\n",
- " \n",
- " | 2020-07-17 | \n",
- " 321.8800 | \n",
- " 322.5700 | \n",
- " 319.7400 | \n",
- " 321.7200 | \n",
- " 64421800.0 | \n",
- " 7.618782e+07 | \n",
- " 84954118.65 | \n",
- " 319.937624 | \n",
- " 318.784441 | \n",
- "
\n",
- " \n",
" | 2020-07-20 | \n",
" 321.4300 | \n",
" 325.1300 | \n",
" 320.6200 | \n",
" 324.3200 | \n",
- " 56150200.0 | \n",
- " 7.254462e+07 | \n",
- " 81001061.40 | \n",
+ " 56150230.0 | \n",
+ " 7.254859e+07 | \n",
+ " 81019145.80 | \n",
" 321.398416 | \n",
" 320.058000 | \n",
"
\n",
@@ -1881,9 +1855,9 @@
" 326.9300 | \n",
" 323.9400 | \n",
" 325.0100 | \n",
- " 57245300.0 | \n",
- " 6.976292e+07 | \n",
- " 80162965.80 | \n",
+ " 57245315.0 | \n",
+ " 6.976618e+07 | \n",
+ " 80181050.95 | \n",
" 322.602277 | \n",
" 321.307000 | \n",
" \n",
@@ -1893,15 +1867,39 @@
" 327.2000 | \n",
" 324.5000 | \n",
" 326.8600 | \n",
- " 49338600.0 | \n",
- " 6.604941e+07 | \n",
- " 79226550.80 | \n",
+ " 57792915.0 | \n",
+ " 6.758922e+07 | \n",
+ " 79667351.70 | \n",
" 324.021518 | \n",
" 322.687127 | \n",
" \n",
+ " \n",
+ " | 2020-07-23 | \n",
+ " 326.4700 | \n",
+ " 327.2300 | \n",
+ " 321.4800 | \n",
+ " 322.9600 | \n",
+ " 75737989.0 | \n",
+ " 6.907082e+07 | \n",
+ " 76850881.55 | \n",
+ " 323.667679 | \n",
+ " 323.406458 | \n",
+ "
\n",
+ " \n",
+ " | 2020-07-24 | \n",
+ " 320.9500 | \n",
+ " 321.9900 | \n",
+ " 319.2460 | \n",
+ " 320.8800 | \n",
+ " 73766597.0 | \n",
+ " 6.992459e+07 | \n",
+ " 76090907.45 | \n",
+ " 322.738452 | \n",
+ " 323.487321 | \n",
+ "
\n",
" \n",
"\n",
- "5214 rows × 9 columns
\n",
+ "5216 rows × 9 columns
\n",
""
],
"text/plain": [
@@ -1913,11 +1911,11 @@
"1999-11-04 136.7500 137.3593 135.7656 136.5312 7907500.0 NaN \n",
"1999-11-05 138.6250 139.1093 136.7812 137.8750 7431500.0 NaN \n",
"... ... ... ... ... ... ... \n",
- "2020-07-16 319.7900 321.2800 319.0900 320.7900 54433400.0 7.880249e+07 \n",
- "2020-07-17 321.8800 322.5700 319.7400 321.7200 64421800.0 7.618782e+07 \n",
- "2020-07-20 321.4300 325.1300 320.6200 324.3200 56150200.0 7.254462e+07 \n",
- "2020-07-21 326.4500 326.9300 323.9400 325.0100 57245300.0 6.976292e+07 \n",
- "2020-07-22 324.6200 327.2000 324.5000 326.8600 49338600.0 6.604941e+07 \n",
+ "2020-07-20 321.4300 325.1300 320.6200 324.3200 56150230.0 7.254859e+07 \n",
+ "2020-07-21 326.4500 326.9300 323.9400 325.0100 57245315.0 6.976618e+07 \n",
+ "2020-07-22 324.6200 327.2000 324.5000 326.8600 57792915.0 6.758922e+07 \n",
+ "2020-07-23 326.4700 327.2300 321.4800 322.9600 75737989.0 6.907082e+07 \n",
+ "2020-07-24 320.9500 321.9900 319.2460 320.8800 73766597.0 6.992459e+07 \n",
"\n",
" VOLUME_SMA_20 EMA_5 EMA_5_LR_8 \n",
"date \n",
@@ -1927,13 +1925,13 @@
"1999-11-04 NaN NaN NaN \n",
"1999-11-05 NaN 136.012480 NaN \n",
"... ... ... ... \n",
- "2020-07-16 85750820.85 319.046435 317.729875 \n",
- "2020-07-17 84954118.65 319.937624 318.784441 \n",
- "2020-07-20 81001061.40 321.398416 320.058000 \n",
- "2020-07-21 80162965.80 322.602277 321.307000 \n",
- "2020-07-22 79226550.80 324.021518 322.687127 \n",
+ "2020-07-20 81019145.80 321.398416 320.058000 \n",
+ "2020-07-21 80181050.95 322.602277 321.307000 \n",
+ "2020-07-22 79667351.70 324.021518 322.687127 \n",
+ "2020-07-23 76850881.55 323.667679 323.406458 \n",
+ "2020-07-24 76090907.45 322.738452 323.487321 \n",
"\n",
- "[5214 rows x 9 columns]"
+ "[5216 rows x 9 columns]"
]
},
"execution_count": 22,
@@ -1968,7 +1966,7 @@
{
"data": {
"text/plain": [
- "Strategy(name='MACD BBands', ta=[{'kind': 'macd'}, {'kind': 'bbands', 'close': 'MACD_12_26_9', 'length': 20, 'prefix': 'MACD'}], description='BBANDS_20 applied to MACD', created='07/22/2020, 17:02:37', last_run=None, run_time=None)"
+ "Strategy(name='MACD BBands', ta=[{'kind': 'macd'}, {'kind': 'bbands', 'close': 'MACD_12_26_9', 'length': 20, 'prefix': 'MACD'}], description='BBANDS_20 applied to MACD', created='07/25/2020, 11:24:19', last_run=None, run_time=None)"
]
},
"execution_count": 23,
@@ -2157,40 +2155,12 @@
" ... | \n",
" \n",
" \n",
- " | 2020-07-16 | \n",
- " 319.7900 | \n",
- " 321.2800 | \n",
- " 319.0900 | \n",
- " 320.7900 | \n",
- " 54433400.0 | \n",
- " 3.975091 | \n",
- " 0.595775 | \n",
- " 3.379316 | \n",
- " 1.155506 | \n",
- " 3.237593 | \n",
- " 5.319681 | \n",
- "
\n",
- " \n",
- " | 2020-07-17 | \n",
- " 321.8800 | \n",
- " 322.5700 | \n",
- " 319.7400 | \n",
- " 321.7200 | \n",
- " 64421800.0 | \n",
- " 4.136274 | \n",
- " 0.605566 | \n",
- " 3.530708 | \n",
- " 1.297995 | \n",
- " 3.175551 | \n",
- " 5.053107 | \n",
- "
\n",
- " \n",
" | 2020-07-20 | \n",
" 321.4300 | \n",
" 325.1300 | \n",
" 320.6200 | \n",
" 324.3200 | \n",
- " 56150200.0 | \n",
+ " 56150230.0 | \n",
" 4.422827 | \n",
" 0.713695 | \n",
" 3.709131 | \n",
@@ -2204,7 +2174,7 @@
" 326.9300 | \n",
" 323.9400 | \n",
" 325.0100 | \n",
- " 57245300.0 | \n",
+ " 57245315.0 | \n",
" 4.651974 | \n",
" 0.754274 | \n",
" 3.897700 | \n",
@@ -2218,7 +2188,7 @@
" 327.2000 | \n",
" 324.5000 | \n",
" 326.8600 | \n",
- " 49338600.0 | \n",
+ " 57792915.0 | \n",
" 4.926070 | \n",
" 0.822696 | \n",
" 4.103374 | \n",
@@ -2226,9 +2196,37 @@
" 3.183563 | \n",
" 5.088035 | \n",
"
\n",
+ " \n",
+ " | 2020-07-23 | \n",
+ " 326.4700 | \n",
+ " 327.2300 | \n",
+ " 321.4800 | \n",
+ " 322.9600 | \n",
+ " 75737989.0 | \n",
+ " 4.773569 | \n",
+ " 0.536156 | \n",
+ " 4.237413 | \n",
+ " 1.215602 | \n",
+ " 3.243110 | \n",
+ " 5.270617 | \n",
+ "
\n",
+ " \n",
+ " | 2020-07-24 | \n",
+ " 320.9500 | \n",
+ " 321.9900 | \n",
+ " 319.2460 | \n",
+ " 320.8800 | \n",
+ " 73766597.0 | \n",
+ " 4.433763 | \n",
+ " 0.157080 | \n",
+ " 4.276683 | \n",
+ " 1.211360 | \n",
+ " 3.306770 | \n",
+ " 5.402179 | \n",
+ "
\n",
" \n",
"\n",
- "5214 rows × 11 columns
\n",
+ "5216 rows × 11 columns
\n",
""
],
"text/plain": [
@@ -2240,11 +2238,11 @@
"1999-11-04 136.7500 137.3593 135.7656 136.5312 7907500.0 NaN \n",
"1999-11-05 138.6250 139.1093 136.7812 137.8750 7431500.0 NaN \n",
"... ... ... ... ... ... ... \n",
- "2020-07-16 319.7900 321.2800 319.0900 320.7900 54433400.0 3.975091 \n",
- "2020-07-17 321.8800 322.5700 319.7400 321.7200 64421800.0 4.136274 \n",
- "2020-07-20 321.4300 325.1300 320.6200 324.3200 56150200.0 4.422827 \n",
- "2020-07-21 326.4500 326.9300 323.9400 325.0100 57245300.0 4.651974 \n",
- "2020-07-22 324.6200 327.2000 324.5000 326.8600 49338600.0 4.926070 \n",
+ "2020-07-20 321.4300 325.1300 320.6200 324.3200 56150230.0 4.422827 \n",
+ "2020-07-21 326.4500 326.9300 323.9400 325.0100 57245315.0 4.651974 \n",
+ "2020-07-22 324.6200 327.2000 324.5000 326.8600 57792915.0 4.926070 \n",
+ "2020-07-23 326.4700 327.2300 321.4800 322.9600 75737989.0 4.773569 \n",
+ "2020-07-24 320.9500 321.9900 319.2460 320.8800 73766597.0 4.433763 \n",
"\n",
" MACDh_12_26_9 MACDs_12_26_9 MACD_BBL_20_2.0 MACD_BBM_20_2.0 \\\n",
"date \n",
@@ -2254,11 +2252,11 @@
"1999-11-04 NaN NaN NaN NaN \n",
"1999-11-05 NaN NaN NaN NaN \n",
"... ... ... ... ... \n",
- "2020-07-16 0.595775 3.379316 1.155506 3.237593 \n",
- "2020-07-17 0.605566 3.530708 1.297995 3.175551 \n",
"2020-07-20 0.713695 3.709131 1.351168 3.153296 \n",
"2020-07-21 0.754274 3.897700 1.341550 3.157320 \n",
"2020-07-22 0.822696 4.103374 1.279092 3.183563 \n",
+ "2020-07-23 0.536156 4.237413 1.215602 3.243110 \n",
+ "2020-07-24 0.157080 4.276683 1.211360 3.306770 \n",
"\n",
" MACD_BBU_20_2.0 \n",
"date \n",
@@ -2268,13 +2266,13 @@
"1999-11-04 NaN \n",
"1999-11-05 NaN \n",
"... ... \n",
- "2020-07-16 5.319681 \n",
- "2020-07-17 5.053107 \n",
"2020-07-20 4.955423 \n",
"2020-07-21 4.973090 \n",
"2020-07-22 5.088035 \n",
+ "2020-07-23 5.270617 \n",
+ "2020-07-24 5.402179 \n",
"\n",
- "[5214 rows x 11 columns]"
+ "[5216 rows x 11 columns]"
]
},
"execution_count": 25,
@@ -2316,7 +2314,7 @@
{
"data": {
"text/plain": [
- "Strategy(name='Momo, Bands and SMAs and Cumulative Log Returns', ta=[{'kind': 'sma', 'length': 50}, {'kind': 'sma', 'length': 200}, {'kind': 'bbands', 'length': 20}, {'kind': 'macd'}, {'kind': 'rsi'}, {'kind': 'log_return', 'cumulative': True}, {'kind': 'sma', 'close': 'CUMLOGRET_1', 'length': 5, 'suffix': 'CUMLOGRET'}], description='MACD and RSI Momo with BBANDS and SMAs 50 & 200 and Cumulative Log Returns', created='07/22/2020, 17:02:37', last_run=None, run_time=None)"
+ "Strategy(name='Momo, Bands and SMAs and Cumulative Log Returns', ta=[{'kind': 'sma', 'length': 50}, {'kind': 'sma', 'length': 200}, {'kind': 'bbands', 'length': 20}, {'kind': 'macd'}, {'kind': 'rsi'}, {'kind': 'log_return', 'cumulative': True}, {'kind': 'sma', 'close': 'CUMLOGRET_1', 'length': 5, 'suffix': 'CUMLOGRET'}], description='MACD and RSI Momo with BBANDS and SMAs 50 & 200 and Cumulative Log Returns', created='07/25/2020, 11:24:19', last_run=None, run_time=None)"
]
},
"execution_count": 26,
@@ -2375,7 +2373,7 @@
"text": [
"\n",
"[i] Loaded['D']: SPY_D.csv\n",
- "[i] Runtime: 31.6960 ms (0.0317 s)\n"
+ "[i] Runtime: 34.4336 ms (0.0344 s)\n"
]
},
{
@@ -2502,7 +2500,7 @@
" NaN | \n",
" NaN | \n",
" NaN | \n",
- " 6.263520 | \n",
+ " 50.185503 | \n",
" -0.000461 | \n",
" NaN | \n",
" 0 | \n",
@@ -2524,7 +2522,7 @@
" NaN | \n",
" NaN | \n",
" NaN | \n",
- " 12.913259 | \n",
+ " 69.153995 | \n",
" 0.007120 | \n",
" NaN | \n",
" 0 | \n",
@@ -2546,7 +2544,7 @@
" NaN | \n",
" NaN | \n",
" NaN | \n",
- " 20.761745 | \n",
+ " 79.896816 | \n",
" 0.016915 | \n",
" NaN | \n",
" 0 | \n",
@@ -2568,7 +2566,7 @@
" NaN | \n",
" NaN | \n",
" NaN | \n",
- " 21.467126 | \n",
+ " 80.574537 | \n",
" 0.017821 | \n",
" 0.006845 | \n",
" 0 | \n",
@@ -2590,7 +2588,7 @@
" NaN | \n",
" NaN | \n",
" NaN | \n",
- " 19.534082 | \n",
+ " 58.528352 | \n",
" 0.008379 | \n",
" 0.009955 | \n",
" 0 | \n",
@@ -2612,7 +2610,7 @@
" NaN | \n",
" NaN | \n",
" NaN | \n",
- " 25.186415 | \n",
+ " 66.303684 | \n",
" 0.015780 | \n",
" 0.013203 | \n",
" 0 | \n",
@@ -2634,7 +2632,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 29.281003 | \n",
+ " 70.833962 | \n",
" 0.021438 | \n",
" 0.016066 | \n",
" 0 | \n",
@@ -2656,7 +2654,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 35.346637 | \n",
+ " 76.319408 | \n",
" 0.030422 | \n",
" 0.018768 | \n",
" 0 | \n",
@@ -2678,7 +2676,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 36.869425 | \n",
+ " 77.514804 | \n",
" 0.032767 | \n",
" 0.021757 | \n",
" 0 | \n",
@@ -2700,7 +2698,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 42.089239 | \n",
+ " 81.170904 | \n",
" 0.041099 | \n",
" 0.028301 | \n",
" 0 | \n",
@@ -2722,7 +2720,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 43.685627 | \n",
+ " 82.169980 | \n",
" 0.043750 | \n",
" 0.033895 | \n",
" 0 | \n",
@@ -2744,7 +2742,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 47.797173 | \n",
+ " 84.527630 | \n",
" 0.050786 | \n",
" 0.039765 | \n",
" 0 | \n",
@@ -2766,7 +2764,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 47.334329 | \n",
+ " 83.049344 | \n",
" 0.049909 | \n",
" 0.043662 | \n",
" 0 | \n",
@@ -2788,7 +2786,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 47.211675 | \n",
+ " 82.659517 | \n",
" 0.049690 | \n",
" 0.047047 | \n",
" 0 | \n",
@@ -2810,7 +2808,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 42.499547 | \n",
+ " 68.775385 | \n",
" 0.040877 | \n",
" 0.047002 | \n",
" 0 | \n",
@@ -2832,7 +2830,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 45.966480 | \n",
+ " 71.832489 | \n",
" 0.046174 | \n",
" 0.047487 | \n",
" 0 | \n",
@@ -2854,7 +2852,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 43.955324 | \n",
+ " 66.840920 | \n",
" 0.042425 | \n",
" 0.045815 | \n",
" 0 | \n",
@@ -2876,7 +2874,7 @@
" NaN | \n",
" NaN | \n",
" 0.0 | \n",
- " 42.097781 | \n",
+ " 62.442534 | \n",
" 0.038884 | \n",
" 0.043610 | \n",
" 0 | \n",
@@ -2938,24 +2936,24 @@
"date \n",
"1999-11-01 NaN NaN NaN NaN \n",
"1999-11-02 NaN NaN 0.000000 -0.007172 \n",
- "1999-11-03 NaN NaN 6.263520 -0.000461 \n",
- "1999-11-04 NaN NaN 12.913259 0.007120 \n",
- "1999-11-05 NaN NaN 20.761745 0.016915 \n",
- "1999-11-08 NaN NaN 21.467126 0.017821 \n",
- "1999-11-09 NaN NaN 19.534082 0.008379 \n",
- "1999-11-10 NaN NaN 25.186415 0.015780 \n",
- "1999-11-11 NaN 0.0 29.281003 0.021438 \n",
- "1999-11-12 NaN 0.0 35.346637 0.030422 \n",
- "1999-11-15 NaN 0.0 36.869425 0.032767 \n",
- "1999-11-16 NaN 0.0 42.089239 0.041099 \n",
- "1999-11-17 NaN 0.0 43.685627 0.043750 \n",
- "1999-11-18 NaN 0.0 47.797173 0.050786 \n",
- "1999-11-19 NaN 0.0 47.334329 0.049909 \n",
- "1999-11-22 NaN 0.0 47.211675 0.049690 \n",
- "1999-11-23 NaN 0.0 42.499547 0.040877 \n",
- "1999-11-24 NaN 0.0 45.966480 0.046174 \n",
- "1999-11-26 NaN 0.0 43.955324 0.042425 \n",
- "1999-11-29 NaN 0.0 42.097781 0.038884 \n",
+ "1999-11-03 NaN NaN 50.185503 -0.000461 \n",
+ "1999-11-04 NaN NaN 69.153995 0.007120 \n",
+ "1999-11-05 NaN NaN 79.896816 0.016915 \n",
+ "1999-11-08 NaN NaN 80.574537 0.017821 \n",
+ "1999-11-09 NaN NaN 58.528352 0.008379 \n",
+ "1999-11-10 NaN NaN 66.303684 0.015780 \n",
+ "1999-11-11 NaN 0.0 70.833962 0.021438 \n",
+ "1999-11-12 NaN 0.0 76.319408 0.030422 \n",
+ "1999-11-15 NaN 0.0 77.514804 0.032767 \n",
+ "1999-11-16 NaN 0.0 81.170904 0.041099 \n",
+ "1999-11-17 NaN 0.0 82.169980 0.043750 \n",
+ "1999-11-18 NaN 0.0 84.527630 0.050786 \n",
+ "1999-11-19 NaN 0.0 83.049344 0.049909 \n",
+ "1999-11-22 NaN 0.0 82.659517 0.049690 \n",
+ "1999-11-23 NaN 0.0 68.775385 0.040877 \n",
+ "1999-11-24 NaN 0.0 71.832489 0.046174 \n",
+ "1999-11-26 NaN 0.0 66.840920 0.042425 \n",
+ "1999-11-29 NaN 0.0 62.442534 0.038884 \n",
"\n",
" SMA_5_CUMLOGRET 0 30 70 \n",
"date \n",
diff --git a/pandas_ta/momentum/rsi.py b/pandas_ta/momentum/rsi.py
index 87cbea1..777b128 100644
--- a/pandas_ta/momentum/rsi.py
+++ b/pandas_ta/momentum/rsi.py
@@ -1,5 +1,6 @@
# -*- coding: utf-8 -*-
from pandas import DataFrame, concat
+from pandas_ta.overlap import rma
from pandas_ta.utils import get_drift, get_offset, verify_series, signals
def rsi(close, length=None, scalar=None, drift=None, offset=None, **kwargs):
@@ -18,10 +19,10 @@ def rsi(close, length=None, scalar=None, drift=None, offset=None, **kwargs):
positive[positive < 0] = 0 # Make negatives 0 for the postive series
negative[negative > 0] = 0 # Make postives 0 for the negative series
- positive_avg = positive.ewm(com=length, adjust=False).mean()
- negative_avg = negative.ewm(com=length, adjust=False).mean().abs()
+ positive_avg = rma(positive, length=length)
+ negative_avg = rma(negative, length=length)
- rsi = scalar * positive_avg / (positive_avg + negative_avg)
+ rsi = scalar * positive_avg / (positive_avg + negative_avg.abs())
# Offset
if offset != 0: