pandas-ta/examples/AIExample.ipynb

Strategy Analysis with Pandas TA and AI/ML

• This is a Work in Progress and subject to change!
• Contributions are welcome and accepted!
• Examples below are for educational purposes only.
• NOTE: The watchlist module is independent of Pandas TA. To easily use it, copy it from your local pandas_ta installation directory into your project directory.

Required Packages

Uncomment the packages you need to install or are missing

In [1]:

#!pip install numpy
#!pip install pandas
#!pip install mplfinance
#!pip install pandas-datareader
#!pip install requests_cache
#!pip install alphaVantage-api # Required for Watchlist

In [2]:

%pylab inline
import datetime as dt
import random as rnd
from sys import float_info as sflt

import numpy as np
import pandas as pd
pd.set_option('max_rows', 100)
pd.set_option('max_columns', 20)

import mplfinance as mpf
import pandas_ta as ta

from watchlist import colors, Watchlist # Is this failing? If so, copy it locally. See above.

print(f"Numpy v{np.__version__}")
print(f"Pandas v{pd.__version__}")
print(f"mplfinance v{mpf.__version__}")
print(f"Pandas TA v{ta.version}")
%matplotlib inline

Populating the interactive namespace from numpy and matplotlib
Numpy v1.19.5
Pandas v1.2.0
mplfinance v0.12.7a4
Pandas TA v0.2.42b0

MISC Functions

In [3]:

def recent_bars(df, tf: str = "1y"):
    # All Data: 0, Last Four Years: 0.25, Last Two Years: 0.5, This Year: 1, Last Half Year: 2, Last Quarter: 4
    yearly_divisor = {"all": 0, "10y": 0.1, "5y": 0.2, "4y": 0.25, "3y": 1./3, "2y": 0.5, "1y": 1, "6mo": 2, "3mo": 4}
    yd = yearly_divisor[tf] if tf in yearly_divisor.keys() else 0
    return int(ta.RATE["TRADING_DAYS_PER_YEAR"] / yd) if yd > 0 else df.shape[0]

Collect some Data

In [4]:

tf = "D"
tickers = ["SPY", "QQQ", "AAPL", "TSLA"]
watch = Watchlist(tickers, tf=tf, timed=True)
watch.strategy = ta.CommonStrategy
watch.load(tickers, analyze=True, verbose=False)

[!] Loading All: SPY, QQQ, AAPL, TSLA
[i] Loaded SPY[D]: SPY_D.csv
[i] Runtime: 464.3660 ms (0.4644 s)
[+] Downloading[av]: QQQ[D]
[i] Runtime: 426.7452 ms (0.4267 s)
[+] Downloading[av]: AAPL[D]
[i] Runtime: 419.3628 ms (0.4194 s)
[+] Downloading[av]: TSLA[D]
[i] Runtime: 419.8107 ms (0.4198 s)

Select an Asset

In [5]:

ticker = tickers[0]
print(f"{ticker} {watch.data[ticker].shape}\nColumns: {', '.join(list(watch.data[ticker].columns))}")

SPY (5358, 10)
Columns: open, high, low, close, volume, SMA_10, SMA_20, SMA_50, SMA_200, VOL_SMA_20

Trim it

In [6]:

duration = "1y"
recent = recent_bars(watch.data[ticker], duration)
asset = watch.data[ticker].copy().tail(recent)

Create a Trend

In [7]:

# Example Long Trends
# long = ta.sma(asset.close, 10) < ta.sma(asset.close, 20) # SMA(10) > SMA(20)
long = ta.ema(asset.close, 8) > ta.ema(asset.close, 21) # EMA(8) > EMA(21)
# long = ta.increasing(ta.ema(asset.close, 50))
# long = ta.macd(asset.close).iloc[:,1] > 0 # MACD Histogram is positive

asset.ta.ema(length=8, append=True)
asset.ta.ema(length=21, append=True)
asset.ta.ema(length=50, append=True)
asset[asset.columns[5:]].tail()

Out [7]:

	SMA_10	SMA_20	SMA_50	SMA_200	VOL_SMA_20	EMA_8	EMA_21	EMA_50
date
2021-02-10	383.207	381.9135	374.9464	338.55695	64542395.00	386.458726	381.977892	374.293842
2021-02-11	384.515	382.4595	375.5194	339.08185	64422878.45	387.403454	382.771720	374.937613
2021-02-12	386.772	383.1685	376.0518	339.57900	64453086.30	388.567131	383.668836	375.631824
2021-02-16	388.379	383.9985	376.5620	340.08810	61643706.50	389.396657	384.453487	376.285478
2021-02-17	389.463	384.6855	377.0760	340.63610	61669385.40	390.061845	385.174988	376.917028

Calculate Trend Returns from the long trend

In [8]:

trendy = asset.ta.trend_return(trend=long, cumulative=True, trade_offset=-1, append=True)
trendy.tail() # Third Column is the long trend; binary sequences

Out [8]:

	CLTR	TR_LOGRET	CLTR_Trends	CLTR_Trades
date
2021-02-10	0.127048	-0.000436	1	0
2021-02-11	0.128662	0.001614	1	0
2021-02-12	0.133590	0.004928	1	0
2021-02-16	0.132723	-0.000866	1	0
2021-02-17	0.132953	0.000229	1	0

Simple Price Chart

In [9]:

extime = ta.get_time(to_string=True)
chart_ = asset[["close", "EMA_8", "EMA_21", "EMA_50"]]
chart_.plot(figsize=(16, 10), color=colors("BkGrOrRd"), title=f"{ticker} {extime}", grid=True)

Out [9]:

<AxesSubplot:title={'center':'SPY Thursday February 18, 2021, NYSE: 8:49:46, Local: 12:49:46 PST, Day 49/365 (13.0%)'}, xlabel='date'>

Trend Returns and Cumulative Trend Returns

In [10]:

cltr = trendy.iloc[:,0]
tr = trendy.iloc[:,1]

trendy.iloc[:,:2].plot(figsize=(16, 3), color=colors("BkBl"))
cltr.plot(figsize=(16, 3), kind="area", stacked=False, color=colors("SvGy")[0], alpha=0.25, grid=True)

Out [10]:

<AxesSubplot:xlabel='date'>

Total Return

In [11]:

capital = 10000

total_return = cltr.cumsum() * capital
positive_return = total_return[total_return > 0]
negative_return = total_return[total_return <= 0]
trdf = pd.DataFrame({"tr+": positive_return, "tr-": negative_return})
trdf.plot(figsize=(16, 5), color=colors(), kind="area", stacked=False, alpha=0.25, grid=True)

Out [11]:

<AxesSubplot:xlabel='date'>

Long and Short Trends

In [12]:

long_trend = (trendy.iloc[:,-2] > 0).astype(int)
short_trend = (1 - long_trend).astype(int)

long_trend.plot(figsize=(16, 0.85), kind="area", stacked=True, color=colors()[0], alpha=0.25)
short_trend.plot(figsize=(16, 0.85), kind="area", stacked=True, color=colors()[1], alpha=0.25)

Out [12]:

<AxesSubplot:xlabel='date'>

Entries & Exits

In [13]:

entries = (trendy.iloc[:,-1] > 0).astype(int) * asset.close
entries[entries < 0.0001] = np.nan
entries.name = "Entry"


exits = (trendy.iloc[:,-1] < 0).astype(int) * asset.close
exits[exits < 0.0001] = np.nan
exits.name = "Exit"

total_trades = trendy.iloc[:,-1].abs().sum()
print(f"Total Trades: {total_trades}")

all_trades = trendy.iloc[:,-1].copy().fillna(0)
all_trades = all_trades[all_trades != 0]

trades = pd.DataFrame({"Signal": all_trades, entries.name: entries.dropna(), exits.name: exits.dropna()})
trades

Out [13]:

Total Trades: 7

	Signal	Entry	Exit
date
2020-04-09	1	278.20	NaN
2020-06-26	-1	NaN	300.05
2020-06-29	1	304.46	NaN
2020-09-10	-1	NaN	333.89
2020-10-06	1	334.93	NaN
2020-10-27	-1	NaN	338.22
2020-11-04	1	343.54	NaN

Chart Display Strings

In [14]:

first_date, last_date = asset.index[0], asset.index[-1]
f_date = f"{first_date.day_name()} {first_date.month}-{first_date.day}-{first_date.year}"
l_date = f"{last_date.day_name()} {last_date.month}-{last_date.day}-{last_date.year}"
last_ohlcv = f"Last OHLCV: ({asset.iloc[-1].open}, {asset.iloc[-1].high}, {asset.iloc[-1].low}, {asset.iloc[-1].close}, {int(asset.iloc[-1].volume)})"
ptitle = f"\n{ticker} [{tf} for {duration}({recent} bars)] from {f_date} to {l_date}\n{last_ohlcv}\n{extime}"

Trade Chart

In [15]:

# chart = asset["close"] #asset[["close", "SMA_10", "SMA_20", "SMA_50", "SMA_200"]]
# chart = asset[["close", "SMA_10", "SMA_20"]]
chart = asset[["close", "EMA_8", "EMA_21", "EMA_50"]]
chart.plot(figsize=(16, 10), color=colors("BkGrOrRd"), title=ptitle, grid=True)
entries.plot(figsize=(16, 10), color=colors("FcLi")[1], marker="^", markersize=12, alpha=0.8)
exits.plot(figsize=(16, 10), color=colors("FcLi")[0], marker="v", markersize=12, alpha=0.8, grid=True)

Out [15]:

<AxesSubplot:title={'center':'\nSPY [D for 1y(252 bars)] from Wednesday 2-19-2020 to Wednesday 2-17-2021\nLast OHLCV: (390.42, 392.66, 389.33, 392.39, 51746878)\nThursday February 18, 2021, NYSE: 8:49:46, Local: 12:49:46 PST, Day 49/365 (13.0%)'}, xlabel='date'>

AI Analysis

In [ ]: