import pandas as pd import datetime import numpy as np import plotly as pl import plotly.graph_objs as go import matplotlib.pyplot as plt import math import scipy import random import statistics import datetime import matplotlib.dates as mdates import matplotlib.pyplot as plt import mplfinance as mpf import plotly #import plotly.plotly as py import plotly.graph_objs as go # these two lines allow your code to show up in a notebook from plotly.offline import init_notebook_mode, iplot from plotly.subplots import make_subplots init_notebook_mode() class CoreMath: def __init__(self, base_df, params={ 'dataType':'ohcl', 'colName':{ 'open':'open', 'close':'close', 'high':'high', 'low':'low', 'date':'date' }, 'action': None, 'actionOptions':{} } ): self.base_df=base_df.reset_index(drop=True) self.params=params if self.params['dataType']=='ohcl': self.col=self.base_df[self.params['colName'][self.params['actionOptions']['valueType']]] elif self.params['dataType']=='series': self.col=self.base_df self.ans=self.getAns() def getAns(self): ans=None if self.params['action']=='findExt': ans = self.getExtremumValue() if self.params['action']=='findMean': ans = self.getMeanValue() return ans def getExtremumValue(self): ans=None ''' actionOptions: 'extremumtype': 'min' 'max' 'valueType': 'open' 'close' 'high' 'low' ''' if self.params['actionOptions']['extremumtype']=='max': ans=max(self.col) if self.params['actionOptions']['extremumtype']=='min': ans=min(self.col) return ans def getMeanValue(self): ''' actionOptions: 'MeanType': 'MA' 'SMA' 'EMA' 'WMA' --'SMMA' 'valueType': 'open' 'close' 'high' 'low' 'window' 'span' 'weights' ''' ans=None if self.params['actionOptions']['MeanType']=='MA': ans = self.col.mean() if self.params['actionOptions']['MeanType']=='SMA': #ans=np.convolve(self.col, np.ones(self.params['actionOptions']['window']), 'valid') / self.params['actionOptions']['window'] ans=self.col.rolling(window=self.params['actionOptions']['window']).mean() if self.params['actionOptions']['MeanType']=='EMA': ans=self.col.ewm(span=elf.params['actionOptions']['span'], adjust=False).mean() if self.params['actionOptions']['MeanType']=='WMA': try: weights=self.params['actionOptions']['weights'] except KeyError: weights=np.arange(1,self.params['actionOptions']['window']+1) ans=self.col.rolling(window=self.params['actionOptions']['window']).apply(lambda x: np.sum(weights*x) / weights.sum(), raw=False) return(ans)