Stock Statistics/Indicators Calculation Helper

VERSION: 0.3.2

Introduction

Supply a wrapper StockDataFrame based on the pandas.DataFrame with inline stock statistics/indicators support.

Supported statistics/indicators are:

change (in percent)
delta
permutation (zero based)
log return
max in range
min in range
middle = (close + high + low) / 3
compare: le, ge, lt, gt, eq, ne
count: both backward(c) and forward(fc)
SMA: simple moving average
EMA: exponential moving average
MSTD: moving standard deviation
MVAR: moving variance
RSV: raw stochastic value
RSI: relative strength index
KDJ: Stochastic oscillator
Bolling: including upper band and lower band.
MACD: moving average convergence divergence. Including signal and histogram. (see note)
CR:
WR: Williams Overbought/Oversold index
CCI: Commodity Channel Index
TR: true range
ATR: average true range
line cross check, cross up or cross down.
DMA: Different of Moving Average (10, 50)
DMI: Directional Moving Index, including
- +DI: Positive Directional Indicator
- -DI: Negative Directional Indicator
- ADX: Average Directional Movement Index
- ADXR: Smoothed Moving Average of ADX
TRIX: Triple Exponential Moving Average
TEMA: Another Triple Exponential Moving Average
VR: Volatility Volume Ratio
MFI: Money Flow Index

Installation

pip install stockstats

Compatibility

Please check the setup.py file.

Note that pandas add some type check after version 1.0. One type assert is skipped in StockDataFrame. Check ISSUE-50 for detail.

License

BSD

Tutorial

Initialize the StockDataFrame with the retype function which convert a pandas.DataFrame to a StockDataFrame.

stock = StockDataFrame.retype(pd.read_csv('stock.csv'))

Formalize your data. This package takes for granted that your data is sorted by timestamp and contains certain columns. Please align your column name.
- open: the open price of the interval
- close: the close price of the interval
- high: the highest price of the interval
- low: the lowest price of the interval
- volume: the volume of stocks traded during the interval
- amount: the amount of the stocks during the interval
There are some shortcuts for frequent used statistics/indicators like kdjk, boll_hb, macd, etc.
The indicators/statistics are generated on the fly when they are accessed. If you are accessing through Series, it may return not found error. The fix is to explicitly initialize it by accessing it like below:

_ = stock['macd']
# or
stock.get('macd')

Using get item to access the indicators. The item name following the pattern: {columnName_window_statistics}. Some statistics/indicators has their short cut. See examples below:

# volume delta against previous day
stock['volume_delta']

# open delta against next 2 day
stock['open_2_d']

# open price change (in percent) between today and the day before yesterday
# 'r' stands for rate.
stock['open_-2_r']

# CR indicator, including 5, 10, 20 days moving average
stock['cr']
stock['cr-ma1']
stock['cr-ma2']
stock['cr-ma3']

# volume max of three days ago, yesterday and two days later
stock['volume_-3,2,-1_max']

# volume min between 3 days ago and tomorrow
stock['volume_-3~1_min']

# KDJ, default to 9 days
stock['kdjk']
stock['kdjd']
stock['kdjj']

# three days KDJK cross up 3 days KDJD
stock['kdj_3_xu_kdjd_3']

# 2 days simple moving average on open price
stock['open_2_sma']

# MACD
stock['macd']
# MACD signal line
stock['macds']
# MACD histogram
stock['macdh']

# bolling, including upper band and lower band
stock['boll']
stock['boll_ub']
stock['boll_lb']

# close price less than 10.0 in 5 days count
stock['close_10.0_le_5_c']

# CR MA2 cross up CR MA1 in 20 days count
stock['cr-ma2_xu_cr-ma1_20_c']

# count forward(future) where close price is larger than 10
stock['close_10.0_ge_5_fc']

# 6 days RSI
stock['rsi_6']
# 12 days RSI
stock['rsi_12']

# 10 days WR
stock['wr_10']
# 6 days WR
stock['wr_6']

# CCI, default to 14 days
stock['cci']
# 20 days CCI
stock['cci_20']

# TR (true range)
stock['tr']
# ATR (Average True Range)
stock['atr']

# DMA, difference of 10 and 50 moving average
stock['dma']

# DMI
# +DI, default to 14 days
stock['pdi']
# -DI, default to 14 days
stock['mdi']
# DX, default to 14 days of +DI and -DI
stock['dx']
# ADX, 6 days SMA of DX, same as stock['dx_6_ema']
stock['adx']
# ADXR, 6 days SMA of ADX, same as stock['adx_6_ema']
stock['adxr']

# TRIX, default to 12 days
stock['trix']
# TRIX based on the close price for a window of 3
stock['close_3_trix']
# MATRIX is the simple moving average of TRIX
stock['trix_9_sma']
# TEMA, another implementation for triple ema
stock['tema']
# TEMA based on the close price for a window of 2
stock['close_2_tema']

# VR, default to 26 days
stock['vr']
# MAVR is the simple moving average of VR
stock['vr_6_sma']

# Money flow index, default to 14 days
stock['mfi']

Following options are available for tuning. Note that all of them are class level options and MUST be changed before any calculation happens.
- KDJ
  
  KDJ_WINDOW: default to 9
- BOLL
  
  BOLL_WINDOW: default to 20
  
  BOLL_STD_TIMES: default to 2
- MACD
  
  MACD_EMA_SHORT: default to 12
  
  MACD_EMA_LONG: default to 26
  
  MACD_EMA_SIGNAL: default to 9
- PDI, MDI, DX & ADX
  
  PDI_SMMA: default to 14
  
  MDI_SMMA: default to 14
  
  DX_SMMA: default to 14
  
  ADX_EMA: default to 6
  
  ADXR_EMA: default to 6
- CR
  
  CR_MA1: default to 5
  
  CR_MA2: default to 10
  
  CR_MA3: default to 20
- Triple EMA
  
  TRIX_EMA_WINDOW: default to 12
  
  TEMA_EMA_WINDOW: default to 5
- ATR
  
  ATR_SMMA: default to 14
- MFI
  
  MFI: default to 14

To file issue, please visit:

https://github.com/jealous/stockstats

MACDH Note:

In July 2017 the code for MACDH was changed to drop an extra 2x multiplier on the final value to align better with calculation methods used in tools like cryptowatch, tradingview, etc.

Contact author:

Cedric Zhuang <jealous@163.com>

tedpark / stockstats