VERSION: 0.2.0
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
- 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.
- 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
- VR: Volatility Volume Ratio
pip install stockstats
- Initialize the
StockDataFrame
with theretype
function which convert apandas.DataFrame
to aStockDataFrame
.
stock = StockDataFrame.retype(pd.read_csv('stock.csv'))
- 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']
# 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']
# MATRIX is the simple moving average of TRIX
stock['trix_9_sma']
# VR, default to 26 days
stock['vr']
# MAVR is the simple moving average of VR
stock['vr_6_sma']
To file issue, please visit:
https://github.com/jealous/stockstats
Contact author:
- Cedric Zhuang <[email protected]>