wehub-resource-sync
85 lines
2.5 KiB
Python
85 lines
2.5 KiB
Python
import pandas as pd
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import talib.abstract
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def format_number(x):
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if pd.isnull(x):
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return ""
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else:
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return f"{x:.6f}"
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def write_dataframe(df, fname_stem, format_dict):
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# format index
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datetime_output_fmt = "%m/%d/%Y %I:%M:%S %p"
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df.index = df.index.strftime(datetime_output_fmt)
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# format columns
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for col in df.columns:
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if format_dict is not None and col in format_dict:
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format_function = format_dict[col]
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df[col] = df[col].map(format_function)
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df.to_csv(f"{fname_stem}.csv", sep=",")
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def generate_reference_data_for_single_output_indicator(
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df, indicator_type, parameters, fname_stem, output_name, format_dict=None
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):
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print("* Processing %s" % indicator_type.info)
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series_output = indicator_type(df, **parameters)
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series_output.name = output_name
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df_output = series_output.to_frame()
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df.columns = df.columns.str.capitalize()
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df_all = pd.concat([df, df_output], axis=1)
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write_dataframe(df_all, fname_stem, format_dict)
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def generate_reference_data_for_multi_output_indicator(
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df, indicator_type, parameters, fname_stem, output_names=None, format_dict=None
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):
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print("* Processing %s" % indicator_type.info)
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df_output = indicator_type(df, **parameters)
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if output_names is not None:
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df_output.columns = output_names
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df.columns = df.columns.str.capitalize()
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df_all = pd.concat([df, df_output], axis=1)
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write_dataframe(df_all, fname_stem, format_dict)
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def main():
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fname = "spy_daily_klines_2013-01-16_2015-12-01_no_volume.csv"
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datetime_input_fmt = "%m/%d/%Y %I:%M:%S %p"
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df = pd.read_csv(fname)
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df["Date"] = pd.to_datetime(df["Date"], format=datetime_input_fmt)
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df = df.set_index("Date")
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df.columns = df.columns.str.lower()
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generate_reference_data_for_single_output_indicator(
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df.copy(),
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talib.abstract.ATR,
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{"timeperiod": 14},
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"spy_atr",
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"Average True Range 14",
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{"Average True Range 14": format_number},
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)
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generate_reference_data_for_multi_output_indicator(
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df.copy(),
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talib.abstract.BBANDS,
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{"timeperiod": 20, "nbdevup": 2.0, "nbdevdn": 2.0},
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"spy_bollinger_bands",
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[
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"Bollinger Bands® 20 2 Top",
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"Moving Average 20",
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"Bollinger Bands® 20 2 Bottom",
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],
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{
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"Bollinger Bands® 20 2 Top": format_number,
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"Moving Average 20": format_number,
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"Bollinger Bands® 20 2 Bottom": format_number,
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},
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)
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if __name__ == "__main__":
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main()
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