Module `backtrader.indicators.deviation`

Expand source code

#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

from . import Indicator, MovAv


class StandardDeviation(Indicator):
    '''
    Calculates the standard deviation of the passed data for a given period

    Note:
      - If 2 datas are provided as parameters, the 2nd is considered to be the
        mean of the first

      - ``safepow`` (default: False) If this parameter is True, the standard
        deviation will be calculated as pow(abs(meansq - sqmean), 0.5) to safe
        guard for possible negative results of ``meansq - sqmean`` caused by
        the floating point representation.

    Formula:
      - meansquared = SimpleMovingAverage(pow(data, 2), period)
      - squaredmean = pow(SimpleMovingAverage(data, period), 2)
      - stddev = pow(meansquared - squaredmean, 0.5)  # square root

    See:
      - http://en.wikipedia.org/wiki/Standard_deviation
    '''
    alias = ('StdDev',)

    lines = ('stddev',)
    params = (('period', 20), ('movav', MovAv.Simple), ('safepow', True),)

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        if len(self.datas) > 1:
            mean = self.data1
        else:
            mean = self.p.movav(self.data, period=self.p.period)

        meansq = self.p.movav(pow(self.data, 2), period=self.p.period)
        sqmean = pow(mean, 2)

        if self.p.safepow:
            self.lines.stddev = pow(abs(meansq - sqmean), 0.5)
        else:
            self.lines.stddev = pow(meansq - sqmean, 0.5)


class MeanDeviation(Indicator):
    '''MeanDeviation (alias MeanDev)

    Calculates the Mean Deviation of the passed data for a given period

    Note:
      - If 2 datas are provided as parameters, the 2nd is considered to be the
        mean of the first

    Formula:
      - mean = MovingAverage(data, period) (or provided mean)
      - absdeviation = abs(data - mean)
      - meandev = MovingAverage(absdeviation, period)

    See:
      - https://en.wikipedia.org/wiki/Average_absolute_deviation
    '''
    alias = ('MeanDev',)

    lines = ('meandev',)
    params = (('period', 20), ('movav', MovAv.Simple),)

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        if len(self.datas) > 1:
            mean = self.data1
        else:
            mean = self.p.movav(self.data, period=self.p.period)

        absdev = abs(self.data - mean)
        self.lines.meandev = self.p.movav(absdev, period=self.p.period)

Classes

class MeanDev

MeanDeviation (alias MeanDev)

Calculates the Mean Deviation of the passed data for a given period

Note

If 2 datas are provided as parameters, the 2nd is considered to be the mean of the first

Formula

mean = MovingAverage(data, period) (or provided mean)
absdeviation = abs(data - mean)
meandev = MovingAverage(absdeviation, period)

See

https://en.wikipedia.org/wiki/Average_absolute_deviation

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

MeanDeviation:
- addminperiod
- incminperiod
- lines
- minbuffer
- next
- nextstart
- once
- oncestart
- prenext
- preonce
- qbuffer
- setminperiod
- updateminperiod

class MeanDeviation

MeanDeviation (alias MeanDev)

Calculates the Mean Deviation of the passed data for a given period

Note

If 2 datas are provided as parameters, the 2nd is considered to be the mean of the first

Formula

mean = MovingAverage(data, period) (or provided mean)
absdeviation = abs(data - mean)
meandev = MovingAverage(absdeviation, period)

See

https://en.wikipedia.org/wiki/Average_absolute_deviation

Expand source code

class MeanDeviation(Indicator):
    '''MeanDeviation (alias MeanDev)

    Calculates the Mean Deviation of the passed data for a given period

    Note:
      - If 2 datas are provided as parameters, the 2nd is considered to be the
        mean of the first

    Formula:
      - mean = MovingAverage(data, period) (or provided mean)
      - absdeviation = abs(data - mean)
      - meandev = MovingAverage(absdeviation, period)

    See:
      - https://en.wikipedia.org/wiki/Average_absolute_deviation
    '''
    alias = ('MeanDev',)

    lines = ('meandev',)
    params = (('period', 20), ('movav', MovAv.Simple),)

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        if len(self.datas) > 1:
            mean = self.data1
        else:
            mean = self.p.movav(self.data, period=self.p.period)

        absdev = abs(self.data - mean)
        self.lines.meandev = self.p.movav(absdev, period=self.p.period)

Ancestors

Subclasses

MeanDev

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

Indicator:
- addminperiod
- incminperiod
- lines
- minbuffer
- next
- nextstart
- once
- oncestart
- prenext
- preonce
- qbuffer
- setminperiod
- updateminperiod

class StandardDeviation

Calculates the standard deviation of the passed data for a given period

Note

If 2 datas are provided as parameters, the 2nd is considered to be the mean of the first
safepow (default: False) If this parameter is True, the standard deviation will be calculated as pow(abs(meansq - sqmean), 0.5) to safe guard for possible negative results of meansq - sqmean caused by the floating point representation.

Formula

meansquared = SimpleMovingAverage(pow(data, 2), period)
squaredmean = pow(SimpleMovingAverage(data, period), 2)
stddev = pow(meansquared - squaredmean, 0.5) # square root

See

http://en.wikipedia.org/wiki/Standard_deviation

Expand source code

class StandardDeviation(Indicator):
    '''
    Calculates the standard deviation of the passed data for a given period

    Note:
      - If 2 datas are provided as parameters, the 2nd is considered to be the
        mean of the first

      - ``safepow`` (default: False) If this parameter is True, the standard
        deviation will be calculated as pow(abs(meansq - sqmean), 0.5) to safe
        guard for possible negative results of ``meansq - sqmean`` caused by
        the floating point representation.

    Formula:
      - meansquared = SimpleMovingAverage(pow(data, 2), period)
      - squaredmean = pow(SimpleMovingAverage(data, period), 2)
      - stddev = pow(meansquared - squaredmean, 0.5)  # square root

    See:
      - http://en.wikipedia.org/wiki/Standard_deviation
    '''
    alias = ('StdDev',)

    lines = ('stddev',)
    params = (('period', 20), ('movav', MovAv.Simple), ('safepow', True),)

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        if len(self.datas) > 1:
            mean = self.data1
        else:
            mean = self.p.movav(self.data, period=self.p.period)

        meansq = self.p.movav(pow(self.data, 2), period=self.p.period)
        sqmean = pow(mean, 2)

        if self.p.safepow:
            self.lines.stddev = pow(abs(meansq - sqmean), 0.5)
        else:
            self.lines.stddev = pow(meansq - sqmean, 0.5)

Ancestors

Subclasses

StdDev

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

Indicator:
- addminperiod
- incminperiod
- lines
- minbuffer
- next
- nextstart
- once
- oncestart
- prenext
- preonce
- qbuffer
- setminperiod
- updateminperiod

class StdDev

Calculates the standard deviation of the passed data for a given period

Note

If 2 datas are provided as parameters, the 2nd is considered to be the mean of the first
safepow (default: False) If this parameter is True, the standard deviation will be calculated as pow(abs(meansq - sqmean), 0.5) to safe guard for possible negative results of meansq - sqmean caused by the floating point representation.

Formula

meansquared = SimpleMovingAverage(pow(data, 2), period)
squaredmean = pow(SimpleMovingAverage(data, period), 2)
stddev = pow(meansquared - squaredmean, 0.5) # square root

See

http://en.wikipedia.org/wiki/Standard_deviation

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

StandardDeviation:
- addminperiod
- incminperiod
- lines
- minbuffer
- next
- nextstart
- once
- oncestart
- prenext
- preonce
- qbuffer
- setminperiod
- updateminperiod