Module backtrader.indicators.ols

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)

import backtrader as bt
from . import PeriodN


__all__ = ['OLS_Slope_InterceptN', 'OLS_TransformationN', 'OLS_BetaN',
           'CointN']


class OLS_Slope_InterceptN(PeriodN):
    '''
    Calculates a linear regression using ``statsmodel.OLS`` (Ordinary least
    squares) of data1 on data0

    Uses ``pandas`` and ``statsmodels``
    '''
    _mindatas = 2  # ensure at least 2 data feeds are passed

    packages = (
        ('pandas', 'pd'),
        ('statsmodels.api', 'sm'),
    )
    lines = ('slope', 'intercept',)
    params = (
        ('period', 10),
    )

    def next(self):
        p0 = pd.Series(self.data0.get(size=self.p.period))
        p1 = pd.Series(self.data1.get(size=self.p.period))
        p1 = sm.add_constant(p1)
        intercept, slope = sm.OLS(p0, p1).fit().params

        self.lines.slope[0] = slope
        self.lines.intercept[0] = intercept


class OLS_TransformationN(PeriodN):
    '''
    Calculates the ``zscore`` for data0 and data1. Although it doesn't directly
    uses any external package it relies on ``OLS_SlopeInterceptN`` which uses
    ``pandas`` and ``statsmodels``
    '''
    _mindatas = 2  # ensure at least 2 data feeds are passed
    lines = ('spread', 'spread_mean', 'spread_std', 'zscore',)
    params = (('period', 10),)

    def __init__(self):
        slint = OLS_Slope_InterceptN(*self.datas)

        spread = self.data0 - (slint.slope * self.data1 + slint.intercept)
        self.l.spread = spread

        self.l.spread_mean = bt.ind.SMA(spread, period=self.p.period)
        self.l.spread_std = bt.ind.StdDev(spread, period=self.p.period)
        self.l.zscore = (spread - self.l.spread_mean) / self.l.spread_std


class OLS_BetaN(PeriodN):
    '''
    Calculates a regression of data1 on data0 using ``pandas.ols``

    Uses ``pandas``
    '''
    _mindatas = 2  # ensure at least 2 data feeds are passed

    packages = (
        ('pandas', 'pd'),
    )

    lines = ('beta',)
    params = (('period', 10),)

    def next(self):
        y, x = (pd.Series(d.get(size=self.p.period)) for d in self.datas)
        r_beta = pd.ols(y=y, x=x, window_type='full_sample')
        self.lines.beta[0] = r_beta.beta['x']


class CointN(PeriodN):
    '''
    Calculates the score (coint_t) and pvalue for a given ``period`` for the
    data feeds

    Uses ``pandas`` and ``statsmodels`` (for ``coint``)
    '''
    _mindatas = 2  # ensure at least 2 data feeds are passed

    packages = (
        ('pandas', 'pd'),  # import pandas as pd
    )
    frompackages = (
        ('statsmodels.tsa.stattools', 'coint'),  # from st... import coint
    )

    lines = ('score', 'pvalue',)
    params = (
        ('period', 10),
        ('trend', 'c'),  # see statsmodel.tsa.statttools
    )

    def next(self):
        x, y = (pd.Series(d.get(size=self.p.period)) for d in self.datas)
        score, pvalue, _ = coint(x, y, trend=self.p.trend)
        self.lines.score[0] = score
        self.lines.pvalue[0] = pvalue

Classes

class CointN

Calculates the score (coint_t) and pvalue for a given period for the data feeds

Uses pandas and statsmodels (for coint)

Expand source code 
class CointN(PeriodN):
    '''
    Calculates the score (coint_t) and pvalue for a given ``period`` for the
    data feeds

    Uses ``pandas`` and ``statsmodels`` (for ``coint``)
    '''
    _mindatas = 2  # ensure at least 2 data feeds are passed

    packages = (
        ('pandas', 'pd'),  # import pandas as pd
    )
    frompackages = (
        ('statsmodels.tsa.stattools', 'coint'),  # from st... import coint
    )

    lines = ('score', 'pvalue',)
    params = (
        ('period', 10),
        ('trend', 'c'),  # see statsmodel.tsa.statttools
    )

    def next(self):
        x, y = (pd.Series(d.get(size=self.p.period)) for d in self.datas)
        score, pvalue, _ = coint(x, y, trend=self.p.trend)
        self.lines.score[0] = score
        self.lines.pvalue[0] = pvalue

Ancestors

Class variables

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

Inherited members

class OLS_BetaN

Calculates a regression of data1 on data0 using pandas.ols

Uses pandas

Expand source code 
class OLS_BetaN(PeriodN):
    '''
    Calculates a regression of data1 on data0 using ``pandas.ols``

    Uses ``pandas``
    '''
    _mindatas = 2  # ensure at least 2 data feeds are passed

    packages = (
        ('pandas', 'pd'),
    )

    lines = ('beta',)
    params = (('period', 10),)

    def next(self):
        y, x = (pd.Series(d.get(size=self.p.period)) for d in self.datas)
        r_beta = pd.ols(y=y, x=x, window_type='full_sample')
        self.lines.beta[0] = r_beta.beta['x']

Ancestors

Class variables

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

Inherited members

class OLS_Slope_InterceptN

Calculates a linear regression using statsmodel.OLS (Ordinary least squares) of data1 on data0

Uses pandas and statsmodels

Expand source code 
class OLS_Slope_InterceptN(PeriodN):
    '''
    Calculates a linear regression using ``statsmodel.OLS`` (Ordinary least
    squares) of data1 on data0

    Uses ``pandas`` and ``statsmodels``
    '''
    _mindatas = 2  # ensure at least 2 data feeds are passed

    packages = (
        ('pandas', 'pd'),
        ('statsmodels.api', 'sm'),
    )
    lines = ('slope', 'intercept',)
    params = (
        ('period', 10),
    )

    def next(self):
        p0 = pd.Series(self.data0.get(size=self.p.period))
        p1 = pd.Series(self.data1.get(size=self.p.period))
        p1 = sm.add_constant(p1)
        intercept, slope = sm.OLS(p0, p1).fit().params

        self.lines.slope[0] = slope
        self.lines.intercept[0] = intercept

Ancestors

Class variables

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

Inherited members

class OLS_TransformationN

Calculates the zscore for data0 and data1. Although it doesn't directly uses any external package it relies on OLS_SlopeInterceptN which uses pandas and statsmodels

Expand source code 
class OLS_TransformationN(PeriodN):
    '''
    Calculates the ``zscore`` for data0 and data1. Although it doesn't directly
    uses any external package it relies on ``OLS_SlopeInterceptN`` which uses
    ``pandas`` and ``statsmodels``
    '''
    _mindatas = 2  # ensure at least 2 data feeds are passed
    lines = ('spread', 'spread_mean', 'spread_std', 'zscore',)
    params = (('period', 10),)

    def __init__(self):
        slint = OLS_Slope_InterceptN(*self.datas)

        spread = self.data0 - (slint.slope * self.data1 + slint.intercept)
        self.l.spread = spread

        self.l.spread_mean = bt.ind.SMA(spread, period=self.p.period)
        self.l.spread_std = bt.ind.StdDev(spread, period=self.p.period)
        self.l.zscore = (spread - self.l.spread_mean) / self.l.spread_std

Ancestors

Class variables

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

Inherited members