Stock Statistics/Indicators Calculation Helper

VERSION: 0.1.1

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
• SMA: simple moving average
• EMA: exponential moving average
• MSTD: moving standard deviation
• MVAR: moving variance
• RSV: raw stochastic value
• KDJ: Stochastic oscillator
• Bolling: including upper band and lower band.
• MACD: moving average convergence divergence. Including signal and histogram.
• CR:
• line cross check, cross up or cross down.

Installation

pip install stockstats

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'))

• 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']

To file issue, please visit:

https://github.com/jealous/stockstats

Contact author:

• Cedric Zhuang <[email protected]>