108 lines
19 KiB
Plaintext
108 lines
19 KiB
Plaintext
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˜Àg$: ã ó — d dl Zd dlZd dlZd dlZd dlmZ d dlm Z d dl
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m Z dej dej fd„Z
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dej dej fd„Zdej dej fd „Zd
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g d ¢fdej d ed
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ededej f
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d„Zdej dej fd„Zdej d ed
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edej fd„Zdej d edej fd„Zdej defd„Zd7dej dedej fd„Zdej defd„Zd7dej dedej fd„Zdedededefd „Z d8dej dede fd „Z d ed edej fd „Z d8dej dedej fd!„Z d9dej d ed"ed#edej f
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d$„Z!d:dej d%edej fd&„Z" d;dej d'ed(ed)edej f
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d*„Z#d<dej d ededej fd+„Z$ d=dej d,ed-ed.edej f
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d/„Z%d>dej ded.edej fd0„Z&d?dej d ed1edej fd2„Z'd@dej d ededej fd3„Z(dej d4edej fd5„Z)dAdej d ededej fd6„Z*y)Bé N)Úadfuller)Úfft)ÚStandardScalerÚdfÚreturnc ó> — t j | dddddd¬« } | S )zŠ
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Adds a wide range of technical analysis indicators to the DataFrame
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using the 'ta' library. Modifies the DataFrame in place.
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ÚopenÚhighÚlowÚcloseÚ tick_volumeT)r r
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r r ÚvolumeÚfillna)ÚtaÚadd_all_ta_features©r s úMc:\Users\moham\OneDrive\AlphaFlow Trading Bot\features\feature_engineering.pyr r s+ € ô
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× Ñ Ø
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�˜f¨%°wÀ}Ð]aô
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€Bð €Ió c óR — | d j d¬« j « | d< | S )zR
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Example custom feature. For instance, a rolling mean of the close price.
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r é
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)ÚwindowÚrolling_mean_10)ÚrollingÚmeanr s r Úcreate_custom_featurer s/ € ð ˜w™K× /Ñ /°rÐ /Ó :× ?Ñ ?Ó A€BÐÑØ
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€Ir c óB — | j « }|d |d z
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|d< |S )zA
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Calculates the spread between 'high' and 'low' columns.
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r
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r Úspread)Úcopy©r Údf_copys r r r ( s+ € ð �g‰g‹i€GØ ™¨'°%©.Ñ8€GˆHÑØ €Nr é2 )é é é r ÚcolÚnÚlagsc ó– ‡— | j « }|D ]2 Š|| j ||¬« j ˆfd„d¬« |d‰› �< Œ4 |S )z=
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Computes rolling autocorrelation for multiple lags.
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)r Ú min_periodsc ó( •— | j ‰¬« S )N)Úlag)Úautocorr)Úxr+ s €r Ú<lambda>z!auto_corr_multi.<locals>.<lambda>9 s ø€ ˜QŸZ™Z¨C˜ZÔ 0r F)ÚrawÚ autocorr_)r r Úapply)r r% r& r' r r+ s @r Úauto_corr_multir2 0 sV ø€ ð �g‰g‹i€GÛˆà �C‰Lß
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‰W˜A¨1ˆWÓ
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-ß
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‰UÓ0°eˆUÓ
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<ð �)˜C˜5Ð!Ò"ð ð €Nr c ó — | j « }d|d< d|j |d |d kD df< t j |d |d z
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« |d |d z
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dz z |d < t j |d |d z
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« |d dz z |d
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< |S ) zZ
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Adds candle-specific features:
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- candle_way
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- fill
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- amplitude
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r Ú
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candle_wayr" r r r
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r gñh㈵øä>ÚfillÚ amplitude)r ÚlocÚnpÚabsr s r Úcandle_informationr: > s· € ð �g‰g‹i€GØ €GˆLÑØDE€G‡K�K�˜Ñ 7¨6¡?Ñ2°LÐ@ÑAô �‰ˆw�wÑ '¨&¡/Ñ1Ó2Ø �6‰?˜W U™^Ñ +¨dÑ 2ñ 4ð ˆF�Oô
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�‰ˆw�wÑ '¨&¡/Ñ1Ó2Ø �6‰?˜TÑ !ñ #ð ˆKÑð €Nr c óž — | j « }t j || « |d|› �< |d|› � j |¬« |d|› �< |S )zB
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Log-transform a column + compute % change over 'n' bars.
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Úlog_)ÚperiodsÚret_log_)r r8 ÚlogÚ
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pct_change)r r% r& r s r Ú
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log_transformrA S sZ € ð �g‰g‹i€GÜ ŸF™F 7¨3¡<Ó 0€Gˆd�3�%ˆLÑØ %¨¨S¨E lÑ 3× >Ñ >ÀqÐ >Ó I€Gˆh�q�cˆNÑØ €Nr c ó~ — | j « }|| j « |d< |d j « |d< |S )z@
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Adds 'velocity' and 'acceleration' for a given column.
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ÚvelocityÚ acceleration)r Údiff)r r% r s r Úmathematical_derivativesrF \ sC € ð �g‰g‹i€GØ! #™,×+Ñ+Ó-€GˆJÑØ % jÑ 1× 6Ñ 6Ó 8€GˆNÑØ €Nr r c ó — t | « }|dk rt j S t j t j | d | d z « dz « }t j |dt j d« z |z z « S )Nr" r
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r é é )Úlenr8 ÚnanÚsumr? ÚmathÚsqrt)r r& Úsum_sqs r Úparkinson_estimatorrP h si € Ü ˆF‹ €A؈1‚uÜ�v‰vˆ
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Ü
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�V‰V”B—F‘F˜6 &™>¨F°5©MÑ9Ó:¸aÑ?Ó
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@€FÜ �9‰9�V˜q¤4§8¡8¨A£;™°Ñ 2Ñ3Ó 4Ð4r Ú window_sizec óú — | j « }t j d|j ¬« }t |t |« « D ], }|j ||z
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| }t |« |j |< Œ. ||d< |S )NÚfloat64©ÚdtypeÚindexÚ rolling_volatility_parkinson)r ÚpdÚSeriesrV ÚrangerJ ÚilocrP ©r rQ r Ú rolling_volÚiÚws r Úmoving_parkinson_estimatorr` o sq € Ø�g‰g‹i€GÜ—)‘) )°7·=±=ÔA€KÜ
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�;¤ G£ Ö
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-ˆØ �L‰L˜˜[™ ¨1Ð -ˆÜ 1°!Ó 4ˆ ×јÒð .ð /:€GÐ *Ñ+Ø €Nr c ó — t | « }|dk rt j S t j | d | d z « dz }t j | d | d z « dz }t j
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t j ||z « « S )Nr" r
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r rH r r )rJ r8 rK r? rM rN r )r r& Úterm1Úterm2s r Úyang_zhang_estimatorrd x sw € Ü ˆF‹ €A؈1‚uÜ�v‰vˆ
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Ü �F‰F�6˜&‘> F¨5¡MÑ1Ó 2°aÑ 7€EÜ �F‰F�6˜'‘? V¨F¡^Ñ3Ó 4¸Ñ 9€EÜ �9‰9”R—W‘W˜U U™]Ó+Ó ,Ð,r c óú — | j « }t j d|j ¬« }t |t |« « D ], }|j ||z
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| }t |« |j |< Œ. ||d< |S )NrS rT Ú rolling_volatility_yang_zhang)r rX rY rV rZ rJ r[ rd r\ s r Úmoving_yang_zhang_estimatorrg € sq € Ø�g‰g‹i€GÜ—)‘) )°7·=±=ÔA€KÜ
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�;¤ G£ Ö
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-ˆØ �L‰L˜˜[™ ¨1Ð -ˆÜ 2°1Ó 5ˆ ×јÒð .ð 0;€GÐ +Ñ,Ø €Nr ÚPÚPextÚ thresholdc ó< — d}| |z
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|z }||k\ rd}|S || k rd}|S )Nr r" éÿÿÿÿ© )rh ri rj ÚdcÚvars r Údc_eventrp Œ s? € Ø
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€BØ ˆt‰8�tÑ
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€CØ
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ˆiÒØ
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ˆð €Ið
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��
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Ò Ø
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ˆØ
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€Ir c óX — | j « }|d j }g g }}|d }d}t dt |« « D ]e }|| } t | ||« }
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dk( r|j |« d}| }Œ0|
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dk( r|j |« d}| }ŒK|dk( r| |kD r| }ŒX|dk( sŒ^| |k sŒd| }Œg ||fS )Nr r r" rl )r ÚvaluesrZ rJ rp Úappend) r rj r ÚpricesÚ dc_events_upÚdc_events_downri Ú directionr^ rh Údc_flags r Ú calculate_dcry • sÏ € Ø�g‰g‹i€GØ
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�WÑ
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×
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$Ñ
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$€FØ#% r�.€LØ �!‰9€DØ€IÜ
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�1”c˜&“kÖ
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"ˆØ �1‰IˆÜ˜1˜d IÓ.ˆØ �aŠ<Ø × Ñ Ô "؈I؉DØ
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˜Š]Ø × !Ñ ! !Ô $؈I؉Dà˜AŠ~ ! d¢(ؘؑb“ Q¨£XØ‘ð #ð ˜ Ð 'Ð'r ru rv c óz — g }g }|j t |« « |j t | « « ||fS ©N)ÚextendÚsorted)ru rv r Útrend_events_downÚtrend_events_ups r Úcalculate_trendr€ s> € ØÐØ€OØ× Ñ œV NÓ 3Ô4Ø×Ñœ6 ,Ó/Ô0Ø ˜oÐ -Ð-r c ó — | j « }t ||¬« \ }}t |||« \ }}t j |d< d|j
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|df< d|j
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|df< |d j
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« j « |d< |S )N)rj Ú
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market_regimer" r )r ry r€ r8 rK r7 ÚffillÚbfill)r rj r Údc_upÚdc_downÚt_downÚt_ups r Úmarket_regime_dcr‰ ´ s‰ € Ø�g‰g‹i€GÜ! '°YÔ?�N€Eˆ7Ü" 5¨'°7Ó;�L€FˆDÜ !Ÿv™v€GˆOÑ Ø)*€G‡K�K��oÐ%Ñ&Ø+,€G‡K�K�˜Ð'Ñ(Ø & Ñ 7× =Ñ =Ó ?× EÑ EÓ G€GˆOÑ Ø €Nr Ún1Ún2c ó — | j « }|| j |d¬« j « }|| j |d¬« j « }||z
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|d< |d dk\ j t « |d< |S )NF)ÚspanÚadjustÚ kama_diffr Ú
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kama_trend)r Úewmr ÚastypeÚint)r r% rŠ r‹ r Ú
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short_kamaÚ long_kamas r Úkama_market_regimer– ¾ s„ € Ø�g‰g‹i€Gؘ‘ ×!Ñ! r°%Ð!Ó8×=Ñ=Ó?€Jؘ‘ ×!Ñ! r°%Ð!Ó8×=Ñ=Ó?€IØ%¨ Ñ1€GˆKÑØ $ [Ñ 1°QÑ 6× >Ñ >¼sÓ C€GˆLÑØ €Nr Úlookbackc óh — | j « }t j |d< t j |d< t j |d< t j |d< t j |d< t j |d< t |t |« « D �] }|d j
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||z
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}|d j
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||z
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}|d j
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| }|d j
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| }||kD r]||j |j | df< ||j |j | df< ||z
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|j |j | df< ||k sμ||j |j | df< ||j |j | df< ||z
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|j |j | df< �Œ |S ) NÚBullish_gap_infÚBullish_gap_supÚBullish_gap_sizeÚBearish_gap_infÚBearish_gap_supÚBearish_gap_sizer
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r )r r8 rK rZ rJ r[ ÚatrV )r r— r r^ Ú prev_highÚprev_lowÚ curr_highÚcurr_lows r Ú
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gap_detectionr¤ É s£ € Ø�g‰g‹i€GÜ!#§¡€GÐ Ñ Ü!#§¡€GÐ Ñ Ü"$§&¡&€GÐ Ñ Ü!#§¡€GÐ Ñ Ü!#§¡€GÐ Ñ Ü"$§&¡&€GÐ Ñ Ü
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�8œS ›\×
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*ˆØ˜F‘O×(Ñ(¨¨X© Ñ6ˆ ؘ5‘>×&Ñ& q¨8¡|Ñ4ˆØ˜F‘O×(Ñ(¨Ñ+ˆ ؘ5‘>×&Ñ& qÑ)ˆØ �iÒ Ø>GˆG�J‰J�w—}‘} QÑ'Ð):Ð:Ñ ;Ø>FˆG�J‰J�w—}‘} QÑ'Ð):Ð:Ñ ;Ø?GÈ)Ñ?SˆG�J‰J�w—}‘} QÑ'Ð);Ð;Ñ <Ø �xÓ Ø>GˆG�J‰J�w—}‘} QÑ'Ð):Ð:Ñ ;Ø>FˆG�J‰J�w—}‘} QÑ'Ð):Ð:Ñ ;Ø?GÈ)Ñ?SˆG�J‰J�w—}‘} QÑ'Ð);Ð;Ó <ð +ð €Nr Ú
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type_rangeÚstrenghtÚperiodc ó0 — | j « }|dk( r"t j |d |d z
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« |d< n2|dk( r"t j |d |d z
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« |d< n t d« ‚t j |d |d z d z
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« |d
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< |d j |« j « |d < d |d
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