flox-py 0.5.0

Python bindings for the Flox indicator library

flox-py

Python bindings for the Flox indicator library. Tested against TA-Lib.

Install

pip install flox-py

Usage

import flox_py as flox
import numpy as np

close = np.array([...])
high = np.array([...])
low = np.array([...])

ema50 = flox.ema(close, 50)
atr14 = flox.atr(high, low, close, 14)
rsi14 = flox.rsi(close, 14)

signal_long = (rsi14 > 70).astype(np.int8)
signal_short = ((rsi14 < 30) * -1).astype(np.int8)

returns = flox.bar_returns(signal_long, signal_short, log_returns)
trades = flox.trade_pnl(signal_long, signal_short, log_returns)
pf = flox.profit_factor(returns)
wr = flox.win_rate(trades)

Indicators

Function	Description
flox.ema(input, period)	Exponential Moving Average
flox.sma(input, period)	Simple Moving Average
flox.rma(input, period)	Wilder Moving Average
flox.rsi(input, period)	Relative Strength Index
flox.atr(high, low, close, period)	Average True Range
flox.adx(high, low, close, period)	ADX, +DI, -DI
flox.macd(input, fast, slow, signal)	MACD line, signal, histogram
flox.bollinger(input, period, stddev)	upper, middle, lower bands
flox.stochastic(high, low, close, k, d)	%K and %D
flox.cci(high, low, close, period)	Commodity Channel Index
flox.slope(input, length)	price slope
flox.kama(input, period)	Kaufman Adaptive MA
flox.dema(input, period)	Double EMA
flox.tema(input, period)	Triple EMA
flox.chop(high, low, close, period)	Choppiness Index
flox.obv(close, volume)	On-Balance Volume
flox.vwap(close, volume, window)	rolling VWAP
flox.cvd(open, high, low, close, volume)	Cumulative Volume Delta

Metrics

Function	Description
flox.bar_returns(sig_long, sig_short, log_ret)	per-bar returns with signal shift
flox.trade_pnl(sig_long, sig_short, log_ret)	per-trade PnL array
flox.profit_factor(returns)	sum positive / abs sum negative
flox.win_rate(trade_pnls)	fraction of winning trades