stock-pandas 0.4.0

The wrapper of `pandas.DataFrame` with stock statistics and indicators support.

stock-pandas

A wrapper and a subtle class of pandas.DataFrame which supports:

• stock statistics
• all kinds of stock indicators

stock-pandas makes automatical trading much easier. stock-pandas requires Python >= 3.6

With the help of stock-pandas and mplfinance, we could easily draw something like:

The code example is available at here.

Install

pip install stock-pandas

Usage

from stock_pandas import StockDataFrame

We also have some examples with annotations in the example directory, you could use JupyterLab or Jupyter notebook to play with them.

StockDataFrame

StockDataFrame inherits from pandas.DataFrame, so if you are familiar with pandas.DataFrame, you are already ready to use stock-pandas

import pandas as pd
stock = StockDataFrame(pd.read_csv('stock.csv'))

As we know, we could use [], which called pandas indexing (a.k.a. __getitem__ in python) to select out lower-dimensional slices. In addition to indexing with colname (column name of the DataFrame), we could also do indexing by directives.

stock[directive] # Gets a series

stock[[directive0, directive1]] # Gets a data frame

We have an example to show the most basic indexing using [directive]

stock = StockDataFrame({
    'open' : ...,
    'high' : ...,
    'low'  : ...,
    'close': [5, 6, 7, 8, 9]
})

stock['ma:2']

# 0    NaN
# 1    5.5
# 2    6.5
# 3    7.5
# 4    8.5
# Name: ma:2,close, dtype: float64

Which prints the 2-period simple moving average on column "close".

stock.calc(directive: str, create_column: bool=False) -> Series

Calculates series according to the directive.

stock['ma:2']
# is equivalent to:
stock.calc('ma:2', create_column=True)

# This will only calculate without creating a new column in the dataframe
stock.calc('ma:20')

stock.alias(alias: str, name: str) -> None

Defines column alias or directive alias

• alias str the alias name
• name str the name of an existing column or the directive string

# Some plot library such as `mplfinance` requires a column named capitalized `Open`,
# but it is ok, we could create an alias.
stock.alias('Open', 'open')

stock.alias('buy_point', 'kdj.j < 0')

Syntax of directive

directive := command | command operator expression
operator := '/' | '\' | '><' | '<' | '<=' | '==' | '>=' | '>'
expression := float | command

command := command_name | command_name : arguments
command_name := main_command_name | main_command_name.sub_command_name
main_command_name := alphabets
sub_command_name := alphabets

arguments := argument | argument , arguments
argument := empty_string | string | ( arguments )

directive Example

Here lists several use cases of column names

# The 20-period (default) moving average
#   which is the mid band of bollinger bands
stock['boll']

# kdjj less than 0
stock['kdj.j < 0']

# 9-period kdjk cross up 3-day kdjd
stock['kdj.k:9 / kdj.d:3']

# 5-period simple moving average
stock['ma:5']

# 10-period simple moving average on open prices
stock['ma:10,open']

# Dataframe of 5-period, 10-period, 30-period ma
stock[[
    'ma:5',
    'ma:10',
    'ma:30'
]]

# Which means we use the default values of the first and the second parameters,
# and specify the third parameter
stock['macd:,,10']

# We should wrap a parameter with parantheses if it contains `,`
stock['increase:(ma:20,close),3']

Built-in Commands of Indicators

Document syntax explanation:

• param0 str which means param0 is a required parameter of type str.
• param1? str='close' which means parameter param1 is optional with default value 'close'.

Actually, all parameters of a command are of string type, so the str here means an interger-like string.

ma, simple Moving Averages

ma:<period>,<column>

Gets the period-period simple moving average on column named column.

SMA is often confused between simple moving average and smoothed moving average.

So stock-pandas will use ma for simple moving average and smma for smoothed moving average.

• period int (required)
• column? enum<'open'|'high'|'low'|'close'>='close' Which column should the calculation based on. Defaults to 'close'

# which is equivalent to `stock['ma:5,close']`
stock['ma:5']

stock['ma:10,open']

macd, Moving Average Convergence Divergence

macd:<fast_period>,<slow_period>
macd.signal:<fast_period>,<slow_period>,<signal_period>
macd.histogram:<fast_period>,<slow_period>,<signal_period>

• fast_period? int=26 fast period. Defaults to 26.
• slow_period? int=12 slow period. Defaults to 12
• signal_period? int=9 signal period. Defaults to 9

# macd
stock['macd']
stock['macd.dif']

# macd signal band, which is a shortcut for stock['macd.signal']
stock['macd.s']
stock['macd.signal']
stock['macd.dea']

# macd histogram band, which is equivalent to stock['macd.h']
stock['macd.histogram']
stock['macd.h']
stock['macd.macd']

boll, BOLLinger bands

boll:<period>,<times>,<column>

• period? int=20
• times? int=2
• column? str='close'

# boll
stock['boll']

# bollinger upper band, a shortcut for stock['boll.upper']
stock['boll.u']
stock['boll.upper]

# bollinger lower band, which is equivalent to stock['boll.l']
stock['boll.lower']
stock['boll.l']

kdj, stochastic oscillator

kdj.k:<param_k>
kdj.d:<param_d>
kdj.j:<param_j>

• param_k? int=9
• param_d? int=9
• param_j? int=9

# The k series of KDJ 999
stock['kdj.k']

# The KDJ serieses of with parameters 9, 3, and 3
stock[['kdj.k', 'kdj.d:3', 'kdj.j:3']]

Built-in Commands for Statistics

column

column:<name>

Just gets the series of a column. This command is designed to be used together with an operator to compare with another command or as a parameter of some statistics command.

• name str the name of the column

increase

increase:<on_what>,<period>,<step>

Gets a bool-type series each item of is True if the value of indicator on_what increases in the last period-period.

• on_what str the command name of an indicator. If we want calculate on a normal column such as 'close', we should use 'column:close'
• period? int=1
• direction? 1 | -1 the direction of "increase". -1 means decreasing

For example:

# Which means whether the `ma:20,close` line (20-period simple moving average on column `'close'`) has been increasing for 3 periods.
stock['increase:(ma:20,close),3']

# If the close price has been decreasinng for 5 periods(maybe days)
stock['increase:column:close,5,-1']

Operators

left operator right

• /: whether left crosses through right from the down side of right to the upper side which we call it as "cross up".
• \: whether left crosses down right.
• ><: whether left crosses right.
• < / <= / == / >= / >: For a certain record of the same time, whether the value of left is less than / less than or equal to / equal to / larger than or equal to / larger than the value of right.

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