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generators module¶

Signal generators built with SignalFactory.

ohlcstx_config Config¶

Factory config for OHLCSTX.

ohlcstx_func_config Config¶

Exit function config for OHLCSTX.

rprobx_config Config¶

Factory config for RPROBX.

rprobx_func_config Config¶

Exit function config for RPROBX.

stx_config Config¶

Factory config for STX.

stx_func_config Config¶

Exit function config for STX.

OHLCSTCX class¶

OHLCSTCX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Exit signal generator based on OHLC and stop values.

Generates chain of new_entries and exits based on entries and ohlc_stop_choice_nb().

See OHLCSTX for notes on parameters.

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._OHLCSTCX

apply_func method¶

OHLCSTCX.apply_func(
    entries,
    open,
    high,
    low,
    close,
    stop_price_out,
    stop_type_out,
    sl_stop,
    sl_trail,
    tp_stop,
    reverse,
    flex_2d,
    is_open_safe=True,
    wait=1,
    entry_wait=1,
    exit_wait=None,
    pick_first=True,
    until_next=True,
    skip_until_exit=False,
    engine=None
)

Apply function used by OHLCSTCX.

close method¶

Input array.

close_above method¶

OHLCSTCX.close_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is above other.

See combine_objs().

close_below method¶

OHLCSTCX.close_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is below other.

See combine_objs().

close_crossed_above method¶

OHLCSTCX.close_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_above other.

See combine_objs().

close_crossed_below method¶

OHLCSTCX.close_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_below other.

See combine_objs().

close_equal method¶

OHLCSTCX.close_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is equal other.

See combine_objs().

close_stats method¶

OHLCSTCX.close_stats(
    *args,
    **kwargs
)

Stats of close as generic.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries method¶

Input array.

entries_and method¶

OHLCSTCX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

OHLCSTCX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

OHLCSTCX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

OHLCSTCX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

exits property¶

Output array.

exits_and method¶

OHLCSTCX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

OHLCSTCX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

OHLCSTCX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

OHLCSTCX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

high method¶

Input array.

high_above method¶

OHLCSTCX.high_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is above other.

See combine_objs().

high_below method¶

OHLCSTCX.high_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is below other.

See combine_objs().

high_crossed_above method¶

OHLCSTCX.high_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is crossed_above other.

See combine_objs().

high_crossed_below method¶

OHLCSTCX.high_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is crossed_below other.

See combine_objs().

high_equal method¶

OHLCSTCX.high_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is equal other.

See combine_objs().

high_stats method¶

OHLCSTCX.high_stats(
    *args,
    **kwargs
)

Stats of high as generic.

low method¶

Input array.

low_above method¶

OHLCSTCX.low_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is above other.

See combine_objs().

low_below method¶

OHLCSTCX.low_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is below other.

See combine_objs().

low_crossed_above method¶

OHLCSTCX.low_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is crossed_above other.

See combine_objs().

low_crossed_below method¶

OHLCSTCX.low_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is crossed_below other.

See combine_objs().

low_equal method¶

OHLCSTCX.low_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is equal other.

See combine_objs().

low_stats method¶

OHLCSTCX.low_stats(
    *args,
    **kwargs
)

Stats of low as generic.

new_entries property¶

Output array.

new_entries_and method¶

OHLCSTCX.new_entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return new_entries AND other.

See combine_objs().

new_entries_or method¶

OHLCSTCX.new_entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return new_entries OR other.

See combine_objs().

new_entries_stats method¶

OHLCSTCX.new_entries_stats(
    *args,
    **kwargs
)

Stats of new_entries as signals.

new_entries_xor method¶

OHLCSTCX.new_entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return new_entries XOR other.

See combine_objs().

open method¶

Input array.

open_above method¶

OHLCSTCX.open_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is above other.

See combine_objs().

open_below method¶

OHLCSTCX.open_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is below other.

See combine_objs().

open_crossed_above method¶

OHLCSTCX.open_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is crossed_above other.

See combine_objs().

open_crossed_below method¶

OHLCSTCX.open_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is crossed_below other.

See combine_objs().

open_equal method¶

OHLCSTCX.open_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is equal other.

See combine_objs().

open_stats method¶

OHLCSTCX.open_stats(
    *args,
    **kwargs
)

Stats of open as generic.

plot method¶

_bind_ohlcstx_plot.<locals>.plot(
    plot_type=None,
    ohlc_kwargs=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    add_trace_kwargs=None,
    fig=None,
    **layout_kwargs
)

Plot OHLC, OHLCSTCX.new_entries and OHLCSTCX.exits.

Args

plot_type
Either 'OHLC', 'Candlestick' or Plotly trace.
ohlc_kwargs : dict
Keyword arguments passed to plot_type.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for OHLCSTCX.new_entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for OHLCSTCX.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**layout_kwargs
Keyword arguments for layout.

reverse_list property¶

List of reverse values.

run class method¶

OHLCSTCX.run(
    entries,
    open,
    high,
    low,
    close,
    sl_stop=Default(nan),
    sl_trail=Default(False),
    tp_stop=Default(nan),
    reverse=Default(False),
    stop_price=nan,
    stop_type=-1,
    short_name='ohlcstcx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run OHLCSTCX indicator.

  • Inputs: entries, open, high, low, close
  • In-place outputs: stop_price, stop_type
  • Parameters: sl_stop, sl_trail, tp_stop, reverse
  • Outputs: new_entries, exits

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

OHLCSTCX.run_combs(
    entries,
    open,
    high,
    low,
    close,
    sl_stop=Default(nan),
    sl_trail=Default(False),
    tp_stop=Default(nan),
    reverse=Default(False),
    stop_price=nan,
    stop_type=-1,
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple OHLCSTCX indicators using function comb_func.

  • Inputs: entries, open, high, low, close
  • In-place outputs: stop_price, stop_type
  • Parameters: sl_stop, sl_trail, tp_stop, reverse
  • Outputs: new_entries, exits

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to OHLCSTCX.run().

sl_stop_list property¶

List of sl_stop values.

sl_trail_list property¶

List of sl_trail values.

stop_price property¶

In-place output array.

stop_price_above method¶

OHLCSTCX.stop_price_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is above other.

See combine_objs().

stop_price_below method¶

OHLCSTCX.stop_price_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is below other.

See combine_objs().

stop_price_crossed_above method¶

OHLCSTCX.stop_price_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is crossed_above other.

See combine_objs().

stop_price_crossed_below method¶

OHLCSTCX.stop_price_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is crossed_below other.

See combine_objs().

stop_price_equal method¶

OHLCSTCX.stop_price_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is equal other.

See combine_objs().

stop_price_stats method¶

OHLCSTCX.stop_price_stats(
    *args,
    **kwargs
)

Stats of stop_price as generic.

stop_type property¶

In-place output array.

stop_type_readable property¶

stop_type in readable format based on the following mapping: 

{
    "0": "StopLoss",
    "1": "TrailStop",
    "2": "TakeProfit",
    "-1": null
}

stop_type_stats method¶

OHLCSTCX.stop_type_stats(
    *args,
    **kwargs
)

Stats of stop_type based on the following mapping: 

{
    "0": "StopLoss",
    "1": "TrailStop",
    "2": "TakeProfit",
    "-1": null
}

tp_stop_list property¶

List of tp_stop values.

OHLCSTX class¶

OHLCSTX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Exit signal generator based on OHLC and stop values.

Generates exits based on entries and ohlc_stop_choice_nb().

Hint

All parameters can be either a single value (per frame) or a NumPy array (per row, column, or element). To generate multiple combinations, pass them as lists.

Usage

  • Test each stop type:
>>> import vectorbt as vbt
>>> import pandas as pd
>>> import numpy as np

>>> entries = pd.Series([True, False, False, False, False, False])
>>> price = pd.DataFrame({
...     'open': [10, 11, 12, 11, 10, 9],
...     'high': [11, 12, 13, 12, 11, 10],
...     'low': [9, 10, 11, 10, 9, 8],
...     'close': [10, 11, 12, 11, 10, 9]
... })
>>> ohlcstx = vbt.OHLCSTX.run(
...     entries,
...     price['open'], price['high'], price['low'], price['close'],
...     sl_stop=[0.1, 0.1, np.nan],
...     sl_trail=[False, True, False],
...     tp_stop=[np.nan, np.nan, 0.1])

>>> ohlcstx.entries
ohlcstx_sl_stop     0.1    0.1    NaN
ohlcstx_sl_trail  False   True  False
ohlcstx_tp_stop     NaN    NaN    0.1
0                  True   True   True
1                 False  False  False
2                 False  False  False
3                 False  False  False
4                 False  False  False
5                 False  False  False

>>> ohlcstx.exits
ohlcstx_sl_stop     0.1    0.1    NaN
ohlcstx_sl_trail  False   True  False
ohlcstx_tp_stop     NaN    NaN    0.1
0                 False  False  False
1                 False  False   True
2                 False  False  False
3                 False   True  False
4                  True  False  False
5                 False  False  False

>>> ohlcstx.stop_price
ohlcstx_sl_stop     0.1    0.1    NaN
ohlcstx_sl_trail  False   True  False
ohlcstx_tp_stop     NaN    NaN    0.1
0                   NaN    NaN    NaN
1                   NaN    NaN   11.0
2                   NaN    NaN    NaN
3                   NaN   11.7    NaN
4                   9.0    NaN    NaN
5                   NaN    NaN    NaN

>>> ohlcstx.stop_type_readable
ohlcstx_sl_stop        0.1        0.1         NaN
ohlcstx_sl_trail     False       True       False
ohlcstx_tp_stop        NaN        NaN         0.1
0                     None       None        None
1                     None       None  TakeProfit
2                     None       None        None
3                     None  TrailStop        None
4                 StopLoss       None        None
5                     None       None        None

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._OHLCSTX

apply_func method¶

OHLCSTX.apply_func(
    entries,
    open,
    high,
    low,
    close,
    stop_price_out,
    stop_type_out,
    sl_stop,
    sl_trail,
    tp_stop,
    reverse,
    flex_2d,
    is_open_safe=True,
    wait=1,
    until_next=True,
    skip_until_exit=False,
    pick_first=True,
    engine=None
)

Apply function used by OHLCSTX.

close method¶

Input array.

close_above method¶

OHLCSTX.close_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is above other.

See combine_objs().

close_below method¶

OHLCSTX.close_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is below other.

See combine_objs().

close_crossed_above method¶

OHLCSTX.close_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_above other.

See combine_objs().

close_crossed_below method¶

OHLCSTX.close_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_below other.

See combine_objs().

close_equal method¶

OHLCSTX.close_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is equal other.

See combine_objs().

close_stats method¶

OHLCSTX.close_stats(
    *args,
    **kwargs
)

Stats of close as generic.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries method¶

Input array.

entries_and method¶

OHLCSTX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

OHLCSTX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

OHLCSTX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

OHLCSTX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

exits property¶

Output array.

exits_and method¶

OHLCSTX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

OHLCSTX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

OHLCSTX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

OHLCSTX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

high method¶

Input array.

high_above method¶

OHLCSTX.high_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is above other.

See combine_objs().

high_below method¶

OHLCSTX.high_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is below other.

See combine_objs().

high_crossed_above method¶

OHLCSTX.high_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is crossed_above other.

See combine_objs().

high_crossed_below method¶

OHLCSTX.high_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is crossed_below other.

See combine_objs().

high_equal method¶

OHLCSTX.high_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is equal other.

See combine_objs().

high_stats method¶

OHLCSTX.high_stats(
    *args,
    **kwargs
)

Stats of high as generic.

low method¶

Input array.

low_above method¶

OHLCSTX.low_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is above other.

See combine_objs().

low_below method¶

OHLCSTX.low_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is below other.

See combine_objs().

low_crossed_above method¶

OHLCSTX.low_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is crossed_above other.

See combine_objs().

low_crossed_below method¶

OHLCSTX.low_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is crossed_below other.

See combine_objs().

low_equal method¶

OHLCSTX.low_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is equal other.

See combine_objs().

low_stats method¶

OHLCSTX.low_stats(
    *args,
    **kwargs
)

Stats of low as generic.

open method¶

Input array.

open_above method¶

OHLCSTX.open_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is above other.

See combine_objs().

open_below method¶

OHLCSTX.open_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is below other.

See combine_objs().

open_crossed_above method¶

OHLCSTX.open_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is crossed_above other.

See combine_objs().

open_crossed_below method¶

OHLCSTX.open_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is crossed_below other.

See combine_objs().

open_equal method¶

OHLCSTX.open_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where open is equal other.

See combine_objs().

open_stats method¶

OHLCSTX.open_stats(
    *args,
    **kwargs
)

Stats of open as generic.

plot method¶

_bind_ohlcstx_plot.<locals>.plot(
    plot_type=None,
    ohlc_kwargs=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    add_trace_kwargs=None,
    fig=None,
    **layout_kwargs
)

Plot OHLC, OHLCSTX.entries and OHLCSTX.exits.

Args

plot_type
Either 'OHLC', 'Candlestick' or Plotly trace.
ohlc_kwargs : dict
Keyword arguments passed to plot_type.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for OHLCSTX.entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for OHLCSTX.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**layout_kwargs
Keyword arguments for layout.

Usage

>>> ohlcstx.iloc[:, 0].plot()

reverse_list property¶

List of reverse values.

run class method¶

OHLCSTX.run(
    entries,
    open,
    high,
    low,
    close,
    sl_stop=Default(nan),
    sl_trail=Default(False),
    tp_stop=Default(nan),
    reverse=Default(False),
    stop_price=nan,
    stop_type=-1,
    short_name='ohlcstx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run OHLCSTX indicator.

  • Inputs: entries, open, high, low, close
  • In-place outputs: stop_price, stop_type
  • Parameters: sl_stop, sl_trail, tp_stop, reverse
  • Outputs: exits

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

OHLCSTX.run_combs(
    entries,
    open,
    high,
    low,
    close,
    sl_stop=Default(nan),
    sl_trail=Default(False),
    tp_stop=Default(nan),
    reverse=Default(False),
    stop_price=nan,
    stop_type=-1,
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple OHLCSTX indicators using function comb_func.

  • Inputs: entries, open, high, low, close
  • In-place outputs: stop_price, stop_type
  • Parameters: sl_stop, sl_trail, tp_stop, reverse
  • Outputs: exits

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to OHLCSTX.run().

sl_stop_list property¶

List of sl_stop values.

sl_trail_list property¶

List of sl_trail values.

stop_price property¶

In-place output array.

stop_price_above method¶

OHLCSTX.stop_price_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is above other.

See combine_objs().

stop_price_below method¶

OHLCSTX.stop_price_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is below other.

See combine_objs().

stop_price_crossed_above method¶

OHLCSTX.stop_price_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is crossed_above other.

See combine_objs().

stop_price_crossed_below method¶

OHLCSTX.stop_price_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is crossed_below other.

See combine_objs().

stop_price_equal method¶

OHLCSTX.stop_price_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where stop_price is equal other.

See combine_objs().

stop_price_stats method¶

OHLCSTX.stop_price_stats(
    *args,
    **kwargs
)

Stats of stop_price as generic.

stop_type property¶

In-place output array.

stop_type_readable property¶

stop_type in readable format based on the following mapping: 

{
    "0": "StopLoss",
    "1": "TrailStop",
    "2": "TakeProfit",
    "-1": null
}

stop_type_stats method¶

OHLCSTX.stop_type_stats(
    *args,
    **kwargs
)

Stats of stop_type based on the following mapping: 

{
    "0": "StopLoss",
    "1": "TrailStop",
    "2": "TakeProfit",
    "-1": null
}

tp_stop_list property¶

List of tp_stop values.

RAND class¶

RAND(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Random entry signal generator based on the number of signals.

Generates entries based on rand_choice_nb().

Hint

Parameter n can be either a single value (per frame) or a NumPy array (per column). To generate multiple combinations, pass it as a list.

Usage

  • Test three different entry counts values:
>>> import vectorbt as vbt

>>> rand = vbt.RAND.run(input_shape=(6,), n=[1, 2, 3], seed=42)

>>> rand.entries
rand_n      1      2      3
0        True   True   True
1       False  False   True
2       False  False  False
3       False   True  False
4       False  False   True
5       False  False  False
  • Entry count can also be set per column:
>>> import numpy as np

>>> rand = vbt.RAND.run(input_shape=(8, 2), n=[np.array([1, 2]), 3], seed=42)

>>> rand.entries
rand_n      1      2      3      3
            0      1      0      1
0       False  False   True  False
1        True  False  False  False
2       False  False  False   True
3       False   True   True  False
4       False  False  False  False
5       False  False  False   True
6       False  False   True  False
7       False   True  False   True

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._RAND

apply_func method¶

RAND.apply_func(
    input_shape,
    n,
    seed=None,
    engine=None
)

Apply function used by RAND.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries property¶

Output array.

entries_and method¶

RAND.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

RAND.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

RAND.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

RAND.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

n_list property¶

List of n values.

plot method¶

SignalFactory.__init__.<locals>.plot(
    _self,
    entry_y=None,
    exit_y=None,
    entry_types=None,
    exit_types=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    fig=None,
    **kwargs
)

Plot RAND.entries and RAND.exits.

Args

entry_y : array_like
Y-axis values to plot entry markers on.
exit_y : array_like
Y-axis values to plot exit markers on.
entry_types : array_like
Entry types in string format.
exit_types : array_like
Exit types in string format.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for RAND.entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for RAND.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**kwargs
Keyword arguments passed to SignalsSRAccessor.plot_as_markers().

run class method¶

RAND.run(
    input_shape,
    n,
    short_name='rand',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run RAND indicator.

  • Parameters: n
  • Outputs: entries

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

RAND.run_combs(
    input_shape,
    n,
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple RAND indicators using function comb_func.

  • Parameters: n
  • Outputs: entries

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to RAND.run().

RANDNX class¶

RANDNX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Random entry and exit signal generator based on the number of signals.

Generates entries and exits based on rand_enex_apply_nb().

See RAND for notes on parameters.

Usage

  • Test three different entry and exit counts:
>>> import vectorbt as vbt

>>> randnx = vbt.RANDNX.run(
...     input_shape=(6,),
...     n=[1, 2, 3],
...     seed=42)

>>> randnx.entries
randnx_n      1      2      3
0          True   True   True
1         False  False  False
2         False   True   True
3         False  False  False
4         False  False   True
5         False  False  False

>>> randnx.exits
randnx_n      1      2      3
0         False  False  False
1          True   True   True
2         False  False  False
3         False   True   True
4         False  False  False
5         False  False   True

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._RANDNX

apply_func method¶

RANDNX.apply_func(
    input_shape,
    n,
    entry_wait=1,
    exit_wait=1,
    seed=None,
    engine=None
)

Apply function used by RANDNX.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries property¶

Output array.

entries_and method¶

RANDNX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

RANDNX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

RANDNX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

RANDNX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

exits property¶

Output array.

exits_and method¶

RANDNX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

RANDNX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

RANDNX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

RANDNX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

n_list property¶

List of n values.

plot method¶

SignalFactory.__init__.<locals>.plot(
    _self,
    entry_y=None,
    exit_y=None,
    entry_types=None,
    exit_types=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    fig=None,
    **kwargs
)

Plot RANDNX.entries and RANDNX.exits.

Args

entry_y : array_like
Y-axis values to plot entry markers on.
exit_y : array_like
Y-axis values to plot exit markers on.
entry_types : array_like
Entry types in string format.
exit_types : array_like
Exit types in string format.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for RANDNX.entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for RANDNX.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**kwargs
Keyword arguments passed to SignalsSRAccessor.plot_as_markers().

run class method¶

RANDNX.run(
    input_shape,
    n,
    short_name='randnx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run RANDNX indicator.

  • Parameters: n
  • Outputs: entries, exits

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

RANDNX.run_combs(
    input_shape,
    n,
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple RANDNX indicators using function comb_func.

  • Parameters: n
  • Outputs: entries, exits

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to RANDNX.run().

RANDX class¶

RANDX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Random exit signal generator based on the number of signals.

Generates exits based on entries and rand_choice_nb().

See RAND for notes on parameters.

Usage

  • Generate an exit for each entry:
>>> import vectorbt as vbt
>>> import pandas as pd

>>> entries = pd.Series([True, False, False, True, False, False])
>>> randx = vbt.RANDX.run(entries, seed=42)

>>> randx.exits
0    False
1    False
2     True
3    False
4     True
5    False
dtype: bool

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._RANDX

apply_func method¶

RANDX.apply_func(
    entries,
    wait=1,
    until_next=True,
    skip_until_exit=False,
    seed=None,
    engine=None
)

Apply function used by RANDX.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries method¶

Input array.

entries_and method¶

RANDX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

RANDX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

RANDX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

RANDX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

exits property¶

Output array.

exits_and method¶

RANDX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

RANDX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

RANDX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

RANDX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

plot method¶

SignalFactory.__init__.<locals>.plot(
    _self,
    entry_y=None,
    exit_y=None,
    entry_types=None,
    exit_types=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    fig=None,
    **kwargs
)

Plot RANDX.entries and RANDX.exits.

Args

entry_y : array_like
Y-axis values to plot entry markers on.
exit_y : array_like
Y-axis values to plot exit markers on.
entry_types : array_like
Entry types in string format.
exit_types : array_like
Exit types in string format.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for RANDX.entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for RANDX.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**kwargs
Keyword arguments passed to SignalsSRAccessor.plot_as_markers().

run class method¶

RANDX.run(
    entries,
    short_name='randx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run RANDX indicator.

  • Inputs: entries
  • Outputs: exits

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

RPROB class¶

RPROB(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Random entry signal generator based on probabilities.

Generates entries based on rand_by_prob_choice_nb().

Hint

All parameters can be either a single value (per frame) or a NumPy array (per row, column, or element). To generate multiple combinations, pass them as lists.

Usage

  • Generate three columns with different entry probabilities:
>>> import vectorbt as vbt

>>> rprob = vbt.RPROB.run(input_shape=(5,), prob=[0., 0.5, 1.], seed=42)

>>> rprob.entries
rprob_prob    0.0    0.5   1.0
0           False   True  True
1           False   True  True
2           False  False  True
3           False  False  True
4           False  False  True
  • Probability can also be set per row, column, or element:
>>> import numpy as np

>>> rprob = vbt.RPROB.run(input_shape=(5,), prob=np.array([0., 0., 1., 1., 1.]), seed=42)

>>> rprob.entries
0    False
1    False
2     True
3     True
4     True
Name: array_0, dtype: bool

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._RPROB

apply_func method¶

RPROB.apply_func(
    input_shape,
    prob,
    flex_2d,
    pick_first=False,
    seed=None,
    engine=None
)

Apply function used by RPROB.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries property¶

Output array.

entries_and method¶

RPROB.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

RPROB.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

RPROB.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

RPROB.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

plot method¶

SignalFactory.__init__.<locals>.plot(
    _self,
    entry_y=None,
    exit_y=None,
    entry_types=None,
    exit_types=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    fig=None,
    **kwargs
)

Plot RPROB.entries and RPROB.exits.

Args

entry_y : array_like
Y-axis values to plot entry markers on.
exit_y : array_like
Y-axis values to plot exit markers on.
entry_types : array_like
Entry types in string format.
exit_types : array_like
Exit types in string format.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for RPROB.entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for RPROB.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**kwargs
Keyword arguments passed to SignalsSRAccessor.plot_as_markers().

prob_list property¶

List of prob values.

run class method¶

RPROB.run(
    input_shape,
    prob,
    short_name='rprob',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run RPROB indicator.

  • Parameters: prob
  • Outputs: entries

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

RPROB.run_combs(
    input_shape,
    prob,
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple RPROB indicators using function comb_func.

  • Parameters: prob
  • Outputs: entries

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to RPROB.run().

RPROBCX class¶

RPROBCX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Random exit signal generator based on probabilities.

Generates chain of new_entries and exits based on entries and rand_by_prob_choice_nb().

See RPROB for notes on parameters.

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._RPROBCX

apply_func method¶

RPROBCX.apply_func(
    entries,
    prob,
    flex_2d,
    wait=1,
    entry_wait=1,
    exit_wait=None,
    entry_pick_first=True,
    exit_pick_first=True,
    until_next=True,
    skip_until_exit=False,
    seed=None,
    engine=None
)

Apply function used by RPROBCX.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries method¶

Input array.

entries_and method¶

RPROBCX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

RPROBCX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

RPROBCX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

RPROBCX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

exits property¶

Output array.

exits_and method¶

RPROBCX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

RPROBCX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

RPROBCX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

RPROBCX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

new_entries property¶

Output array.

new_entries_and method¶

RPROBCX.new_entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return new_entries AND other.

See combine_objs().

new_entries_or method¶

RPROBCX.new_entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return new_entries OR other.

See combine_objs().

new_entries_stats method¶

RPROBCX.new_entries_stats(
    *args,
    **kwargs
)

Stats of new_entries as signals.

new_entries_xor method¶

RPROBCX.new_entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return new_entries XOR other.

See combine_objs().

plot method¶

SignalFactory.__init__.<locals>.plot(
    _self,
    entry_y=None,
    exit_y=None,
    entry_types=None,
    exit_types=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    fig=None,
    **kwargs
)

Plot RPROBCX.new_entries and RPROBCX.exits.

Args

entry_y : array_like
Y-axis values to plot entry markers on.
exit_y : array_like
Y-axis values to plot exit markers on.
entry_types : array_like
Entry types in string format.
exit_types : array_like
Exit types in string format.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for RPROBCX.new_entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for RPROBCX.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**kwargs
Keyword arguments passed to SignalsSRAccessor.plot_as_markers().

prob_list property¶

List of prob values.

run class method¶

RPROBCX.run(
    entries,
    prob,
    short_name='rprobcx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run RPROBCX indicator.

  • Inputs: entries
  • Parameters: prob
  • Outputs: new_entries, exits

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

RPROBCX.run_combs(
    entries,
    prob,
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple RPROBCX indicators using function comb_func.

  • Inputs: entries
  • Parameters: prob
  • Outputs: new_entries, exits

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to RPROBCX.run().

RPROBNX class¶

RPROBNX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Random entry and exit signal generator based on probabilities.

Generates entries and exits based on rand_by_prob_choice_nb().

See RPROB for notes on parameters.

Usage

  • Test all probability combinations:
>>> import vectorbt as vbt

>>> rprobnx = vbt.RPROBNX.run(
...     input_shape=(5,),
...     entry_prob=[0.5, 1.],
...     exit_prob=[0.5, 1.],
...     param_product=True,
...     seed=42)

>>> rprobnx.entries
rprobnx_entry_prob    0.5    0.5    1.0    0.5
rprobnx_exit_prob     0.5    1.0    0.5    1.0
0                    True   True   True   True
1                   False  False  False  False
2                   False  False  False   True
3                   False  False  False  False
4                   False  False   True   True

>>> rprobnx.exits
rprobnx_entry_prob    0.5    0.5    1.0    1.0
rprobnx_exit_prob     0.5    1.0    0.5    1.0
0                   False  False  False  False
1                   False   True  False   True
2                   False  False  False  False
3                   False  False   True   True
4                    True  False  False  False
  • Probabilities can also be set per row, column, or element:
>>> import numpy as np

>>> entry_prob1 = np.asarray([1., 0., 1., 0., 1.])
>>> entry_prob2 = np.asarray([0., 1., 0., 1., 0.])
>>> rprobnx = vbt.RPROBNX.run(
...     input_shape=(5,),
...     entry_prob=[entry_prob1, entry_prob2],
...     exit_prob=1.,
...     seed=42)

>>> rprobnx.entries
rprobnx_entry_prob array_0 array_1
rprobnx_exit_prob      1.0     1.0
0                     True   False
1                    False    True
2                     True   False
3                    False    True
4                     True   False

>>> rprobnx.exits
rprobnx_entry_prob array_0 array_1
rprobnx_exit_prob      1.0     1.0
0                    False   False
1                     True   False
2                    False    True
3                     True   False
4                    False    True

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._RPROBNX

apply_func method¶

RPROBNX.apply_func(
    input_shape,
    entry_prob,
    exit_prob,
    flex_2d,
    entry_wait=1,
    exit_wait=1,
    entry_pick_first=True,
    exit_pick_first=True,
    seed=None,
    engine=None
)

Apply function used by RPROBNX.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries property¶

Output array.

entries_and method¶

RPROBNX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

RPROBNX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

RPROBNX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

RPROBNX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

entry_prob_list property¶

List of entry_prob values.

exit_prob_list property¶

List of exit_prob values.

exits property¶

Output array.

exits_and method¶

RPROBNX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

RPROBNX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

RPROBNX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

RPROBNX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

plot method¶

SignalFactory.__init__.<locals>.plot(
    _self,
    entry_y=None,
    exit_y=None,
    entry_types=None,
    exit_types=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    fig=None,
    **kwargs
)

Plot RPROBNX.entries and RPROBNX.exits.

Args

entry_y : array_like
Y-axis values to plot entry markers on.
exit_y : array_like
Y-axis values to plot exit markers on.
entry_types : array_like
Entry types in string format.
exit_types : array_like
Exit types in string format.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for RPROBNX.entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for RPROBNX.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**kwargs
Keyword arguments passed to SignalsSRAccessor.plot_as_markers().

run class method¶

RPROBNX.run(
    input_shape,
    entry_prob,
    exit_prob,
    short_name='rprobnx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run RPROBNX indicator.

  • Parameters: entry_prob, exit_prob
  • Outputs: entries, exits

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

RPROBNX.run_combs(
    input_shape,
    entry_prob,
    exit_prob,
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple RPROBNX indicators using function comb_func.

  • Parameters: entry_prob, exit_prob
  • Outputs: entries, exits

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to RPROBNX.run().

RPROBX class¶

RPROBX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Random exit signal generator based on probabilities.

Generates exits based on entries and rand_by_prob_choice_nb().

See RPROB for notes on parameters.

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._RPROBX

apply_func method¶

RPROBX.apply_func(
    entries,
    prob,
    flex_2d,
    wait=1,
    until_next=True,
    skip_until_exit=False,
    seed=None,
    engine=None
)

Apply function used by RPROBX.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries method¶

Input array.

entries_and method¶

RPROBX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

RPROBX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

RPROBX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

RPROBX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

exits property¶

Output array.

exits_and method¶

RPROBX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

RPROBX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

RPROBX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

RPROBX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

plot method¶

SignalFactory.__init__.<locals>.plot(
    _self,
    entry_y=None,
    exit_y=None,
    entry_types=None,
    exit_types=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    fig=None,
    **kwargs
)

Plot RPROBX.entries and RPROBX.exits.

Args

entry_y : array_like
Y-axis values to plot entry markers on.
exit_y : array_like
Y-axis values to plot exit markers on.
entry_types : array_like
Entry types in string format.
exit_types : array_like
Exit types in string format.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for RPROBX.entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for RPROBX.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**kwargs
Keyword arguments passed to SignalsSRAccessor.plot_as_markers().

prob_list property¶

List of prob values.

run class method¶

RPROBX.run(
    entries,
    prob,
    short_name='rprobx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run RPROBX indicator.

  • Inputs: entries
  • Parameters: prob
  • Outputs: exits

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

RPROBX.run_combs(
    entries,
    prob,
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple RPROBX indicators using function comb_func.

  • Inputs: entries
  • Parameters: prob
  • Outputs: exits

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to RPROBX.run().

STCX class¶

STCX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Exit signal generator based on stop values.

Generates chain of new_entries and exits based on entries and stop_choice_nb().

See STX for notes on parameters.

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._STCX

apply_func method¶

STCX.apply_func(
    entries,
    ts,
    stop,
    trailing,
    flex_2d,
    wait=1,
    entry_wait=1,
    exit_wait=None,
    pick_first=True,
    until_next=True,
    skip_until_exit=False,
    engine=None
)

Apply function used by STCX.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries method¶

Input array.

entries_and method¶

STCX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

STCX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

STCX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

STCX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

exits property¶

Output array.

exits_and method¶

STCX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

STCX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

STCX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

STCX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

new_entries property¶

Output array.

new_entries_and method¶

STCX.new_entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return new_entries AND other.

See combine_objs().

new_entries_or method¶

STCX.new_entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return new_entries OR other.

See combine_objs().

new_entries_stats method¶

STCX.new_entries_stats(
    *args,
    **kwargs
)

Stats of new_entries as signals.

new_entries_xor method¶

STCX.new_entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return new_entries XOR other.

See combine_objs().

plot method¶

SignalFactory.__init__.<locals>.plot(
    _self,
    entry_y=None,
    exit_y=None,
    entry_types=None,
    exit_types=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    fig=None,
    **kwargs
)

Plot STCX.new_entries and STCX.exits.

Args

entry_y : array_like
Y-axis values to plot entry markers on.
exit_y : array_like
Y-axis values to plot exit markers on.
entry_types : array_like
Entry types in string format.
exit_types : array_like
Exit types in string format.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for STCX.new_entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for STCX.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**kwargs
Keyword arguments passed to SignalsSRAccessor.plot_as_markers().

run class method¶

STCX.run(
    entries,
    ts,
    stop,
    trailing=Default(False),
    short_name='stcx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run STCX indicator.

  • Inputs: entries, ts
  • Parameters: stop, trailing
  • Outputs: new_entries, exits

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

STCX.run_combs(
    entries,
    ts,
    stop,
    trailing=Default(False),
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple STCX indicators using function comb_func.

  • Inputs: entries, ts
  • Parameters: stop, trailing
  • Outputs: new_entries, exits

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to STCX.run().

stop_list property¶

List of stop values.

trailing_list property¶

List of trailing values.

ts method¶

Input array.

ts_above method¶

STCX.ts_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is above other.

See combine_objs().

ts_below method¶

STCX.ts_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is below other.

See combine_objs().

ts_crossed_above method¶

STCX.ts_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is crossed_above other.

See combine_objs().

ts_crossed_below method¶

STCX.ts_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is crossed_below other.

See combine_objs().

ts_equal method¶

STCX.ts_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is equal other.

See combine_objs().

ts_stats method¶

STCX.ts_stats(
    *args,
    **kwargs
)

Stats of ts as generic.

STX class¶

STX(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    level_names
)

Exit signal generator based on stop values.

Generates exits based on entries and stop_choice_nb().

Hint

All parameters can be either a single value (per frame) or a NumPy array (per row, column, or element). To generate multiple combinations, pass them as lists.

Superclasses

Inherited members

Subclasses

  • vectorbt.signals.generators._STX

apply_func method¶

STX.apply_func(
    entries,
    ts,
    stop,
    trailing,
    flex_2d,
    wait=1,
    until_next=True,
    skip_until_exit=False,
    pick_first=True,
    engine=None
)

Apply function used by STX.

custom_func method¶

IndicatorFactory.from_apply_func.<locals>.custom_func(
    input_list,
    in_output_list,
    param_list,
    *args,
    input_shape=None,
    col=None,
    flex_2d=None,
    return_cache=False,
    use_cache=None,
    use_ray=False,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

entries method¶

Input array.

entries_and method¶

STX.entries_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries AND other.

See combine_objs().

entries_or method¶

STX.entries_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries OR other.

See combine_objs().

entries_stats method¶

STX.entries_stats(
    *args,
    **kwargs
)

Stats of entries as signals.

entries_xor method¶

STX.entries_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return entries XOR other.

See combine_objs().

exits property¶

Output array.

exits_and method¶

STX.exits_and(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits AND other.

See combine_objs().

exits_or method¶

STX.exits_or(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits OR other.

See combine_objs().

exits_stats method¶

STX.exits_stats(
    *args,
    **kwargs
)

Stats of exits as signals.

exits_xor method¶

STX.exits_xor(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return exits XOR other.

See combine_objs().

plot method¶

SignalFactory.__init__.<locals>.plot(
    _self,
    entry_y=None,
    exit_y=None,
    entry_types=None,
    exit_types=None,
    entry_trace_kwargs=None,
    exit_trace_kwargs=None,
    fig=None,
    **kwargs
)

Plot STX.entries and STX.exits.

Args

entry_y : array_like
Y-axis values to plot entry markers on.
exit_y : array_like
Y-axis values to plot exit markers on.
entry_types : array_like
Entry types in string format.
exit_types : array_like
Exit types in string format.
entry_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_entry_markers() for STX.entries.
exit_trace_kwargs : dict
Keyword arguments passed to SignalsSRAccessor.plot_as_exit_markers() for STX.exits.
fig : Figure or FigureWidget
Figure to add traces to.
**kwargs
Keyword arguments passed to SignalsSRAccessor.plot_as_markers().

run class method¶

STX.run(
    entries,
    ts,
    stop,
    trailing=Default(False),
    short_name='stx',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run STX indicator.

  • Inputs: entries, ts
  • Parameters: stop, trailing
  • Outputs: exits

Pass a list of parameter names as hide_params to hide their column levels. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to run_pipeline().

run_combs class method¶

STX.run_combs(
    entries,
    ts,
    stop,
    trailing=Default(False),
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple STX indicators using function comb_func.

  • Inputs: entries, ts
  • Parameters: stop, trailing
  • Outputs: exits

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to STX.run().

stop_list property¶

List of stop values.

trailing_list property¶

List of trailing values.

ts method¶

Input array.

ts_above method¶

STX.ts_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is above other.

See combine_objs().

ts_below method¶

STX.ts_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is below other.

See combine_objs().

ts_crossed_above method¶

STX.ts_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is crossed_above other.

See combine_objs().

ts_crossed_below method¶

STX.ts_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is crossed_below other.

See combine_objs().

ts_equal method¶

STX.ts_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where ts is equal other.

See combine_objs().

ts_stats method¶

STX.ts_stats(
    *args,
    **kwargs
)

Stats of ts as generic.