Forked from uberscientist/Directional-Change Events in python.py
Created
March 16, 2021 08:45
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def dc(ohlcv, thresh=0.005): | |
upturn_event = True | |
p_h = p_l = ohlcv['close'][0] | |
dc_ranges = defaultdict(list) | |
tuples = tuple(ohlcv.itertuples()) | |
# here we find the timedelta between the timeseries index, 1 and 0, so 1 day for daily data | |
step = tuples[1].Index - tuples[0].Index | |
# loop over tuples of ohlcv and time as Index, | |
# I name variables in the style of the paper http://www.economics-ejournal.org/economics/journalarticles/2012-36 | |
# Algorithm 1 on page 9 of 19 | |
for i, t in enumerate(tuples): | |
p_t = t.close | |
if upturn_event: | |
if p_t <= p_h * (1 - thresh): | |
upturn_event = False | |
p_l = p_t | |
# Here is where I think I've made my mistake, instead of appending the dates to a list, | |
# there needs to be alternative logic in order to create the proper start/end ranges for both the | |
# DC event and the overshoot... | |
dc_ranges['t_dt_end'].append(t.Index) | |
dc_ranges['t_dos_start'].append(t.Index + step) | |
else: | |
if p_h < p_t: | |
p_h = p_t | |
dc_ranges['t_dt_start'].append(t.Index) | |
dc_ranges['t_uos_end'].append(t.Index - step) | |
else: # if we're in a downturn | |
if p_t >= p_l * (1 + thresh): | |
upturn_event = True | |
p_h = p_t | |
dc_ranges['t_ut_end'].append(t.Index) | |
dc_ranges['t_uos_start'].append(t.Index + step) | |
else: | |
if p_l > p_t: | |
p_l = p_t | |
dc_ranges['t_ut_start'].append(t.Index) | |
dc_ranges['t_dos_end'].append(t.Index - step) | |
index = None | |
for k,v in dc_ranges.items(): | |
dc_ranges[k] = sorted(v) | |
try: | |
index = index.union(DatetimeIndex(v)) | |
except: | |
index = DatetimeIndex(v) | |
up = zip(dc_ranges['t_ut_start'], dc_ranges['t_ut_end']) | |
down = zip(dc_ranges['t_dt_start'], dc_ranges['t_dt_end']) | |
up_os = zip(dc_ranges['t_uos_start'], dc_ranges['t_uos_end']) | |
down_os = zip(dc_ranges['t_dos_start'], dc_ranges['t_dos_end']) | |
out = { | |
'up': up, | |
'down': down, | |
'up_os': up_os, | |
'down_os': down_os, | |
'index': index | |
} | |
return dc_ranges |
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