Skip to content

Commit

Permalink
BUG #285 #324 #329 numpy linreg version
Browse files Browse the repository at this point in the history
  • Loading branch information
@twopirllc
twopirllc committed Jul 25, 2021
1 parent cecdf7c commit 841a284
Show file tree
Hide file tree
Showing 5 changed files with 28 additions and 16 deletions.
16 changes: 9 additions & 7 deletions README.md
View file
Original file line number Diff line number Diff line change
Expand Up @@ -14,11 +14,11 @@ Pandas TA - A Technical Analysis Library in Python 3
[![Downloads](https://img.shields.io/pypi/dm/pandas_ta?style=flat)](https://pypistats.org/packages/pandas_ta)
[![Stars](https://img.shields.io/github/stars/twopirllc/pandas-ta?style=flat)](#stars)
[![Forks](https://img.shields.io/github/forks/twopirllc/pandas-ta?style=flat)](#forks)
[![Used By](https://img.shields.io/badge/used_by-146-orange.svg?style=flat)](#usedby)
[![Used By](https://img.shields.io/badge/used_by-170-orange.svg?style=flat)](#usedby)
[![Contributors](https://img.shields.io/github/contributors/twopirllc/pandas-ta?style=flat)](#contributors)
[![Issues](https://img.shields.io/github/issues-raw/twopirllc/pandas-ta?style=flat)](#issues)
[![Closed Issues](https://img.shields.io/github/issues-closed-raw/twopirllc/pandas-ta?style=flat)](#closed-issues)
[![By Me a Coffee](https://img.shields.io/badge/buy_me_a_coffee-orange.svg?style=flat)](https://www.buymeacoffee.com/twopirllc)
[![Buy Me a Coffee](https://img.shields.io/badge/buy_me_a_coffee-orange.svg?style=flat)](https://www.buymeacoffee.com/twopirllc)



Expand Down Expand Up @@ -112,7 +112,7 @@ $ pip install pandas_ta

Latest Version
--------------
Best choice! Version: *0.3.07b*
Best choice! Version: *0.3.08b*
* Includes all fixes and updates between **pypi** and what is covered in this README.
```sh
$ pip install -U git+https://github.com/twopirllc/pandas-ta
Expand Down Expand Up @@ -213,7 +213,7 @@ Thanks for using **Pandas TA**!

_Thank you for your contributions!_

<a href="https://github.com/AbyssAlora"><img src="https://avatars.githubusercontent.com/u/32155747?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/alexonab"><img src="https://avatars.githubusercontent.com/u/16689258?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/allahyarzadeh"><img src="https://avatars.githubusercontent.com/u/11909557?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/bizso09"><img src="https://avatars.githubusercontent.com/u/1904536?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/CMobley7"><img src="https://avatars.githubusercontent.com/u/10121829?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/codesutras"><img src="https://avatars.githubusercontent.com/u/56551122?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/DannyMartens"><img src="https://avatars.githubusercontent.com/u/37220423?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/DrPaprikaa"><img src="https://avatars.githubusercontent.com/u/64958936?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/daikts"><img src="https://avatars.githubusercontent.com/u/64799229?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/delicateear"><img src="https://avatars.githubusercontent.com/u/167213?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/dorren"><img src="https://avatars.githubusercontent.com/u/27552?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/edwardwang1"><img src="https://avatars.githubusercontent.com/u/15675816?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/FGU1"><img src="https://avatars.githubusercontent.com/u/56175843?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/ffhirata"><img src="https://avatars.githubusercontent.com/u/44292530?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/floatinghotpot"><img src="https://avatars.githubusercontent.com/u/2339512?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/GSlinger"><img src="https://avatars.githubusercontent.com/u/24567123?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/JoeSchr"><img src="https://avatars.githubusercontent.com/u/8218910?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/lluissalord"><img src="https://avatars.githubusercontent.com/u/7021552?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/luisbarrancos"><img src="https://avatars.githubusercontent.com/u/387352?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/M6stafa"><img src="https://avatars.githubusercontent.com/u/7975309?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/maxdignan"><img src="https://avatars.githubusercontent.com/u/8184722?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/mchant"><img src="https://avatars.githubusercontent.com/u/8502845?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/moritzgun"><img src="https://avatars.githubusercontent.com/u/68067719?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/nicoloridulfo"><img src="https://avatars.githubusercontent.com/u/49532161?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/NkosenhleDuma"><img src="https://avatars.githubusercontent.com/u/51145741?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/olafos"><img src="https://avatars.githubusercontent.com/u/2526551?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/pbrumblay"><img src="https://avatars.githubusercontent.com/u/2146159?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/RajeshDhalange"><img src="https://avatars.githubusercontent.com/u/32175897?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/rengel8"><img src="https://avatars.githubusercontent.com/u/34138513?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/rluong003"><img src="https://avatars.githubusercontent.com/u/42408939?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/schwaa"><img src="https://avatars.githubusercontent.com/u/2640598?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/SoftDevDanial"><img src="https://avatars.githubusercontent.com/u/64815604?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/tg12"><img src="https://avatars.githubusercontent.com/u/12201893?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/twrobel"><img src="https://avatars.githubusercontent.com/u/394724?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/WellMaybeItIs"><img src="https://avatars.githubusercontent.com/u/84646494?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/whubsch"><img src="https://avatars.githubusercontent.com/u/24275736?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/witokondoria"><img src="https://avatars.githubusercontent.com/u/5685669?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/wouldayajustlookatit"><img src="https://avatars.githubusercontent.com/u/44936661?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/YuvalWein"><img src="https://avatars.githubusercontent.com/u/65113623?v=4" class="avatar-user" width="35px;"/></a> <a href="https://github.com/zlpatel"><img src="https://avatars.githubusercontent.com/u/3293739?v=4" class="avatar-user" width="35px;"/></a>
<a href="https://github.com/abmyii"><img src="https://avatars.githubusercontent.com/u/52673001?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/AbyssAlora"><img src="https://avatars.githubusercontent.com/u/32155747?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/alexonab"><img src="https://avatars.githubusercontent.com/u/16689258?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/allahyarzadeh"><img src="https://avatars.githubusercontent.com/u/11909557?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/bizso09"><img src="https://avatars.githubusercontent.com/u/1904536?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/CMobley7"><img src="https://avatars.githubusercontent.com/u/10121829?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/codesutras"><img src="https://avatars.githubusercontent.com/u/56551122?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/DannyMartens"><img src="https://avatars.githubusercontent.com/u/37220423?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/DrPaprikaa"><img src="https://avatars.githubusercontent.com/u/64958936?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/daikts"><img src="https://avatars.githubusercontent.com/u/64799229?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/delicateear"><img src="https://avatars.githubusercontent.com/u/167213?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/dorren"><img src="https://avatars.githubusercontent.com/u/27552?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/edwardwang1"><img src="https://avatars.githubusercontent.com/u/15675816?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"></a> <a href="https://github.com/FGU1"><img src="https://avatars.githubusercontent.com/u/56175843?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/ffhirata"><img src="https://avatars.githubusercontent.com/u/44292530?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/floatinghotpot"><img src="https://avatars.githubusercontent.com/u/2339512?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/GSlinger"><img src="https://avatars.githubusercontent.com/u/24567123?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/JoeSchr"><img src="https://avatars.githubusercontent.com/u/8218910?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/lluissalord"><img src="https://avatars.githubusercontent.com/u/7021552?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/luisbarrancos"><img src="https://avatars.githubusercontent.com/u/387352?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/M6stafa"><img src="https://avatars.githubusercontent.com/u/7975309?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/maxdignan"><img src="https://avatars.githubusercontent.com/u/8184722?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/mchant"><img src="https://avatars.githubusercontent.com/u/8502845?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/moritzgun"><img src="https://avatars.githubusercontent.com/u/68067719?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/nicoloridulfo"><img src="https://avatars.githubusercontent.com/u/49532161?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/NkosenhleDuma"><img src="https://avatars.githubusercontent.com/u/51145741?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/olafos"><img src="https://avatars.githubusercontent.com/u/2526551?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/pbrumblay"><img src="https://avatars.githubusercontent.com/u/2146159?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/RajeshDhalange"><img src="https://avatars.githubusercontent.com/u/32175897?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/rengel8"><img src="https://avatars.githubusercontent.com/u/34138513?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/rluong003"><img src="https://avatars.githubusercontent.com/u/42408939?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/schwaa"><img src="https://avatars.githubusercontent.com/u/2640598?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/SoftDevDanial"><img src="https://avatars.githubusercontent.com/u/64815604?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/tg12"><img src="https://avatars.githubusercontent.com/u/12201893?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/twrobel"><img src="https://avatars.githubusercontent.com/u/394724?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/WellMaybeItIs"><img src="https://avatars.githubusercontent.com/u/84646494?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/whubsch"><img src="https://avatars.githubusercontent.com/u/24275736?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/witokondoria"><img src="https://avatars.githubusercontent.com/u/5685669?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/wouldayajustlookatit"><img src="https://avatars.githubusercontent.com/u/44936661?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"></a> <a href="https://github.com/YuvalWein"><img src="https://avatars.githubusercontent.com/u/65113623?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a> <a href="https://github.com/zlpatel"><img src="https://avatars.githubusercontent.com/u/3293739?v=4" class="avatar-user" width="35px;" style="border-radius: 5px;"/></a>

<br/>

Expand Down Expand Up @@ -990,11 +990,12 @@ of the last bars defined by the length parameter. See ```help(ta.tos_stdevall)``
* _Chande Momentum Oscillator_ (**cmo**): New argument ```talib``` will use TA Lib's version and if TA Lib is installed. Default is True. See ```help(ta.cmo)```.
* _Decreasing_ (**decreasing**): New argument ```strict``` checks if the series is continuously decreasing over period ```length``` with a faster calculation. Default: ```False```. The ```percent``` argument has also been added with default None. See ```help(ta.decreasing)```.
* _Increasing_ (**increasing**): New argument ```strict``` checks if the series is continuously increasing over period ```length``` with a faster calculation. Default: ```False```. The ```percent``` argument has also been added with default None. See ```help(ta.increasing)```.
* _Klinger Volume Oscillator_ (**kvo**): Implements TradingView's Klinger Volume Oscillator version. See ```help(ta.kvo)```.
* _Klinger Volume Oscillator_ (**kvo**): Implements TradingView's Klinger Volume Oscillator version. See ```help(ta.kvo)```.
* _Linear Regression_ (**linreg**): Checks **numpy**'s version to determine whether to utilize the ```as_strided``` method or the newer ```sliding_window_view``` method. This should resolve Issues with Google Colab and it's delayed dependency updates as well as TensorFlow's dependencies as discussed in Issues [#285](https://github.com/twopirllc/pandas-ta/issues/285) and [#329](https://github.com/twopirllc/pandas-ta/issues/329).
* _Moving Average Convergence Divergence_ (**macd**): New argument ```asmode``` enables AS version of MACD. Default is False. See ```help(ta.macd)```.
* _Parabolic Stop and Reverse_ (**psar**): Bug fix and adjustment to match TradingView's ```sar```. New argument ```af0``` to initialize the Acceleration Factor. See ```help(ta.psar)```.
* _Percentage Price Oscillator_ (**ppo**): Included new argument ```mamode``` as an option. Default is **sma** to match TA Lib. See ```help(ta.ppo)```.
* _Volume Profile_ (**vp**): Calculation improvements. See [Pull Request #320](https://github.com/twopirllc/pandas-ta/pull/320) See ```help(ta.vp)```.
* _Volume Profile_ (**vp**): Calculation improvements. See Pull Request [#320](https://github.com/twopirllc/pandas-ta/pull/320) See ```help(ta.vp)```.
* _Volume Weighted Average Price_ (**vwap**): Added a new parameter called ```anchor```. Default: "D" for "Daily". See [Timeseries Offset Aliases](https://pandas.pydata.org/pandas-docs/stable/user_guide/timeseries.html#timeseries-offset-aliases) for additional options. **Requires** the DataFrame index to be a DatetimeIndex. See ```help(ta.vwap)```.
* _Volume Weighted Moving Average_ (**vwma**): Fixed bug in DataFrame Extension call. See ```help(ta.vwma)```.
* _Z Score_ (**zscore**): Changed return column name from ```Z_length``` to ```ZS_length```. See ```help(ta.zscore)```.
Expand All @@ -1008,7 +1009,8 @@ of the last bars defined by the length parameter. See ```help(ta.tos_stdevall)``

# **Support**

Feeling generous, like the package or want to see it become more a mature package? Please consider:
Feeling generous, like the package or want to see it become more a mature package?

### Consider
[!["Buy Me A Coffee"](https://www.buymeacoffee.com/assets/img/custom_images/orange_img.png)](https://www.buymeacoffee.com/twopirllc)

16 changes: 14 additions & 2 deletions pandas_ta/overlap/linreg.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -3,7 +3,7 @@
from numpy import arctan as npAtan
from numpy import nan as npNaN
from numpy import pi as npPi
from numpy.lib.stride_tricks import sliding_window_view
from numpy.version import version as npVersion
from pandas import Series
from pandas_ta.utils import get_offset, verify_series

Expand Down Expand Up @@ -54,7 +54,19 @@ def linear_regression(series):

return m * length + b if tsf else m * (length - 1) + b

linreg_ = [linear_regression(_) for _ in sliding_window_view(npArray(close), length)]
def rolling_window(array, length):
"""https://github.com/twopirllc/pandas-ta/issues/285"""
strides = array.strides + (array.strides[-1],)
shape = array.shape[:-1] + (array.shape[-1] - length + 1, length)
return as_strided(array, shape=shape, strides=strides)

if npVersion >= "1.20.0":
from numpy.lib.stride_tricks import sliding_window_view
linreg_ = [linear_regression(_) for _ in sliding_window_view(npArray(close), length)]
else:
from numpy.lib.stride_tricks import as_strided
linreg_ = [linear_regression(_) for _ in rolling_window(npArray(close), length)]

linreg = Series([npNaN] * (length - 1) + linreg_, index=close.index)

# Offset
Expand Down
4 changes: 2 additions & 2 deletions requirements.txt
View file
Original file line number Diff line number Diff line change
@@ -1,5 +1,5 @@
numpy==1.21.0
pandas==1.3.0
numpy==1.19.5
pandas==1.2.0
python-dateutil==2.8.1
pytz==2021.1
six==1.16.0
2 changes: 1 addition & 1 deletion setup.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -19,7 +19,7 @@
"pandas_ta.volatility",
"pandas_ta.volume"
],
version=".".join(("0", "3", "07b")),
version=".".join(("0", "3", "08b")),
description=long_description,
long_description=long_description,
author="Kevin Johnson",
Expand Down
6 changes: 2 additions & 4 deletions tests/test_utils_metrics.py
View file
Original file line number Diff line number Diff line change
@@ -1,10 +1,9 @@
from .config import sample_data
from .context import pandas_ta

from unittest import skip, TestCase

from pandas import DataFrame

from .config import sample_data
from .context import pandas_ta


class TestUtilityMetrics(TestCase):
Expand Down Expand Up @@ -97,7 +96,6 @@ def test_optimal_leverage(self):

def test_pure_profit_score(self):
result = pandas_ta.pure_profit_score(self.close)
self.assertIsInstance(result, float)
self.assertGreaterEqual(result, 0)

def test_sharpe_ratio(self):
Expand Down

0 comments on commit 841a284

Please sign in to comment.