IndicatorDefinition#

API documentation for tradeexecutor.strategy.pandas_trader.indicator.IndicatorDefinition Python class in Trading Strategy framework.

class IndicatorDefinition[source]#

Bases: object

A definition for a single indicator.

  • Indicator definitions are static - they do not change between the strategy runs

  • Used as id for the caching the indicator results

  • Definitions are used to calculate indicators for all trading pairs, or once over the whole trading universe

  • Indicators are calcualted independently from each other - a calculation cannot access cached values of other calculation

__init__(name, func, parameters, source=IndicatorSource.close_price)#
Parameters:
Return type:

None

Methods

__init__(name, func, parameters[, source])

calculate_by_pair(input)

Calculate the underlying indicator value.

calculate_by_pair_ohlcv(candles)

Calculate the underlying OHCLV indicator value.

calculate_universe(input)

Calculate the underlying indicator value.

is_needed_for_pair(pair)

Currently indicators are calculated for spont pairs only.

is_per_pair()

Attributes

name

Name of this indicator.

func

The underlying method we use to

parameters

Parameters for building this indicator.

source

On what trading universe data this indicator is calculated
name: str#

Name of this indicator.

Later in decide_trades() you use this name to access the indicator data.

func: Optional[Callable]#

The underlying method we use to

Same function can part of multiple indicators with different parameters (length).

Because function pickling issues, this may be set to None in results.

parameters: dict#

Parameters for building this indicator.

  • Each key is a function argument name for func.

  • Each value is a single value

  • Grid search multiple parameter ranges are handled outside indicator definition

source: IndicatorSource#

On what trading universe data this indicator is calculated

is_needed_for_pair(pair)[source]#

Currently indicators are calculated for spont pairs only.

Parameters:

pair (TradingPairIdentifier) –

Return type:

bool

calculate_by_pair(input)[source]#

Calculate the underlying indicator value.

Parameters:

input (Series) – Price series used as input.

Returns:

Single or multi series data.

  • Multi-value indicators return DataFrame with multiple columns (BB).

  • Single-value indicators return Series (RSI, SMA).

Return type:

pandas.core.frame.DataFrame | pandas.core.series.Series

calculate_by_pair_ohlcv(candles)[source]#

Calculate the underlying OHCLV indicator value.

Assume function can take parameters: open, high, low, close, volume, or any combination of those.

Parameters:

  • input – Raw OHCLV candles data.

  • candles (DataFrame) –

Returns:

Single or multi series data.

  • Multi-value indicators return DataFrame with multiple columns (BB).

  • Single-value indicators return Series (RSI, SMA).

Return type:

pandas.core.frame.DataFrame | pandas.core.series.Series

calculate_universe(input)[source]#

Calculate the underlying indicator value.

Parameters:

input (TradingStrategyUniverse) – Price series used as input.

Returns:

Single or multi series data.

  • Multi-value indicators return DataFrame with multiple columns (BB).

  • Single-value indicators return Series (RSI, SMA).

Return type:

pandas.core.frame.DataFrame | pandas.core.series.Series

__init__(name, func, parameters, source=IndicatorSource.close_price)#
Parameters:
Return type:

None