timeseries-julia-python
random julia and python scripts analyzing stock timeseries data
commit 7dd73bc9ab7ce86eb4b5c153c4979e1c10b82d46 Author: Jul <jul@9o.is> Date: Mon, 4 Jan 2021 12:30:00 -0500 init Diffstat:
| A | AAPL_spike/AAPL.csv | | | 8957 | +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ |
| A | AAPL_spike/SPX.csv | | | 10222 | +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ |
| A | AAPL_spike/main.jl | | | 89 | +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ |
| A | AAPL_spike/quickcheck.jl | | | 86 | +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ |
| A | AAPL_spike/talib.jl | | | 15 | +++++++++++++++ |
| A | AAPL_spike/template.jl | | | 67 | +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ |
| A | AAPL_spike/time_series.jl | | | 16 | ++++++++++++++++ |
| A | other/sample.jl | | | 60 | ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ |
| A | other/sample2.jl | | | 30 | ++++++++++++++++++++++++++++++ |
| A | sample_scientific/README.md | | | 0 | |
| A | sample_scientific/main.py | | | 28 | ++++++++++++++++++++++++++++ |
| A | sample_scientific/randomwalk.py | | | 25 | +++++++++++++++++++++++++ |
| A | sample_scientific/requirements.txt | | | 6 | ++++++ |
| A | sample_scientific/ta-lib-example.py | | | 96 | +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ |
| A | sample_scientific/walkthrough-talib.py | | | 99 | +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ |
15 files changed, 19796 insertions(+), 0 deletions(-)
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+2020-06-30,3050.2,3111.51,3047.83,3100.29 +2020-07-01,3105.92,3128.44,3101.17,3115.86 +2020-07-02,3143.64,3165.81,3124.52,3130.01 +2020-07-06,3155.29,3182.59,3155.29,3179.72 +2020-07-07,3166.44,3184.15,3142.93,3145.32 +2020-07-08,3153.07,3171.8,3136.53,3169.94 +2020-07-09,3176.17,3179.78,3115.7,3152.05 +2020-07-10,3152.47,3186.82,3136.22,3185.04 +\ No newline at end of file diff --git a/AAPL_spike/main.jl b/AAPL_spike/main.jl @@ -0,0 +1,89 @@ +using TimeSeries +using Statistics +using Dates + +include("time_series.jl") +include("talib.jl") + +## data + +AAPL_D = readtimearray("AAPL.csv") +SPX_D = readtimearray("SPX.csv") + +AAPL_W = collapse_ohlc_weekly(AAPL_D) +SPX_W = collapse_ohlc_weekly(SPX_D) + +## indicators + +SPX_W_SMA_10 = sma(SPX_W.Close, 10) +AAPL_W_High_20 = high(AAPL_W.High, 20) +AAPL_W_RoC_20 = roc(AAPL_W.Close, 20) +AAPL_W_EMA_07 = ema(AAPL_W.Close, 7) + +## strategy + +bullish_SPX = findwhen(SPX_W.Close .> SPX_W_SMA_10) +higher_high_APPL = findwhen(AAPL_W.High .== AAPL_W_High_20) +momentum_AAPL = findwhen(AAPL_W_RoC_20 .> 0.3) +buy_dates = intersect(bullish_SPX, higher_high_APPL, momentum_AAPL) .+ Week(1) # buy next week because indicators use closing price + + +################### backtest +gettime(ta::TimeArray) = timestamp(ta)[1] +getvalue(ta::TimeArray) = values(ta)[1] + +account_capital_initial = 1.0 +account_capital = account_capital_initial +percent_gain = 0.0 +no_of_trades = 0 +no_of_wins = 0 + +bt_date = buy_dates[1] +buy_price = getvalue(AAPL_W[bt_date].Open) + +function set_stop_loss(date::TimeType, buy_price::Float64) + bullish_broader_market = getvalue(SPX_W[date].Close) > getvalue(SPX_W_SMA_10[date]) + risk = bullish_broader_market ? 0.2 : 0.1 + initial_stop_loss = buy_price - (buy_price * risk) + + enable_trailing_stop = getvalue(AAPL_W[date].Close) > buy_price + (buy_price * 0.1) + ema = getvalue(AAPL_W_EMA_07[date]) + enable_trailing_stop ? max(buy_price, ema) : initial_stop_loss +end + +stop_loss = set_stop_loss(bt_date, buy_price) +profit_target = buy_price + (buy_price * 1) + +lastdate = gettime(AAPL_W[end]) +while bt_date <= lastdate + o,h,l,c = values(AAPL_W[bt_date]) # assumes order in ohlc + + if l <= stop_loss # includes inital and trailing + net_profit = stop_loss - buy_price + println("netp", net_profit) + global account_capital += net_profit + global percent_gain = (account_capital - account_capital_initial) / account_capital_initial + global no_of_trades += 1 + global no_of_wins += net_profit > 0 ? 1 : 0 + global bt_date = buy_dates[findfirst(date -> date > bt_date, buy_dates)] + if isnothing(bt_date) break end + elseif h > profit_target + net_profit = profit_target - buy_price + global account_capital += net_profit + global percent_gain = (account_capital - account_capital_initial) / account_capital_initial + global no_of_trades += 1 + global no_of_wins += net_profit > 0 ? 1 : 0 + global bt_date = buy_dates[findfirst(date -> date > bt_date, buy_dates)] + if isnothing(bt_date) break end + else + global stop_loss = set_stop_loss(bt_date, buy_price) + global bt_date += Week(1) + end +end + +## for each tick +# update bt_date +# get ohlc of bt_date +# check if stop_loss was hit, if so, update account capital w/net profit, and buy next buy_dates on bt_date +# check if profit_tg was hit, if so, update account capital w/net profit, and buy next buy_dates on bt_date +# update stop loss diff --git a/AAPL_spike/quickcheck.jl b/AAPL_spike/quickcheck.jl @@ -0,0 +1,86 @@ +# A Julia implementation of QuickCheck, a specification-based tester +# +# QuickCheck was originally written for Haskell by Koen Claessen and John Hughes +# http://www.cse.chalmers.se/~rjmh/QuickCheck/ + +module QuickCheck + +export property +export condproperty +export quantproperty + +function lambda_arg_types(f::Function) + if !isa(f.code, LambdaStaticData) + error("You must supply either an anonymous function with typed arguments or an array of argument types.") + end + [eval(var.args[2]) for var in Base.uncompressed_ast(f.code).args[1]] +end + +# Simple properties +function property(prop::Function, typs::Vector, ntests) + arggens = [size -> generator(typ, size) for typ in typs] + quantproperty(prop, typs, ntests, arggens...) +end +property(prop::Function, typs::Vector) = property(prop, typs, 100) +property(prop::Function, ntests) = property(prop, lambda_arg_types(prop), ntests) +property(prop::Function) = property(prop, 100) + +# Conditional properties +function condproperty(prop::Function, typs::Vector, ntests, maxtests, argconds...) + arggens = [size -> generator(typ, size) for typ in typs] + check_property(prop, arggens, argconds, ntests, maxtests) +end +condproperty(prop::Function, args...) = condproperty(prop, lambda_arg_types(prop), args...) + +# Quantified properties (custom generators) +function quantproperty(prop::Function, typs::Vector, ntests, arggens...) + argconds = [(_...)->true for t in typs] + check_property(prop, arggens, argconds, ntests, ntests) +end +quantproperty(prop::Function, args...) = quantproperty(prop, lambda_arg_types(prop), args...) + +function check_property(prop::Function, arggens, argconds, ntests, maxtests) + totalTests = 0 + for i in 1:ntests + goodargs = false + args = {} + while !goodargs + totalTests += 1 + if totalTests > maxtests + println("Arguments exhausted after $i tests.") + return + end + args = [arggen(div(i,2)+3) for arggen in arggens] + goodargs = all([cond(args...) for cond in argconds]) + end + if !prop(args...) + error("Falsifiable, after $i tests:\n$args") + end + end + println("OK, passed $ntests tests.") +end + +# Default generators for primitive types +generator{T<:Unsigned}(::Type{T}, size) = convert(T, rand(1:size)) +generator{T<:Signed}(::Type{T}, size) = convert(T, rand(-size:size)) +generator{T<:FloatingPoint}(::Type{T}, size) = convert(T, (rand()-0.5).*size) +# This won't generate interesting UTF-8, but doing that is a Hard Problem +generator{T<:String}(::Type{T}, size) = convert(T, randstring(size)) + +generator(::Type{Any}, size) = error("Property variables cannot by typed Any.") + +# Generator for array types +function generator{T,n}(::Type{Array{T,n}}, size) + dims = [rand(1:size) for i in 1:n] + reshape([generator(T, size) for x in 1:prod(dims)], dims...) +end + +# Generator for composite types +function generator{C}(::Type{C}, size) + if C.types == () + error("No generator defined for type $C.") + end + C([generator(T, size) for T in C.types]...) +end + +end diff --git a/AAPL_spike/talib.jl b/AAPL_spike/talib.jl @@ -0,0 +1,15 @@ +using TimeSeries + +average(A::AbstractArray) = sum(A) / length(A) + +exponential_average(A::AbstractArray) = + let smoothing = 2 / (length(A) + 1) + reduce((acc, value) -> value * smoothing + acc * (1-smoothing), A) + end + +rate_of_change(A::AbstractArray) = (A[end] - A[1]) / A[1] + +sma(ta::TimeArray, n::Int) = moving(average, ta, n) +ema(ta::TimeArray, n::Int) = moving(exponential_average, ta, n) +high(ta::TimeArray, n::Int) = moving(maximum, ta, n) +roc(ta::TimeArray, n::Int) = moving(rate_of_change, ta, n) diff --git a/AAPL_spike/template.jl b/AAPL_spike/template.jl @@ -0,0 +1,67 @@ +using Dates + +const Ticker = String + +struct Market + symbol::Ticker + description::String + source::String + + function Market(symbol::String, description::String, source::String) + new(symbol, description, source) + end +end + +Market(symbol::String) = Market(symbol, "", "") + +function search_market(query::String, by_description = true)::Array{Market} + [Market("AAPL")] +end + +abstract type Resolution end +struct Minutely <: Resolution end +struct Hourly <: Resolution end +struct Daily <: Resolution end +struct Weekly <: Resolution end +struct Monthly <: Resolution end + +abstract type FinancialTimeSeries{T <: Resolution, N} end + +struct SingleColumnTimeSeries{T} <: FinancialTimeSeries{T,1} + ta::Int + function SingleColumnTimeSeries{T}() where {T <: Resolution} + # asset input series has a one column only + new() + end +end + +struct OhlcTimeSeries{T} <: FinancialTimeSeries{T,4} + ta::Int + function OhlcTimeSeries{T}() where {T <: Daily} + # assert that input is actually a daily time series + # @assert valid_ohlc(...) + new() + end +end + +Base.propertynames(ts::OhlcTimeSeries) = [:Open, :High, :Low, :Close] +Base.getproperty(ts::OhlcTimeSeries{T}, s::Symbol) where T = SingleColumnTimeSeries{T}() # get H,L,O, or C + +function valid_ohlc(ts::FinancialTimeSeries) + # check if Open, etc columns exist and the values of float32+ +end + + +# TimeType can be more specific if it's parametric to the resolution +function daily_ohlc(market::Market, start_date::Date, end_date::Date) + # query broker + # build timeseries object + # maybe collapse data + OhlcTimeSeries{Daily}() +end + +ema(ts::FinancialTimeSeries{<:Resolution,1}, n::Int) = 0 + +ts = daily_ohlc(Market("AAPL"), Date(1990), Date(2000)) +ta = ema(ts.Open, 10) + diff --git a/AAPL_spike/time_series.jl b/AAPL_spike/time_series.jl @@ -0,0 +1,16 @@ +using TimeSeries +import TimeSeries.collapse + +function collapse(ta::TimeArray, period::Function, timestamp::Function, aggregates::AbstractDict{Symbol,Function}) + collapsed = [collapse(ta[symbol], period, timestamp, get(aggregates, symbol, first)) for symbol in colnames(ta)] + merge(collapsed..., method = :outer) +end + +function collapse_ohlc(ta::TimeArray, period::Function, timestamp::Function) + aggregates = Dict(:Open => first, :High => maximum, :Low => minimum, :Close => last) + collapse(ta, period, timestamp, aggregates) +end + +function collapse_ohlc_weekly(ta::TimeArray, timestamp::Function = firstdayofweek ∘ first) + collapse_ohlc(ta, week, timestamp) +end diff --git a/other/sample.jl b/other/sample.jl @@ -0,0 +1,60 @@ +using Indicators +using PyPlot +using Dates +using Random + +# Generate some toy sample data +Random.seed!(1) +n = 250 +Open = 100.0 .+ cumsum(randn(n)) +High = Open .+ rand(n) +Low = Open .- rand(n) +Close = 100.0 .+ cumsum(randn(n)) +for i = 1:n + if Close[i] > High[i] + Close[i] = High[i] + elseif Close[i] < Low[i] + Close[i] = Low[i] + end +end +OHLC = [Open High Low Close] +HLC = [High Low Close] +HL = [High Low] +t = collect(today():Day(1):today()+Day(n-1)) + +# Overlays +subplot(411) +plot(t, Close, lw=2, c="k", label="Random Walk") +# grid(ls="-", c=[0.8,0.8,0.8]) +# plot(t, sma(Close,n=40), c=[1,0.5,0], label="SMA (40)") +# plot(t, ema(Close,n=10), c=[0,1,1], label="EMA (10)") +# plot(t, wma(Close,n=20), c=[1,0,1], label="WMA (20)") +# plot(t, psar(HL), "bo", label="Parabolic SAR") +# legend(loc="best", frameon=false) + +# # MACD +# subplot(412) +# plot(t, macd(Close)[:,1], label="MACD", c=[1,0.5,1]) +# plot(t, macd(Close)[:,2], label="Signal", c=[0.5,0.25,0.5]) +# bar(t, macd(Close)[:,3], align="center", label="Histogram", color=[0,0.5,0.5], alpha=0.25) +# plot([t[1],t[end]], [0,0], ls="--", c=[0.5,0.5,0.5]) +# grid(ls="-", c=[0.8,0.8,0.8]) +# legend(loc="best", frameon=false) +# +# # RSI +# subplot(413) +# plot(t, rsi(Close), c=[0.5,0.5,0], label="RSI") +# grid(ls="-", c=[0.8,0.8,0.8]) +# plot([t[1],t[end]], [30,30], c="g") +# plot([t[1],t[end]], [70,70], c="r") +# legend(loc="best", frameon=false) + +# ADX +# subplot(414) +# plot(t, adx(HLC)[:,1], "g-", label="DI+") +# plot(t, adx(HLC)[:,2], "r-", label="DI-") +# plot(t, adx(HLC)[:,3], c=[0,0,1], lw=2, label="ADX") +# grid(ls="-", c=[0.8,0.8,0.8]) +# legend(loc="best", frameon=false) + +tight_layout() diff --git a/other/sample2.jl b/other/sample2.jl @@ -0,0 +1,30 @@ +#!/usr/bin/julia + +using Plots +using Random +using Dates + +function run_sample() + theme(:dark) + + # Generate some toy sample data + Random.seed!(1) + n = 250 + Open = 100.0 .+ cumsum(randn(n)) + High = Open .+ rand(n) + Low = Open .- rand(n) + Close = 100.0 .+ cumsum(randn(n)) + for i = 1:n + if Close[i] > High[i] + Close[i] = High[i] + elseif Close[i] < Low[i] + Close[i] = Low[i] + end + end + OHLC = [Open High Low Close] + HLC = [High Low Close] + HL = [High Low] + t = collect(today():Day(1):today()+Day(n-1)) + println("Plotting...?") + plot(t, Close, lw=2, label="Random Walk") +end diff --git a/sample_scientific/README.md b/sample_scientific/README.md diff --git a/sample_scientific/main.py b/sample_scientific/main.py @@ -0,0 +1,28 @@ +import numpy as np +import matplotlib.pyplot as plt + +# %% Build a scatter plot +N = 50 +x = np.random.rand(N) +y = np.random.rand(N) +colors = np.random.rand(N) +area = np.pi * (15 * np.random.rand(N)) ** 2 # 0 to 15 point radii +plt.scatter(x, y, s=area, c=colors, alpha=0.5) +plt.show() + +# %% Build something else +X = np.linspace(-np.pi, np.pi, 256, endpoint=True) +C, S = np.cos(X), np.sin(X) + +plt.plot(X, C, color="blue", linewidth=2.5, linestyle="-") +plt.plot(X, S, color="red", linewidth=2.5, linestyle="-") + +plt.xlim(X.min() * 1.1, X.max() * 1.1) +plt.xticks([-np.pi, -np.pi / 2, 0, np.pi / 2, np.pi], + [r'$-\pi$', r'$-\pi/2$', r'$0$', r'$+\pi/2$', r'$+\pi$']) + +plt.ylim(C.min() * 1.1, C.max() * 1.1) +plt.yticks([-1, 0, +1], + [r'$-1$', r'$0$', r'$+1$']) + +plt.show() diff --git a/sample_scientific/randomwalk.py b/sample_scientific/randomwalk.py @@ -0,0 +1,24 @@ +import numpy as np +import matplotlib.pyplot as plt + +# Probability to move up or down +prob = [0.05, 0.95] + +# statically defining the starting position +start = 2 +positions = [start] + +# creating the random points +rr = np.random.random(1000) +downp = rr < prob[0] +upp = rr > prob[1] + + +for idownp, iupp in zip(downp, upp): + down = idownp and positions[-1] > 1 + up = iupp and positions[-1] < 4 + positions.append(positions[-1] - down + up) + +# plotting down the graph of the random walk in 1D +plt.plot(positions) +plt.show() +\ No newline at end of file diff --git a/sample_scientific/requirements.txt b/sample_scientific/requirements.txt @@ -0,0 +1,5 @@ +numpy~=1.18.1 +matplotlib~=3.1.3 +pandas~=1.0.3 +mplfinance~=0.12.5a2 +python-dateutil~=2.8.1 +\ No newline at end of file diff --git a/sample_scientific/ta-lib-example.py b/sample_scientific/ta-lib-example.py @@ -0,0 +1,95 @@ +from pandas_datareader import data +import pandas as pd +import numpy as np +import talib as ta +import matplotlib.pyplot as plt +import matplotlib.dates as mdates +import matplotlib.gridspec as gridspec +from matplotlib.dates import date2num +from mplfinance.original_flavor import candlestick_ohlc as candlestick +import datetime + +ticker = 'OPK' + +# Download sample data +sec_id = data.get_data_yahoo(ticker, '2014-06-01') + +# Data for matplotlib finance plot +sec_id_ochl = np.array(pd.DataFrame({'0':date2num(sec_id.index.to_pydatetime()), + '1':sec_id.Open, + '2':sec_id.Close, + '3':sec_id.High, + '4':sec_id.Low})) + +# Technical Analysis +SMA_FAST = 50 +SMA_SLOW = 200 +RSI_PERIOD = 14 +RSI_AVG_PERIOD = 15 +MACD_FAST = 12 +MACD_SLOW = 26 +MACD_SIGNAL = 9 +STOCH_K = 14 +STOCH_D = 3 +SIGNAL_TOL = 3 +Y_AXIS_SIZE = 12 + +analysis = pd.DataFrame(index = sec_id.index) + +analysis['sma_f'] = pd.rolling_mean(sec_id.Close, SMA_FAST) +analysis['sma_s'] = pd.rolling_mean(sec_id.Close, SMA_SLOW) +analysis['rsi'] = ta.RSI(sec_id.Close.as_matrix(), RSI_PERIOD) +analysis['sma_r'] = pd.rolling_mean(analysis.rsi, RSI_AVG_PERIOD) # check shift +analysis['macd'], analysis['macdSignal'], analysis['macdHist'] = ta.MACD(sec_id.Close.as_matrix(), fastperiod=MACD_FAST, slowperiod=MACD_SLOW, signalperiod=MACD_SIGNAL) +analysis['stoch_k'], analysis['stoch_d'] = ta.STOCH(sec_id.High.as_matrix(), sec_id.Low.as_matrix(), sec_id.Close.as_matrix(), slowk_period=STOCH_K, slowd_period=STOCH_D) + +analysis['sma'] = np.where(analysis.sma_f > analysis.sma_s, 1, 0) +analysis['macd_test'] = np.where((analysis.macd > analysis.macdSignal), 1, 0) +analysis['stoch_k_test'] = np.where((analysis.stoch_k < 50) & (analysis.stoch_k > analysis.stoch_k.shift(1)), 1, 0) +analysis['rsi_test'] = np.where((analysis.rsi < 50) & (analysis.rsi > analysis.rsi.shift(1)), 1, 0) + +# Prepare plot +fig, (ax1, ax2, ax3, ax4) = plt.subplots(4, 1, sharex=True) +ax1.set_ylabel(ticker, size=20) + +#size plot +fig.set_size_inches(15,30) + +# Plot candles +candlestick(ax1, sec_id_ochl, width=0.5, colorup='g', colordown='r', alpha=1) + +# Draw Moving Averages +analysis.sma_f.plot(ax=ax1, c='r') +analysis.sma_s.plot(ax=ax1, c='g') + +#RSI +ax2.set_ylabel('RSI', size=Y_AXIS_SIZE) +analysis.rsi.plot(ax = ax2, c='g', label = 'Period: ' + str(RSI_PERIOD)) +analysis.sma_r.plot(ax = ax2, c='r', label = 'MA: ' + str(RSI_AVG_PERIOD)) +ax2.axhline(y=30, c='b') +ax2.axhline(y=50, c='black') +ax2.axhline(y=70, c='b') +ax2.set_ylim([0,100]) +handles, labels = ax2.get_legend_handles_labels() +ax2.legend(handles, labels) + +# Draw MACD computed with Talib +ax3.set_ylabel('MACD: '+ str(MACD_FAST) + ', ' + str(MACD_SLOW) + ', ' + str(MACD_SIGNAL), size=Y_AXIS_SIZE) +analysis.macd.plot(ax=ax3, color='b', label='Macd') +analysis.macdSignal.plot(ax=ax3, color='g', label='Signal') +analysis.macdHist.plot(ax=ax3, color='r', label='Hist') +ax3.axhline(0, lw=2, color='0') +handles, labels = ax3.get_legend_handles_labels() +ax3.legend(handles, labels) + +# Stochastic plot +ax4.set_ylabel('Stoch (k,d)', size=Y_AXIS_SIZE) +analysis.stoch_k.plot(ax=ax4, label='stoch_k:'+ str(STOCH_K), color='r') +analysis.stoch_d.plot(ax=ax4, label='stoch_d:'+ str(STOCH_D), color='g') +handles, labels = ax4.get_legend_handles_labels() +ax4.legend(handles, labels) +ax4.axhline(y=20, c='b') +ax4.axhline(y=50, c='black') +ax4.axhline(y=80, c='b') + +plt.show() +\ No newline at end of file diff --git a/sample_scientific/walkthrough-talib.py b/sample_scientific/walkthrough-talib.py @@ -0,0 +1,99 @@ +import pandas as pd +from datetime import datetime, timedelta +from dateutil.relativedelta import relativedelta +import talib +import matplotlib.pyplot as plt +from mplfinance.original_flavor import candlestick_ohlc +from matplotlib.pylab import date2num + +# Get today's date as UTC timestamp +today = datetime.today().strftime("%d/%m/%Y") +today = datetime.strptime(today + " +0000", "%d/%m/%Y %z") +to = int(today.timestamp()) +# Get date ten years ago as UTC timestamp +ten_yr_ago = today - relativedelta(years=10) +fro = int(ten_yr_ago.timestamp()) + + +def get_price_hist(ticker): + # Put stock price data in dataframe + url = "https://query1.finance.yahoo.com/v7/finance/download/{" \ + "ticker}?period1={fro}&period2={" \ + "to}&interval=1d&events=history".format(ticker=ticker, fro=fro, to=to) + data = pd.read_csv(url) + + # Convert date to timestamp and make index + data.index = data["Date"].apply(lambda x: pd.Timestamp(x)) + data.drop("Date", axis=1, inplace=True) + + return data + + +def get_indicators(data): + # Get MACD + data["macd"], data["macd_signal"], data["macd_hist"] = talib.MACD( + data['Close']) + + # Get MA10 and MA30 + data["ma10"] = talib.MA(data["Close"], timeperiod=10) + data["ma30"] = talib.MA(data["Close"], timeperiod=30) + + # Get RSI + data["rsi"] = talib.RSI(data["Close"]) + return data + + +def plot_chart(data, n, ticker): + # Filter number of observations to plot + data = data.iloc[-n:] + + # Create figure and set axes for subplots + fig = plt.figure() + fig.set_size_inches((20, 16)) + ax_candle = fig.add_axes((0, 0.72, 1, 0.32)) + ax_macd = fig.add_axes((0, 0.48, 1, 0.2), sharex=ax_candle) + ax_rsi = fig.add_axes((0, 0.24, 1, 0.2), sharex=ax_candle) + ax_vol = fig.add_axes((0, 0, 1, 0.2), sharex=ax_candle) + + # Format x-axis ticks as dates + ax_candle.xaxis_date() + + # Get nested list of date, open, high, low and close prices + ohlc = [] + for date, row in data.iterrows(): + openp, highp, lowp, closep = row[:4] + ohlc.append([date2num(date), openp, highp, lowp, closep]) + + # Plot candlestick chart + ax_candle.plot(data.index, data["ma10"], label="MA10") + ax_candle.plot(data.index, data["ma30"], label="MA30") + candlestick_ohlc(ax_candle, ohlc, colorup="g", colordown="r", width=0.8) + ax_candle.legend() + + # Plot MACD + ax_macd.plot(data.index, data["macd"], label="macd") + ax_macd.bar(data.index, data["macd_hist"] * 3, label="hist") + ax_macd.plot(data.index, data["macd_signal"], label="signal") + ax_macd.legend() + + # Plot RSI + # Above 70% = overbought, below 30% = oversold + ax_rsi.set_ylabel("(%)") + ax_rsi.plot(data.index, [70] * len(data.index), label="overbought") + ax_rsi.plot(data.index, [30] * len(data.index), label="oversold") + ax_rsi.plot(data.index, data["rsi"], label="rsi") + ax_rsi.legend() + + # Show volume in millions + ax_vol.bar(data.index, data["Volume"] / 1000000) + ax_vol.set_ylabel("(Million)") + + # Save the chart as PNG + fig.savefig("charts/" + ticker + ".png", bbox_inches="tight") + + plt.show() + + +nflx_df = get_price_hist("NFLX") +nflx_df2 = get_indicators(nflx_df) +plot_chart(nflx_df2, 180, "NFLX")