Merge branch 'master' into yakir/feat/delete-orders

jesse/indicators/__init__.py

@@ -178,3 +178,4 @@
 from .waddah_attr_explosion import waddah_attar_explosion
 from .stiffness import stiffness
 from .ttm_squeeze import ttm_squeeze
+from .support_resistance_with_break import support_resistance_with_breaks

jesse/indicators/support_resistance_with_break.py

@@ -0,0 +1,117 @@
+from collections import namedtuple
+
+import numpy as np
+from .ema import ema
+
+SupportResistanceWithBreaks = namedtuple('SupportResistanceWithBreaks', ['support', 'resistance', 'red_break', 'green_break', 'bear_wick', 'bull_wick'])
+
+
+def support_resistance_with_breaks(candles: np.ndarray, left_bars: int = 15, right_bars: int = 15, vol_threshold: int = 20) -> SupportResistanceWithBreaks:
+    """
+    support_resistance_with_breaks
+
+    @author LuxAlgo
+    credits: https://www.tradingview.com/script/JDFoWQbL-Support-and-Resistance-Levels-with-Breaks-LuxAlgo
+
+    :param candles: np.ndarray
+    :param left_bars: int - default: 15
+    :param right_bars: int - default: 15
+    :param vol_threshold: int - default: 20
+    :return: SupportResistanceWithBreaks(support, resistance, red_break, green_break, bear_wick, bull_wick)
+    """
+    resistance = _resistance(candles[:, 3], left_bars, right_bars)
+    support = _support(candles[:, 4], left_bars, right_bars)
+
+    short = ema(candles[:, 5], 5)
+    long = ema(candles[:, 5], 10)
+    osc = 100 * (short - long) / long
+
+    last_candles = candles[0]
+
+    red_break = True if last_candles[2] < support and not abs(
+        last_candles[1] - last_candles[2]) < abs(last_candles[1] - last_candles[3]) and osc > vol_threshold else False
+    green_break = True if last_candles[2] > resistance and abs(
+        last_candles[1] - last_candles[4]) > abs(last_candles[1] - last_candles[2]) and osc > vol_threshold else False
+
+    bull_wick = True if last_candles[2] > resistance and abs(last_candles[1] - last_candles[4]) > abs(last_candles[1] - last_candles[2]) else False
+    bear_wick = True if last_candles[2] < support and abs(last_candles[1] - last_candles[2]) < abs(last_candles[1] - last_candles[3]) else False
+
+    return SupportResistanceWithBreaks(support, resistance, red_break, green_break, bear_wick, bull_wick)
+
+
+def _resistance(source, left_bars, right_bars):
+    pivot_highs = [None] * len(source)  # Initialize result list with None
+
+    for i in range(left_bars, len(source) - right_bars):
+        is_pivot_high = True
+
+        # Check left bars for higher high
+        for j in range(1, left_bars + 1):
+            if source[i] <= source[i - j]:
+                is_pivot_high = False
+                break
+
+        # Check right bars for higher high
+        if is_pivot_high:
+            for j in range(1, right_bars + 1):
+                if source[i] <= source[i + j]:
+                    is_pivot_high = False
+                    break
+
+        if is_pivot_high:
+            is_pivot_high = source[i]
+
+        pivot_highs[i] = is_pivot_high
+
+    next_valid = None
+    first_value = None
+    for i in range(len(pivot_highs)):
+        if pivot_highs[i] is False:
+            pivot_highs[i] = next_valid
+        elif pivot_highs[i] is not None:  # Update next_valid if it's not False or None
+            next_valid = pivot_highs[i]
+            first_value = i if first_value is None else first_value
+
+    pivot_highs[:first_value - 1] = [pivot_highs[first_value]] * len(pivot_highs[:first_value - 1])
+    pivot_highs[-right_bars:] = [pivot_highs[-right_bars - 1]] * len(pivot_highs[-right_bars:])
+
+    return pivot_highs[-1]
+
+
+def _support(source, left_bars, right_bars):
+    pivot_lows = [None] * len(source)  # Initialize result list with None
+
+    for i in range(left_bars, len(source) - right_bars):
+        is_pivot_low = True
+
+        # Check left bars for lower low
+        for j in range(1, left_bars + 1):
+            if source[i] >= source[i - j]:
+                is_pivot_low = False
+                break
+
+        # Check right bars for lower low
+        if is_pivot_low:
+            for j in range(1, right_bars + 1):
+                if source[i] >= source[i + j]:
+                    is_pivot_low = False
+                    break
+
+        if is_pivot_low:
+            is_pivot_low = source[i]
+
+        pivot_lows[i] = is_pivot_low
+
+    next_valid = None
+    first_value = None
+    for i in range(len(pivot_lows)):
+        if pivot_lows[i] is False:
+            pivot_lows[i] = next_valid
+        elif pivot_lows[i] is not None:  # Update next_valid if it's not False or None
+            next_valid = pivot_lows[i]
+            first_value = i if first_value is None else first_value
+
+    pivot_lows[:first_value - 1] = [pivot_lows[first_value]] * len(pivot_lows[:first_value - 1])
+    pivot_lows[-right_bars:] = [pivot_lows[-right_bars - 1]] * len(pivot_lows[-right_bars:])
+
+    return pivot_lows[-1]

jesse/modes/optimize_mode/Optimize.py

@@ -7,7 +7,6 @@
 import click
 import numpy as np
 import pydash
-from numpy import ndarray
 from pandas import json_normalize
 from timeloop import Timeloop
 

jesse/modes/optimize_mode/fitness.py

@@ -43,7 +43,7 @@ def get_fitness(
             candles=training_candles,
             warmup_candles=training_warmup_candles,
             hyperparameters=hp,
-            fast_mode=True
+            fast_mode=False
         )['metrics']
     except Exception as e:
         exc_type, exc_value, exc_traceback = sys.exc_info()
@@ -121,7 +121,7 @@ def get_fitness(
             candles=testing_candles,
             warmup_candles=testing_warmup_candles,
             hyperparameters=hp,
-            fast_mode=True
+            fast_mode=False
         )['metrics']
 
         # log for debugging/monitoring

jesse/version.py

@@ -1 +1 @@
-__version__ = '0.48.5'
+__version__ = '0.48.6'

requirements.txt

@@ -17,7 +17,7 @@ quantstats==0.0.47
 requests==2.32.0
 scipy
 statsmodels==0.14.0
-TA-Lib==0.4.28
+TA-Lib==0.4.31
 tabulate==0.8.9
 timeloop==1.0.2
 websocket-client==1.8.0

setup.py

@@ -1,7 +1,7 @@
 from setuptools import setup, find_packages
 
 # also change in version.py
-VERSION = '0.48.5'
+VERSION = '0.48.6'
 DESCRIPTION = "A trading framework for cryptocurrencies"
 with open("requirements.txt", "r", encoding="utf-8") as f:
     REQUIRED_PACKAGES = f.read().splitlines()

tests/test_indicators.py

@@ -2358,3 +2358,15 @@ def test_ttm_squeeze():
     result = ta.ttm_squeeze(candles)
 
     assert result == True
+
+
+def test_support_resistance_with_breaks():
+    candles = np.array(test_candles_19)
+    result = ta.support_resistance_with_breaks(candles)
+
+    assert result.support == 116.26
+    assert result.resistance == 288.41
+    assert result.red_break == False
+    assert result.green_break == False
+    assert result.bear_wick == False
+    assert result.bull_wick == False