Files
quant/research/event_factors.py

35 lines
1.3 KiB
Python

import numpy as np
import pandas as pd
TRAILING_HIGH_WINDOW = 60
COMPRESSION_WINDOW = 20
VOLUME_WINDOW = 20
def breakout_after_compression_score(
close: pd.DataFrame,
high: pd.DataFrame,
low: pd.DataFrame,
volume: pd.DataFrame,
) -> pd.DataFrame:
"""Score breakout setups and shift the result so it is tradable next day."""
close = close.sort_index()
high = high.reindex(index=close.index, columns=close.columns).sort_index()
low = low.reindex(index=close.index, columns=close.columns).sort_index()
volume = volume.reindex(index=close.index, columns=close.columns).sort_index()
trailing_high = close.rolling(TRAILING_HIGH_WINDOW, min_periods=TRAILING_HIGH_WINDOW).max()
proximity_to_high = close / trailing_high.replace(0, np.nan)
recent_high = high.rolling(COMPRESSION_WINDOW, min_periods=COMPRESSION_WINDOW).max()
recent_low = low.rolling(COMPRESSION_WINDOW, min_periods=COMPRESSION_WINDOW).min()
recent_mid = (recent_high + recent_low) / 2
compressed_range = -((recent_high - recent_low) / recent_mid.replace(0, np.nan))
median_volume = volume.rolling(VOLUME_WINDOW, min_periods=VOLUME_WINDOW).median()
abnormal_volume = volume / median_volume.replace(0, np.nan)
score = proximity_to_high + compressed_range + abnormal_volume
return score.shift(1)