"""Provides functions to detect crossovers.
- crossover between two series
- crossover between a series and a constant value
"""
import pandas as pd
import operator
[docs]def contains_cross_over(
series1: pd.Series,
series2: pd.Series,
lookback_period: int = 2,
must_return_index: bool = False,
) -> bool:
"""Detect if the first series has crossed over the second. To be used in decide_trades()
:param series1:
A pandas.Series object.
:param series2:
A pandas.Series object.
:lookback_period:
The number of periods to look back to detect a crossover.
:param must_return_index:
If True, also returns the index of the crossover.
:returns:
bool. True if the series has crossed over the other series in the latest iteration, False otherwise.
If must_return_index is True, also returns the index of the crossover. Note the index is a negative index e.g. -1 is the latest index, -2 is the second latest etc.
"""
return _cross_check(series1, series2, lookback_period, must_return_index, operator.gt, operator.lt)
[docs]def contains_cross_under(
series1: pd.Series,
series2: pd.Series,
lookback_period: int = 2,
must_return_index: bool = False,
) -> bool:
"""Detect if the first series has crossed under the second. To be used in decide_trades()
:param series1:
A pandas.Series object.
:param series2:
A pandas.Series object.
:lookback_period:
The number of periods to look back to detect a crossover.
:param must_return_index:
If True, also returns the index of the crossover.
bool. True if the series has crossed under the other series in the latest iteration, False otherwise.
If must_return_index is True, also returns the index of the crossover. Note the index is a negative index e.g. -1 is the latest index, -2 is the second latest etc.
"""
return _cross_check(series1, series2, lookback_period, must_return_index, operator.lt, operator.gt)
def _cross_check(
series1,
series2,
lookback_period,
must_return_index,
comparison_operator,
unlock_operator,
):
assert type(series1) == pd.Series, "Series must be pandas.Series"
assert type(series2) == pd.Series, "Series must be pandas.Series"
assert type(lookback_period) == int, "lookback_period must be int"
assert type(must_return_index) == bool, "must_return_index must be bool"
assert lookback_period >= 2, "lookback_period must be at least 2"
assert len(series1) >= 2, "Series must have at least 2 elements"
assert len(series2) >= 2, "Series must have at least 2 elements"
assert comparison_operator != unlock_operator, "comparison_operator and unlock_operator must be different"
lookback1, lookback2 = _get_lookback(series1, series2, lookback_period)
# get index of cross
cross_index = None
has_crossed = False
locked = True
for i, (x,y) in enumerate(zip(lookback1, lookback2)):
if comparison_operator(x, y) and not locked:
has_crossed = True
cross_index = -(len(lookback1) - i)
locked = True
# don't break since we want to get the latest cross
if unlock_operator(x, y):
locked = False
if must_return_index:
return has_crossed, cross_index
else:
return has_crossed
def _get_lookback(series1, series2, lookback_period):
if len(series1) < lookback_period or len(series2) < lookback_period:
lookback_period = min(len(series1), len(series2))
lookback1 = series1.iloc[-lookback_period:]
lookback2 = series2.iloc[-lookback_period:]
return lookback1,lookback2