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lowkey_backtest/strategies/supertrend_pkg/indicators.py

129 lines
3.6 KiB
Python

"""
Supertrend indicators and helper functions.
"""
import numpy as np
import vectorbt as vbt
from numba import njit
# --- Numba Compiled Helper Functions ---
@njit(cache=False) # Disable cache to avoid stale compilation issues
def get_tr_nb(high, low, close):
"""Calculate True Range (Numba compiled)."""
# Ensure 1D arrays
high = high.ravel()
low = low.ravel()
close = close.ravel()
tr = np.empty_like(close)
tr[0] = high[0] - low[0]
for i in range(1, len(close)):
tr[i] = max(high[i] - low[i], abs(high[i] - close[i-1]), abs(low[i] - close[i-1]))
return tr
@njit(cache=False)
def get_atr_nb(high, low, close, period):
"""Calculate ATR using Wilder's Smoothing (Numba compiled)."""
# Ensure 1D arrays
high = high.ravel()
low = low.ravel()
close = close.ravel()
# Ensure period is native Python int (critical for Numba array indexing)
n = len(close)
p = int(period)
tr = get_tr_nb(high, low, close)
atr = np.full(n, np.nan, dtype=np.float64)
if n < p:
return atr
# Initial ATR is simple average of TR
sum_tr = 0.0
for i in range(p):
sum_tr += tr[i]
atr[p - 1] = sum_tr / p
# Subsequent ATR is Wilder's smoothed
for i in range(p, n):
atr[i] = (atr[i - 1] * (p - 1) + tr[i]) / p
return atr
@njit(cache=False)
def get_supertrend_nb(high, low, close, period, multiplier):
"""Calculate SuperTrend completely in Numba."""
# Ensure 1D arrays
high = high.ravel()
low = low.ravel()
close = close.ravel()
# Ensure params are native Python types (critical for Numba)
n = len(close)
p = int(period)
m = float(multiplier)
atr = get_atr_nb(high, low, close, p)
final_upper = np.full(n, np.nan, dtype=np.float64)
final_lower = np.full(n, np.nan, dtype=np.float64)
trend = np.ones(n, dtype=np.int8) # 1 Bull, -1 Bear
# Skip until we have valid ATR
start_idx = p
if start_idx >= n:
return trend
# Init first valid point
hl2 = (high[start_idx] + low[start_idx]) / 2
final_upper[start_idx] = hl2 + m * atr[start_idx]
final_lower[start_idx] = hl2 - m * atr[start_idx]
# Loop
for i in range(start_idx + 1, n):
cur_hl2 = (high[i] + low[i]) / 2
cur_atr = atr[i]
basic_upper = cur_hl2 + m * cur_atr
basic_lower = cur_hl2 - m * cur_atr
# Upper Band Logic
if basic_upper < final_upper[i-1] or close[i-1] > final_upper[i-1]:
final_upper[i] = basic_upper
else:
final_upper[i] = final_upper[i-1]
# Lower Band Logic
if basic_lower > final_lower[i-1] or close[i-1] < final_lower[i-1]:
final_lower[i] = basic_lower
else:
final_lower[i] = final_lower[i-1]
# Trend Logic
if trend[i-1] == 1:
if close[i] < final_lower[i-1]:
trend[i] = -1
else:
trend[i] = 1
else:
if close[i] > final_upper[i-1]:
trend[i] = 1
else:
trend[i] = -1
return trend
# --- VectorBT Indicator Factory ---
SuperTrendIndicator = vbt.IndicatorFactory(
class_name='SuperTrend',
short_name='st',
input_names=['high', 'low', 'close'],
param_names=['period', 'multiplier'],
output_names=['trend']
).from_apply_func(
get_supertrend_nb,
keep_pd=False, # Disable automatic Pandas wrapping of inputs
param_product=True # Enable Cartesian product for list params
)