pytrading

Python-library for algorithmic trading based on technical indicators with backtesting ability. Data is pulled from the Yahoo Finance API.

Usage

First create a gateway to a datasource. Currently, only Yahoo Finance is available.

from trading.gateway.yahoo import YahooGateway
gateway = YahooGateway()

Create a StockData object which holds and manipulates the stock data and load stock data for a specific symbol or index into it.

from trading.model.data import StockData
data = StockData()
data.set_gateway(gateway)
data.load("VOW3.DE")

Use the analysis library to calculate indicators for the stock data.

from trading.analysis.average import macd
macd, signal = macd(data)

Documentation

Analysis

The following functions for technical analysis are available.

Package trading.analysis.average

ma = ma(stockdata, interval=10)

Calculates the moving average for a specific StockData object with a moving window of interval days. Returns ma 1d array, the moving average.

ema = ema(stockdata, interval=8)

Calculates the exponential moving average for a specific StockData object with a exponential window of interval days. Returns ema 1d array, the exponential moving average.

macd, signal = macd(stockdata, fast=12, slow=26, signal_t=9)

Calculates the MACD line for a specific StockData object with fast and slow being the two moving averages to compare. The signal time interval of the MACD indicator can be set with signal_t. Returns macd 1d array, the macd indicator. Returns signal 1d array, the signal line.

Package trading.analysis.oscillator

K, D = fstoc(stockdata, interval=14, d_smooth=3)

Calculates the fast stochastic oscillator indicators K and D for a given StockData object, interval being the look-back period and d_smooth being the smoothing period for indicator D. Returns K 1d array, the %K indicator. Returns D 1d array, the %D indicator.

K, D = sstoc(stockdata, interval=14, k_smooth=3, d_smooth=3)

Calculates the slow stochastic oscillator indicators K and D for a given StockData object, interval being the look-back period, k_smooth being the smoothing period for indicator K and d_smooth being the smoothing period for indicator D. Returns K 1d array, the %K indicator. Returns D 1d array, the %D indicator.

rsi = rsi(stockdata, interval=14)

Calculates the relative strength indicator for a given StockData object, interval being the look-back period. Returns rsi 1d array, the RSI indicator.

Package trading.analysis.distribution

lower, middle, upper = bb(stockdata, interval=20, stdev_multiplier=2)

Calculates the Bollinger bands for a given StockData object, interval being the look-back period and stdev_multiplier being the multiplication factor of the standard deviation as the distance between the middle and the upper and lower bollinger band. Returns lower 1d array, the lower Bollinger band. Returns middle 1d array, the middle (moving average) band. Returns upper 1d array, the upper Bollinger band.