analysis_ta_cycle_indicator.py

import numpy as np
import pandas as pd
import talib as ta
from talib import MA_Type
import os
import configparser 

parser = configparser.ConfigParser()
parser.read('config.ini')

current_dir = os.path.dirname(os.path.realpath(__file__))

stock_symbol = parser.get('general_settings','stock_symbol')
base_dir = parser.get('directory','base_dir')
in_dir = parser.get('directory','company_stock_marketprice_baseprice_prefilter')
out_dir = parser.get('directory','company_stock_marketprice_processed')

df = pd.read_csv(current_dir+"/"+base_dir+"/"+in_dir+"/"+in_dir+'_'+stock_symbol+'.csv')

# set numpy datafeed from df:
df_numpy = {
    'Date': np.array(df['date']),
    'Open': np.array(df['open'], dtype='float'),
    'High': np.array(df['high'], dtype='float'),
    'Low': np.array(df['low'], dtype='float'),
    'Close': np.array(df['close'], dtype='float'),
    'Volume': np.array(df['volume'], dtype='float')
    }

date = df_numpy['Date']
openp = df_numpy['Open']
high = df_numpy['High']
low = df_numpy['Low']
close = df_numpy['Close']
volume = df_numpy['Volume']



#########################################
#####  Cycle Indicator Functions #####
#########################################



#HT_DCPERIOD - Hilbert Transform - Dominant Cycle Period
ht_dcperiod = ta.HT_DCPERIOD(close)

#HT_DCPHASE - Hilbert Transform - Dominant Cycle Phase
ht_dcphase = ta.HT_DCPHASE(close)

#HT_PHASOR - Hilbert Transform - Phasor Components
inphase, quadrature = ta.HT_PHASOR(close)

#HT_SINE - Hilbert Transform - SineWave
sine, leadsine = ta.HT_SINE(close)

#HT_TRENDMODE - Hilbert Transform - Trend vs Cycle Mode
ht_trendmode = ta.HT_TRENDMODE(close)


df_save = pd.DataFrame(data ={
    'date': np.array(df['date']),
    'ht_dcperiod':ht_dcperiod,
    'ht_dcphase':ht_dcphase,
    'ht_phasor_inphase':inphase,
    'ht_phasor_quadrature':quadrature,
    'ht_sine_sine':sine,
    'ht_sine_leadsine':leadsine,
    'ht_trendmode': ht_trendmode

})

df_save.to_csv(current_dir+"/"+base_dir+"/"+out_dir+'/'+stock_symbol+"/"+out_dir+'_ta_cycle_indicator_'+stock_symbol+'.csv',index=False)