Signal Generator Library

A libraray of technical trading signals.

Table of Contents

• Bollinger Bands
• MACD
• EMA
• EMA Crossovers
• SMA
• RSI
• PSAR
• VWAP

Bollinger Bands

• Code
• Takes a dataframe with a single datetime index that contains a column labeled 'Close'
  • optionally, can enter bb_period which is the window size for the SMA's used in the middle, lower and upper bands as well as the SMA used in the signal calculation.
    • Default: bb_period=20
  • optionally, can enter std_dev which is the number of standard deviations that the lower and upper bands are away from the middle band.
    • Default: std_dev=2
• Returns a dataframe with 'close', 'middle_band', 'upper_band', 'lower_band', 'band_delta', 'delta_ewma', 'band_signal', and 'signal' columns
  • The 'signal' column contains either a -1 or 1:
    • -1 = a period of relative volatility
    • 1 = a period of relative stability
• A reading of 1 can indicate a period of relative calm that would insinuate that a period of volatility is just around the corner.

MACD

• Code
• Takes a dataframe that has a datetime index and contains a column labeled 'Close'
  • optionally, takes period_slow which is the slower window of the two EWMAs being compared for the MACD line
    • Default: period_slow=26
  • optionally, takes period_fast which is the faster window of the two EWMAs being compared for the MACD line
    • Default: period_fast=12
  • optionally, takes period_signal which is the window for the EWMA of the Signal line
    • Default: period_signal=9
• Returns a dataframe with 'close', 'slow_ewma', 'fast_ewma', 'macd', 'signal_line', 'con_div', 'macd_signal', 'condiv_signal', and 'signal' columns
  • The 'signal' column contains a -1, 0, or 1:
    • -1 means bearish as both the MACD and convergence/divergence are bearish
    • 0 means neutral as either the MACD or convergence/divergence is bearish and the other is bullish
    • 1 means bullish as both the MACD and convergence/divergence are bullish

EMA

• Code
• Takes a dataframe with a single datetime index that contains a column labeled 'Close'
• Takes period which is the window that is used for the EWMA
  • This is not optional, and no default value exists
• Returns a dataframe with 'close', 'ewma', 'ewma_diff', and 'signal' columns
  • The 'signal' column contains either a -1 or 1:
    • -1 means that the current closing price is below the EWMA and is considered bearish from a momentum standpoint
    • 1 means that the current closing price is above the EWMA and is considered bullish from a momentum standpoint

EMA Crossovers

• Code
• Takes a dataframe with a single datetime index that contains a column labeled 'Close'
  • optionally, takes period_fast which is the faster window of the two EMWAs being compared
    • Default: period_fast=9
  • optionally, takes period_slow which is the slower window of the two EMWAs being compared
    • Default: period_slow=13
  • NOTE: the fast period must be smaller than the slow period.
• Returns a dataframe with 'close', 'fast_ewma', 'slow_ewma', 'ewma_diff', and 'signal' columns
  • The 'signal' columns contains either a -1 or 1:
    • -1 means the fast EWMA has crossed down below the slow EWMA and is generally considered bearish
    • 1 means the fast EWMA has crossed up above the slow EWMA and is generally considered bullish

SMA

• Code
• Takes a dataframe with a single datetime index that contains a column labeled 'Close'
• Takes period which is the window that is used for the SMA
  • This is not optional, and no default value exists
• Returns a dataframe with 'close', 'sma', 'sma_delta', and 'signal' columns
  • The 'signal' column contains either a -1 or 1:
    • -1 means that the current closing price is below the SMA and is considered bearish from a momentum standpoint
    • 1 means that the current closing price is above the SMA and is considered bullish from a momentum standpoint

RSI

• Code
• Takes a dataframe with a single datetime index that contains a column labeled 'Close'
  • optionally, takes period which is the window that is used for the EMA
    • Default: period=14
  • optionally, takes overbought which is the level that the trader considers the asset to be overbought
    • Default: overbought=70
  • optionally, takes oversold which is the level that the trader considers the asset to be oversold
    • Default: oversold=30
• Returns a dataframe with 'close', 'rsi' and 'signal' columns
  • The 'signal' column contains either a -1, 0, or 1:
    • -1 means that the current closing price is above the overbought value and is considered bearish
    • 0 means that the current closing price is between the overbought and oversold values and is considered neutral
    • 1 means that the current closing price is below the oversold value and is considered bullish

PSAR

• Code
• Takes a dataframe with a single datetime index that contains columns labeled 'Close', 'Low', and 'High'
  • optionally, takes af_start which is the beginning point for the Acceleration Factoer (AF)
    • Default: af_start=0.02
  • optionally, takes af_step which is the step size for when AF is changed
    • Default: af_step=0.02
  • optionally, takes af_max which is the maximum step size allowed
    • Default: af_max
• Returns a dataframe with 'Close', 'Low', 'High', 'af', 'trend', 'trend_high', 'trend_low', 'ep', 'psar_init', 'psar_final', and 'signal' columns
  • The 'signal' column contains either a -1 or 0:
    • -1 means that the trend is downward and could be considered bearish
    • 1 means that the trend is upward and could be considered bullish
• Other data can be obtained from this signal, i.e. - the 'psar_final' column could be considered a stop for any closing period as a risk mitigation strategy (if you are in an uptrend and you take out a long position, and then the price drops to the PSAR; that is the stop that would signal to exit the trade as the trend is flipping and becoming bearish)

VWAP

• STILL TESTING -- CONSIDER THIS IN BETA
• Code
• Takes a dataframe with columns 'Close', 'High', 'Low', and 'Volume'
• Returns a dataframe with 'avg_price', 'current_day', 'prev_day', 'daily_cum_vol', 'vwap' and 'signal' added to the original df
  • The signal column contains either a 1 or -1
    • -1 means that the current price is below the VWAP and can be considered bearish from a momentum standpoint
    • 1 means that the current price is above VWAP and can be considered bullish from a momentum standpoint
• You could also use VWAP to pick an entry/exit price --> if the current price is below VWAP, then you could think of it as getting in at a 'below average' price. Vice versa when it is above. So use this signal in accordance with your strategy.