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- open = pd.Series(df['open'])
- high = pd.Series(df['high'])
- low = pd.Series(df['low'])
- close = pd.Series(df['close'])
- volume = pd.Series(df['volume'])
- # pct_change for new column
- X['diff'] = y
- # Exponential Moving Average
- ema = talib.EMA(close, timeperiod=3)
- ema = ema.fillna(ema.mean())
- # Momentum
- momentam = talib.MOM(close, timeperiod=5)
- momentam = momentam.fillna(momentam.mean())
- # RSI
- rsi = talib.RSI(close, timeperiod=14)
- rsi = rsi.fillna(rsi.mean())
- # ADX
- adx = talib.ADX(high, low, close, timeperiod=14)
- adx = adx.fillna(adx.mean())
- # ADX change
- adx_change = adx.pct_change(1).shift(-1)
- adx_change = adx_change.fillna(adx_change.mean())
- # AD
- ad = talib.AD(high, low, close, volume)
- ad = ad.fillna(ad.mean())
- X_ = pd.concat([X, ema, momentam, rsi, adx_change, ad], axis=1).drop(['open', 'high', 'low', 'close'], axis=1)
- X_.columns = ['volume','diff', 'ema', 'momentam', 'rsi', 'adx', 'ad']
- X_.join(y_).head(200)
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