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https://github.com/wukan1986/polars_ta

Technical Analysis Indicators for polars
https://github.com/wukan1986/polars_ta

expression polars ta talib

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Technical Analysis Indicators for polars

Host: GitHub
URL: https://github.com/wukan1986/polars_ta
Owner: wukan1986
License: mit
Created: 2023-12-12T11:44:52.000Z (about 1 year ago)
Default Branch: main
Last Pushed: 2024-03-31T02:58:24.000Z (10 months ago)
Last Synced: 2024-03-31T23:09:37.468Z (10 months ago)
Topics: expression, polars, ta, talib
Language: Python
Homepage:
Size: 185 KB
Stars: 27
Watchers: 3
Forks: 9
Open Issues: 3
Metadata Files:
- Readme: README.md
- License: LICENSE

Awesome Lists containing this project

awesome-polars - polars_ta - Python package that provides technical indicator operators rewritten in Polars by [@wukan1986](https://github.com/wukan1986). (Libraries/Packages/Scripts / Python)

README

# polars_ta

Technical Indicator Operators Rewritten in `polars`.

We provide wrappers for some functions (like `TA-Lib`) that are not `pl.Expr` alike.

## How to Install

### Using `pip`

```commandline
pip install -i https://pypi.org/simple --upgrade polars_ta
pip install -i https://pypi.tuna.tsinghua.edu.cn/simple --upgrade polars_ta # Mirror in China
```

### Build from Source

```commandline
git clone --depth=1 https://github.com/wukan1986/polars_ta.git
cd polars_ta
python -m build
cd dist
pip install polars_ta-0.1.2-py3-none-any.whl
```

### How to Install TA-Lib
Non-official `TA-Lib` wheels can be downloaded from `https://github.com/cgohlke/talib-build/releases`

## Usage

See `examples` folder.

```python
# We need to modify the function name by prefixing `ts_` before using them in `expr_coodegen`
from polars_ta.prefix.tdx import *
# Import functions from `wq`
from polars_ta.prefix.wq import *

# Example
df = df.with_columns([
# Load from `wq`
*[ts_returns(CLOSE, i).alias(f'ROCP_{i:03d}') for i in (1, 3, 5, 10, 20, 60, 120)],
*[ts_mean(CLOSE, i).alias(f'SMA_{i:03d}') for i in (5, 10, 20, 60, 120)],
*[ts_std_dev(CLOSE, i).alias(f'STD_{i:03d}') for i in (5, 10, 20, 60, 120)],
*[ts_max(HIGH, i).alias(f'HHV_{i:03d}') for i in (5, 10, 20, 60, 120)],
*[ts_min(LOW, i).alias(f'LLV_{i:03d}') for i in (5, 10, 20, 60, 120)],

# Load from `tdx`
*[ts_RSI(CLOSE, i).alias(f'RSI_{i:03d}') for i in (6, 12, 24)],
])
```

## How We Designed This

1. We use `Expr` instead of `Series` to avoid using `Series` in the calculation. Functions are no longer methods of class.
2. Use `wq` first. It mimics `WorldQuant Alpha` and strives to be consistent with them.
3. Use `ta` otherwise. It is a `polars`-style version of `TA-Lib`. It tries to reuse functions from `wq`.
4. Use `tdx` last. It also tries to import functions from `wq` and `ta`.
5. We keep the same signature and parameters as the original `TA-Lib` in `talib`.
6. If there is a naming conflict, we suggest calling `wq`, `ta`, `tdx`, `talib` in order. The higher the priority, the closer the implementation is to `Expr`.

## Comparison of Our Indicators and Others

See [compare](compare.md)

## Handling Null/NaN Values

See [nan_to_null](nan_to_null.md)

## Evolve of Our TA-Lib Wrappers

1. `Expr.map_batches` can be used to call third-party libraries, such as `TA-Lib, bottleneck`. But because of the input and output format requirements, you need to wrap the third-party API with a function.
- Both input and output can only be one column. If you want to support multiple columns, you need to convert them to `pl.Struct`. After that, you need to use `unnest` to split `pl.Struct`.
- The output must be `pl.Series`
2. Start to use `register_expr_namespace` to simplify the code
- Implementation [helper.py](polars_ta/utils/helper.py)
- Usage demo [demo_ta1.py](examples/demo_ta1.py)
- Pros: Easy to use
- Cons:
- The `member function call mode` is not convenient for inputting into genetic algorithms for factor mining
- `__getattribute__` dynamic method call is very flexible, but loses `IDE` support.
3. Prefix expression. Convert all member functions into formulas
- Implementation [wrapper.py](polars_ta/utils/wrapper.py)
- Usage demo [demo_ta2.py](examples/demo_ta2.py)
- Pros: Can be input into our implementation of genetic algorithms
- Cons: `__getattribute__` dynamic method call is very flexible, but loses `IDE` support.
4. Code generation.
- Implementation [codegen_talib.py](tools/codegen_talib.py)
- Generated result will be at [\_\_init\_\_.py](polars_ta/talib/__init__.py)
- Usage demo [demo_ta3.py](examples/demo_ta3.py)
- Pros:
- Can be input into our implementation of genetic algorithms
- `IDE` support

## Debugging

```commandline
git clone --depth=1 https://github.com/wukan1986/polars_ta.git
cd polars_ta
pip install -e .
```

Notice:
If you have added some functions in `ta` or `tdx`, please run `prefix_ta.py` or `prefix_tdx.py` inside the `tools` folder to generate the corrected Python script (with the prefix added).
This is required to use in `expr_codegen`.

## Reference

- https://github.com/pola-rs/polars
- https://github.com/TA-Lib/ta-lib
- https://github.com/twopirllc/pandas-ta
- https://github.com/bukosabino/ta
- https://github.com/peerchemist/finta
- https://github.com/wukan1986/ta_cn
- https://support.worldquantbrain.com/hc/en-us/community/posts/20278408956439-从价量看技术指标总结-Technical-Indicator-
- https://platform.worldquantbrain.com/learn/operators/operators

# polars_ta

基于`polars`的算子库。实现量化投研中常用的技术指标、数据处理等函数。对于不易翻译成`Expr`的库（如：`TA-Lib`）也提供了函数式调用的封装

## 安装

### 在线安装

```commandline
pip install -i https://pypi.org/simple --upgrade polars_ta # 官方源
pip install -i https://pypi.tuna.tsinghua.edu.cn/simple --upgrade polars_ta # 国内镜像源
```

### 源码安装

```commandline
git clone --depth=1 https://github.com/wukan1986/polars_ta.git
cd polars_ta
python -m build
cd dist
pip install polars_ta-0.1.2-py3-none-any.whl
```

### TA-Lib安装
Windows用户不会安装可从`https://github.com/cgohlke/talib-build/releases` 下载对应版本whl文件

## 使用方法

参考`examples`目录即可，例如：

```python
# 如果需要在`expr_codegen`中使用，需要有`ts_`等前权，这里导入提供了前缀
from polars_ta.prefix.tdx import *
# 导入wq公式
from polars_ta.prefix.wq import *

# 演示生成大量指标
df = df.with_columns([
# 从wq中导入指标
*[ts_returns(CLOSE, i).alias(f'ROCP_{i:03d}') for i in (1, 3, 5, 10, 20, 60, 120)],
*[ts_mean(CLOSE, i).alias(f'SMA_{i:03d}') for i in (5, 10, 20, 60, 120)],
*[ts_std_dev(CLOSE, i).alias(f'STD_{i:03d}') for i in (5, 10, 20, 60, 120)],
*[ts_max(HIGH, i).alias(f'HHV_{i:03d}') for i in (5, 10, 20, 60, 120)],
*[ts_min(LOW, i).alias(f'LLV_{i:03d}') for i in (5, 10, 20, 60, 120)],

# 从tdx中导入指标
*[ts_RSI(CLOSE, i).alias(f'RSI_{i:03d}') for i in (6, 12, 24)],
])
```

## 设计原则

1. 调用方法由`成员函数`换成`独立函数`。输入输出使用`Expr`，避免使用`Series`
2. 优先实现`wq`公式，它仿`WorldQuant Alpha`公式，与官网尽量保持一致。如果部分功能实现在此更合适将放在此处
3. 其次实现`ta`公式，它相当于`TA-Lib`的`polars`风格的版本。优先从`wq`中导入更名
4. 最后实现`tdx`公式，它也是优先从`wq`和`ta`中导入
5. `talib`的函数名与参数与原版`TA-Lib`完全一致
6. 如果出现了命名冲突，建议调用优先级为`wq`、`ta`、`tdx`、`talib`。因为优先级越高，实现方案越接近于`Expr`

## 指标区别

请参考[compare](compare.md)

## 空值处理

请参考[nan_to_null](nan_to_null.md)

## TA-Lib封装的演化

1. `Expr.map_batches`可以实现调用第三方库，如`TA-Lib, bottleneck`。但因为对输入与输出格式有要求，所以还需要用函数对第三方API封装一下。
- 输入输出都只能是一列，如要支持多列需转换成`pl.Struct`。事后`pl.Struct`要拆分需使用`unnest`
- 输出必须是`pl.Series`
2. 参数多，代码长。开始使用`register_expr_namespace`来简化代码
- 实现代码[helper.py](polars_ta/utils/helper.py)
- 使用演示[demo_ta1.py](examples/demo_ta1.py)
- 优点：使用简单
- 不足：`成员函数调用模式`不便于输入到遗传算法中进行因子挖掘
- 不足：`__getattribute__`动态方法调用非常灵活，但失去了`IDE`智能提示
3. 前缀表达式。将所有的成员函数都转换成公式
- 实现代码[wrapper.py](polars_ta/utils/wrapper.py)
- 使用演示[demo_ta2.py](examples/demo_ta2.py)
- 优点：可以输入到遗传算法
- 不足：`__getattribute__`动态方法调用非常灵活，但失去了`IDE`智能提示
4. 代码自动生成。
- 实现代码[codegen_talib.py](tools/codegen_talib.py)
- 生成结果[\_\_init\_\_.py](polars_ta/talib/__init__.py)
- 使用演示[demo_ta3.py](examples/demo_ta3.py)
- 优点：即可以输入到遗传算法，`IDE`还有智能提示

## 开发调试

```commandline
git clone --depth=1 https://github.com/wukan1986/polars_ta.git
cd polars_ta
pip install -e .
```

注意：如果你在`ta`或`tdx`中添加了新的函数，请再运行`tools`下的`prefix_ta.py`或`prefix_tdx.py`，用于生成对应的前缀文件。前缀文件方便在`expr_codegen`中使用

## 参考