hurst module¶

Module with HURST.

HURST class¶

HURST(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    **kwargs
)

Moving Hurst exponent (HURST).

Superclasses

• Analyzable
• AttrResolverMixin
• Cacheable
• Chainable
• Comparable
• Configured
• ExtPandasIndexer
• HasSettings
• IndexApplier
• IndexingBase
• IndicatorBase
• Itemable
• PandasIndexer
• Paramable
• Pickleable
• PlotsBuilderMixin
• Prettified
• StatsBuilderMixin
• Wrapping
• vectorbtpro.indicators.custom.hurst.ParamIndexer

Inherited members

• AttrResolverMixin.deep_getattr()
• AttrResolverMixin.post_resolve_attr()
• AttrResolverMixin.pre_resolve_attr()
• AttrResolverMixin.resolve_attr()
• AttrResolverMixin.resolve_shortcut_attr()
• Cacheable.get_ca_setup()
• Chainable.pipe()
• Configured.copy()
• Configured.equals()
• Configured.get_writeable_attrs()
• Configured.prettify()
• Configured.replace()
• Configured.resolve_merge_kwargs()
• Configured.update_config()
• HasSettings.get_path_setting()
• HasSettings.get_path_settings()
• HasSettings.get_setting()
• HasSettings.get_settings()
• HasSettings.has_path_setting()
• HasSettings.has_path_settings()
• HasSettings.has_setting()
• HasSettings.has_settings()
• HasSettings.reset_settings()
• HasSettings.resolve_setting()
• HasSettings.resolve_settings_paths()
• HasSettings.set_settings()
• IndexApplier.add_levels()
• IndexApplier.drop_duplicate_levels()
• IndexApplier.drop_levels()
• IndexApplier.drop_redundant_levels()
• IndexApplier.select_levels()
• IndexingBase.indexing_setter_func()
• IndicatorBase.cls_dir
• IndicatorBase.column_only_select
• IndicatorBase.column_stack()
• IndicatorBase.config
• IndicatorBase.dropna()
• IndicatorBase.group_select
• IndicatorBase.iloc
• IndicatorBase.in_output_names
• IndicatorBase.indexing_func()
• IndicatorBase.indexing_kwargs
• IndicatorBase.input_names
• IndicatorBase.items()
• IndicatorBase.lazy_output_names
• IndicatorBase.level_names
• IndicatorBase.loc
• IndicatorBase.main_output
• IndicatorBase.output_flags
• IndicatorBase.output_names
• IndicatorBase.param_names
• IndicatorBase.plots_defaults
• IndicatorBase.range_only_select
• IndicatorBase.rec_state
• IndicatorBase.rename()
• IndicatorBase.rename_levels()
• IndicatorBase.row_stack()
• IndicatorBase.run_pipeline()
• IndicatorBase.self_aliases
• IndicatorBase.short_name
• IndicatorBase.stats_defaults
• IndicatorBase.to_dict()
• IndicatorBase.to_frame()
• IndicatorBase.unpack()
• IndicatorBase.wrapper
• IndicatorBase.xloc
• PandasIndexer.xs()
• Pickleable.decode_config()
• Pickleable.decode_config_node()
• Pickleable.dumps()
• Pickleable.encode_config()
• Pickleable.encode_config_node()
• Pickleable.file_exists()
• Pickleable.getsize()
• Pickleable.load()
• Pickleable.loads()
• Pickleable.modify_state()
• Pickleable.resolve_file_path()
• Pickleable.save()
• PlotsBuilderMixin.build_subplots_doc()
• PlotsBuilderMixin.override_subplots_doc()
• PlotsBuilderMixin.plots()
• StatsBuilderMixin.build_metrics_doc()
• StatsBuilderMixin.override_metrics_doc()
• StatsBuilderMixin.stats()
• Wrapping.apply_to_index()
• Wrapping.as_param()
• Wrapping.regroup()
• Wrapping.resample()
• Wrapping.resolve_column_stack_kwargs()
• Wrapping.resolve_row_stack_kwargs()
• Wrapping.resolve_self()
• Wrapping.resolve_stack_kwargs()
• Wrapping.select_col()
• Wrapping.select_col_from_obj()
• Wrapping.split()
• Wrapping.split_apply()

Subclasses

• vectorbtpro.indicators.custom.hurst._HURST

apply_func method¶

HURST.apply_func(
    close,
    window,
    method=0,
    max_lag=20,
    min_log=1,
    max_log=2,
    log_step=0.25,
    min_chunk=8,
    max_chunk=100,
    num_chunks=5,
    minp=None,
    stabilize=False
)

2-dim version of rolling_hurst_1d_nb.

cache_func class variable¶

close property¶

Input array.

close_above method¶

HURST.close_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is above other.

See combine_objs().

close_below method¶

HURST.close_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is below other.

See combine_objs().

close_crossed_above method¶

HURST.close_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_above other.

See combine_objs().

close_crossed_below method¶

HURST.close_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_below other.

See combine_objs().

close_equal method¶

HURST.close_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is equal other.

See combine_objs().

close_stats method¶

HURST.close_stats(
    *args,
    **kwargs
)

Stats of close as generic.

custom_func method¶

IndicatorFactory.with_apply_func.<locals>.custom_func(
    input_tuple,
    in_output_tuple,
    param_tuple,
    *_args,
    input_shape=None,
    per_column=False,
    split_columns=False,
    skipna=False,
    return_cache=False,
    use_cache=True,
    jitted_loop=False,
    jitted_warmup=False,
    param_index=None,
    final_index=None,
    single_comb=False,
    execute_kwargs=None,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

hurst property¶

Output array.

hurst_above method¶

HURST.hurst_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where hurst is above other.

See combine_objs().

hurst_below method¶

HURST.hurst_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where hurst is below other.

See combine_objs().

hurst_crossed_above method¶

HURST.hurst_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where hurst is crossed_above other.

See combine_objs().

hurst_crossed_below method¶

HURST.hurst_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where hurst is crossed_below other.

See combine_objs().

hurst_equal method¶

HURST.hurst_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where hurst is equal other.

See combine_objs().

hurst_stats method¶

HURST.hurst_stats(
    *args,
    **kwargs
)

Stats of hurst as generic.

log_step_list property¶

List of log_step values.

max_chunk_list property¶

List of max_chunk values.

max_lag_list property¶

List of max_lag values.

max_log_list property¶

List of max_log values.

method_list property¶

List of method values.

min_chunk_list property¶

List of min_chunk values.

min_log_list property¶

List of min_log values.

num_chunks_list property¶

List of num_chunks values.

param_select_func_nb method¶

HURST.param_select_func_nb(
    i,
    args_before,
    close,
    window,
    method,
    max_lag,
    min_log,
    max_log,
    log_step,
    min_chunk,
    max_chunk,
    num_chunks,
    *args
)

plot method¶

_HURST.plot(
    column=None,
    hurst_trace_kwargs=None,
    add_trace_kwargs=None,
    fig=None,
    **layout_kwargs
)

Plot HURST.hurst.

Args

column : str

Name of the column to plot.

hurst_trace_kwargs : dict

Keyword arguments passed to plotly.graph_objects.Scatter for HURST.hurst.

add_trace_kwargs : dict

Keyword arguments passed to fig.add_trace when adding each trace.

fig : Figure or FigureWidget

Figure to add traces to.

**layout_kwargs

Keyword arguments passed to fig.update_layout.

Usage

>>> ohlcv = vbt.YFData.pull(
...     "BTC-USD",
...     start="2020-01-01",
...     end="2024-01-01"
... ).get()
>>> vbt.HURST.run(ohlcv["Close"]).plot().show()

run class method¶

HURST.run(
    close,
    window=Default(value=200),
    method=Default(value='standard'),
    max_lag=Default(value=20),
    min_log=Default(value=1),
    max_log=Default(value=2),
    log_step=Default(value=0.25),
    min_chunk=Default(value=8),
    max_chunk=Default(value=100),
    num_chunks=Default(value=5),
    short_name='hurst',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run HURST indicator.

• Inputs: close
• Parameters: window, method, max_lag, min_log, max_log, log_step, min_chunk, max_chunk, num_chunks
• Outputs: hurst

Pass a list of parameter names as hide_params to hide their column levels, or True to hide all. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to IndicatorBase.run_pipeline().

run_combs class method¶

HURST.run_combs(
    close,
    window=Default(value=200),
    method=Default(value='standard'),
    max_lag=Default(value=20),
    min_log=Default(value=1),
    max_log=Default(value=2),
    log_step=Default(value=0.25),
    min_chunk=Default(value=8),
    max_chunk=Default(value=100),
    num_chunks=Default(value=5),
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple HURST indicators using function comb_func.

• Inputs: close
• Parameters: window, method, max_lag, min_log, max_log, log_step, min_chunk, max_chunk, num_chunks
• Outputs: hurst

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to HURST.run().

window_list property¶

List of window values.