ols module¶

Module with OLS.

OLS class¶

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

Rolling Ordinary Least Squares (OLS).

The indicator can be used to detect changes in the behavior of the stocks against the market or each other.

See The Linear Regression of Time and Price.

Superclasses

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

angle property¶

Custom property.

angle_above method¶

OLS.angle_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where angle is above other.

See combine_objs().

angle_below method¶

OLS.angle_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where angle is below other.

See combine_objs().

angle_crossed_above method¶

OLS.angle_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where angle is crossed_above other.

See combine_objs().

angle_crossed_below method¶

OLS.angle_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where angle is crossed_below other.

See combine_objs().

angle_equal method¶

OLS.angle_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where angle is equal other.

See combine_objs().

angle_stats method¶

OLS.angle_stats(
    *args,
    **kwargs
)

Stats of angle as generic.

apply_func method¶

OLS.apply_func(
    x,
    y,
    window=14,
    minp=None,
    ddof=0,
    with_zscore=True
)

2-dim version of ols_1d_nb.

cache_func class variable¶

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.

error property¶

Custom property.

error_above method¶

OLS.error_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where error is above other.

See combine_objs().

error_below method¶

OLS.error_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where error is below other.

See combine_objs().

error_crossed_above method¶

OLS.error_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where error is crossed_above other.

See combine_objs().

error_crossed_below method¶

OLS.error_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where error is crossed_below other.

See combine_objs().

error_equal method¶

OLS.error_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where error is equal other.

See combine_objs().

error_stats method¶

OLS.error_stats(
    *args,
    **kwargs
)

Stats of error as generic.

intercept property¶

Output array.

intercept_above method¶

OLS.intercept_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where intercept is above other.

See combine_objs().

intercept_below method¶

OLS.intercept_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where intercept is below other.

See combine_objs().

intercept_crossed_above method¶

OLS.intercept_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where intercept is crossed_above other.

See combine_objs().

intercept_crossed_below method¶

OLS.intercept_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where intercept is crossed_below other.

See combine_objs().

intercept_equal method¶

OLS.intercept_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where intercept is equal other.

See combine_objs().

intercept_stats method¶

OLS.intercept_stats(
    *args,
    **kwargs
)

Stats of intercept as generic.

param_select_func_nb method¶

OLS.param_select_func_nb(
    i,
    args_before,
    x,
    y,
    window,
    *args
)

plot method¶

_OLS.plot(
    column=None,
    plot_y=True,
    y_trace_kwargs=None,
    pred_trace_kwargs=None,
    add_trace_kwargs=None,
    fig=None,
    **layout_kwargs
)

Plot OLS.pred against OLS.y.

Args

column : str

Name of the column to plot.

plot_y : bool

Whether to plot OLS.y.

y_trace_kwargs : dict

Keyword arguments passed to plotly.graph_objects.Scatter for OLS.y.

pred_trace_kwargs : dict

Keyword arguments passed to plotly.graph_objects.Scatter for OLS.pred.

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

>>> vbt.OLS.run(np.arange(len(ohlcv)), ohlcv['Close']).plot().show()

plot_zscore method¶

_OLS.plot_zscore(
    column=None,
    alpha=0.05,
    zscore_trace_kwargs=None,
    add_shape_kwargs=None,
    add_trace_kwargs=None,
    fig=None,
    **layout_kwargs
)

Plot OLS.zscore with confidence intervals.

Args

column : str

Name of the column to plot.

alpha : float

The alpha level for the confidence interval.

The default alpha = .05 returns a 95% confidence interval.

zscore_trace_kwargs : dict

Keyword arguments passed to plotly.graph_objects.Scatter for OLS.zscore.

add_shape_kwargs : dict

Keyword arguments passed to fig.add_shape when adding the range between both confidence intervals.

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

>>> vbt.OLS.run(np.arange(len(ohlcv)), ohlcv['Close']).plot_zscore().show()

pred property¶

Custom property.

pred_above method¶

OLS.pred_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where pred is above other.

See combine_objs().

pred_below method¶

OLS.pred_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where pred is below other.

See combine_objs().

pred_crossed_above method¶

OLS.pred_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where pred is crossed_above other.

See combine_objs().

pred_crossed_below method¶

OLS.pred_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where pred is crossed_below other.

See combine_objs().

pred_equal method¶

OLS.pred_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where pred is equal other.

See combine_objs().

pred_stats method¶

OLS.pred_stats(
    *args,
    **kwargs
)

Stats of pred as generic.

run class method¶

OLS.run(
    x,
    y,
    window=Default(value=14),
    short_name='ols',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run OLS indicator.

• Inputs: x, y
• Parameters: window
• Outputs: slope, intercept, zscore
• Lazy outputs: pred, error, angle

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¶

OLS.run_combs(
    x,
    y,
    window=Default(value=14),
    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 OLS indicators using function comb_func.

• Inputs: x, y
• Parameters: window
• Outputs: slope, intercept, zscore
• Lazy outputs: pred, error, angle

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 OLS.run().

slope property¶

Output array.

slope_above method¶

OLS.slope_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where slope is above other.

See combine_objs().

slope_below method¶

OLS.slope_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where slope is below other.

See combine_objs().

slope_crossed_above method¶

OLS.slope_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where slope is crossed_above other.

See combine_objs().

slope_crossed_below method¶

OLS.slope_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where slope is crossed_below other.

See combine_objs().

slope_equal method¶

OLS.slope_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where slope is equal other.

See combine_objs().

slope_stats method¶

OLS.slope_stats(
    *args,
    **kwargs
)

Stats of slope as generic.

window_list property¶

List of window values.

x property¶

Input array.

x_above method¶

OLS.x_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where x is above other.

See combine_objs().

x_below method¶

OLS.x_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where x is below other.

See combine_objs().

x_crossed_above method¶

OLS.x_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where x is crossed_above other.

See combine_objs().

x_crossed_below method¶

OLS.x_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where x is crossed_below other.

See combine_objs().

x_equal method¶

OLS.x_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where x is equal other.

See combine_objs().

x_stats method¶

OLS.x_stats(
    *args,
    **kwargs
)

Stats of x as generic.

y property¶

Input array.

y_above method¶

OLS.y_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where y is above other.

See combine_objs().

y_below method¶

OLS.y_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where y is below other.

See combine_objs().

y_crossed_above method¶

OLS.y_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where y is crossed_above other.

See combine_objs().

y_crossed_below method¶

OLS.y_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where y is crossed_below other.

See combine_objs().

y_equal method¶

OLS.y_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where y is equal other.

See combine_objs().

y_stats method¶

OLS.y_stats(
    *args,
    **kwargs
)

Stats of y as generic.

zscore property¶

Output array.

zscore_above method¶

OLS.zscore_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where zscore is above other.

See combine_objs().

zscore_below method¶

OLS.zscore_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where zscore is below other.

See combine_objs().

zscore_crossed_above method¶

OLS.zscore_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where zscore is crossed_above other.

See combine_objs().

zscore_crossed_below method¶

OLS.zscore_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where zscore is crossed_below other.

See combine_objs().

zscore_equal method¶

OLS.zscore_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where zscore is equal other.

See combine_objs().

zscore_stats method¶

OLS.zscore_stats(
    *args,
    **kwargs
)

Stats of zscore as generic.