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nb module

Numba-compiled functions for custom indicators.

Provides an arsenal of Numba-compiled functions that are used by indicator classes. These only accept NumPy arrays and other Numba-compatible types.

adx_1d_nb function

adx_1d_nb(
    high,
    low,
    close,
    window=14,
    wtype=3,
    minp=None,
    adjust=False
)

Average Directional Movement Index (ADX).

Returns +DI, -DI, DX, and ADX.

adx_nb function

adx_nb(
    high,
    low,
    close,
    window=14,
    wtype=3,
    minp=None,
    adjust=False
)

2-dim version of adx_1d_nb().

atr_1d_nb function

atr_1d_nb(
    high,
    low,
    close,
    window=14,
    wtype=3,
    minp=None,
    adjust=False
)

Average True Range (ATR).

Returns TR and ATR.

atr_nb function

atr_nb(
    high,
    low,
    close,
    window=14,
    wtype=3,
    minp=None,
    adjust=False
)

2-dim version of atr_1d_nb().

avg_gain_1d_nb function

avg_gain_1d_nb(
    close,
    window=14,
    wtype=3,
    minp=None,
    adjust=False
)

Average gain.

avg_gain_nb function

avg_gain_nb(
    close,
    window=14,
    wtype=0,
    minp=None,
    adjust=False
)

2-dim version of avg_gain_1d_nb().

avg_loss_1d_nb function

avg_loss_1d_nb(
    close,
    window=14,
    wtype=3,
    minp=None,
    adjust=False
)

Average loss.

avg_loss_nb function

avg_loss_nb(
    close,
    window=14,
    wtype=0,
    minp=None,
    adjust=False
)

2-dim version of avg_loss_1d_nb().

bbands_1d_nb function

bbands_1d_nb(
    close,
    window=14,
    wtype=0,
    alpha=2.0,
    minp=None,
    adjust=False,
    ddof=0
)

Bollinger Bands.

Returns the upper band, the middle band, and the lower band.

bbands_bandwidth_1d_nb function

bbands_bandwidth_1d_nb(
    upper,
    middle,
    lower
)

Bollinger Bands Bandwidth.

bbands_bandwidth_nb function

bbands_bandwidth_nb(
    upper,
    middle,
    lower
)

2-dim version of bbands_bandwidth_1d_nb().

bbands_nb function

bbands_nb(
    close,
    window=14,
    wtype=0,
    alpha=2.0,
    minp=None,
    adjust=False,
    ddof=0
)

2-dim version of bbands_1d_nb().

bbands_percent_b_1d_nb function

bbands_percent_b_1d_nb(
    close,
    upper,
    lower
)

Bollinger Bands %B.

bbands_percent_b_nb function

bbands_percent_b_nb(
    close,
    upper,
    lower
)

2-dim version of bbands_percent_b_1d_nb().

final_basic_bands_nb function

final_basic_bands_nb(
    close,
    upper,
    lower,
    prev_upper,
    prev_lower,
    prev_direction
)

Final bands at one iteration.

get_dma_hurst_nb function

get_dma_hurst_nb(
    close,
    min_chunk=8,
    max_chunk=100,
    num_chunks=5
)

Estimate the Hurst exponent using DMA method.

Windows are linearly distributed.

get_dsod_hurst_nb function

get_dsod_hurst_nb(
    close
)

Estimate the Hurst exponent using discrete second order derivative.

get_hurst_nb function

get_hurst_nb(
    close,
    method=0,
    max_lag=20,
    min_log=1,
    max_log=2,
    log_step=0.25,
    min_chunk=8,
    max_chunk=100,
    num_chunks=5,
    stabilize=False
)

Estimate the Hurst exponent using various methods.

Uses the following methods:

  • HurstMethod.Standard: vectorbtpro.generic.nb.base.get_standard_hurst_nb
  • HurstMethod.LogRS: vectorbtpro.generic.nb.base.get_log_rs_hurst_nb
  • HurstMethod.RS: vectorbtpro.generic.nb.base.get_rs_hurst_nb
  • HurstMethod.DMA: vectorbtpro.generic.nb.base.get_dma_hurst_nb
  • HurstMethod.DSOD: vectorbtpro.generic.nb.base.get_dsod_hurst_nb

get_log_rs_hurst_nb function

get_log_rs_hurst_nb(
    close,
    min_log=1,
    max_log=2,
    log_step=0.25
)

Estimate the Hurst exponent using R/S method.

Windows are log-distributed.

get_rs_hurst_nb function

get_rs_hurst_nb(
    close,
    min_chunk=8,
    max_chunk=100,
    num_chunks=5
)

Estimate the Hurst exponent using R/S method.

Windows are linearly distributed.

get_rs_nb function

get_rs_nb(
    close
)

Get rescaled range (R/S) for Hurst exponent estimation.

get_standard_hurst_nb function

get_standard_hurst_nb(
    close,
    max_lag=20,
    stabilize=False
)

Estimate the Hurst exponent using standard method.

iter_basic_bands_nb function

iter_basic_bands_nb(
    high,
    low,
    atr,
    multiplier
)

Upper and lower bands at one iteration.

iter_med_price_nb function

iter_med_price_nb(
    high,
    low
)

Median price at one iteration.

iter_tr_nb function

iter_tr_nb(
    high,
    low,
    prev_close
)

True Range (TR) at one iteration.

ma_1d_nb function

ma_1d_nb(
    close,
    window=14,
    wtype=0,
    minp=None,
    adjust=False
)

Moving average.

ma_nb function

ma_nb(
    close,
    window=14,
    wtype=0,
    minp=None,
    adjust=False
)

2-dim version of ma_1d_nb().

macd_1d_nb function

macd_1d_nb(
    close,
    fast_window=12,
    slow_window=26,
    signal_window=9,
    wtype=2,
    macd_wtype=None,
    signal_wtype=None,
    minp=None,
    macd_minp=None,
    signal_minp=None,
    adjust=False,
    macd_adjust=None,
    signal_adjust=None
)

MACD.

Returns the MACD and the signal.

macd_hist_1d_nb function

macd_hist_1d_nb(
    macd,
    signal
)

MACD histogram.

macd_hist_nb function

macd_hist_nb(
    macd,
    signal
)

2-dim version of macd_hist_1d_nb().

macd_nb function

macd_nb(
    close,
    fast_window=12,
    slow_window=26,
    signal_window=9,
    wtype=2,
    macd_wtype=None,
    signal_wtype=None,
    minp=None,
    macd_minp=None,
    signal_minp=None,
    adjust=False,
    macd_adjust=None,
    signal_adjust=None
)

2-dim version of macd_1d_nb().

modes_1d_nb function

modes_1d_nb(
    pivots
)

Modes.

Warning

To be used in plotting. Do not use it as an indicator!

modes_nb function

modes_nb(
    pivots
)

2-dim version of modes_1d_nb().

msd_1d_nb function

msd_1d_nb(
    close,
    window=14,
    wtype=0,
    minp=None,
    adjust=False,
    ddof=0
)

Moving standard deviation.

msd_nb function

msd_nb(
    close,
    window=14,
    wtype=0,
    minp=None,
    adjust=False,
    ddof=0
)

2-dim version of msd_1d_nb().

obv_1d_nb function

obv_1d_nb(
    close,
    volume
)

On-Balance Volume (OBV).

obv_nb function

obv_nb(
    close,
    volume
)

2-dim version of obv_1d_nb().

ols_1d_nb function

ols_1d_nb(
    x,
    y,
    window=14,
    minp=None,
    ddof=0,
    with_zscore=True
)

Rolling Ordinary Least Squares (OLS).

ols_angle_1d_nb function

ols_angle_1d_nb(
    slope
)

OLS angle.

ols_angle_nb function

ols_angle_nb(
    slope
)

2-dim version of ols_angle_1d_nb().

ols_error_1d_nb function

ols_error_1d_nb(
    y,
    pred
)

OLS error.

ols_error_nb function

ols_error_nb(
    y,
    pred
)

2-dim version of ols_error_1d_nb().

ols_nb function

ols_nb(
    x,
    y,
    window=14,
    minp=None,
    ddof=0,
    with_zscore=True
)

2-dim version of ols_1d_nb().

ols_pred_1d_nb function

ols_pred_1d_nb(
    x,
    slope,
    intercept
)

OLS prediction.

ols_pred_nb function

ols_pred_nb(
    x,
    slope,
    intercept
)

2-dim version of ols_pred_1d_nb().

pivot_info_1d_nb function

pivot_info_1d_nb(
    high,
    low,
    up_th,
    down_th
)

Pivot information.

pivot_info_nb function

pivot_info_nb(
    high,
    low,
    up_th,
    down_th
)

2-dim version of pivot_info_1d_nb().

pivot_value_1d_nb function

pivot_value_1d_nb(
    high,
    low,
    last_pivot,
    last_idx
)

Pivot value.

pivot_value_nb function

pivot_value_nb(
    high,
    low,
    last_pivot,
    last_idx
)

2-dim version of pivot_value_1d_nb().

pivots_1d_nb function

pivots_1d_nb(
    conf_pivot,
    conf_idx,
    last_pivot
)

Pivots.

Warning

To be used in plotting. Do not use it as an indicator!

pivots_nb function

pivots_nb(
    conf_pivot,
    conf_idx,
    last_pivot
)

2-dim version of pivots_1d_nb().

rolling_hurst_1d_nb function

rolling_hurst_1d_nb(
    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
)

Rolling version of get_hurst_nb().

rolling_hurst_nb function

rolling_hurst_nb(
    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().

rsi_1d_nb function

rsi_1d_nb(
    close,
    window=14,
    wtype=3,
    minp=None,
    adjust=False
)

RSI.

rsi_nb function

rsi_nb(
    close,
    window=14,
    wtype=0,
    minp=None,
    adjust=False
)

2-dim version of rsi_1d_nb().

signal_detection_1d_nb function

signal_detection_1d_nb(
    close,
    lag=14,
    factor=1.0,
    influence=1.0,
    up_factor=None,
    down_factor=None,
    mean_influence=None,
    std_influence=None
)

Signal detection.

signal_detection_nb function

signal_detection_nb(
    close,
    lag=14,
    factor=1.0,
    influence=1.0,
    up_factor=None,
    down_factor=None,
    mean_influence=None,
    std_influence=None
)

2-dim version of signal_detection_1d_nb().

stoch_1d_nb function

stoch_1d_nb(
    high,
    low,
    close,
    fast_k_window=14,
    slow_k_window=3,
    slow_d_window=3,
    wtype=0,
    slow_k_wtype=None,
    slow_d_wtype=None,
    minp=None,
    fast_k_minp=None,
    slow_k_minp=None,
    slow_d_minp=None,
    adjust=False,
    slow_k_adjust=None,
    slow_d_adjust=None
)

Stochastic Oscillator.

Returns the fast %K, the slow %K, and the slow %D.

stoch_k_1d_nb function

stoch_k_1d_nb(
    high,
    low,
    close,
    window=14,
    minp=None
)

Stochastic Oscillator %K.

stoch_k_nb function

stoch_k_nb(
    high,
    low,
    close,
    window=14,
    minp=None
)

2-dim version of stoch_k_1d_nb().

stoch_nb function

stoch_nb(
    high,
    low,
    close,
    fast_k_window=14,
    slow_k_window=3,
    slow_d_window=3,
    wtype=0,
    slow_k_wtype=None,
    slow_d_wtype=None,
    minp=None,
    fast_k_minp=None,
    slow_k_minp=None,
    slow_d_minp=None,
    adjust=False,
    slow_k_adjust=None,
    slow_d_adjust=None
)

2-dim version of stoch_1d_nb().

supertrend_1d_nb function

supertrend_1d_nb(
    high,
    low,
    close,
    period=7,
    multiplier=3.0
)

Supertrend.

supertrend_acc_nb function

supertrend_acc_nb(
    in_state
)

Accumulator of supertrend_nb().

Takes a state of type SuperTrendAIS and returns a state of type SuperTrendAOS.

supertrend_nb function

supertrend_nb(
    high,
    low,
    close,
    period=7,
    multiplier=3.0
)

2-dim version of supertrend_1d_nb().

tr_1d_nb function

tr_1d_nb(
    high,
    low,
    close
)

True Range (TR).

tr_nb function

tr_nb(
    high,
    low,
    close
)

2-dim version of tr_1d_nb().

typical_price_1d_nb function

typical_price_1d_nb(
    high,
    low,
    close
)

Typical price.

typical_price_nb function

typical_price_nb(
    high,
    low,
    close
)

2-dim version of typical_price_1d_nb().

vwap_1d_nb function

vwap_1d_nb(
    high,
    low,
    close,
    volume,
    group_lens
)

Volume-Weighted Average Price (VWAP).

vwap_nb function

vwap_nb(
    high,
    low,
    close,
    volume,
    group_lens
)

2-dim version of vwap_1d_nb().