Momentum functions
Momentum functions#
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sigtech.framework.signal.library.momentum.ma(window, ts)
Rolling average operator.
- Parameters
window – Size of the window.
ts – Input timeseries.
- Returns
pandas Series or DataFrame.
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sigtech.framework.signal.library.momentum.ewma(window, ts)
EWMA operator.
- Parameters
window – Size of the window.
ts – Input timeseries.
- Returns
pandas Series or DataFrame.
-
sigtech.framework.signal.library.momentum.sigmoid(factor, ts)
Sigmoid operator.
- Parameters
factor – Factor value.
ts – Input timeseries.
- Returns
pandas Series or DataFrame.
-
sigtech.framework.signal.library.momentum.l1filter(ts, regularization)
L1 filter.
- Parameters
ts – Input timeseries.
regularization – Regularisation value.
- Returns
pandas Series.
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sigtech.framework.signal.library.momentum.expanding_l1(regularization, min_periods=3, ts=None, **kwargs)
L1 expansion filter.
- Parameters
regularization – Regularisation value.
min_periods – Minimum number of periods (default is 3).
ts – Input timeseries.
- Returns
pandas Series or DataFrame.
-
sigtech.framework.signal.library.momentum.expanding_l1diff(regularization, min_periods=21, ts=None, **kwargs)
L1 difference expansion filter.
- Parameters
regularization – Regularisation value.
min_periods – Minimum number of periods (default is 21).
ts – Input timeseries.
- Returns
pandas Series or DataFrame.
-
sigtech.framework.signal.library.momentum.hpfilter(ts, regularization)
Hodrick-Prescott filter.
- Parameters
regularization – Regularisation value.
ts – Input timeseries.
- Returns
pandas Series.
-
sigtech.framework.signal.library.momentum.expanding_hp(regularization, min_periods=3, ts=None, **kwargs)
Hodrick-Prescott expansion filter.
- Parameters
regularization – Regularisation value.
min_periods – Minimum number of periods (default is 3).
ts – Input timeseries.
- Returns
pandas Series.
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sigtech.framework.signal.library.momentum.ma_cross(ts, short_span, long_span)
Rolling average cross operator.
- Parameters
ts – Input timeseries.
short_span – Size of the short span window.
long_span – Size of the long span window.
- Returns
pandas Series or DataFrame.
-
sigtech.framework.signal.library.momentum.ewma_cross(ts, short_span, long_span)
EWMA cross operator.
- Parameters
ts – Input timeseries.
short_span – Size of the short span window.
long_span – Size of the long span window.
- Returns
pandas Series or DataFrame.
-
sigtech.framework.signal.library.momentum.ewma_cross1(ts, short_span, long_span)
Alternative EWMA cross operator.
- Parameters
ts – Input timeseries.
short_span – Size of the short span window.
long_span – Size of the long span window.
- Returns
pandas Series or DataFrame.
-
sigtech.framework.signal.library.momentum.simple_ma_signal(short_span, long_span, df)
Create a signal based on rolling average cross operator.
- Parameters
short_span – Size of the short span window.
long_span – Size of the long span window.
df – Input DataFrame.
- Returns
Signal
object.
-
sigtech.framework.signal.library.momentum.rsi(rsi_period, df)
RSI operator.
- Parameters
rsi_period – Size of window.
df – Input DataFrame.
- Returns
pandas DataFrame.
-
sigtech.framework.signal.library.momentum.macd(ts: pandas.core.series.Series, short_window: int = 12, long_window: int = 26) pandas.core.series.Series
Moving Average Convergence Divergence Indicator.
See
macd()
for details.- Parameters
ts – Close price timeseries.
short_window – Short moving average periods.
long_window – Long moving average periods.
- Returns
Series of indicator values.