""" .. module:: others :synopsis: Others Indicators. .. moduleauthor:: Dario Lopez Padial (Bukosabino) """ import numpy as np import pandas as pd from ta.utils import IndicatorMixin class DailyReturnIndicator(IndicatorMixin): """Daily Return (DR) """ def __init__(self, close: pd.Series, fillna: bool = False): """ Args: close(pandas.Series): dataset 'Close' column. fillna(bool): if True, fill nan values. """ self._close = close self._fillna = fillna self._run() def _run(self): self._dr = (self._close / self._close.shift(1, fill_value=self._close.mean())) - 1 self._dr *= 100 def daily_return(self) -> pd.Series: dr = self.check_fillna(self._dr, value=0) return pd.Series(dr, name='d_ret') class DailyLogReturnIndicator(IndicatorMixin): """Daily Log Return (DLR) https://stackoverflow.com/questions/31287552/logarithmic-returns-in-pandas-dataframe """ def __init__(self, close: pd.Series, fillna: bool = False): """ Args: close(pandas.Series): dataset 'Close' column. fillna(bool): if True, fill nan values. """ self._close = close self._fillna = fillna self._run() def _run(self): self._dr = np.log(self._close).diff() self._dr *= 100 def daily_log_return(self) -> pd.Series: dr = self.check_fillna(self._dr, value=0) return pd.Series(dr, name='d_logret') class CumulativeReturnIndicator(IndicatorMixin): """Cumulative Return (CR) """ def __init__(self, close: pd.Series, fillna: bool = False): """ Args: close(pandas.Series): dataset 'Close' column. fillna(bool): if True, fill nan values. """ self._close = close self._fillna = fillna self._run() def _run(self): self._cr = (self._close / self._close.iloc[0]) - 1 self._cr *= 100 def cumulative_return(self) -> pd.Series: cr = self.check_fillna(self._cr, method='backfill') return pd.Series(cr, name='cum_ret') def daily_return(close, fillna=False): """Daily Return (DR) Args: close(pandas.Series): dataset 'Close' column. fillna(bool): if True, fill nan values. Returns: pandas.Series: New feature generated. """ return DailyReturnIndicator(close=close, fillna=fillna).daily_return() def daily_log_return(close, fillna=False): """Daily Log Return (DLR) https://stackoverflow.com/questions/31287552/logarithmic-returns-in-pandas-dataframe Args: close(pandas.Series): dataset 'Close' column. fillna(bool): if True, fill nan values. Returns: pandas.Series: New feature generated. """ return DailyLogReturnIndicator(close=close, fillna=fillna).daily_log_return() def cumulative_return(close, fillna=False): """Cumulative Return (CR) Args: close(pandas.Series): dataset 'Close' column. fillna(bool): if True, fill nan values. Returns: pandas.Series: New feature generated. """ return CumulativeReturnIndicator(close=close, fillna=fillna).cumulative_return()