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enums module

Named tuples and enumerated types for generic data.

Defines enums and other schemas for vectorbtpro.generic.

BarZone namedtuple

Bar zone.

BarZoneT(
    Open=0,
    Middle=1,
    Close=2
)

DistanceMeasure namedtuple

Distance measure.

DistanceMeasureT(
    MAE=0,
    MSE=1,
    RMSE=2
)

Attributes

MAE
Mean absolute error.
MSE
Mean squared error.
RMSE
Root mean squared error.

DrawdownStatus namedtuple

Drawdown status.

DrawdownStatusT(
    Active=0,
    Recovered=1
)

ErrorType namedtuple

Error type.

ErrorTypeT(
    Absolute=0,
    Relative=1
)

Attributes

Absolute
Absolute error, that is, x1 - x0.
Relative
Relative error, that is, (x1 - x0) / x0.

InterpMode namedtuple

Interpolation mode.

InterpModeT(
    Linear=0,
    Nearest=1,
    Discrete=2,
    Mixed=3
)

Attributes

Line

Linear interpolation.

For example: [1.0, 2.0, 3.0] -> [1.0, 1.5, 2.0, 2.5, 3.0]

Nearest

Nearest-neighbor interpolation.

For example: [1.0, 2.0, 3.0] -> [1.0, 1.0, 2.0, 3.0, 3.0]

Discrete

Discrete interpolation.

For example: [1.0, 2.0, 3.0] -> [1.0, np.nan, 2.0, np.nan, 3.0]

Mixed

Mixed interpolation.

For example: [1.0, 2.0, 3.0] -> [1.0, 1.5, 2.0, 2.5, 3.0]

OverlapMode namedtuple

Overlapping mode.

OverlapModeT(
    AllowAll=-2,
    Allow=-1,
    Disallow=0
)

Attributes

AllowAll
Allow any overlapping ranges, even if they start at the same row.
Allow
Allow overlapping ranges, but only if they do not start at the same row.
Disallow
Disallow any overlapping ranges.

Any other positive number will check whether the intersection of each two consecutive ranges is bigger than that number of rows, and if so, the range with the highest similarity will be selected.

RangeStatus namedtuple

Range status.

RangeStatusT(
    Open=0,
    Closed=1
)

RescaleMode namedtuple

Rescaling mode.

RescaleModeT(
    MinMax=0,
    Rebase=1,
    Disable=2
)

Attributes

MinMax

Array is rescaled from its min-max range to the min-max range of another array.

For example: [3.0, 2.0, 1.0] to [10, 11, 12] -> [12.0, 11.0, 10.0]

Use this to search for patterns irrespective of their vertical scale.

Rebase

Array is rebased to the first value in another array.

For example: [3.0, 2.0, 1.0] to [10, 11, 12] -> [10.0, 6.6, 3.3]

Use this to search for percentage changes.

Disable

Disable any rescaling.

For example: [3.0, 2.0, 1.0] to [10, 11, 12] -> [3.0, 2.0, 1.0]

Use this to search for particular numbers.

WType namedtuple

Rolling window type.

WTypeT(
    Simple=0,
    Weighted=1,
    Exp=2,
    Wilder=3,
    Vidya=4
)

drawdown_dt dtype

np.dtype of drawdown records.

np.dtype([
    ('id', 'int64'),
    ('col', 'int64'),
    ('start_idx', 'int64'),
    ('valley_idx', 'int64'),
    ('end_idx', 'int64'),
    ('start_val', 'float64'),
    ('valley_val', 'float64'),
    ('end_val', 'float64'),
    ('status', 'int64')
])

pattern_range_dt dtype

np.dtype of pattern range records.

np.dtype([
    ('id', 'int64'),
    ('col', 'int64'),
    ('start_idx', 'int64'),
    ('end_idx', 'int64'),
    ('status', 'int64'),
    ('similarity', 'float64')
])

range_dt dtype

np.dtype of range records.

np.dtype([
    ('id', 'int64'),
    ('col', 'int64'),
    ('start_idx', 'int64'),
    ('end_idx', 'int64'),
    ('status', 'int64')
])

EWMMeanAIS class

EWMMeanAIS(
    i,
    value,
    old_wt,
    weighted_avg,
    nobs,
    alpha,
    minp,
    adjust
)

A named tuple representing the input state of ewm_mean_acc_nb.

To get alpha, use one of the following:

Superclasses

  • builtins.tuple

adjust field

Alias for field number 7

alpha field

Alias for field number 5

i field

Alias for field number 0

minp field

Alias for field number 6

nobs field

Alias for field number 4

old_wt field

Alias for field number 2

value field

Alias for field number 1

weighted_avg field

Alias for field number 3

EWMMeanAOS class

EWMMeanAOS(
    old_wt,
    weighted_avg,
    nobs,
    value
)

A named tuple representing the output state of ewm_mean_acc_nb.

Superclasses

  • builtins.tuple

nobs field

Alias for field number 2

old_wt field

Alias for field number 0

value field

Alias for field number 3

weighted_avg field

Alias for field number 1

EWMStdAIS class

EWMStdAIS(
    i,
    value,
    mean_x,
    mean_y,
    cov,
    sum_wt,
    sum_wt2,
    old_wt,
    nobs,
    alpha,
    minp,
    adjust
)

A named tuple representing the input state of ewm_std_acc_nb.

For tips on alpha, see EWMMeanAIS.

Superclasses

  • builtins.tuple

adjust field

Alias for field number 11

alpha field

Alias for field number 9

cov field

Alias for field number 4

i field

Alias for field number 0

mean_x field

Alias for field number 2

mean_y field

Alias for field number 3

minp field

Alias for field number 10

nobs field

Alias for field number 8

old_wt field

Alias for field number 7

sum_wt field

Alias for field number 5

sum_wt2 field

Alias for field number 6

value field

Alias for field number 1

EWMStdAOS class

EWMStdAOS(
    mean_x,
    mean_y,
    cov,
    sum_wt,
    sum_wt2,
    old_wt,
    nobs,
    value
)

A named tuple representing the output state of ewm_std_acc_nb.

Superclasses

  • builtins.tuple

cov field

Alias for field number 2

mean_x field

Alias for field number 0

mean_y field

Alias for field number 1

nobs field

Alias for field number 6

old_wt field

Alias for field number 5

sum_wt field

Alias for field number 3

sum_wt2 field

Alias for field number 4

value field

Alias for field number 7

RollCorrAIS class

RollCorrAIS(
    i,
    value1,
    value2,
    pre_window_value1,
    pre_window_value2,
    cumsum1,
    cumsum2,
    cumsum_sq1,
    cumsum_sq2,
    cumsum_prod,
    nancnt,
    window,
    minp
)

A named tuple representing the input state of rolling_corr_acc_nb.

Superclasses

  • builtins.tuple

cumsum1 field

Alias for field number 5

cumsum2 field

Alias for field number 6

cumsum_prod field

Alias for field number 9

cumsum_sq1 field

Alias for field number 7

cumsum_sq2 field

Alias for field number 8

i field

Alias for field number 0

minp field

Alias for field number 12

nancnt field

Alias for field number 10

pre_window_value1 field

Alias for field number 3

pre_window_value2 field

Alias for field number 4

value1 field

Alias for field number 1

value2 field

Alias for field number 2

window field

Alias for field number 11

RollCorrAOS class

RollCorrAOS(
    cumsum1,
    cumsum2,
    cumsum_sq1,
    cumsum_sq2,
    cumsum_prod,
    nancnt,
    window_len,
    value
)

A named tuple representing the output state of rolling_corr_acc_nb.

Superclasses

  • builtins.tuple

cumsum1 field

Alias for field number 0

cumsum2 field

Alias for field number 1

cumsum_prod field

Alias for field number 4

cumsum_sq1 field

Alias for field number 2

cumsum_sq2 field

Alias for field number 3

nancnt field

Alias for field number 5

value field

Alias for field number 7

window_len field

Alias for field number 6

RollCovAIS class

RollCovAIS(
    i,
    value1,
    value2,
    pre_window_value1,
    pre_window_value2,
    cumsum1,
    cumsum2,
    cumsum_prod,
    nancnt,
    window,
    minp,
    ddof
)

A named tuple representing the input state of rolling_cov_acc_nb.

Superclasses

  • builtins.tuple

cumsum1 field

Alias for field number 5

cumsum2 field

Alias for field number 6

cumsum_prod field

Alias for field number 7

ddof field

Alias for field number 11

i field

Alias for field number 0

minp field

Alias for field number 10

nancnt field

Alias for field number 8

pre_window_value1 field

Alias for field number 3

pre_window_value2 field

Alias for field number 4

value1 field

Alias for field number 1

value2 field

Alias for field number 2

window field

Alias for field number 9

RollCovAOS class

RollCovAOS(
    cumsum1,
    cumsum2,
    cumsum_prod,
    nancnt,
    window_len,
    value
)

A named tuple representing the output state of rolling_cov_acc_nb.

Superclasses

  • builtins.tuple

cumsum1 field

Alias for field number 0

cumsum2 field

Alias for field number 1

cumsum_prod field

Alias for field number 2

nancnt field

Alias for field number 3

value field

Alias for field number 5

window_len field

Alias for field number 4

RollMeanAIS class

RollMeanAIS(
    i,
    value,
    pre_window_value,
    cumsum,
    nancnt,
    window,
    minp
)

A named tuple representing the input state of rolling_mean_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 3

i field

Alias for field number 0

minp field

Alias for field number 6

nancnt field

Alias for field number 4

pre_window_value field

Alias for field number 2

value field

Alias for field number 1

window field

Alias for field number 5

RollMeanAOS class

RollMeanAOS(
    cumsum,
    nancnt,
    window_len,
    value
)

A named tuple representing the output state of rolling_mean_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 0

nancnt field

Alias for field number 1

value field

Alias for field number 3

window_len field

Alias for field number 2

RollOLSAIS class

RollOLSAIS(
    i,
    value1,
    value2,
    pre_window_value1,
    pre_window_value2,
    validcnt,
    cumsum1,
    cumsum2,
    cumsum_sq1,
    cumsum_prod,
    nancnt,
    window,
    minp
)

A named tuple representing the input state of rolling_ols_acc_nb.

Superclasses

  • builtins.tuple

cumsum1 field

Alias for field number 6

cumsum2 field

Alias for field number 7

cumsum_prod field

Alias for field number 9

cumsum_sq1 field

Alias for field number 8

i field

Alias for field number 0

minp field

Alias for field number 12

nancnt field

Alias for field number 10

pre_window_value1 field

Alias for field number 3

pre_window_value2 field

Alias for field number 4

validcnt field

Alias for field number 5

value1 field

Alias for field number 1

value2 field

Alias for field number 2

window field

Alias for field number 11

RollOLSAOS class

RollOLSAOS(
    validcnt,
    cumsum1,
    cumsum2,
    cumsum_sq1,
    cumsum_prod,
    nancnt,
    window_len,
    slope_value,
    intercept_value
)

A named tuple representing the output state of rolling_ols_acc_nb.

Superclasses

  • builtins.tuple

cumsum1 field

Alias for field number 1

cumsum2 field

Alias for field number 2

cumsum_prod field

Alias for field number 4

cumsum_sq1 field

Alias for field number 3

intercept_value field

Alias for field number 8

nancnt field

Alias for field number 5

slope_value field

Alias for field number 7

validcnt field

Alias for field number 0

window_len field

Alias for field number 6

RollProdAIS class

RollProdAIS(
    i,
    value,
    pre_window_value,
    cumprod,
    nancnt,
    window,
    minp
)

A named tuple representing the input state of rolling_prod_acc_nb.

Superclasses

  • builtins.tuple

cumprod field

Alias for field number 3

i field

Alias for field number 0

minp field

Alias for field number 6

nancnt field

Alias for field number 4

pre_window_value field

Alias for field number 2

value field

Alias for field number 1

window field

Alias for field number 5

RollProdAOS class

RollProdAOS(
    cumprod,
    nancnt,
    window_len,
    value
)

A named tuple representing the output state of rolling_prod_acc_nb.

Superclasses

  • builtins.tuple

cumprod field

Alias for field number 0

nancnt field

Alias for field number 1

value field

Alias for field number 3

window_len field

Alias for field number 2

RollStdAIS class

RollStdAIS(
    i,
    value,
    pre_window_value,
    cumsum,
    cumsum_sq,
    nancnt,
    window,
    minp,
    ddof
)

A named tuple representing the input state of rolling_std_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 3

cumsum_sq field

Alias for field number 4

ddof field

Alias for field number 8

i field

Alias for field number 0

minp field

Alias for field number 7

nancnt field

Alias for field number 5

pre_window_value field

Alias for field number 2

value field

Alias for field number 1

window field

Alias for field number 6

RollStdAOS class

RollStdAOS(
    cumsum,
    cumsum_sq,
    nancnt,
    window_len,
    value
)

A named tuple representing the output state of rolling_std_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 0

cumsum_sq field

Alias for field number 1

nancnt field

Alias for field number 2

value field

Alias for field number 4

window_len field

Alias for field number 3

RollSumAIS class

RollSumAIS(
    i,
    value,
    pre_window_value,
    cumsum,
    nancnt,
    window,
    minp
)

A named tuple representing the input state of rolling_sum_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 3

i field

Alias for field number 0

minp field

Alias for field number 6

nancnt field

Alias for field number 4

pre_window_value field

Alias for field number 2

value field

Alias for field number 1

window field

Alias for field number 5

RollSumAOS class

RollSumAOS(
    cumsum,
    nancnt,
    window_len,
    value
)

A named tuple representing the output state of rolling_sum_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 0

nancnt field

Alias for field number 1

value field

Alias for field number 3

window_len field

Alias for field number 2

RollZScoreAIS class

RollZScoreAIS(
    i,
    value,
    pre_window_value,
    cumsum,
    cumsum_sq,
    nancnt,
    window,
    minp,
    ddof
)

A named tuple representing the input state of rolling_zscore_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 3

cumsum_sq field

Alias for field number 4

ddof field

Alias for field number 8

i field

Alias for field number 0

minp field

Alias for field number 7

nancnt field

Alias for field number 5

pre_window_value field

Alias for field number 2

value field

Alias for field number 1

window field

Alias for field number 6

RollZScoreAOS class

RollZScoreAOS(
    cumsum,
    cumsum_sq,
    nancnt,
    window_len,
    value
)

A named tuple representing the output state of rolling_zscore_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 0

cumsum_sq field

Alias for field number 1

nancnt field

Alias for field number 2

value field

Alias for field number 4

window_len field

Alias for field number 3

VidyaAIS class

VidyaAIS(
    i,
    prev_value,
    value,
    pre_window_prev_value,
    pre_window_value,
    pos_cumsum,
    neg_cumsum,
    prev_vidya,
    nancnt,
    window,
    minp
)

A named tuple representing the input state of vidya_acc_nb.

Superclasses

  • builtins.tuple

i field

Alias for field number 0

minp field

Alias for field number 10

nancnt field

Alias for field number 8

neg_cumsum field

Alias for field number 6

pos_cumsum field

Alias for field number 5

pre_window_prev_value field

Alias for field number 3

pre_window_value field

Alias for field number 4

prev_value field

Alias for field number 1

prev_vidya field

Alias for field number 7

value field

Alias for field number 2

window field

Alias for field number 9

VidyaAOS class

VidyaAOS(
    pos_cumsum,
    neg_cumsum,
    nancnt,
    window_len,
    cmo,
    vidya
)

A named tuple representing the output state of vidya_acc_nb.

Superclasses

  • builtins.tuple

cmo field

Alias for field number 4

nancnt field

Alias for field number 2

neg_cumsum field

Alias for field number 1

pos_cumsum field

Alias for field number 0

vidya field

Alias for field number 5

window_len field

Alias for field number 3

WMMeanAIS class

WMMeanAIS(
    i,
    value,
    pre_window_value,
    cumsum,
    wcumsum,
    nancnt,
    window,
    minp
)

A named tuple representing the input state of wm_mean_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 3

i field

Alias for field number 0

minp field

Alias for field number 7

nancnt field

Alias for field number 5

pre_window_value field

Alias for field number 2

value field

Alias for field number 1

wcumsum field

Alias for field number 4

window field

Alias for field number 6

WMMeanAOS class

WMMeanAOS(
    cumsum,
    wcumsum,
    nancnt,
    window_len,
    value
)

A named tuple representing the output state of wm_mean_acc_nb.

Superclasses

  • builtins.tuple

cumsum field

Alias for field number 0

nancnt field

Alias for field number 2

value field

Alias for field number 4

wcumsum field

Alias for field number 1

window_len field

Alias for field number 3