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msd module

Module with MSD.

MSD class

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

Moving Standard Deviation (MSD).

Standard deviation is an indicator that measures the size of an assets recent price moves in order to predict how volatile the price may be in the future.

Superclasses

Inherited members

Subclasses

  • vectorbtpro.indicators.custom.msd._MSD

apply_func method

MSD.apply_func(
    close,
    window=14,
    wtype=0,
    minp=None,
    adjust=False,
    ddof=0
)

Apply function.

cache_func NoneType

Cache function.

close class property

Input array.

close_above method

MSD.close_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is above other.

See combine_objs.

close_below method

MSD.close_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is below other.

See combine_objs.

close_crossed_above method

MSD.close_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_above other.

See combine_objs.

close_crossed_below method

MSD.close_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_below other.

See combine_objs.

close_equal method

MSD.close_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is equal other.

See combine_objs.

close_stats method

MSD.close_stats(
    *args,
    **kwargs
)

Stats of close as generic.

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.

msd class property

Output array.

msd_above method

MSD.msd_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where msd is above other.

See combine_objs.

msd_below method

MSD.msd_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where msd is below other.

See combine_objs.

msd_crossed_above method

MSD.msd_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where msd is crossed_above other.

See combine_objs.

msd_crossed_below method

MSD.msd_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where msd is crossed_below other.

See combine_objs.

msd_equal method

MSD.msd_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where msd is equal other.

See combine_objs.

msd_stats method

MSD.msd_stats(
    *args,
    **kwargs
)

Stats of msd as generic.

param_select_func_nb method

MSD.param_select_func_nb(
    i,
    args_before,
    close,
    window,
    wtype,
    *args
)

Parameter selection function.

plot method

_MSD.plot(
    column=None,
    msd_trace_kwargs=None,
    add_trace_kwargs=None,
    fig=None,
    **layout_kwargs
)

Plot MSD.msd.

Args

column : str
Name of the column to plot.
msd_trace_kwargs : dict
Keyword arguments passed to plotly.graph_objects.Scatter for MSD.msd.
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.MSD.run(ohlcv['Close']).plot().show()

run class method

MSD.run(
    close,
    window=Default(value=14),
    wtype=Default(value='simple'),
    short_name='msd',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run MSD indicator.

  • Inputs: close
  • Parameters: window, wtype
  • Outputs: msd

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

MSD.run_combs(
    close,
    window=Default(value=14),
    wtype=Default(value='simple'),
    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 MSD indicators using function comb_func.

  • Inputs: close
  • Parameters: window, wtype
  • Outputs: msd

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 MSD.run.

Note

This method should only be used when multiple indicators are needed. To test multiple parameters, pass them as lists to MSD.run.

window_list class property

List of window values.

wtype_list class property

List of wtype values.