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factory module

Factory for building signal generators.

The signal factory class SignalFactory extends IndicatorFactory to offer a convenient way to create signal generators of any complexity. By providing it with information such as entry and exit functions and the names of inputs, parameters, and outputs, it will create a stand-alone class capable of generating signals for an arbitrary combination of inputs and parameters.

SignalFactory class

SignalFactory(
    *args,
    mode=2,
    input_names=None,
    attr_settings=None,
    **kwargs
)

A factory for building signal generators.

Extends IndicatorFactory with place functions.

Generates a fixed number of outputs (depending upon mode). If you need to generate other outputs, use in-place outputs (via in_output_names).

See FactoryMode for supported generation modes.

Other arguments are passed to IndicatorFactory.

Superclasses

Inherited members

mode class property

Factory mode.

with_place_func method

SignalFactory.with_place_func(
    entry_place_func_nb=None,
    exit_place_func_nb=None,
    generate_func_nb=None,
    generate_ex_func_nb=None,
    generate_enex_func_nb=None,
    cache_func=None,
    entry_settings=None,
    exit_settings=None,
    cache_settings=None,
    jit_kwargs=None,
    jitted=None,
    **kwargs
)

Build signal generator class around entry and exit placement functions.

A placement function is simply a function that places signals. There are two types of it: entry placement function and exit placement function. Each placement function takes broadcast time series, broadcast in-place output time series, broadcast parameter arrays, and other arguments, and returns an array of indices corresponding to chosen signals. See generate_nb.

Args

entry_place_func_nb : callable

place_func_nb that returns indices of entries.

Defaults to first_place_nb for FactoryMode.Chain.

exit_place_func_nb : callable
place_func_nb that returns indices of exits.
generate_func_nb : callable

Entry generation function.

Defaults to generate_nb.

generate_ex_func_nb : callable

Exit generation function.

Defaults to generate_ex_nb.

generate_enex_func_nb : callable

Entry and exit generation function.

Defaults to generate_enex_nb.

cache_func : callable

A caching function to preprocess data beforehand.

All returned objects will be passed as last arguments to placement functions.

entry_settings : dict
Settings dict for entry_place_func_nb.
exit_settings : dict
Settings dict for exit_place_func_nb.
cache_settings : dict
Settings dict for cache_func.
jit_kwargs : dict

Keyword arguments passed to @njit decorator of the parameter selection function.

By default, has nogil set to True.

jitted : any

See resolve_jitted_option.

Gets applied to generation functions only. If the respective generation function is not jitted, then the apply function won't be jitted as well.

**kwargs
Keyword arguments passed to IndicatorFactory.with_custom_func.

Note

Choice functions must be Numba-compiled.

Which inputs, parameters and arguments to pass to each function must be explicitly indicated in the function's settings dict. By default, nothing is passed.

Passing keyword arguments directly to the placement functions is not supported. Use pass_kwargs in a settings dict to pass keyword arguments as positional.

Settings dict of each function can have the following keys:

Attributes

pass_inputs : list of str

Input names to pass to the placement function.

Defaults to []. Order matters. Each name must be in input_names.

pass_in_outputs : list of str

In-place output names to pass to the placement function.

Defaults to []. Order matters. Each name must be in in_output_names.

pass_params : list of str

Parameter names to pass to the placement function.

Defaults to []. Order matters. Each name must be in param_names.

pass_kwargs : dict, list of str or list of tuple

Keyword arguments from kwargs dict to pass as positional arguments to the placement function.

Defaults to []. Order matters.

If any element is a tuple, must contain the name and the default value. If any element is a string, the default value is None.

Built-in keys include:

  • input_shape: Input shape if no input time series passed. Default is provided by the pipeline if pass_input_shape is True.
  • wait: Number of ticks to wait before placing signals. Default is 1.
  • until_next: Whether to place signals up to the next entry signal. Default is True. Applied in generate_ex_func_nb only.
  • skip_until_exit: Whether to skip processing entry signals until the next exit. Default is False. Applied in generate_ex_func_nb only.
  • pick_first: Whether to stop as soon as the first exit signal is found. Default is False with FactoryMode.Entries, otherwise is True.
  • temp_idx_arr: Empty integer array used to temporarily store indices. Default is an automatically generated array of shape input_shape[0]. You can also pass temp_idx_arr1, temp_idx_arr2, etc. to generate multiple.
pass_cache : bool

Whether to pass cache from cache_func to the placement function.

Defaults to False. Cache is passed unpacked.

The following arguments can be passed to run and run_combs methods:

Args

*args
Can be used instead of place_args.
place_args : tuple
Arguments passed to any placement function (depending on the mode).
entry_place_args : tuple
Arguments passed to the entry placement function.
exit_place_args : tuple
Arguments passed to the exit placement function.
entry_args : tuple
Alias for entry_place_args.
exit_args : tuple
Alias for exit_place_args.
cache_args : tuple
Arguments passed to the cache function.
entry_kwargs : tuple
Settings for the entry placement function. Also contains arguments passed as positional if in pass_kwargs.
exit_kwargs : tuple
Settings for the exit placement function. Also contains arguments passed as positional if in pass_kwargs.
cache_kwargs : tuple
Settings for the cache function. Also contains arguments passed as positional if in pass_kwargs.
return_cache : bool
Whether to return only cache.
use_cache : any
Cache to use.
**kwargs
Default keyword arguments (depending on the mode).

For more arguments, see IndicatorBase.run_pipeline.

Usage

  • The simplest signal indicator that places True at the very first index:
>>> from vectorbtpro import *

>>> @njit
... def entry_place_func_nb(c):
...     c.out[0] = True
...     return 0

>>> @njit
... def exit_place_func_nb(c):
...     c.out[0] = True
...     return 0

>>> MySignals = vbt.SignalFactory().with_place_func(
...     entry_place_func_nb=entry_place_func_nb,
...     exit_place_func_nb=exit_place_func_nb,
...     entry_kwargs=dict(wait=1),
...     exit_kwargs=dict(wait=1)
... )

>>> my_sig = MySignals.run(input_shape=(3, 3))
>>> my_sig.entries
       0      1      2
0   True   True   True
1  False  False  False
2   True   True   True
>>> my_sig.exits
       0      1      2
0  False  False  False
1   True   True   True
2  False  False  False
  • Take the first entry and place an exit after waiting n ticks. Find the next entry and repeat. Test three different n values.
>>> from vectorbtpro.signals.factory import SignalFactory

>>> @njit
... def wait_place_nb(c, n):
...     if n < len(c.out):
...         c.out[n] = True
...         return n
...     return -1

>>> # Build signal generator
>>> MySignals = SignalFactory(
...     mode='chain',
...     param_names=['n']
... ).with_place_func(
...     exit_place_func_nb=wait_place_nb,
...     exit_settings=dict(
...         pass_params=['n']
...     )
... )

>>> # Run signal generator
>>> entries = [True, True, True, True, True]
>>> my_sig = MySignals.run(entries, [0, 1, 2])

>>> my_sig.entries  # input entries
custom_n     0     1     2
0         True  True  True
1         True  True  True
2         True  True  True
3         True  True  True
4         True  True  True

>>> my_sig.new_entries  # output entries
custom_n      0      1      2
0          True   True   True
1         False  False  False
2          True  False  False
3         False   True  False
4          True  False   True

>>> my_sig.exits  # output exits
custom_n      0      1      2
0         False  False  False
1          True  False  False
2         False   True  False
3          True  False   True
4         False  False  False
  • To combine multiple iterative signals, you would need to create a custom placement function. Here is an example of combining two random generators using "OR" rule (the first signal wins):
>>> from vectorbtpro.indicators.configs import flex_elem_param_config
>>> from vectorbtpro.signals.factory import SignalFactory
>>> from vectorbtpro.signals.nb import rand_by_prob_place_nb

>>> # Enum to distinguish random generators
>>> RandType = namedtuple('RandType', ['R1', 'R2'])(0, 1)

>>> # Define exit placement function
>>> @njit
... def rand_exit_place_nb(c, rand_type, prob1, prob2):
...     for out_i in range(len(c.out)):
...         if np.random.uniform(0, 1) < prob1:
...             c.out[out_i] = True
...             rand_type[c.from_i + out_i] = RandType.R1
...             return out_i
...         if np.random.uniform(0, 1) < prob2:
...             c.out[out_i] = True
...             rand_type[c.from_i + out_i] = RandType.R2
...             return out_i
...     return -1

>>> # Build signal generator
>>> MySignals = SignalFactory(
...     mode='chain',
...     in_output_names=['rand_type'],
...     param_names=['prob1', 'prob2'],
...     attr_settings=dict(
...         rand_type=dict(dtype=RandType)  # creates rand_type_readable
...     )
... ).with_place_func(
...     exit_place_func_nb=rand_exit_place_nb,
...     exit_settings=dict(
...         pass_in_outputs=['rand_type'],
...         pass_params=['prob1', 'prob2']
...     ),
...     param_settings=dict(
...         prob1=flex_elem_param_config,  # param per frame/row/col/element
...         prob2=flex_elem_param_config
...     ),
...     rand_type=-1  # fill with this value
... )

>>> # Run signal generator
>>> entries = [True, True, True, True, True]
>>> my_sig = MySignals.run(entries, [0., 1.], [0., 1.], param_product=True)

>>> my_sig.new_entries
custom_prob1           0.0           1.0
custom_prob2    0.0    1.0    0.0    1.0
0              True   True   True   True
1             False  False  False  False
2             False   True   True   True
3             False  False  False  False
4             False   True   True   True

>>> my_sig.exits
custom_prob1           0.0           1.0
custom_prob2    0.0    1.0    0.0    1.0
0             False  False  False  False
1             False   True   True   True
2             False  False  False  False
3             False   True   True   True
4             False  False  False  False

>>> my_sig.rand_type_readable
custom_prob1     0.0     1.0
custom_prob2 0.0 1.0 0.0 1.0
0
1                 R2  R1  R1
2
3                 R2  R1  R1
4