265 lines
11 KiB
Python
265 lines
11 KiB
Python
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"""Typed, data-only definitions for the recovered HS22 indicator inventory."""
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from __future__ import annotations
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from dataclasses import asdict, dataclass
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from enum import StrEnum
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from itertools import product
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class Role(StrEnum):
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LEVEL = "level"
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OSC = "osc"
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TREND = "trend"
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FILTER = "filter"
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class ImplementationStatus(StrEnum):
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UNIMPLEMENTED = "unimplemented"
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ALIAS = "alias"
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UNREGISTERED = "unregistered"
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@dataclass(frozen=True, slots=True)
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class IndicatorDefinition:
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indicator_id: int
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name: str
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role: Role | None
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status: ImplementationStatus = ImplementationStatus.UNIMPLEMENTED
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alias_of: int | None = None
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behavior: str = "refuse_execution"
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@dataclass(frozen=True, slots=True)
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class IndicatorVariant:
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indicator_id: int
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period: int
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p1: float
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role: Role
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def asdict(self) -> dict[str, object]:
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return asdict(self)
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# Recovered from the historical pool definition. This is deliberately data, not
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# a dependency on or import of the reference runtime.
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_SPECS: tuple[tuple[int, str, Role, tuple[int, ...], tuple[float, ...]], ...] = (
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*(
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(i, name, Role.LEVEL, tuple(range(start, stop, step)), params)
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for i, name, start, stop, step, params in (
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(0, "SMA", 5, 51, 3, (0.0,)),
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(1, "EMA", 5, 51, 3, (0.0,)),
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(2, "WMA", 5, 51, 3, (0.0,)),
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(3, "HMA", 6, 51, 2, (0.0,)),
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(4, "DEMA", 5, 41, 3, (0.0,)),
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(5, "TEMA", 5, 36, 3, (0.0,)),
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(6, "KAMA", 8, 36, 3, (0.0,)),
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(7, "EHLERS_SS", 6, 31, 2, (0.0,)),
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(8, "MCGINLEY", 8, 36, 3, (0.0,)),
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(9, "JMA", 8, 36, 4, (-50.0, 0.0, 50.0, 100.0)),
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(10, "T3", 8, 31, 3, (0.6, 0.7, 0.8, 0.9)),
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(11, "ALMA", 8, 31, 3, (4.0, 6.0, 8.0)),
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(12, "ZLEMA", 5, 41, 3, (0.0,)),
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(13, "VIDYA", 8, 36, 4, (0.0,)),
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(14, "FRAMA", 10, 41, 4, (0.0,)),
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(15, "LSMA", 8, 41, 3, (0.0,)),
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(16, "SWMA", 5, 31, 3, (0.0,)),
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(17, "BB_UPPER", 14, 26, 2, (1.5, 2.0, 2.5)),
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(18, "BB_LOWER", 14, 26, 2, (1.5, 2.0, 2.5)),
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(19, "SUPERTREND", 8, 16, 2, (2.0, 3.0, 4.0)),
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(20, "DONCHIAN_UPPER", 10, 30, 4, (0.0,)),
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(21, "DONCHIAN_LOWER", 10, 30, 4, (0.0,)),
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(22, "DONCHIAN_MID", 10, 30, 4, (0.0,)),
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(23, "KELTNER_UPPER", 14, 26, 2, (1.0, 1.5, 2.0)),
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(24, "KELTNER_LOWER", 14, 26, 2, (1.0, 1.5, 2.0)),
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)
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),
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(25, "KELTNER_MID", Role.LEVEL, tuple(range(14, 26, 2)), (0.0,)),
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(26, "ICHIMOKU_TENKAN", Role.LEVEL, tuple(range(7, 13, 2)), (0.0,)),
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(27, "ICHIMOKU_KIJUN", Role.LEVEL, tuple(range(20, 30, 2)), (0.0,)),
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(28, "PSAR", Role.LEVEL, (1,), (0.01, 0.02, 0.03)),
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)
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# The remaining recovered records use compact rows: id, name, role, periods, p1 values.
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_COMPACT_SPECS = (
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(30, "RSI", "osc", range(6, 28, 2)),
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(31, "STOCH_K", "osc", range(5, 22, 2)),
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(32, "STOCH_D", "osc", range(5, 22, 2)),
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(33, "CCI", "osc", range(10, 30, 2)),
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(34, "WILLIAMS_R", "osc", range(5, 22, 2)),
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(35, "ROC", "osc", range(5, 21, 2)),
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(36, "CMO", "osc", range(8, 22, 2)),
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(37, "TRIX", "osc", range(8, 22, 2)),
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(38, "PPO", "osc", range(16, 30, 2)),
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(39, "MACD_HIST", "osc", range(20, 32, 2)),
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(40, "MFI", "osc", range(10, 22, 2)),
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(41, "DPO", "osc", range(10, 26, 2)),
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(42, "PCTILE_RANK", "osc", range(14, 51, 6)),
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(43, "ZSCORE", "osc", range(14, 51, 6)),
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(44, "MINMAX", "osc", range(14, 51, 6)),
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*(
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(i, name, "osc", periods)
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for i, name, periods in (
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(90, "MICRO_BODY_RATIO", range(5, 21, 3)),
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(91, "MICRO_UPPER_WICK", range(5, 21, 3)),
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(92, "MICRO_LOWER_WICK", range(5, 21, 3)),
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(93, "MICRO_BUY_PRESSURE", range(5, 21, 3)),
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(94, "MICRO_SELL_PRESSURE", range(5, 21, 3)),
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(95, "MICRO_STOP_HUNT", range(10, 21, 5)),
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(96, "MICRO_FVG", (1,)),
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(97, "MICRO_LIQ_SWEEP", range(5, 21, 4)),
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(98, "TREND_BREAKOUT", range(10, 31, 5)),
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(99, "TREND_PULLBACK", range(10, 31, 5)),
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(100, "MOM_VELOCITY", range(5, 21, 3)),
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(101, "MOM_ACCELERATION", range(5, 21, 3)),
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(102, "MOM_COMPOSITE", range(12, 31, 4)),
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(103, "MOM_NORMALIZED_ROC", range(5, 21, 3)),
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(104, "CROSS_PRICE_VS_EMA", range(8, 31, 3)),
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(105, "CROSS_EMA_SPREAD", range(14, 41, 4)),
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(106, "CROSS_MOM_X_VOL", range(8, 21, 3)),
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(107, "CROSS_VOL_ADJ_MOM", range(8, 21, 3)),
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(108, "NORM_RETURN_ZSCORE", range(14, 51, 6)),
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(109, "TIME_BARS_SINCE_HIGH", range(10, 51, 10)),
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(110, "TIME_BARS_SINCE_LOW", range(10, 51, 10)),
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(116, "REGIME_SKEWNESS", range(20, 61, 10)),
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(52, "VOL_ATR_ZSCORE", range(10, 31, 5)),
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(59, "VOL_RANGE_PCTILE", range(14, 31, 4)),
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(60, "VOL_TR_MOMENTUM", range(10, 31, 5)),
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)
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),
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*(
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(i, name, "trend", periods)
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for i, name, periods in (
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(70, "ADX", range(10, 22, 2)),
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(71, "AROON_UP", range(10, 30, 4)),
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(72, "AROON_DOWN", range(10, 30, 4)),
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(73, "LINREG_SLOPE", range(8, 31, 3)),
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(74, "LINREG_R2", range(8, 31, 3)),
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(75, "EFFICIENCY", range(8, 31, 3)),
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(76, "ANGLE", range(8, 31, 3)),
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(77, "DURATION", (1,)),
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(78, "HURST", range(20, 61, 10)),
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(80, "FRACTAL_DIM", range(20, 61, 10)),
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(81, "TREND_PERSIST", range(10, 31, 5)),
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(83, "MICRO_TREND_STRUCT", range(5, 21, 3)),
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)
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),
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)
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def _variants() -> tuple[IndicatorVariant, ...]:
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specs = list(_SPECS)
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specs.extend((i, n, Role(r), tuple(p), (0.0,)) for i, n, r, p in _COMPACT_SPECS)
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specs.extend(
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(
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(79, "VARIANCE_RATIO", Role.TREND, tuple(range(20, 61, 10)), (2.0, 4.0, 8.0)),
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(82, "AUTOCORR", Role.TREND, tuple(range(20, 51, 10)), (1.0, 3.0, 5.0)),
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)
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)
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specs.extend(
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(i, n, Role.FILTER, tuple(p), (0.0,))
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for i, n, p in (
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(50, "ATR", range(8, 22, 2)),
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(51, "ATR_PCT", range(8, 22, 2)),
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(53, "VOL_COMPRESSION", range(14, 31, 4)),
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(54, "VOL_OF_VOL", range(14, 31, 4)),
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(55, "VOL_PARKINSON", range(10, 31, 5)),
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(56, "VOL_GARMAN_KLASS", range(10, 31, 5)),
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(57, "VOL_ROGERS_SATCHELL", range(10, 31, 5)),
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(58, "VOL_REALIZED", range(10, 31, 5)),
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(61, "NORM_VOL_ZSCORE", range(14, 51, 6)),
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(63, "MICRO_VOL_DELTA", range(5, 21, 3)),
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(111, "ENTROPY_SHANNON", range(20, 61, 10)),
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(112, "KURTOSIS", range(20, 61, 10)),
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(113, "HALFLIFE", range(30, 61, 10)),
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(115, "MA_COMPRESSION", range(10, 31, 5)),
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(118, "TIME_HOUR_COS", (1,)),
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(119, "TIME_SESSION_VOL", (1,)),
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)
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)
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specs.extend(
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(
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(62, "MICRO_VOL_CLUSTERING", Role.TREND, tuple(range(10, 31, 5)), (0.0,)),
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(117, "TIME_HOUR_SIN", Role.TREND, (1,), (0.0,)),
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)
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)
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specs.append((114, "DC_EVENTS", Role.FILTER, tuple(range(20, 51, 10)), (10.0, 20.0, 50.0)))
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specs.extend(
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(
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i,
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n,
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Role.LEVEL if role == "level" else Role.OSC if role == "osc" else Role.FILTER,
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tuple(p),
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params,
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)
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for i, n, role, p, params in (
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(120, "PIVOT_CLASSIC", "level", range(30, 361, 30), (0.0,)),
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(121, "PIVOT_R1", "level", range(30, 361, 30), (0.0,)),
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(122, "PIVOT_S1", "level", range(30, 361, 30), (0.0,)),
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(123, "PIVOT_DISTANCE", "osc", range(30, 361, 30), (0.0,)),
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(124, "PREV_PERIOD_HIGH", "level", range(30, 361, 30), (0.0,)),
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(125, "PREV_PERIOD_LOW", "level", range(30, 361, 30), (0.0,)),
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(126, "PREV_PERIOD_CLOSE", "level", range(30, 361, 30), (0.0,)),
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(127, "ROLLING_MEDIAN", "level", range(10, 41, 5), (0.0,)),
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(128, "LINREG_CHAN_UPPER", "level", range(14, 31, 4), (1.5, 2.0, 2.5)),
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(129, "LINREG_CHAN_LOWER", "level", range(14, 31, 4), (1.5, 2.0, 2.5)),
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(130, "QUANTILE_UPPER", "level", range(14, 41, 6), (0.0,)),
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(131, "QUANTILE_LOWER", "level", range(14, 41, 6), (0.0,)),
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(135, "FRESH_BREAKOUT", "osc", range(10, 31, 5), (0.0,)),
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(136, "FAILED_BREAKOUT", "osc", range(10, 31, 5), (0.0,)),
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(137, "FIRST_PULLBACK", "osc", range(10, 31, 5), (0.0,)),
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(138, "VOL_EXPANSION", "osc", range(10, 21, 5), (0.0,)),
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(139, "INSIDE_BAR", "osc", (1,), (0.0,)),
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(140, "COMPRESS_RELEASE", "osc", range(10, 21, 5), (0.0,)),
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(141, "SWEEP_RECLAIM", "osc", range(10, 31, 5), (0.0,)),
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(142, "CLOSE_IN_RANGE", "osc", (1,), (0.0,)),
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(143, "CLOSE_IN_ROLLING_RANGE", "osc", range(10, 31, 5), (0.0,)),
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(144, "DIST_RECENT_HIGH", "osc", range(10, 31, 5), (0.0,)),
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(145, "DIST_RECENT_LOW", "osc", range(10, 31, 5), (0.0,)),
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(146, "CHANNEL_POSITION", "osc", range(14, 31, 4), (0.0,)),
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(147, "OC_VS_PRIOR", "osc", range(10, 31, 5), (0.0,)),
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(150, "CHOP_INDEX", "filter", range(10, 31, 5), (0.0,)),
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(151, "CANDLE_OVERLAP", "filter", range(10, 31, 5), (0.0,)),
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(152, "NOISE_RATIO", "filter", range(10, 31, 5), (0.0,)),
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(153, "WICK_INSTABILITY", "filter", range(10, 31, 5), (0.0,)),
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(154, "FALSE_BREAK_FREQ", "filter", range(10, 31, 10), (0.0,)),
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(155, "SPREAD_PROXY", "filter", range(10, 31, 5), (0.0,)),
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(156, "DIR_CLEAN", "filter", range(10, 31, 5), (0.0,)),
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(157, "REVERSAL_FREQ", "filter", range(10, 31, 5), (0.0,)),
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(158, "MEDIAN_EXCURSION", "filter", range(10, 31, 5), (0.0,)),
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(160, "RSI_SLOPE", "osc", range(8, 22, 2), (0.0,)),
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(161, "RSI_DIST_50", "osc", range(8, 22, 2), (0.0,)),
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(162, "RSI_DIVERGENCE", "osc", range(10, 22, 2), (5.0, 10.0)),
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(163, "MACD_SLOPE", "osc", range(20, 30, 2), (0.0,)),
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(164, "MACD_DIVERGENCE", "osc", range(20, 30, 2), (0.0,)),
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(165, "TIME_SINCE_OB", "osc", range(8, 22, 2), (0.0,)),
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(166, "TIME_SINCE_OS", "osc", range(8, 22, 2), (0.0,)),
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(167, "EXHAUSTION", "osc", range(10, 22, 2), (0.0,)),
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(168, "LHLL_SCORE", "trend", range(5, 21, 3), (0.0,)),
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)
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)
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return tuple(
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IndicatorVariant(i, p, q, r) for i, _, r, ps, qs in specs for p, q in product(ps, qs)
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)
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HISTORICAL_VARIANTS = _variants()
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assert len(HISTORICAL_VARIANTS) == 1107
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_names = {i: n for i, n, *_ in _SPECS}
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_names.update({i: n for i, n, *_ in _COMPACT_SPECS})
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_names.update(
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{
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variant.indicator_id: _names.get(variant.indicator_id, f"ID_{variant.indicator_id}")
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for variant in HISTORICAL_VARIANTS
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}
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)
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HISTORICAL_DEFINITIONS = tuple(
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IndicatorDefinition(
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i,
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_names.get(i, f"RESERVED_{i}"),
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next((v.role for v in HISTORICAL_VARIANTS if v.indicator_id == i), None),
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)
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for i in sorted({v.indicator_id for v in HISTORICAL_VARIANTS})
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)
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