momentum devandClaude Opus 4.8
007cd95c79
Snapshot before the DuckDB->PostgreSQL migration. data/, archive/, the 232MB rebuild zip, the Windows .venv, and .env are excluded via .gitignore. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
62 lines
1.8 KiB
Python
62 lines
1.8 KiB
Python
"""First-candle features: opening drive strength classification."""
|
|
|
|
from __future__ import annotations
|
|
|
|
from dataclasses import dataclass
|
|
|
|
import pandas as pd
|
|
|
|
|
|
@dataclass
|
|
class FirstCandleFeatures:
|
|
"""Features of the first regular-hours candles."""
|
|
|
|
first_candle_range_pct: float = 0.0
|
|
first_candle_body_pct: float = 0.0
|
|
first_candle_green: bool = False
|
|
first_candle_volume: int = 0
|
|
open_above_premarket_high: bool = False
|
|
opening_strength: str = "neutral"
|
|
|
|
|
|
def calculate_first_candle_features(
|
|
bars: pd.DataFrame,
|
|
premarket_high: float | None = None,
|
|
n_candles: int = 1,
|
|
) -> FirstCandleFeatures:
|
|
"""Compute features from the first regular-hours candle(s)."""
|
|
feats = FirstCandleFeatures()
|
|
if bars.empty:
|
|
return feats
|
|
|
|
if "is_regular_hours" in bars.columns:
|
|
rth = bars[bars["is_regular_hours"].astype(bool)]
|
|
else:
|
|
rth = bars
|
|
if rth.empty:
|
|
return feats
|
|
|
|
first = rth.head(max(1, n_candles))
|
|
o = float(first["open"].iloc[0])
|
|
c = float(first["close"].iloc[-1])
|
|
h = float(first["high"].max())
|
|
lo = float(first["low"].min())
|
|
if o > 0:
|
|
feats.first_candle_range_pct = (h - lo) / o
|
|
feats.first_candle_body_pct = abs(c - o) / o
|
|
feats.first_candle_green = c > o
|
|
feats.first_candle_volume = int(first["volume"].sum())
|
|
if premarket_high is not None:
|
|
feats.open_above_premarket_high = o > premarket_high
|
|
feats.opening_strength = classify_opening_strength(feats)
|
|
return feats
|
|
|
|
|
|
def classify_opening_strength(feats: FirstCandleFeatures) -> str:
|
|
"""Classify opening strength as strong / neutral / weak."""
|
|
if feats.first_candle_green and feats.first_candle_body_pct >= 0.02:
|
|
return "strong"
|
|
if not feats.first_candle_green and feats.first_candle_body_pct >= 0.02:
|
|
return "weak"
|
|
return "neutral"
|