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calculPlateaux

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Jérôme Delacotte
2025-09-15 19:00:54 +02:00
parent 7f0e4905bf
commit 4d875a4c97
1 changed files with 50 additions and 0 deletions
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Zeus_8_3_2_B_4_2.py
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@@ -733,6 +733,8 @@ class Zeus_8_3_2_B_4_2(IStrategy):
# print("##################")
# self.calculateStats(informative, 'sma5_deriv1', 'futur_percent_3')
self.calculePlateaux(informative, 24, 0.01)
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, "1h", ffill=True)
################### INFORMATIVE 1d
@@ -785,6 +787,7 @@ class Zeus_8_3_2_B_4_2(IStrategy):
# self.calculateProbabilite2Index(informative, futur_cols, indic_1, indic_2)
self.calculePlateaux(informative, 14, 0.01)
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, "1d", ffill=True)
dataframe['last_price'] = dataframe['close']
@@ -2141,3 +2144,50 @@ class Zeus_8_3_2_B_4_2(IStrategy):
return max_pair == pair or pct_max < - 0.25 or (pct_max_max < - 0.15 and max_pair != pair and days_since_open > 60)
else:
return True
def calculePlateaux(self, informative: pd.DataFrame, plateau_duration, plateau_tolerance) -> pd.DataFrame:
# 1. Détection plateau
informative['rolling_min'] = informative['close'].rolling(plateau_duration).min()
informative['rolling_max'] = informative['close'].rolling(plateau_duration).max()
informative['plateau_amplitude'] = (informative['rolling_max'] - informative['rolling_min']) / informative['rolling_min']
informative['plateau'] = informative['plateau_amplitude'] < plateau_tolerance
# 2. Détection "fin de plateau"
#informative['plateau_end'] = (informative['plateau'] & ~informative['plateau'].shift(-1).fillna(False).astype(bool))
next_plateau = informative['plateau'].shift(-1)
next_plateau = next_plateau.fillna(False).astype(bool)
informative['plateau_end'] = informative['plateau'] & ~next_plateau
# 3. Enregistrer dernier plateau (min/max)
last_min = None
last_max = None
last_status = []
for i, row in informative.iterrows():
if row['plateau_end']:
last_min = row['rolling_min']
last_max = row['rolling_max']
if last_min is not None and last_max is not None:
if row['close'] > last_max:
breakout = "up"
distance = (row['close'] - last_max) / last_max
elif row['close'] < last_min:
breakout = "down"
distance = (last_min - row['close']) / last_min
else:
breakout = "inside"
distance = 0
else:
breakout = None
distance = None
last_status.append((breakout, distance))
informative['breakout_status'] = [s[0] for s in last_status]
informative['breakout_distance'] = [s[1] for s in last_status]
return informative