Stefan
210 lines
6.6 KiB
Python
210 lines
6.6 KiB
Python
"""
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analysis.py — Technische analyse engine
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Berekent: RSI, EMA, VWAP, Bollinger Bands, ATR, volume score
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Geeft per asset een opportunity score terug (0-100)
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"""
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import pandas as pd
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import pandas_ta as ta
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import numpy as np
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import logging
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from dataclasses import dataclass
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logger = logging.getLogger(__name__)
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@dataclass
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class AssetScore:
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symbol: str
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opportunity_score: float # 0-100, hoger = interessanter
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rsi: float
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rsi_signal: str # "oversold" | "neutral" | "overbought"
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ema9: float
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ema21: float
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ema_signal: str # "bullish" | "bearish" | "neutral"
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vwap: float
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vwap_signal: str # "above" | "below"
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bb_position: float # 0.0 = lower band, 1.0 = upper band
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atr_pct: float # ATR als % van prijs
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volume_score: float # 0-100, relatief volume
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trend_strength: str # "strong" | "moderate" | "weak"
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tradeable: bool # False als ATR te hoog of signalen ontbreken
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def calculate_indicators(df: pd.DataFrame) -> dict:
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"""
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Bereken alle indicatoren op een OHLCV dataframe.
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Geeft dict terug met indicator waarden.
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"""
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if df.empty or len(df) < 30:
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return {}
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try:
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close = df["close"]
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high = df["high"]
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low = df["low"]
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volume = df["volume"]
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# --- RSI ---
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rsi_series = ta.rsi(close, length=14)
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rsi = float(rsi_series.iloc[-1]) if rsi_series is not None else 50.0
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# --- EMA ---
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ema9 = float(ta.ema(close, length=9).iloc[-1])
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ema21 = float(ta.ema(close, length=21).iloc[-1])
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ema50 = float(ta.ema(close, length=50).iloc[-1])
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# EMA50 slope: positief = uptrend
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ema50_series = ta.ema(close, length=50)
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ema50_slope = float(ema50_series.iloc[-1] - ema50_series.iloc[-5]) if len(ema50_series) >= 5 else 0
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# --- VWAP ---
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typical_price = (high + low + close) / 3
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cumulative_tp_vol = (typical_price * volume).cumsum()
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cumulative_vol = volume.cumsum()
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vwap = float((cumulative_tp_vol / cumulative_vol).iloc[-1])
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# --- Bollinger Bands ---
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bbands = ta.bbands(close, length=20, std=2)
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if bbands is not None and not bbands.empty:
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bb_upper = float(bbands.iloc[-1, 2]) # BBU
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bb_lower = float(bbands.iloc[-1, 0]) # BBL
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bb_mid = float(bbands.iloc[-1, 1]) # BBM
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current = float(close.iloc[-1])
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bb_range = bb_upper - bb_lower
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bb_pos = (current - bb_lower) / bb_range if bb_range > 0 else 0.5
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else:
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bb_upper = bb_lower = bb_mid = 0
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bb_pos = 0.5
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# --- ATR ---
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atr_series = ta.atr(high, low, close, length=14)
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atr = float(atr_series.iloc[-1]) if atr_series is not None else 0
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atr_pct = (atr / float(close.iloc[-1])) * 100
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# --- Volume score ---
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vol_mean = float(volume.rolling(20).mean().iloc[-1])
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vol_current = float(volume.iloc[-1])
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vol_ratio = vol_current / vol_mean if vol_mean > 0 else 1.0
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vol_score = min(100, vol_ratio * 50) # Genormaliseerd 0-100
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return {
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"rsi": rsi,
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"ema9": ema9,
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"ema21": ema21,
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"ema50": ema50,
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"ema50_slope": ema50_slope,
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"vwap": vwap,
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"bb_upper": bb_upper,
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"bb_lower": bb_lower,
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"bb_mid": bb_mid,
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"bb_position": bb_pos,
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"atr": atr,
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"atr_pct": atr_pct,
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"volume_score": vol_score,
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"close": float(close.iloc[-1]),
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}
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except Exception as e:
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logger.error(f"Indicator berekening mislukt: {e}")
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return {}
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def score_asset(symbol: str, indicators: dict) -> AssetScore:
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"""
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Vertaal indicator waarden naar een opportunity score (0-100).
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Hogere score = interessanter voor trading.
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Scoring breakdown:
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- RSI in koopzone (40-55): +25 punten
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- EMA bullish crossover: +20 punten
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- Prijs onder VWAP: +20 punten
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- BB positie laag (< 0.4): +15 punten
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- Volume boven gemiddeld: +10 punten
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- Uptrend (EMA50 slope +): +10 punten
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Totaal max: 100
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"""
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if not indicators:
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return AssetScore(
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symbol=symbol, opportunity_score=0, rsi=0, rsi_signal="unknown",
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ema9=0, ema21=0, ema_signal="unknown", vwap=0, vwap_signal="unknown",
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bb_position=0.5, atr_pct=0, volume_score=0,
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trend_strength="unknown", tradeable=False
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)
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score = 0.0
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rsi = indicators["rsi"]
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close = indicators["close"]
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# RSI beoordeling
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if 40 <= rsi <= 55:
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score += 25
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rsi_signal = "koopzone"
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elif rsi < 30:
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score += 15 # Oversold maar gevaarlijk — minder punten
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rsi_signal = "oversold"
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elif rsi > 70:
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rsi_signal = "overbought"
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else:
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score += 10
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rsi_signal = "neutral"
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# EMA crossover
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ema9 = indicators["ema9"]
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ema21 = indicators["ema21"]
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if ema9 > ema21:
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score += 20
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ema_signal = "bullish"
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elif ema9 < ema21 * 0.995:
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ema_signal = "bearish"
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else:
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score += 8
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ema_signal = "neutral"
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# VWAP positie
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vwap = indicators["vwap"]
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if close < vwap:
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score += 20
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vwap_signal = "onder_vwap" # Potentiële reversion kans
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else:
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score += 5
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vwap_signal = "boven_vwap"
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# Bollinger Band positie
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bb_pos = indicators["bb_position"]
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if bb_pos < 0.25:
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score += 15 # Dicht bij lower band
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elif bb_pos < 0.4:
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score += 10
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# Volume
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vol_score = indicators["volume_score"]
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score += (vol_score / 100) * 10
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# EMA50 trend
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if indicators["ema50_slope"] > 0:
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score += 10
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trend_strength = "strong" if indicators["ema50_slope"] > indicators["close"] * 0.001 else "moderate"
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else:
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trend_strength = "weak"
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# ATR filter — te volatiel = niet tradeable
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atr_pct = indicators["atr_pct"]
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tradeable = atr_pct < 5.0 # Max 5% ATR
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return AssetScore(
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symbol=symbol,
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opportunity_score=round(min(100, score), 1),
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rsi=round(rsi, 1),
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rsi_signal=rsi_signal,
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ema9=round(ema9, 4),
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ema21=round(ema21, 4),
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ema_signal=ema_signal,
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vwap=round(vwap, 4),
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vwap_signal=vwap_signal,
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bb_position=round(bb_pos, 3),
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atr_pct=round(atr_pct, 2),
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volume_score=round(vol_score, 1),
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trend_strength=trend_strength,
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tradeable=tradeable,
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)
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