def calculate_features(df):
"""
Method which calculates and generates features
"""
close = df['close'].values
high = df['high'].values
low = df['low'].values
volume = df['volume'].values
last_row = df.tail(1).copy()
# ************** Calc EMAs
ema_periods = [2, 4, 8, 12, 16, 20]
for ema_period in ema_periods:
ema = talib.EMA(close[-ema_period:], timeperiod=ema_period)[-1]
last_row['ema' + str(ema_period)] = ema
# ************** Calc RSIs
rsi_periods = [5]
for rsi_period in rsi_periods:
rsi = talib.RSI(close[-rsi_period:], timeperiod=rsi_period-1)[-1]
last_row['rsi' + str(rsi_period)] = rsi
last_row['rsi_above_50' + str(rsi_period)] = int(rsi > 50.0)
# ************** Calc CCIs
cci_periods = [5]
for cci_period in cci_periods:
cci = talib.CCI(high[-cci_period:],
low[-cci_period:],
close[-cci_period:],
timeperiod=cci_period)[-1]
last_row['cci' + str(cci_period)] = cci
# ************** Calc MACD 1
macd_periods = [34]
for macd_period in macd_periods:
macd, macd_signal, _ = talib.MACD(close[-macd_period:],
fastperiod=12,
slowperiod=26,
signalperiod=9)
macd = macd[-1]
signal_line = macd_signal[-1]
last_row['macd_above_signal' + str(macd_period)] = int(macd > signal_line)
last_row['macd_above_zero' + str(macd_period)] = int(macd > 0.0)
# ************** Calc OBVs
obv_periods = [2, 4, 8, 12, 16, 20]
for obv_period in obv_periods:
obv = talib.OBV(close[-obv_period:], volume[-obv_period:])[-1]
last_row['obv' + str(obv_period)] = obv
return last_row
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