Utils API Reference
KPI Utility Functions
This module provides utility functions for calculating Key Performance Indicators (KPIs) for financial time series analysis.
diff(data, periods=1)
Calculate difference between consecutive values.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
ndarray
|
Input time series data |
required |
periods
|
int
|
Number of periods to calculate difference over |
1
|
Returns:
| Type | Description |
|---|---|
ndarray
|
Difference values |
log(data)
Calculate the natural logarithm of price data.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
array - like
|
Input price data as list or numpy array |
required |
Returns:
| Type | Description |
|---|---|
ndarray
|
Natural logarithm of the input data. Returns NaN for any non-positive values. |
rolling_kurtosis(data, period=14)
Calculate rolling kurtosis over a specified period.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
ndarray
|
Input time series data |
required |
period
|
int
|
Window size for rolling kurtosis |
14
|
Returns:
| Type | Description |
|---|---|
ndarray
|
Rolling kurtosis values |
rolling_max(data, period=14)
Calculate rolling maximum over a specified period.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
ndarray
|
Input time series data |
required |
period
|
int
|
Window size for rolling maximum |
14
|
Returns:
| Type | Description |
|---|---|
ndarray
|
Rolling maximum values |
rolling_min(data, period=14)
Calculate rolling minimum over a specified period.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
ndarray
|
Input time series data |
required |
period
|
int
|
Window size for rolling minimum |
14
|
Returns:
| Type | Description |
|---|---|
ndarray
|
Rolling minimum values |
rolling_skew(data, period=14)
Calculate rolling skewness over a specified period.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
ndarray
|
Input time series data |
required |
period
|
int
|
Window size for rolling skewness |
14
|
Returns:
| Type | Description |
|---|---|
ndarray
|
Rolling skewness values |
rolling_std(data, period=14)
Calculate rolling standard deviation over a specified period.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
ndarray
|
Input time series data |
required |
period
|
int
|
Window size for rolling standard deviation |
14
|
Returns:
| Type | Description |
|---|---|
ndarray
|
Rolling standard deviation values |
rolling_var(data, period=14)
Calculate rolling variance over a specified period.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
ndarray
|
Input time series data |
required |
period
|
int
|
Window size for rolling variance |
14
|
Returns:
| Type | Description |
|---|---|
ndarray
|
Rolling variance values |
slope(data, period=5)
Calculate the slope of the time series over a specified period.
This function uses linear regression to calculate the slope of the line that best fits the data over the specified period.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
ndarray
|
Input time series data |
required |
period
|
int
|
Number of points to use for slope calculation |
5
|
Returns:
| Type | Description |
|---|---|
ndarray
|
Slope values for each point in the time series |
typical_price(close, high, low)
Calculate the typical price from close, high, and low prices.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
close
|
ndarray
|
Close prices |
required |
high
|
ndarray
|
High prices |
required |
low
|
ndarray
|
Low prices |
required |
Returns:
| Type | Description |
|---|---|
ndarray
|
Typical price values |
zscore(data, period=14)
Calculate rolling Z-score over a specified period.
Z-score measures how many standard deviations a data point is from the mean.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
ndarray
|
Input time series data |
required |
period
|
int
|
Window size for Z-score calculation |
14
|
Returns:
| Type | Description |
|---|---|
ndarray
|
Z-score values |