sransforms API Reference

Wave and zigzag transforms for financial time series data.

This module provides functions for extracting wave points and zigzag patterns from financial time series data, which are useful for technical analysis.

wave(open, high, low, close)

Extract wave points from OHLC financial data.

This function processes OHLC data to extract price points based on candlestick patterns, and removes consecutive points that follow the same trend direction.

Parameters:

Name	Type	Description	Default
open	ndarray	Array of opening prices	required
high	ndarray	Array of high prices	required
low	ndarray	Array of low prices	required
close	ndarray	Array of closing prices	required

Returns:

Type	Description
ndarray	2D array of wave points with shape (n, 2), where each row contains [index, price]

Notes

The algorithm works as follows: 1. For each candle: - If close > open: adds low then high to the price list - If close < open: adds high then low to the price list 2. Removes intermediate points where three consecutive points form a consistent trend (either all increasing or all decreasing)

Raises:

Type	Description
ValueError	If the price arrays have different lengths

zigzag(prices, threshold=0.03)

Extract zigzag pivot points from price data based on a percentage threshold.

Parameters:

Name	Type	Description	Default
prices	ArrayLike	1D array/list of price values or 2D array/list of [index, price] points	required
threshold	float	Minimum percentage change required to identify a new pivot point (0.03 = 3%)	0.03

Returns:

Type	Description
NDArray[float64]	2D array of zigzag points with shape (n, 2), where each row contains [index, price]

Notes

The algorithm identifies significant price movements while filtering out minor fluctuations. It marks pivot points where the price changes direction by at least the specified threshold percentage.

Raises:

Type	Description
ValueError	If the price arrays have different lengths