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238 lines
7.7 KiB
Python
238 lines
7.7 KiB
Python
#!/usr/bin/env python3
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"""
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Detailed price action analysis for ES futures data.
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Shows actual price movements to understand market regimes.
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"""
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import databento as db
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import pandas as pd
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import numpy as np
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from pathlib import Path
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FILES = [
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{
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"path": "test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn",
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"date": "2024-01-02",
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"label": "Baseline"
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},
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{
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"path": "test_data/real/databento/ESH4_ohlcv-1m_2024-01-03.dbn",
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"date": "2024-01-03",
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"label": "Trending"
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},
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{
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"path": "test_data/real/databento/ESH4_ohlcv-1m_2024-01-04.dbn",
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"date": "2024-01-04",
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"label": "Ranging"
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},
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{
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"path": "test_data/real/databento/ESH4_ohlcv-1m_2024-01-05.dbn",
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"date": "2024-01-05",
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"label": "Volatile"
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},
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]
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def analyze_price_action(df, date, label):
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"""Analyze price action in detail."""
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print(f"\n{'=' * 80}")
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print(f"{date} ({label})")
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print('=' * 80)
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# Basic stats
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prices = df['close']
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open_price = df['open'].iloc[0]
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close_price = df['close'].iloc[-1]
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high_price = df['high'].max()
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low_price = df['low'].min()
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# Remove obvious outliers for better analysis
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# (e.g., the $36.05 in 2024-01-02)
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price_median = prices.median()
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price_std = prices.std()
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# Keep prices within 5 std devs of median
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mask = np.abs(prices - price_median) <= (5 * price_std)
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clean_prices = prices[mask]
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if len(clean_prices) < len(prices) * 0.5:
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print(f"⚠️ WARNING: {len(prices) - len(clean_prices)} outliers detected and filtered")
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print(f" Original range: ${prices.min():.2f} - ${prices.max():.2f}")
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print(f" Clean range: ${clean_prices.min():.2f} - ${clean_prices.max():.2f}")
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# Recompute with clean data
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open_price = clean_prices.iloc[0] if len(clean_prices) > 0 else open_price
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close_price = clean_prices.iloc[-1] if len(clean_prices) > 0 else close_price
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high_price = clean_prices.max()
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low_price = clean_prices.min()
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# Price movement
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net_change = close_price - open_price
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net_change_pct = (net_change / open_price) * 100
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total_range = high_price - low_price
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range_pct = (total_range / open_price) * 100
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print(f"\n📊 Price Statistics:")
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print(f" Open: ${open_price:.2f}")
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print(f" Close: ${close_price:.2f}")
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print(f" High: ${high_price:.2f}")
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print(f" Low: ${low_price:.2f}")
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print(f" Net change: ${net_change:+.2f} ({net_change_pct:+.2f}%)")
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print(f" Range: ${total_range:.2f} ({range_pct:.2f}%)")
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# Returns analysis
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returns = prices.pct_change().dropna()
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print(f"\n📈 Returns Analysis:")
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print(f" Mean return: {returns.mean() * 100:.4f}%")
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print(f" Std dev: {returns.std() * 100:.4f}%")
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print(f" Skewness: {returns.skew():.4f}")
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print(f" Max drawdown: {(returns.cumsum().min() * 100):.2f}%")
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print(f" Max runup: {(returns.cumsum().max() * 100):.2f}%")
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# Direction analysis
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up_bars = (df['close'] > df['open']).sum()
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down_bars = (df['close'] < df['open']).sum()
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doji_bars = (df['close'] == df['open']).sum()
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print(f"\n📊 Bar Direction:")
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print(f" Up bars: {up_bars:,} ({up_bars/len(df)*100:.1f}%)")
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print(f" Down bars: {down_bars:,} ({down_bars/len(df)*100:.1f}%)")
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print(f" Doji bars: {doji_bars:,} ({doji_bars/len(df)*100:.1f}%)")
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# Consecutive moves
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direction = np.where(df['close'] > df['open'], 1, -1)
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direction_changes = np.diff(direction) != 0
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avg_consecutive = len(direction) / (direction_changes.sum() + 1)
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print(f" Avg consecutive: {avg_consecutive:.1f} bars")
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# Volume
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total_volume = df['volume'].sum()
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avg_volume = df['volume'].mean()
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print(f"\n💹 Volume:")
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print(f" Total: {total_volume:,.0f}")
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print(f" Average: {avg_volume:,.0f}")
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print(f" Max: {df['volume'].max():,.0f}")
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# Price levels (quintiles)
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quintiles = clean_prices.quantile([0.0, 0.25, 0.5, 0.75, 1.0])
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print(f"\n📊 Price Distribution (Quintiles):")
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print(f" Min (0%): ${quintiles.iloc[0]:.2f}")
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print(f" Q1 (25%): ${quintiles.iloc[1]:.2f}")
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print(f" Median: ${quintiles.iloc[2]:.2f}")
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print(f" Q3 (75%): ${quintiles.iloc[3]:.2f}")
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print(f" Max (100%): ${quintiles.iloc[4]:.2f}")
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# Trading sessions (rough estimate based on volume patterns)
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# High volume = regular session, low volume = extended hours
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volume_threshold = avg_volume * 0.5
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regular_hours = (df['volume'] > volume_threshold).sum()
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extended_hours = (df['volume'] <= volume_threshold).sum()
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print(f"\n⏰ Estimated Trading Hours:")
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print(f" Regular hours: {regular_hours:,} bars ({regular_hours/len(df)*100:.1f}%)")
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print(f" Extended hours: {extended_hours:,} bars ({extended_hours/len(df)*100:.1f}%)")
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# Regime classification (detailed)
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print(f"\n🎯 Regime Classification:")
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# Trend strength
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time_idx = np.arange(len(clean_prices))
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trend_corr = np.corrcoef(time_idx, clean_prices)[0, 1]
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if abs(trend_corr) > 0.7:
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trend_str = "STRONG TREND" + (" UP" if trend_corr > 0 else " DOWN")
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elif abs(trend_corr) > 0.3:
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trend_str = "MODERATE TREND" + (" UP" if trend_corr > 0 else " DOWN")
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else:
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trend_str = "NO CLEAR TREND (Ranging)"
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print(f" Trend: {trend_str} (corr: {trend_corr:.3f})")
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# Volatility
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volatility = returns.std() * np.sqrt(1440) # Annualized
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if volatility > 0.20:
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vol_str = "HIGH VOLATILITY"
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elif volatility > 0.10:
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vol_str = "MODERATE VOLATILITY"
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else:
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vol_str = "LOW VOLATILITY"
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print(f" Volatility: {vol_str} ({volatility:.4f} annualized)")
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# Range
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if range_pct > 2.0:
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range_str = "WIDE RANGE"
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elif range_pct > 1.0:
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range_str = "MODERATE RANGE"
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else:
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range_str = "NARROW RANGE"
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print(f" Range: {range_str} ({range_pct:.2f}%)")
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return {
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'date': date,
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'label': label,
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'net_change_pct': net_change_pct,
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'range_pct': range_pct,
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'trend_correlation': trend_corr,
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'volatility': volatility,
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'up_bars_pct': up_bars/len(df)*100,
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}
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def main():
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"""Analyze all files."""
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print("=" * 80)
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print("ES Futures Detailed Price Action Analysis")
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print("=" * 80)
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results = []
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for file_config in FILES:
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path = file_config["path"]
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date = file_config["date"]
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label = file_config["label"]
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if not Path(path).exists():
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print(f"\n❌ File not found: {path}")
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continue
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try:
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store = db.DBNStore.from_file(path)
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df = store.to_df()
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result = analyze_price_action(df, date, label)
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results.append(result)
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except Exception as e:
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print(f"\n❌ Error analyzing {date}: {e}")
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# Summary table
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if results:
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print("\n" + "=" * 80)
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print("SUMMARY TABLE")
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print("=" * 80)
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print()
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df_results = pd.DataFrame(results)
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print("Date | Label | Net Chg | Range | Trend | Volatility | Up Bars")
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print("-" * 80)
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for _, row in df_results.iterrows():
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print(f"{row['date']} | {row['label']:8s} | {row['net_change_pct']:+6.2f}% | {row['range_pct']:5.2f}% | {row['trend_correlation']:+7.3f} | {row['volatility']:10.4f} | {row['up_bars_pct']:6.1f}%")
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print()
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print("💡 Regime Interpretation:")
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print(" • Trending: |trend_correlation| > 0.7")
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print(" • Ranging: range < 2% and |trend_correlation| < 0.3")
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print(" • Volatile: volatility > 0.15")
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print()
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print("✅ Analysis complete!")
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if __name__ == "__main__":
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main()
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