{"id":61491,"date":"2020-10-02T09:40:19","date_gmt":"2020-10-02T13:40:19","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=61491"},"modified":"2022-11-21T09:46:24","modified_gmt":"2022-11-21T14:46:24","slug":"trading-index-trin-formula-calculation-strategy-in-python-part-iii","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/trading-index-trin-formula-calculation-strategy-in-python-part-iii\/","title":{"rendered":"Trading Index (TRIN): Formula, Calculation &#038; Strategy in Python \u2013 Part III"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\"><em>See&nbsp;<a href=\"\/campus\/ibkr-quant-news\/trading-index-trin-formula-calculation-strategy-in-python\/\">Part I<\/a>&nbsp;for a <em>definition of TRIN <\/em>and <a href=\"\/campus\/ibkr-quant-news\/trading-index-trin-formula-calculation-strategy-in-python-part-ii\/\">Part II<\/a><\/em> <em>for instructions on how to calculate TRIN in Python.<\/em><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Next, we will find out the number of advancing stocks (ones which ended in green) and the number of declining stocks (ones which ended in red) from the previous day.<\/p>\n\n\n\n<p style=\"background-color:#fcfcdb;font-size:11px\" class=\"has-background\">\n# Add the number of stocks that ended in green from previous day<br>\n# and number of stocks that ended in red from previous day<br>\ndirection_cols = [col + &#8216;_direction&#8217; for col in stocks]<br>\nprices[&#8216;advancing_stocks&#8217;] = prices[direction_cols].sum(axis=1)<br>\nprices[&#8216;declining_stocks&#8217;] = len(direction_cols) &#8211; prices[&#8216;advancing_stocks&#8217;]<br><br>\n\n# Print the &#8220;pos_direction&#8221; and &#8220;neg_direction&#8221; columns from dataframe<br>\nprices[[&#8216;advancing_stocks&#8217;, &#8216;declining_stocks&#8217;]].head()\n<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Output:<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" data-src=\"https:\/\/lh5.googleusercontent.com\/lO51QpNyCmwCmNp5SVpKESGoUEeQdMvYpNHSOeZr2lTMZs5bo6-bwMB3-knb_BgrldMEZsDw_NT87my-fFXq1-BJxqRLVoETlSLyNDjFS25V_DH9eqpSa0UC3h9NpEmr43lk1yn-\" alt=\"\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" class=\"lazyload\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">Now, we will generate the sum of the volume of the stocks ended in positive and negative from the previous day since this is required to calculate AD volume.<\/p>\n\n\n\n<p style=\"background-color:#fcfcdb;font-size:11px\" class=\"has-background\">\n# Rename volume dataframe columns by adding &#8216;_volume&#8217; , to help merge prices and volume dataframes<br>\nvolume_cols = [col + &#8216;_volume&#8217; for col in stocks]<br>\nvolume.rename(columns=dict(zip(stocks, volume_cols)), inplace=True)<br><br>\n\n# Print the first two rows of the volume dataframe<br>\nvolume.head(2)\n<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Output:<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" data-src=\"https:\/\/lh4.googleusercontent.com\/pFO4vbDD0NyspyHfageR_9MFs8Jft5--K7maHrsbatoTGfDPVLAOxOIaHjhqHAUzhnCTz8qu7C75NNGgbrLr7QR46gzosRtl2mgrNJ9q2qjS9SfCpCUGjgh63k72oYwL_3CJyfiz\" alt=\"\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" class=\"lazyload\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">Further, we will find out advancing and declining stocks and advancing and declining volume of stocks. Then, finally, we will calculate the TRIN value.<\/p>\n\n\n\n<p style=\"background-color:#fcfcdb;font-size:11px\" class=\"has-background\">\n# Merge both prices, volume data-frames<br>\nmergedDf = prices.merge(volume, left_index=True, right_on=&#8217;Date&#8217;)<br><br>\n\n# Create vol_direction column for every stock, to sum positive ended and negative ended stocks volume<br>\nfor col in stocks:<br>\nvolume_col = col + &#8216;_volume&#8217;<br>\ndirection_col = col + &#8216;_direction&#8217;<br>\nvol_direction = col + &#8216;_vol_direction&#8217;<br>\nmergedDf[vol_direction] = mergedDf[volume_col] * mergedDf[direction_col]<br><br>\n\n# Add the volume of all positive ended stocks to &#8216;total_pos_volume&#8217;<br>\n# And sum of the volume of negative ended stocks to &#8216;total_neg_volume&#8217;<br>\nvol_direction_cols = [col + &#8216;_vol_direction&#8217; for col in stocks]<br>\nmergedDf[&#8216;total_volume&#8217;] = mergedDf[volume_cols].sum(axis=1)<br>\nmergedDf[&#8216;advancing_volume&#8217;] = mergedDf[vol_direction_cols].sum(axis=1)<br>\nmergedDf[&#8216;declining_volume&#8217;] = mergedDf[&#8216;total_volume&#8217;] &#8211; \\<br>\nmergedDf[&#8216;advancing_volume&#8217;]<br><br>\n\n# Print &#8216;pos_direction&#8217;,&#8217;neg_direction&#8217;, &#8216;total_pos_volume&#8217; and &#8216;total_neg_volume&#8217; columns from dataframe<br>\nmergedDf[[&#8216;advancing_stocks&#8217;, &#8216;declining_stocks&#8217;,<br>\n&#8216;advancing_volume&#8217;, &#8216;declining_volume&#8217;]].head()\n<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Output:<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" data-src=\"https:\/\/lh3.googleusercontent.com\/f7vj7R6MdcXn0-OIag85R8px8onjJs8rKE_6dAu3AzDt1XWsjV7imivMqLAN1GRUQXHpQVhbLPPn2w2SGEFbwR9NWWjVV2g8F7EJTz2GV4weU0ujF-glTliWegmPkCnD--lxMI4C\" alt=\"\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" class=\"lazyload\" \/><\/figure>\n\n\n\n<p style=\"background-color:#fcfcdb;font-size:11px\" class=\"has-background\">\n# Calculate TRIN ratio<br>\nmergedDf[&#8216;AD_ratio&#8217;] =  mergedDf[&#8216;advancing_stocks&#8217;]\/ mergedDf[&#8216;declining_stocks&#8217;]<br>\nmergedDf[&#8216;AD_volume&#8217;] = mergedDf[&#8216;advancing_volume&#8217;]\/ mergedDf[&#8216;declining_volume&#8217;]<br>\nmergedDf[&#8216;TRIN&#8217;] =  mergedDf[&#8216;AD_ratio&#8217;]\/ mergedDf[&#8216;AD_volume&#8217;]<br>\nmergedDf[&#8216;TRIN&#8217;].head()\n<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Output:<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Date<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">01-04-2020 &nbsp; &nbsp; &nbsp; &nbsp; NaN<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">02-04-2020 &nbsp; &nbsp;1.289376<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">03-04-2020 &nbsp; &nbsp;0.686072<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">06-04-2020 &nbsp; &nbsp;3.285942<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">07-04-2020 &nbsp; &nbsp;0.693863<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Name: TRIN, dtype: float64<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Stay tuned for the next installment in which the author will plot a graph to find out the TRIN value for S&amp;P500.<\/em><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Visit QuantInsti for additional ready-to-use code:&nbsp;<a href=\"https:\/\/blog.quantinsti.com\/trin\/\">https:\/\/blog.quantinsti.com\/trin\/<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Join QuantInsti for a Python tutorial on how to find out the number of advancing stocks and declining stocks.<\/p>\n","protected":false},"author":368,"featured_media":25709,"comment_status":"closed","ping_status":"closed","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[339,343,349,338,350,341,344],"tags":[851,1383,1225,1224,595,494,1291,8328,8327],"contributors-categories":[13654],"class_list":["post-61491","post","type-post","status-publish","format-standard","has-post-thumbnail","category-data-science","category-programing-languages","category-python-development","category-ibkr-quant-news","category-quant-asia-pacific","category-quant-development","category-quant-regions","tag-algo-trading","tag-market-sentiment","tag-numpy","tag-pandas","tag-python","tag-quant","tag-technical-analysis","tag-trading-signal","tag-trin-indicator","contributors-categories-quantinsti"],"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- 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