Cycle-indicators

Cycle indicators from “Cybernetic Analysis for Stocks and Futures” and “Cycle Analytics for Traders” realized with python numpy package

final_report.ipynb

Summary of the indicators, including

logic behind the code
range of parameters (not effective range since it may be applied to time series with different frequencies)
suggested simple trading strategy

indicator_lib.py

Indicator library. Return value include:

signal generated by the simple trading strategy
original indicator series
trigger series (if necessary)

criteria_lib.py

Use rolling return to backtest indicators' performance.

Return criteria include:

sharpe ratio
MAR
annualized profit
max drawdown
average largest 10 drawdown
max drawdown ratio
average turnover

Also, you can visualize indicator performance with the "performance" function.