Upper Shadow Ratio

Intuição

Mede a proporção do shadow superior da vela, capturando rejeição de preços altos.

Definição

• USR = (high - max(open, close)) / (high - low)

O resultado fica em [0, 1].

Uso

from quantmaster.features.trend import upper_shadow_ratio

usr = upper_shadow_ratio(ohlc_df)

API

Source code in src/quantmaster/features/trend.py

def upper_shadow_ratio(
    data: pd.DataFrame,
    *,
    open_col: str = "open",
    high_col: str = "high",
    low_col: str = "low",
    close_col: str = "close",
) -> pd.Series:
    validate_columns(data, required=[open_col, high_col, low_col, close_col])

    o = pd.to_numeric(data[open_col], errors="coerce").astype(float)
    h = pd.to_numeric(data[high_col], errors="coerce").astype(float)
    l = pd.to_numeric(data[low_col], errors="coerce").astype(float)
    c = pd.to_numeric(data[close_col], errors="coerce").astype(float)

    rng = h - l
    top_body = np.maximum(o, c)
    out = (h - top_body) / rng.where(rng != 0)
    out = out.where(rng != 0, 0.0)
    out = out.clip(lower=0.0, upper=1.0)
    out.name = "upper_shadow_ratio"
    return out