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TheStrat Documentation

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A Python module for financial data aggregation and technical analysis using #TheStrat methodology.

Primary Focus: US Equities

This library is primarily developed and tested for US Equities analysis. While crypto, forex, and futures are supported via configuration, they are not actively tested or used in production. All examples and documentation focus on US Equities use cases.

Overview

TheStrat provides a comprehensive framework for implementing the #TheStrat trading methodology in Python. It offers high-performance timeframe aggregation, complete technical indicators, and robust support for multiple asset classes.

Key Features

Multi-Timeframe Aggregation

OHLCV data aggregation across multiple timeframes simultaneously with timezone handling

#TheStrat Indicators

Complete implementation of TheStrat technical indicators with per-timeframe configurations

Multi-Asset Support

US Equities (primary focus), with additional support for crypto and FX timezone alignment

Factory Pattern

Clean component creation and configuration management

High Performance

Vectorized operations using Polars and Pandas for optimal speed

Comprehensive Testing

High test coverage with 190+ tests ensuring reliability

Quick Example

Basic TheStrat Usage with Pydantic Models
from thestrat import Factory
from thestrat.schemas import (
    FactoryConfig, AggregationConfig, IndicatorsConfig,
    TimeframeItemConfig, SwingPointsConfig
)

# Configure your pipeline with Pydantic models
config = FactoryConfig(
    aggregation=AggregationConfig(
        target_timeframes=["5min", "15min"],  # Multiple timeframes supported
        asset_class="equities",
        timezone="US/Eastern"
    ),
    indicators=IndicatorsConfig(
        timeframe_configs=[
            TimeframeItemConfig(
                timeframes=["5min"],
                swing_points=SwingPointsConfig(window=3, threshold=1.5)  # Short-term settings
            ),
            TimeframeItemConfig(
                timeframes=["15min"],
                swing_points=SwingPointsConfig(window=7, threshold=2.5)  # Long-term settings
            )
        ]
    )
)

# Create and use components
pipeline = Factory.create_all(config)
aggregated = pipeline["aggregation"].process(market_data)
analyzed = pipeline["indicators"].process(aggregated)

print(f"Processed {len(analyzed)} bars with TheStrat indicators")
print(f"Timeframes: {analyzed['timeframe'].unique()}")

Core Components

Component Purpose Features
Aggregation OHLCV timeframe aggregation Timezone handling, simultaneous multi-timeframe processing
Indicators TheStrat technical indicators Inside/Outside bars, Swing points, per-timeframe configurations
Factory Component creation Validation, configuration management
Schemas Configuration models Pydantic validation, comprehensive documentation

Supported Markets

  • US Equities (actively tested and used)
  • Session-aligned aggregation via configurable session_start offset
  • Configurable timezones (default: US/Eastern)
  • Note: No explicit pre/post-market gating or holiday calendars
  • 24/7 trading support
  • UTC timezone enforcement
  • Continuous aggregation
  • Not actively tested - treat as illustrative
  • 24/5 alignment with UTC
  • UTC timezone enforcement
  • Weekend gaps appear in price data as-is
  • Not actively tested - treat as illustrative

Getting Started

Ready to implement #TheStrat in your trading system?

Get Started with Installation View API Reference

Project Status

This project is under active development with comprehensive test coverage and strict code quality standards.