import pandas as pd
from prophet.data import DataGenerator
class BollingerData(DataGenerator):
name = "bollinger"
def run(self, data, symbols, lookback, **kwargs):
prices = data['prices'].copy()
rolling_std = pd.rolling_std(prices, lookback)
rolling_mean = pd.rolling_mean(prices, lookback)
bollinger_values = (prices - rolling_mean) / (rolling_std)
for s_key in symbols:
prices[s_key] = prices[s_key].fillna(method='ffill')
prices[s_key] = prices[s_key].fillna(method='bfill')
prices[s_key] = prices[s_key].fillna(1.0)
return bollinger_values
