Python으로 변동성 스탑 (Volatility Stop) 지표 구현

import pandas as pd
import ccxt
import pinetopy as pp
import numpy as np

# Binance Futures, BTCUSDT, 1h
bnb = ccxt.binance({'options': { 'defaultType': 'future' }}) 
ohlcv = bnb.fetch_ohlcv(symbol="BTC/USDT", timeframe="1h", limit=500)
df = pd.DataFrame(ohlcv, columns=['time', 'open', 'high', 'low', 'close', 'volume'])
df['time'] = pp.kst(df['time'])

# TradingView Default Settings
def main(df, length=20, factor=2.0):
    src, atr_values = df['close'], pp.atr(df, length) * factor
    max_price, min_price = src.copy(), src.copy()
    stop, uptrend = np.full_like(src, np.nan), np.full_like(src, True, dtype=bool)
    
    for i in range(1, len(df)):
        max_price[i] = max(max_price[i - 1], src[i])
        min_price[i] = min(min_price[i - 1], src[i])
        
        if np.isnan(stop[i - 1]):
            stop[i] = src[i] - atr_values[i] if uptrend[i - 1] else src[i] + atr_values[i]
        else:
            stop[i] = max(stop[i - 1], max_price[i] - atr_values[i]) if uptrend[i - 1] else min(stop[i - 1], min_price[i] + atr_values[i])
        
        uptrend[i] = src[i] >= stop[i]
        
        if uptrend[i] != uptrend[i - 1]:
            max_price[i] = src[i]
            min_price[i] = src[i]
            stop[i] = max_price[i] - atr_values[i] if uptrend[i] else min_price[i] + atr_values[i]
    
    df['vstop'], df['uptrend'] = stop, np.where(uptrend, 'green', 'red')

    return df[['time', 'vstop', 'uptrend']]

print(main(df))