def atr(hlc, window=14):
''' ATR '''
high, low, close = utils.safe_hlc(hlc)
close_tm1 = close.shift(1)
true_high = (high>=close_tm1)*high + (high<close_tm1)*close_tm1
true_low = (low<=close_tm1)*low + (low>close_tm1)*close_tm1
true_range = true_high - true_low
atr_ = ma.ema(true_range, window=window)
return pd.DataFrame(dict(tr=true_range, atr=atr_,
trueHigh=true_high,
trueLow=true_low),
index=hlc.index)
def adx(hlc, window=14, atr_=None):
''' ADX '''
if atr_ is None:
atr_ = atr(hlc, window)
high, low, _= utils.safe_hlc(hlc)
up_move = high-high.shift(1)
down_move = low.shift(1)-low
pos_dm = ((up_move>down_move)*(up_move>0)*(up_move)).astype(np.float)
neg_dm = ((down_move>up_move)*(down_move>0)*(down_move)).astype(np.float)
tr_sum = fast.wilder_sum(atr_.tr, window)
DIp = 100 * fast.wilder_sum(pos_dm, window) / tr_sum
DIn = 100 * fast.wilder_sum(neg_dm, window) / tr_sum
dx = 100 * np.abs((DIp-DIn)/(DIp+DIn))
adx = ma.ema(dx, window=window)
return pd.DataFrame(dict(DIp=DIp, DIn=DIn, DX=dx, ADX=adx), index=hlc.index)
def test_ema_eq(self):
ema = ma.ema(self.x, ratio=0.9)
pyema = ma.py_ema(self.x, ratio=0.9)
pdema = ma.pd_ema(self.x, ratio=0.1)
self.assert_eq(ema, pyema)
self.assert_eq(ema, pdema)
def test_ttr(self):
ema = ma.ema(self.x, window=14)
ttr_ema = ttr.ema(self.x, n=14)
self.assert_eq(ema, ttr_ema)
def test_ema(self):
ma.ema(self.x, ratio=0.1)
