def InitDMI(self, high, low, atr):
DMp = pd.DataFrame()
DMn = pd.DataFrame()
for i in range(1, len(high.values)):
moveUp = high.values[i] - high.values[i - 1]
moveDown = low.values[i - 1] - low.values[i]
# DM+
if (moveUp > moveDown) and (moveUp > 0):
DMp = DMp.append(pd.DataFrame({'value': moveUp},
index=[high.index[i]]))
else:
DMp = DMp.append(pd.DataFrame({'value': 0},
index=[high.index[i]]))
# DM-
if (moveDown > moveUp) and (moveDown > 0):
DMn = DMn.append(pd.DataFrame({'value': moveDown},
index=[high.index[i]]))
else:
DMn = DMn.append(pd.DataFrame({'value': 0},
index=[high.index[i]]))
DIp = 100 * CreateMovingAverage(DMp, self.n) / atr
DIn = 100 * CreateMovingAverage(DMn, self.n) / atr
ADX = 100 * abs(DIp - DIn) / abs(DIp + DIn)
return DIp, DIn, ADX
def InitCCI(self, high, low, close):
ct = (high + low + close) / 3
self.rollingMean = CreateMovingAverage(ct, self.n)
self.rollingStd = CreateMovingStd(ct, self.n)
data = pd.Series(
(ct - self.rollingMean) / (self.factor * self.rollingStd),
name='CCI_' + str(self.n))
data = data.fillna(0)
return data
def InitATR(self, high, low, close):
tr = pd.DataFrame()
for i in range(len(high.values)):
value = max(high.values[i] - low.values[i],
abs(high.values[i] - close.values[i]),
abs(low.values[i] - close.values[i]))
tr = tr.append(pd.DataFrame(
{'value': value}, index=[high.index[i]]))
atr = CreateMovingAverage(tr, self.n)
return tr, atr
def __init__(self, high, low, close, n=14):
indicator.__init__(self, 'CCI%u' % n, 'momentum', close.index)
self.n = n
self.factor = 0.015
self.cci = self.InitCCI(high, low, close)
self.cciSignal = CreateMovingAverage(self.cci, self.n * 1.5)
# Signals
fromBottom, fromTop = FindIntersections(self.cci, -100)
self.buy = fromBottom
fromBottom, fromTop = FindIntersections(self.cci, 100)
self.sell = fromTop
def Init(price):
jaw = CreateMovingAverage(price, 13, 8)
teeth = CreateMovingAverage(price, 8, 5)
lips = CreateMovingAverage(price, 5, 3)
return jaw, teeth, lips