def atr(self, n_days, date_=None, as_price=True):
'''
Returns a StockPrice list with the average true range (ATR) indicator.
By default the list contains the ATR as a price, set <as_price> to
False in order to return a list with the ATR as percentage of the close
price.
Because of the EMA this indicator cannot be calculated for a single
<date_>, the entire list is kept in cache.
NOTE: the cache is a potential risk for memory overflows.
'''
if not hasattr(self, '_cache'):
self._cache = {}
key = ('ATR', n_days, as_price)
if key not in self._cache:
if not isinstance(n_days, int):
raise TypeError, 'n_days must be an integer'
if n_days < 1:
raise ValueError, 'n_days must be > 0'
tr = []
for date in self.close.dates:
yest_close = self.close.offset(date, -1)
day_range = max(yest_close, self.high[date]) - min(yest_close,
self.low[date])
if not as_price:
day_range = day_range / self.close[date]
tr.append(day_range)
self._cache[key] = StockPrice(calc_ema(tr, n_days),
self.close.dates)
if date_:
return self._cache[key][date_]
else:
return self._cache[key]
def dma(self, n_points, mpl=0.5, n_ma=None, date=None):
'''
Dynamic Moving Average. Period is based on atr
Default multiplier (mpl) = 0.5, so we are looking at a range of 1 atr
(0.5 above, 0.5 below).
'''
if not isinstance(n_points, int):
raise TypeError, 'n_points must be an integer'
if n_points < 1:
raise ValueError, 'n_points must be > 0'
dma = []
dates = self.close.dates if date is None else [date]
for startdate in dates:
startprice = self.close[startdate]
i_start = self.close.index(startdate)
i = 0
for date in self.close.dates[i_start::-1]:
atr = mpl * self.atr(10)[date]
if self.low[date] <= startprice - atr:
factor = (startprice - self.low[date]) // atr
startprice -= factor * atr
i += factor
elif self.high[date] > startprice + atr:
factor = (self.high[date] - startprice) // atr
startprice += factor * atr
i += factor
if i >= n_points:
break
ma_list = self.close[date:startdate]
dma.append(sum(ma_list)/len(ma_list))
if len(dma) == 1:
return dma[0]
else:
if n_ma: #smoothen if desired
dma = calc_ema(dma, n_ma)
return StockPrice(dma, self.close.dates)
