def volumeTechnicalIndicators(price, volume, tot_lags, prefix):
data_result = priceTechnicalIndicator(volume, tot_lags, prefix)
# OBV
lags = tot_lags
obv = OBV(price, volume)
for lag in lags:
tmp = obv.diff(lag) # diff, otherwise the scale would change if accumulates
tmp.name = 'OBV_DIFF_%dD' % lag
data_result = data_result.join(tmp)
# VOLUME RATIO
lag = 5
tmp = volume.rolling(window=lag).mean()
volume_ratio = volume / tmp
volume_ratio.name = 'VOLUME_RATIO'
data_result = data_result.join(volume_ratio)
return data_result
def amountTechnicalIndicators(price, amount, tot_lags, prefix):
data_result = priceTechnicalIndicator(amount, tot_lags, prefix)
# OBV
lags = tot_lags
amt_obv = OBV(price, amount)
for lag in lags:
tmp = amt_obv.diff(lag) # diff, otherwise the scale would change if accumulates
tmp.name = 'AMT_OBV_DIFF_%dD' % lag
data_result = data_result.join(tmp)
# AMOUNT RATIO
lags = np.array(tot_lags)
lags = lags[lags >= 2]
for lag in lags:
tmp = amount.rolling(window=lag).mean()
amt_ratio = amount / tmp
amt_ratio.name = 'AMOUNT_RATIO_%dD' % lag
data_result = data_result.join(amt_ratio)
return data_result