def chaikin_money_flow(close_data, high_data, low_data, volume, period):
"""
Chaikin Money Flow.
Formula:
CMF = SUM[(((Cn - Ln) - (Hn - Cn)) / (Hn - Ln)) * V] / SUM(Vn)
"""
catch_errors.check_for_input_len_diff(close_data, high_data, low_data,
volume)
catch_errors.check_for_period_error(close_data, period)
close_data = np.array(close_data)
high_data = np.array(high_data)
low_data = np.array(low_data)
volume = np.array(volume)
cmf = [
sum((((close_data[idx + 1 - period:idx + 1] -
low_data[idx + 1 - period:idx + 1]) -
(high_data[idx + 1 - period:idx + 1] -
close_data[idx + 1 - period:idx + 1])) /
(high_data[idx + 1 - period:idx + 1] -
low_data[idx + 1 - period:idx + 1])) *
volume[idx + 1 - period:idx + 1]) /
sum(volume[idx + 1 - period:idx + 1])
for idx in range(period - 1, len(close_data))
]
cmf = fill_for_noncomputable_vals(close_data, cmf)
return cmf
def chande_momentum_oscillator(close_data, period):
"""
Chande Momentum Oscillator.
Formula:
cmo = 100 * ((sum_up - sum_down) / (sum_up + sum_down))
"""
catch_errors.check_for_period_error(close_data, period)
close_data = np.array(close_data)
moving_period_diffs = [[
(close_data[idx + 1 - period:idx + 1][i] -
close_data[idx + 1 - period:idx + 1][i - 1])
for i in range(1, len(close_data[idx + 1 - period:idx + 1]))
] for idx in range(0, len(close_data))]
sum_up = []
sum_down = []
for period_diffs in moving_period_diffs:
ups = [val if val > 0 else 0 for val in period_diffs]
sum_up.append(sum(ups))
downs = [abs(val) if val < 0 else 0 for val in period_diffs]
sum_down.append(sum(downs))
sum_up = np.array(sum_up)
sum_down = np.array(sum_down)
# numpy is able to handle dividing by zero and makes those calculations
# nans which is what we want, so we safely suppress the RuntimeWarning
with warnings.catch_warnings():
warnings.simplefilter("ignore", category=RuntimeWarning)
cmo = 100 * ((sum_up - sum_down) / (sum_up + sum_down))
return cmo
def money_flow_index(close_data, high_data, low_data, volume, period):
"""
Money Flow Index.
Formula:
MFI = 100 - (100 / (1 + PMF / NMF))
"""
catch_errors.check_for_input_len_diff(
close_data, high_data, low_data, volume
)
catch_errors.check_for_period_error(close_data, period)
mf = money_flow(close_data, high_data, low_data, volume)
tp = typical_price(close_data, high_data, low_data)
flow = [tp[idx] > tp[idx-1] for idx in range(1, len(tp))]
pf = [mf[idx] if flow[idx] else 0 for idx in range(0, len(flow))]
nf = [mf[idx] if not flow[idx] else 0 for idx in range(0, len(flow))]
pmf = [sum(pf[idx+1-period:idx+1]) for idx in range(period-1, len(pf))]
nmf = [sum(nf[idx+1-period:idx+1]) for idx in range(period-1, len(nf))]
# Dividing by 0 is not an issue, it turns the value into NaN which we would
# want in that case
with warnings.catch_warnings():
warnings.simplefilter("ignore", category=RuntimeWarning)
money_ratio = np.array(pmf) / np.array(nmf)
mfi = 100 - (100 / (1 + money_ratio))
mfi = fill_for_noncomputable_vals(close_data, mfi)
return mfi
def average_true_range_percent(close_data, period):
"""
Average True Range Percent.
Formula:
ATRP = (ATR / CLOSE) * 100
"""
catch_errors.check_for_period_error(close_data, period)
atrp = (atr(close_data, period) / np.array(close_data)) * 100
return atrp
def hull_moving_average(data, period):
"""
Hull Moving Average.
Formula:
HMA = WMA(2*WMA(n/2) - WMA(n)), sqrt(n)
"""
catch_errors.check_for_period_error(data, period)
hma = wma(2 * wma(data, int(period / 2)) - wma(data, period),
int(np.sqrt(period)))
return hma
def triangular_moving_average(data, period):
"""
Triangular Moving Average.
Formula:
TMA = SMA(SMA())
"""
catch_errors.check_for_period_error(data, period)
tma = sma(sma(data, period), period)
return tma
def avg_helper(close_data, low_data, period):
catch_errors.check_for_input_len_diff(close_data, low_data)
catch_errors.check_for_period_error(close_data, period)
bp = buying_pressure(close_data, low_data)
tr = true_range(close_data, period)
avg = [
sum(bp[idx + 1 - period:idx + 1]) / sum(tr[idx + 1 - period:idx + 1])
for idx in range(period - 1, len(close_data))
]
avg = fill_for_noncomputable_vals(close_data, avg)
return avg
def conversion_base_line_helper(data, period):
"""
The only real difference between TenkanSen and KijunSen is the period value
"""
catch_errors.check_for_period_error(data, period)
cblh = [(np.max(data[idx + 1 - period:idx + 1]) +
np.min(data[idx + 1 - period:idx + 1])) / 2
for idx in range(period - 1, len(data))]
cblh = fill_for_noncomputable_vals(data, cblh)
return cblh
def momentum(data, period):
"""
Momentum.
Formula:
DATA[i] - DATA[i - period]
"""
catch_errors.check_for_period_error(data, period)
momentum = [data[idx] - data[idx+1-period] for idx in range(period-1, len(data))]
momentum = fill_for_noncomputable_vals(data, momentum)
return momentum
def upper_price_channel(data, period, upper_percent):
"""
Upper Price Channel.
Formula:
upc = EMA(t) * (1 + upper_percent / 100)
"""
catch_errors.check_for_period_error(data, period)
emas = ema(data, period)
upper_channel = [val * (1 + float(upper_percent) / 100) for val in emas]
return upper_channel
def lower_price_channel(data, period, lower_percent):
"""
Lower Price Channel.
Formula:
lpc = EMA(t) * (1 - lower_percent / 100)
"""
catch_errors.check_for_period_error(data, period)
emas = ema(data, period)
lower_channel = [val * (1 - float(lower_percent) / 100) for val in emas]
return lower_channel
def moving_average_convergence_divergence(data, short_period, long_period):
"""
Moving Average Convergence Divergence.
Formula:
EMA(DATA, P1) - EMA(DATA, P2)
"""
catch_errors.check_for_period_error(data, short_period)
catch_errors.check_for_period_error(data, long_period)
macd = ema(data, short_period) - ema(data, long_period)
return macd
def bb_range(data, period, std=2.0):
"""
Range.
Formula:
bb_range = u_bb - l_bb
"""
catch_errors.check_for_period_error(data, period)
period = int(period)
bb_range = (upper_bollinger_band(data, period, std) -
lower_bollinger_band(data, period, std))
return bb_range
def volume_oscillator(volume, short_period, long_period):
"""
Volume Oscillator.
Formula:
vo = 100 * (SMA(vol, short) - SMA(vol, long) / SMA(vol, long))
"""
catch_errors.check_for_period_error(volume, short_period)
catch_errors.check_for_period_error(volume, long_period)
vo = (100 * ((sma(volume, short_period) - sma(volume, long_period)) /
sma(volume, long_period)))
return vo
def middle_bollinger_band(data, period, std=2.0):
"""
Middle Bollinger Band.
Formula:
m_bb = sma()
"""
catch_errors.check_for_period_error(data, period)
period = int(period)
mid_bb = sma(data, period)
return mid_bb
def triple_exponential_moving_average(data, period):
"""
Triple Exponential Moving Average.
Formula:
TEMA = (3*EMA - 3*EMA(EMA)) + EMA(EMA(EMA))
"""
catch_errors.check_for_period_error(data, period)
tema = ((3 * ema(data, period) - (3 * ema(ema(data, period), period))) +
ema(ema(ema(data, period), period), period)
)
return tema
def commodity_channel_index(close_data, high_data, low_data, period):
"""
Commodity Channel Index.
Formula:
CCI = (TP - SMA(TP)) / (0.015 * Mean Deviation)
"""
catch_errors.check_for_input_len_diff(close_data, high_data, low_data)
catch_errors.check_for_period_error(close_data, period)
tp = typical_price(close_data, high_data, low_data)
cci = ((tp - sma(tp, period)) /
(0.015 * np.mean(np.absolute(tp - np.mean(tp)))))
return cci
def relative_strength_index(data, period):
"""
Relative Strength Index.
Formula:
RSI = 100 - (100 / 1 + (prevGain/prevLoss))
"""
catch_errors.check_for_period_error(data, period)
period = int(period)
changes = [
data_tup[1] - data_tup[0] for data_tup in zip(data[::1], data[1::1])
]
filtered_gain = [val < 0 for val in changes]
gains = [
0 if filtered_gain[idx] is True else changes[idx]
for idx in range(0, len(filtered_gain))
]
filtered_loss = [val > 0 for val in changes]
losses = [
0 if filtered_loss[idx] is True else abs(changes[idx])
for idx in range(0, len(filtered_loss))
]
avg_gain = np.mean(gains[:period])
avg_loss = np.mean(losses[:period])
rsi = []
if avg_loss == 0:
rsi.append(100)
else:
rs = avg_gain / avg_loss
rsi.append(100 - (100 / (1 + rs)))
for idx in range(1, len(data) - period):
avg_gain = ((avg_gain * (period - 1) + gains[idx + (period - 1)]) /
period)
avg_loss = ((avg_loss * (period - 1) + losses[idx + (period - 1)]) /
period)
if avg_loss == 0:
rsi.append(100)
else:
rs = avg_gain / avg_loss
rsi.append(100 - (100 / (1 + rs)))
rsi = fill_for_noncomputable_vals(data, rsi)
return rsi
def rate_of_change(data, period):
"""
Rate of Change.
Formula:
(Close - Close n periods ago) / (Close n periods ago) * 100
"""
catch_errors.check_for_period_error(data, period)
rocs = [((data[idx] - data[idx - (period - 1)]) / data[idx -
(period - 1)]) * 100
for idx in range(period - 1, len(data))]
rocs = fill_for_noncomputable_vals(data, rocs)
return rocs
def percent_bandwidth(data, period, std=2.0):
"""
Percent Bandwidth.
Formula:
%_bw = data() - l_bb() / bb_range()
"""
catch_errors.check_for_period_error(data, period)
period = int(period)
percent_bandwidth = (
(np.array(data) - lower_bollinger_band(data, period, std)) /
bb_range(data, period, std))
return percent_bandwidth
def price_oscillator(data, short_period, long_period):
"""
Price Oscillator.
Formula:
(short EMA - long EMA / long EMA) * 100
"""
catch_errors.check_for_period_error(data, short_period)
catch_errors.check_for_period_error(data, long_period)
ema_short = ema(data, short_period)
ema_long = ema(data, long_period)
po = ((ema_short - ema_long) / ema_long) * 100
return po
def percent_k(data, period):
"""
%K.
Formula:
%k = data(t) - low(n) / (high(n) - low(n))
"""
catch_errors.check_for_period_error(data, period)
percent_k = [((data[idx] - np.min(data[idx + 1 - period:idx + 1])) /
(np.max(data[idx + 1 - period:idx + 1]) -
np.min(data[idx + 1 - period:idx + 1])))
for idx in range(period - 1, len(data))]
percent_k = fill_for_noncomputable_vals(data, percent_k)
return percent_k
def exponential_moving_average(data, period):
"""
Exponential Moving Average.
Formula:
p0 + (1 - w) * p1 + (1 - w)^2 * p2 + (1 + w)^3 * p3 +...
/ 1 + (1 - w) + (1 - w)^2 + (1 - w)^3 +...
where: w = 2 / (N + 1)
"""
catch_errors.check_for_period_error(data, period)
emas = [exponential_moving_average_helper(
data[idx - period + 1:idx + 1], period) for idx in range(period - 1, len(data))]
emas = fill_for_noncomputable_vals(data, emas)
return emas
def aroon_down(data, period):
"""
Aroon Down.
Formula:
AROONDWN = (((PERIOD) - (PERIODS SINCE PERIOD LOW)) / (PERIOD)) * 100
"""
catch_errors.check_for_period_error(data, period)
period = int(period)
a_down = [((period - list(reversed(data[idx + 1 - period:idx + 1])).index(
np.min(data[idx + 1 - period:idx + 1]))) / float(period)) * 100
for idx in range(period - 1, len(data))]
a_down = fill_for_noncomputable_vals(data, a_down)
return a_down
def aroon_up(data, period):
"""
Aroon Up.
Formula:
AROONUP = (((PERIOD) - (PERIODS since PERIOD high)) / (PERIOD)) * 100
"""
catch_errors.check_for_period_error(data, period)
period = int(period)
a_up = [((period - list(reversed(data[idx + 1 - period:idx + 1])).index(
np.max(data[idx + 1 - period:idx + 1]))) / float(period)) * 100
for idx in range(period - 1, len(data))]
a_up = fill_for_noncomputable_vals(data, a_up)
return a_up
def standard_variance(data, period):
"""
Standard Variance.
Formula:
(Ct - AVGt)^2 / N
"""
catch_errors.check_for_period_error(data, period)
sv = [
np.var(data[idx + 1 - period:idx + 1], ddof=1)
for idx in range(period - 1, len(data))
]
sv = fill_for_noncomputable_vals(data, sv)
return sv
def smoothed_moving_average(data, period):
"""
Smoothed Moving Average.
Formula:
smma = avg(data(n)) - avg(data(n)/n) + data(t)/n
"""
catch_errors.check_for_period_error(data, period)
smma = [
((np.mean(data[idx - (period - 1):idx + 1]) -
(np.mean(data[idx - (period - 1):idx + 1]) / period) + data[idx]) /
period) for idx in range(0, len(data))
]
smma = fill_for_noncomputable_vals(data, smma)
return smma
def bandwidth(data, period, std=2.0):
"""
Bandwidth.
Formula:
bw = u_bb - l_bb / m_bb
"""
catch_errors.check_for_period_error(data, period)
period = int(period)
bandwidth = ((upper_bollinger_band(data, period, std) -
lower_bollinger_band(data, period, std)) /
middle_bollinger_band(data, period, std))
return bandwidth
def detrended_price_oscillator(data, period):
"""
Detrended Price Oscillator.
Formula:
DPO = DATA[i] - Avg(DATA[period/2 + 1])
"""
catch_errors.check_for_period_error(data, period)
period = int(period)
dop = [
data[idx] - np.mean(data[idx + 1 - (int(period / 2) + 1):idx + 1])
for idx in range(period - 1, len(data))
]
dop = fill_for_noncomputable_vals(data, dop)
return dop
def double_smoothed_stochastic(data, period):
"""
Double Smoothed Stochastic.
Formula:
dss = 100 * EMA(Close - Lowest Low) / EMA(Highest High - Lowest Low)
"""
catch_errors.check_for_period_error(data, period)
lows = [data[idx] - np.min(data[idx+1-period:idx+1]) for idx in range(period-1, len(data))]
sm_lows = ema(ema(lows, period), period)
highs = [np.max(data[idx+1-period:idx+1]) - np.min(data[idx+1-period:idx+1]) for idx in range(period-1, len(data))]
sm_highs = ema(ema(highs, period), period)
dss = (sm_lows / sm_highs) * 100
dss = fill_for_noncomputable_vals(data, dss)
return dss
