def port_average_directional_movement_index(asset_indicator, high_arr, low_arr,
close_arr, n, n_ADX):
"""Calculate the port Average Directional Movement Index for given data.
:param asset_indicator: the indicator of beginning of the stock
:param high_arr: high price of the bar, expect series from cudf
:param low_arr: low price of the bar, expect series from cudf
:param close_arr: close price of the bar, expect series from cudf
:param n: time steps to do EWM average
:param n_ADX: time steps to do EWM average of ADX
:return: Average Directional Movement Index in cudf.Series
"""
UpI, DoI = upDownMove(high_arr.data.to_gpu_array(),
low_arr.data.to_gpu_array())
tr = port_true_range(asset_indicator.to_gpu_array(),
high_arr.data.to_gpu_array(),
low_arr.data.to_gpu_array(),
close_arr.data.to_gpu_array())
ATR = PEwm(n, tr, asset_indicator).mean()
PosDI = division(PEwm(n, UpI, asset_indicator).mean(), ATR)
NegDI = division(PEwm(n, DoI, asset_indicator).mean(), ATR)
NORM = division(abs_arr(substract(PosDI, NegDI)), summation(PosDI, NegDI))
port_mask_nan(asset_indicator.data.to_gpu_array(), NORM, -1, 0)
ADX = cudf.Series(PEwm(n_ADX, NORM, asset_indicator).mean())
return ADX
def port_vortex_indicator(asset_indicator, high_arr, low_arr, close_arr, n):
"""Calculate the port Vortex Indicator for given data.
Vortex Indicator described here:
http://www.vortexindicator.com/VFX_VORTEX.PDF
:param asset_indicator: the indicator of beginning of the stock
:param high_arr: high price of the bar, expect series from cudf
:param low_arr: low price of the bar, expect series from cudf
:param close_arr: close price of the bar, expect series from cudf
:param n: time steps to do EWM average
:return: Vortex Indicator in cudf.Series
"""
TR = port_true_range(asset_indicator.to_gpu_array(),
high_arr.data.to_gpu_array(),
low_arr.data.to_gpu_array(),
close_arr.data.to_gpu_array())
VM = port_lowhigh_diff(asset_indicator.to_gpu_array(),
high_arr.data.to_gpu_array(),
low_arr.data.to_gpu_array())
VI = division(Rolling(n, VM).sum(), Rolling(n, TR).sum())
port_mask_nan(asset_indicator.data.to_gpu_array(), VI, 0, n - 1)
return cudf.Series(VI)
def port_average_true_range(asset_indicator, high_arr, low_arr, close_arr, n):
"""Calculate the port Average True Range
See https://www.investopedia.com/terms/a/atr.asp for details
:param asset_indicator: the indicator of beginning of the stock
:param high_arr: high price of the bar, expect series from cudf
:param low_arr: low price of the bar, expect series from cudf
:param close_arr: close price of the bar, expect series from cudf
:param n: time steps
:return: average true range indicator
"""
tr = port_true_range(asset_indicator.to_gpu_array(),
high_arr.to_gpu_array(), low_arr.to_gpu_array(),
close_arr.to_gpu_array())
ATR = PEwm(n, tr, asset_indicator).mean()
return cudf.Series(ATR, nan_as_null=False)