Exemplo n.º 1
0
def donchian(df):
    indicator_don = DonchianChannel(high=df["High"],
                                    low=df["Low"],
                                    close=df["Close"])
    df['don_h'] = indicator_don.donchian_channel_hband()
    df['don_l'] = indicator_don.donchian_channel_lband()
    df['don_m'] = indicator_don.donchian_channel_mband()
    df['don_p'] = indicator_don.donchian_channel_pband()
    df['don_w'] = indicator_don.donchian_channel_wband()
Exemplo n.º 2
0
def add_volatility_ta(df: pd.DataFrame, high: str, low: str, close: str,
                      fillna: bool = False, colprefix: str = "") -> pd.DataFrame:
    """Add volatility technical analysis features to dataframe.

    Args:
        df (pandas.core.frame.DataFrame): Dataframe base.
        high (str): Name of 'high' column.
        low (str): Name of 'low' column.
        close (str): Name of 'close' column.
        fillna(bool): if True, fill nan values.
        colprefix(str): Prefix column names inserted

    Returns:
        pandas.core.frame.DataFrame: Dataframe with new features.
    """

    # Average True Range
    df[f'{colprefix}volatility_atr'] = AverageTrueRange(
        close=df[close], high=df[high], low=df[low], n=10, fillna=fillna).average_true_range()

    # Bollinger Bands
    indicator_bb = BollingerBands(close=df[close], n=20, ndev=2, fillna=fillna)
    df[f'{colprefix}volatility_bbm'] = indicator_bb.bollinger_mavg()
    df[f'{colprefix}volatility_bbh'] = indicator_bb.bollinger_hband()
    df[f'{colprefix}volatility_bbl'] = indicator_bb.bollinger_lband()
    df[f'{colprefix}volatility_bbw'] = indicator_bb.bollinger_wband()
    df[f'{colprefix}volatility_bbp'] = indicator_bb.bollinger_pband()
    df[f'{colprefix}volatility_bbhi'] = indicator_bb.bollinger_hband_indicator()
    df[f'{colprefix}volatility_bbli'] = indicator_bb.bollinger_lband_indicator()

    # Keltner Channel
    indicator_kc = KeltnerChannel(close=df[close], high=df[high], low=df[low], n=10, fillna=fillna)
    df[f'{colprefix}volatility_kcc'] = indicator_kc.keltner_channel_mband()
    df[f'{colprefix}volatility_kch'] = indicator_kc.keltner_channel_hband()
    df[f'{colprefix}volatility_kcl'] = indicator_kc.keltner_channel_lband()
    df[f'{colprefix}volatility_kcw'] = indicator_kc.keltner_channel_wband()
    df[f'{colprefix}volatility_kcp'] = indicator_kc.keltner_channel_pband()
    df[f'{colprefix}volatility_kchi'] = indicator_kc.keltner_channel_hband_indicator()
    df[f'{colprefix}volatility_kcli'] = indicator_kc.keltner_channel_lband_indicator()

    # Donchian Channel
    indicator_dc = DonchianChannel(high=df[high], low=df[low], close=df[close], n=20, offset=0, fillna=fillna)
    df[f'{colprefix}volatility_dcl'] = indicator_dc.donchian_channel_lband()
    df[f'{colprefix}volatility_dch'] = indicator_dc.donchian_channel_hband()
    df[f'{colprefix}volatility_dcm'] = indicator_dc.donchian_channel_mband()
    df[f'{colprefix}volatility_dcw'] = indicator_dc.donchian_channel_wband()
    df[f'{colprefix}volatility_dcp'] = indicator_dc.donchian_channel_pband()

    # Ulcer Index
    df[f'{colprefix}volatility_ui'] = UlcerIndex(close=df[close], n=14, fillna=fillna).ulcer_index()

    return df