def wilder_sum(arg, window=14):
''' An internal function of R TTR package '''
arg = utils.safe_series(arg)
rval = fast.wilder_sum(arg, window)
rval.name = arg.name
utils.safe_name(rval, name='wilderSum')
rval.index = arg.index
return rval
def adx(hlc, window=14, atr_=None):
''' ADX '''
if atr_ is None:
atr_ = atr(hlc, window)
high, low, _= utils.safe_hlc(hlc)
up_move = high-high.shift(1)
down_move = low.shift(1)-low
pos_dm = ((up_move>down_move)*(up_move>0)*(up_move)).astype(np.float)
neg_dm = ((down_move>up_move)*(down_move>0)*(down_move)).astype(np.float)
tr_sum = fast.wilder_sum(atr_.tr, window)
DIp = 100 * fast.wilder_sum(pos_dm, window) / tr_sum
DIn = 100 * fast.wilder_sum(neg_dm, window) / tr_sum
dx = 100 * np.abs((DIp-DIn)/(DIp+DIn))
adx = ma.ema(dx, window=window)
return pd.DataFrame(dict(DIp=DIp, DIn=DIn, DX=dx, ADX=adx), index=hlc.index)
