def force_index(close_arr, volume_arr, n):
"""Calculate Force Index for given data.
:param close_arr: close price of the bar, expect series from cudf
:param volume_arr: volume the bar, expect series from cudf
:param n: time steps
:return: Force Index in cudf.Series
"""
F = multiply(diff(close_arr, n), diff(volume_arr, n))
return cudf.Series(F)
def port_force_index(asset_indicator, close_arr, volume_arr, n):
"""Calculate port Force Index for given data.
:param asset_indicator: the indicator of beginning of the stock
:param close_arr: close price of the bar, expect series from cudf
:param volume_arr: volume the bar, expect series from cudf
:param n: time steps
:return: Force Index in cudf.Series
"""
F = multiply(diff(close_arr, n), diff(volume_arr, n))
port_mask_nan(asset_indicator.data.to_gpu_array(), F, 0, n)
return cudf.Series(F)
def money_flow_index(high_arr, low_arr, close_arr, volume_arr, n):
"""Calculate Money Flow Index and Ratio for given data.
: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 volume_arr: volume the bar, expect series from cudf
:param n: time steps
:return: Money Flow Index in cudf.Series
"""
PP = average_price(high_arr.to_gpu_array(), low_arr.to_gpu_array(),
close_arr.to_gpu_array())
PosMF = money_flow(PP, volume_arr.to_gpu_array())
MFR = division(PosMF, (multiply(PP, volume_arr.to_gpu_array()))) # TotMF
MFI = Rolling(n, MFR).mean()
return cudf.Series(MFI, nan_as_null=False)
def ease_of_movement(high_arr, low_arr, volume_arr, n):
"""Calculate Ease of Movement for given data.
: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 volume_arr: volume the bar, expect series from cudf
:param n: time steps
:return: Ease of Movement in cudf.Series
"""
high_arr_gpu = high_arr.data.to_gpu_array()
low_arr_gpu = low_arr.data.to_gpu_array()
EoM = division(
multiply(summation(diff(high_arr_gpu, 1), diff(low_arr_gpu, 1)),
substract(high_arr_gpu, low_arr_gpu)),
scale(volume_arr.data.to_gpu_array(), 2.0))
Eom_ma = Rolling(n, EoM).mean()
return cudf.Series(Eom_ma)
def port_ease_of_movement(asset_indicator, high_arr, low_arr, volume_arr, n):
"""Calculate port Ease of Movement 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 volume_arr: volume the bar, expect series from cudf
:param n: time steps
:return: Ease of Movement in cudf.Series
"""
high_arr_gpu = high_arr.data.to_gpu_array()
low_arr_gpu = low_arr.data.to_gpu_array()
EoM = division(
multiply(summation(diff(high_arr_gpu, 1), diff(low_arr_gpu, 1)),
substract(high_arr_gpu, low_arr_gpu)),
scale(volume_arr.data.to_gpu_array(), 2.0))
port_mask_nan(asset_indicator.data.to_gpu_array(), EoM, 0, 1)
Eom_ma = Rolling(n, EoM).mean()
port_mask_nan(asset_indicator.data.to_gpu_array(), Eom_ma, 0, n - 1)
return cudf.Series(Eom_ma)
def port_money_flow_index(asset_indicator, high_arr, low_arr, close_arr,
volume_arr, n):
"""Calculate port Money Flow Index and Ratio 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 volume_arr: volume the bar, expect series from cudf
:param n: time steps
:return: Money Flow Index in cudf.Series
"""
PP = average_price(high_arr.to_gpu_array(), low_arr.to_gpu_array(),
close_arr.to_gpu_array())
PosMF = port_money_flow(asset_indicator.to_gpu_array(), PP,
volume_arr.to_gpu_array())
MFR = division(PosMF, (multiply(PP, volume_arr.to_gpu_array()))) # TotMF
MFI = Rolling(n, MFR).mean()
port_mask_nan(asset_indicator.to_gpu_array(), MFI, 0, n - 1)
return cudf.Series(MFI, nan_as_null=False)