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()
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