pandas_indicators.py 文件源码

def ATR(df, n):
    i = 0
    TR_l = [0]
    while i < df.index[-1]:
        TR = max(df.get_value(i + 1, 'High'), df.get_value(i, 'Close')) - min(df.get_value(i + 1, 'Low'), df.get_value(i, 'Close'))
        TR_l.append(TR)
        i = i + 1
    TR_s = pd.Series(TR_l)
    ATR = pd.Series(pd.ewma(TR_s, span = n, min_periods = n), name = 'ATR_' + str(n))
    df = df.join(ATR)
    return df

#Bollinger Bands