pandas_indicators.py 文件源码

def ADX(df, n, n_ADX):
    i = 0
    UpI = []
    DoI = []
    while i + 1 <= df.index[-1]:
        UpMove = df.get_value(i + 1, 'High') - df.get_value(i, 'High')
        DoMove = df.get_value(i, 'Low') - df.get_value(i + 1, 'Low')
        if UpMove > DoMove and UpMove > 0:
            UpD = UpMove
        else: UpD = 0
        UpI.append(UpD)
        if DoMove > UpMove and DoMove > 0:
            DoD = DoMove
        else: DoD = 0
        DoI.append(DoD)
        i = i + 1
    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))
    UpI = pd.Series(UpI)
    DoI = pd.Series(DoI)
    PosDI = pd.Series(pd.ewma(UpI, span = n, min_periods = n - 1) / ATR)
    NegDI = pd.Series(pd.ewma(DoI, span = n, min_periods = n - 1) / ATR)
    ADX = pd.Series(pd.ewma(abs(PosDI - NegDI) / (PosDI + NegDI), span = n_ADX, min_periods = n_ADX - 1), name = 'ADX_' + str(n) + '_' + str(n_ADX))
    df = df.join(ADX)
    return df

#MACD, MACD Signal and MACD difference