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Merge pull request #14 from vincentropy/smma_update_with_pandas
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Smma update with pandas
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Kyle Magnuson authored May 8, 2018
2 parents 0853297 + d7245ef commit 9ce40b6
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Showing 9 changed files with 516 additions and 743 deletions.
9 changes: 2 additions & 7 deletions pyti/average_true_range.py
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Original file line number Diff line number Diff line change
@@ -1,6 +1,7 @@
from __future__ import absolute_import
import numpy as np
from pyti.true_range import true_range
from pyti.smoothed_moving_average import smoothed_moving_average
from six.moves import range


Expand All @@ -12,12 +13,6 @@ def average_true_range(close_data, period):
ATRt = ATRt-1 * (n - 1) + TRt / n
"""
tr = true_range(close_data, period)
atr = np.zeros(len(tr))
atr = smoothed_moving_average(tr, period)
atr[0:period-1] = tr[0:period-1]
atr[period-1:period-1+period-1] = tr[0:period-1]
atr[period-1+period-1] = ((1 / float(period)) *
sum(tr[period-1:period-1+period])
)
for idx in range(period-1+period, len(tr)):
atr[idx] = (atr[idx-1] * (period - 1) + tr[idx]) / period
return atr
4 changes: 2 additions & 2 deletions pyti/directional_indicators.py
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Original file line number Diff line number Diff line change
Expand Up @@ -112,10 +112,10 @@ def average_directional_index(close_data, high_data, low_data, period):
ADX = 100 * SMMA(abs((+DI - -DI) / (+DI + -DI)))
"""
avg_di = (abs(
positive_directional_index(
(positive_directional_index(
close_data, high_data, low_data, period) -
negative_directional_index(
close_data, high_data, low_data, period) /
close_data, high_data, low_data, period)) /
(positive_directional_index(
close_data, high_data, low_data, period) +
negative_directional_index(
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8 changes: 3 additions & 5 deletions pyti/smoothed_moving_average.py
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Original file line number Diff line number Diff line change
Expand Up @@ -4,6 +4,7 @@
from pyti.function_helper import fill_for_noncomputable_vals
from six.moves import range

import pandas as pd

def smoothed_moving_average(data, period):
"""
Expand All @@ -13,8 +14,5 @@ def smoothed_moving_average(data, period):
smma = avg(data(n)) - avg(data(n)/n) + data(t)/n
"""
catch_errors.check_for_period_error(data, period)
smma = [((np.mean(data[idx-(period-1):idx+1]) -
(np.mean(data[idx-(period-1):idx+1])/period) +
data[idx])/period) for idx in range(0, len(data))]
smma = fill_for_noncomputable_vals(data, smma)
return smma
series = pd.Series(data)
return series.ewm(alpha = 1.0/period).mean().values.flatten()
1 change: 1 addition & 0 deletions requirements.txt
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Original file line number Diff line number Diff line change
@@ -1 +1,2 @@
numpy
pandas
2 changes: 1 addition & 1 deletion setup.py
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Original file line number Diff line number Diff line change
Expand Up @@ -33,6 +33,6 @@

packages=find_packages(exclude=['tests']),

install_requires=['numpy'],
install_requires=['numpy', 'pandas'],

)
204 changes: 81 additions & 123 deletions tests/test_average_true_range.py
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Original file line number Diff line number Diff line change
Expand Up @@ -11,143 +11,101 @@ def setUp(self):
"""Create data to use for testing."""
self.close_data = SampleData().get_sample_close_data()

self.atr_period_6_expected = [np.nan, np.nan, np.nan, np.nan, np.nan,
np.nan, np.nan, np.nan, np.nan, np.nan, 9.7000000000000259,
9.4250000000000131, 9.1958333333333364, 9.3281944444444491,
9.4384953703703758, 11.652079475308652, 14.113399562757204,
18.287832968964349, 20.784860807470306, 24.819050672891922,
25.822542227409922, 26.042118522841601, 25.886765435701335,
25.757304529751114, 25.649420441459267, 25.559517034549391,
23.559597528791169, 21.372997940659317, 19.447498283882755,
17.90458190323562, 16.618818252696339, 15.682348543913617,
18.558623786594669, 20.955519822162213, 22.952933185135169,
27.855777654279308, 33.006481378566086, 37.298734482138407,
37.787278735115343, 36.771065612596125, 35.7892213438301,
34.971017786525081, 33.942514822104222, 34.695429018420171,
35.141190848683458, 34.897659040569557, 32.926382533807953,
31.745318778173299, 29.519432315144414, 27.664526929287007,
25.405439107739173, 23.546199256449313, 24.438499380374424,
24.113749483645353, 23.929791236371127, 23.776492696975936,
22.715410580813273, 20.611175484011046, 19.419312903342526,
18.426094086118759, 17.598411738432286, 16.908676448693559,
16.388897040577959, 14.270747533814957, 12.50562294484579,
12.034685787371481, 11.753904822809572, 11.519920685674649,
11.653267238062215, 11.929389365051856, 12.157824470876557,
12.826520392397143, 14.115433660330963, 15.189528050275811,
16.084606708563186, 15.832172257135978, 15.278476880946647,
14.817064067455538, 14.472553389546283, 14.453794491288571,
15.296495409407141, 16.003746174505945, 16.593121812088281,
17.084268176740228, 17.26522348061685, 17.416019567180701,
17.541682972650577, 15.788069143875477, 14.151724286562903,
12.788103572135759, 11.538419643446479, 10.557016369538749,
10.189180307948961, 10.399316923290808, 10.636097436075664,
10.335081196729709, 10.11423433060809, 9.6618619421734042,
9.219884951811169, 8.8999041265093002, 8.6332534387577429,
7.7377111989647842, 6.9914259991373191, 7.699521665947767,
8.2896013882898085, 8.6130011569081777, 8.7908342974234728,
9.9240285811862137, 14.120023817655181, 18.261686514712654,
22.433072095593889, 25.930893412994919, 27.245744510829109,
24.609787092357603, 21.76815591029801, 19.118463258581674,
16.945386048818047, 18.06282170734837, 18.627351422790316,
20.122792852325265, 20.757327376937713, 21.631106147448094,
21.029255122873408, 22.281045935727832, 22.775871613106528,
23.58322634425544, 23.371021953546208]
self.atr_period_6_expected = [ np.nan, np.nan, np.nan, np.nan, np.nan,
17.48 , 13.02909091, 12.08 , 10.57347243, 9.68918512,
8.75720151, 8.59370599, 8.47562691, 8.78869762, 9.02747925,
11.66447383, 14.43439307, 18.98019593, 21.56299531, 25.73850983,
26.63737597, 26.72510068, 26.44541183, 26.21565149, 26.02644086,
25.87030688, 23.78073879, 21.52320499, 19.54782226, 17.97166297,
16.66328986, 15.71248676, 18.6012632 , 21.00319507, 23.00107909,
27.91314353, 33.06937082, 37.36160646, 37.84064527, 36.81379927,
35.82343549, 34.99855978, 33.96445332, 34.71432333, 35.15723746,
34.91089154, 32.93647674, 31.75326474, 29.52532293, 27.66892819,
25.40859179, 23.54847329, 24.44053556, 24.11540343, 23.93114928,
23.77761034, 22.71626096, 20.6117503 , 19.41972875, 18.42639676,
17.59863351, 16.9088401 , 16.38902013, 14.270805 , 12.50563951,
12.03469262, 11.75390706, 11.51992015, 11.65326793, 11.92939191,
12.15782795, 12.8265266 , 14.11544416, 15.18954049, 16.08461964,
15.83218243, 15.27848426, 14.81706945, 14.4725574 , 14.45379781,
15.29649898, 16.00374972, 16.59312516, 17.08427124, 17.26522612,
17.41602182, 17.54168489, 15.78807027, 14.15172486, 12.7881038 ,
11.53841964, 10.55701624, 10.18918016, 10.39931682, 10.63609737,
10.33508112, 10.11423425, 9.66186186, 9.21988487, 8.89990405,
8.63325337, 7.73771112, 6.99142592, 7.69952161, 8.28960135,
8.61300113, 8.79083427, 9.92402857, 14.12002383, 18.26168655,
22.43307214, 25.93089346, 27.24574455, 24.60978712, 21.76815593,
19.11846327, 16.94538606, 18.06282171, 18.62735143, 20.12279286,
20.75732738, 21.63110615, 21.02925513, 22.28104594, 22.77587162,
23.58322635, 23.37102196]

self.atr_period_8_expected = [np.nan, np.nan, np.nan, np.nan, np.nan,
np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan,
11.478750000000019, 12.88390625000002, 14.575917968750012,
17.967678222656264, 20.935468444824238, 24.678534889221208,
27.233718028068559, 29.46950327455999, 29.64081536523998,
29.328213444584982, 28.800936764011862, 28.339569668510382,
27.935873459946585, 27.582639277453264, 25.829809367771613,
24.284833196800165, 22.522979047200138, 21.082606666300123,
22.564780833012598, 23.861683228886015, 24.996472825275255,
28.41816372211585, 32.210893256851364, 35.529531599744942,
38.433340149776825, 40.974172631054721, 40.881151052172882,
39.73225717065128, 38.62572502431987, 38.605009396279875,
38.586883221744884, 38.888522819026775, 39.822457466648416,
40.75965028331737, 39.447193997902701, 37.746294748164871,
35.326757904644261, 33.209663166563729, 32.670955270743264,
32.479585861900354, 32.377137629162803, 31.206245425517452,
30.181714747327767, 29.285250403911796, 28.222094103422819,
26.376832340494957, 24.762228297933078, 23.349449760691435,
22.154518540605, 21.108953723029369, 20.194084507650693,
18.879823944194349, 17.813595951170058, 16.880646457273805,
16.593065650114585, 16.465182443850267, 16.070784638368991,
16.083186558572876, 16.642788238751272, 17.13243970890737,
17.560884745293954, 18.552024152132212, 19.636771133115687,
19.220924741476217, 18.412059148791691, 17.905551755192732,
18.10610778579364, 18.285344312569428, 18.442176273498244,
18.579404239310961, 18.699478709397084, 18.804543870722444,
18.725225886882132, 18.655822651021861, 18.595094819644125,
17.148207967188608, 15.847181971290032, 14.753784224878782,
13.953311196768936, 13.640397297172825, 13.700347635026223,
13.752804180647946, 13.578703658066955, 13.188865700808575,
12.946507488207503, 12.43319405218157, 11.791544795658869,
11.230101696201505, 10.738838984176311, 10.801484111154274,
10.85629859725999, 10.904261272602492, 10.946228613527181,
11.595450036836281, 15.282268782231736, 18.991985184452759,
22.029237036396175, 24.703082406846661, 27.04269710599084,
29.478609967741995, 30.410033721774255, 28.162529506552481,
25.738463318233418, 25.477405403454238, 25.248979728022455,
25.817857262019643, 26.040625104267193, 26.520546966233795,
27.659228595454572, 29.944325021022756, 29.768784393394906,
29.91143634422054, 29.625006801192974]
self.atr_period_8_expected = [ np.nan, np.nan, np.nan, np.nan, np.nan,
np.nan, np.nan, 22.75 , 17.18733333, 14.70408284,
12.63370501, 11.98092538, 11.12576996, 10.89199705, 10.72022502,
12.86505751, 15.16429982, 19.47473666, 22.9551623 , 27.19256769,
29.84207789, 32.04970118, 31.87824523, 31.21772733, 30.37838936,
29.66327848, 29.05179893, 28.52731238, 26.55171549, 24.83699916,
22.92870694, 21.38274017, 22.87370795, 24.16714755, 25.2904675 ,
28.7473402 , 32.56849495, 35.89543537, 38.79391022, 41.32048903,
41.1827074 , 39.98493344, 38.83744028, 38.78992048, 38.74842079,
39.03141735, 39.95189915, 40.87678808, 39.54480488, 37.82618953,
35.3898252 , 33.25961364, 32.71348795, 32.5164313 , 32.4092009 ,
31.23260637, 30.20348378, 29.30330579, 28.23686371, 26.38819516,
24.77097622, 23.3561898 , 22.15973945, 21.11300406, 20.19723204,
18.88207978, 17.81521615, 16.88179338, 16.59399616, 16.46596821,
16.07139551, 16.08372317, 16.64334103, 17.13298714, 17.56141255,
18.55258477, 19.63735627, 19.221405 , 18.41242536, 17.90584259,
18.10637252, 18.28558397, 18.44239211, 18.5795978 , 18.69965167,
18.80469797, 18.7253589 , 18.65593764, 18.59519437, 17.14827284,
15.84722123, 14.75380571, 13.95332176, 13.64040372, 13.70035373,
13.75280987, 13.57870759, 13.18886708, 12.94650757, 12.43319205,
11.79154078, 11.23009644, 10.73883305, 10.80147907, 10.8562943 ,
10.9042576 , 10.94622547, 11.59544819, 15.28227164, 18.99199164,
22.02924551, 24.703092 , 27.04270716, 29.47862029, 30.41004326,
28.16253678, 25.73846867, 25.47740999, 25.24898367, 25.81786087,
26.04062832, 26.52054988, 27.65923136, 29.94432781, 29.76878681,
29.91143848, 29.62500864]

self.atr_period_10_expected = [np.nan, np.nan, np.nan, np.nan, np.nan,
np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan,
np.nan, np.nan, np.nan, np.nan, 21.157000000000007, 24.384300000000003,
27.301869999999997, 29.672682999999996, 31.217414699999996,
32.607673229999996, 32.430905906999989, 31.901815316299992,
31.222633784669995, 30.611370406202997, 30.061233365582702,
29.566110029024436, 27.965499026122, 26.596949123509809,
27.23125421115882, 27.802128790042936, 28.315915911038633,
30.721324319934773, 33.52519188794129, 36.048672699147161,
38.319805429232446, 40.363824886309203, 42.20344239767828,
43.859098157910452, 43.49618834211941, 43.073569507907465,
42.612212557116706, 42.45099130140504, 42.950892171264528,
44.119802954138073, 45.062822658724265, 45.288540392851843,
43.785686353566653, 41.991117718209992, 40.68200594638899,
39.727805351750092, 38.921024816575077, 38.194922334917564,
37.541430101425803, 36.08828709128322, 35.117458382154901,
34.243712543939409, 32.897341289545466, 30.953607160590913,
29.23724644453182, 27.692521800078634, 26.302269620070764,
25.051042658063686, 23.924938392257314, 22.567444553031585,
21.768700097728431, 21.148830087955595, 20.590947079160038,
20.14885237124404, 20.189967134119641, 20.22697042070768,
20.260273378636917, 20.783246040773228, 21.427921436695907,
22.008129293026318, 22.554316363723689, 21.953884727351316,
21.709496254616184, 21.49254662915456, 21.297291966239101,
21.121562769615188, 20.963406492653668, 20.821065843388297,
20.692959259049463, 20.577663333144514, 20.33689699983006,
20.120207299847049, 19.92518656986234, 18.64266791287611,
17.758401121588495, 17.272561009429644, 16.95730490848668,
16.673574417638015, 16.472216975874222, 16.399995278286802,
16.219995750458125, 15.787996175412308, 15.363196557871074,
14.710876902083971, 13.96978921187557, 13.696810290688012,
13.451129261619212, 13.230016335457293, 13.031014701911564,
13.442913231720405, 16.36362190854836, 19.278259717693523,
22.278433745924168, 24.991590371331746, 26.834431334198577,
28.803988200778726, 30.576589380700863, 32.27193044263079,
32.858737398367708, 32.593863658530935, 31.968477292677846,
31.751629563410056, 31.556466607069048, 31.608819946362139,
32.377937951725933, 34.122144156553347, 35.324929740898014,
36.623436766808219, 36.052093090127393]
self.atr_period_10_expected = [ np.nan, np.nan, np.nan, np.nan, np.nan,
np.nan, np.nan, np.nan, np.nan, 22.75 ,
17.49736842, 15.95590406, 14.25020355, 13.23430563, 12.54190497,
14.49284124, 16.58704178, 20.68821686, 23.91577517, 28.21695275,
31.74873793, 34.33132248, 35.73021107, 36.91264201, 36.16725634,
35.08384887, 33.91032423, 32.89284552, 32.00684385, 31.23242313,
29.27213761, 27.62712763, 28.20446719, 28.71464611, 29.1663676 ,
31.62998982, 34.49281618, 37.03948599, 39.30768915, 41.33007852,
43.1350476 , 44.74736864, 44.28270825, 43.76856769, 43.22547593,
42.99832268, 43.45176483, 44.58926982, 45.49878629, 45.68336305,
44.12233734, 42.27418933, 40.92367345, 39.93669176, 39.10246963,
38.35292364, 37.67934551, 36.2039623 , 35.21647679, 34.3287113 ,
32.96816047, 31.00998737, 29.28214612, 27.72820247, 26.33055416,
25.07339982, 23.94255101, 22.58057649, 21.77907854, 21.15716486,
20.59763393, 20.15428975, 20.19490866, 20.23145658, 20.26434233,
20.78735763, 21.43212062, 22.01231249, 22.55842342, 21.95724206,
21.71239359, 21.49505495, 21.29946905, 21.12345703, 20.96505858,
20.82251 , 20.6942244 , 20.57877393, 20.3378439 , 20.12101688,
19.92588066, 18.64308829, 17.75865268, 17.27272472, 16.95741564,
16.67364443, 16.47226104, 16.40002883, 16.22001223, 15.78798139,
15.36315703, 14.7108051 , 13.96968755, 13.69670652, 13.45102592,
13.22991527, 13.03091722, 13.44283765, 16.36363147, 19.278338 ,
22.27856875, 24.99176441, 26.83462008, 28.80418897, 30.57679509,
32.27213712, 32.85893012, 32.59403438, 31.96862515, 31.75176083,
31.55658328, 31.60892531, 32.37803745, 34.12224324, 35.32502484,
36.62352811, 36.05217302]

def test_average_true_range_period_6(self):
period = 6
atr = average_true_range.average_true_range(self.close_data, period)
np.testing.assert_array_equal(atr, self.atr_period_6_expected)
np.testing.assert_allclose(atr, self.atr_period_6_expected)

def test_average_true_range_period_8(self):
period = 8
atr = average_true_range.average_true_range(self.close_data, period)
np.testing.assert_array_equal(atr, self.atr_period_8_expected)
np.testing.assert_allclose(atr, self.atr_period_8_expected)

def test_average_true_range_period_10(self):
period = 10
atr = average_true_range.average_true_range(self.close_data, period)
np.testing.assert_array_equal(atr, self.atr_period_10_expected)
np.testing.assert_allclose(atr, self.atr_period_10_expected)

def test_average_true_range_invalid_period(self):
period = 128
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