ENH: Adds the ichimoku cloud factor

tests/pipeline/test_technical.py

@@ -13,7 +13,8 @@ from zipline.pipeline.term import AssetExists
 from zipline.pipeline.factors import (
     BollingerBands,
     Aroon,
-    FastStochasticOscillator
+    FastStochasticOscillator,
+    IchimokuKinkoHyo,
 )
 from zipline.testing import ExplodingObject, parameter_space
 from zipline.testing.fixtures import WithAssetFinder, ZiplineTestCase
@@ -237,3 +238,119 @@ class TestFastStochasticOscillator(WithTechnicalFactor, ZiplineTestCase):
         )
 
         assert_equal(out, expected_out_k)
+
+
+class IchimokuKinkoHyoTestCase(ZiplineTestCase):
+    def test_ichimoku_kinko_hyo(self):
+        window_length = 52
+        today = pd.Timestamp('2014', tz='utc')
+        nassets = 5
+        assets = pd.Index(np.arange(nassets))
+        days_col = np.arange(window_length)[:, np.newaxis]
+        highs = np.arange(nassets) + 2 + days_col
+        closes = np.arange(nassets) + 1 + days_col
+        lows = np.arange(nassets) + days_col
+
+        tenkan_sen_length = 9
+        kijun_sen_length = 26
+        chikou_span_length = 26
+        ichimoku_kinko_hyo = IchimokuKinkoHyo(
+            window_length=window_length,
+            tenkan_sen_length=tenkan_sen_length,
+            kijun_sen_length=kijun_sen_length,
+            chikou_span_length=chikou_span_length,
+        )
+
+        dtype = [
+            ('tenkan_sen', 'f8'),
+            ('kijun_sen', 'f8'),
+            ('senkou_span_a', 'f8'),
+            ('senkou_span_b', 'f8'),
+            ('chikou_span', 'f8'),
+        ]
+        out = np.recarray(
+            shape=(nassets,),
+            dtype=dtype,
+            buf=np.empty(shape=(nassets,), dtype=dtype),
+        )
+        ichimoku_kinko_hyo.compute(
+            today,
+            assets,
+            out,
+            highs,
+            lows,
+            closes,
+            tenkan_sen_length,
+            kijun_sen_length,
+            chikou_span_length,
+        )
+
+        expected_tenkan_sen = np.array([
+            (53 + 43) / 2,
+            (54 + 44) / 2,
+            (55 + 45) / 2,
+            (56 + 46) / 2,
+            (57 + 47) / 2,
+        ])
+        expected_kijun_sen = np.array([
+            (53 + 26) / 2,
+            (54 + 27) / 2,
+            (55 + 28) / 2,
+            (56 + 29) / 2,
+            (57 + 30) / 2,
+        ])
+        expected_senkou_span_a = (expected_tenkan_sen + expected_kijun_sen) / 2
+        expected_senkou_span_b = np.array([
+            (53 + 0) / 2,
+            (54 + 1) / 2,
+            (55 + 2) / 2,
+            (56 + 3) / 2,
+            (57 + 4) / 2,
+        ])
+        expected_chikou_span = np.array([
+            27.0,
+            28.0,
+            29.0,
+            30.0,
+            31.0,
+        ])
+
+        assert_equal(
+            out.tenkan_sen,
+            expected_tenkan_sen,
+            msg='tenkan_sen',
+        )
+        assert_equal(
+            out.kijun_sen,
+            expected_kijun_sen,
+            msg='kijun_sen',
+        )
+        assert_equal(
+            out.senkou_span_a,
+            expected_senkou_span_a,
+            msg='senkou_span_a',
+        )
+        assert_equal(
+            out.senkou_span_b,
+            expected_senkou_span_b,
+            msg='senkou_span_b',
+        )
+        assert_equal(
+            out.chikou_span,
+            expected_chikou_span,
+            msg='chikou_span',
+        )
+
+    @parameter_space(
+        arg={'tenkan_sen_length', 'kijun_sen_length', 'chikou_span_length'},
+    )
+    def test_input_validation(self, arg):
+        window_length = 52
+
+        with self.assertRaises(ValueError) as e:
+            IchimokuKinkoHyo(**{arg: window_length + 1})
+
+        assert_equal(
+            str(e.exception),
+            '%s must be <= the window_length: 53 > 52' % arg,
+        )

zipline/pipeline/factors/__init__.py

@@ -22,6 +22,7 @@ from .technical import (
     ExponentialWeightedMovingAverage,
     ExponentialWeightedMovingStdDev,
     FastStochasticOscillator,
+    IchimokuKinkoHyo,
     MaxDrawdown,
     Returns,
     RSI,
@@ -43,6 +44,7 @@ __all__ = [
     'ExponentialWeightedMovingStdDev',
     'Factor',
     'FastStochasticOscillator',
+    'IchimokuKinkoHyo',
     'Latest',
     'MaxDrawdown',
     'RecarrayField',

zipline/pipeline/factors/technical.py

@@ -445,8 +445,7 @@ class BollingerBands(CustomFactor):
 class Aroon(CustomFactor):
     """
     Aroon technical indicator.
-    https://www.fidelity.com/learning-center/trading-investing/technical
-    -analysis/technical-indicator-guide/aroon-indicator
+    https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/aroon-indicator  # noqa
 
     **Defaults Inputs:** USEquityPricing.low, USEquityPricing.high
 
@@ -521,3 +520,73 @@ class FastStochasticOscillator(CustomFactor):
             global_dict={},
             out=out,
         )
+
+
+class IchimokuKinkoHyo(CustomFactor):
+    """Compute the various metrics for the Ichimoku Kinko Hyo (Ichimoku Cloud).
+    http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:ichimoku_cloud  # noqa
+
+    **Default Inputs:** :data:`zipline.pipeline.data.USEquityPricing.high`
+                        :data:`zipline.pipeline.data.USEquityPricing.low`
+                        :data:`zipline.pipeline.data.USEquityPricing.close`
+    **Default Window Length:** 52
+
+    Parameters
+    ----------
+    window_length : int > 0
+        The length the the window for the senkou span b.
+    tenkan_sen_length : int >= 0, <= window_length
+        The length of the window for the tenkan-sen.
+    kijun_sen_length : int >= 0, <= window_length
+        The length of the window for the kijou-sen.
+    chikou_span_length : int >= 0, <= window_length
+        The lag for the chikou span.
+    """
+
+    params = {
+        'tenkan_sen_length': 9,
+        'kijun_sen_length': 26,
+        'chikou_span_length': 26,
+    }
+    inputs = USEquityPricing.high, USEquityPricing.close
+    outputs = (
+        'tenkan_sen',
+        'kijun_sen',
+        'senkou_span_a',
+        'senkou_span_b',
+        'chikou_span',
+    )
+    window_length = 52
+
+    def _validate(self):
+        super(IchimokuKinkoHyo, self)._validate()
+        for k, v in self.params.items():
+            if v > self.window_length:
+                raise ValueError(
+                    '%s must be <= the window_length: %s > %s' % (
+                        k, v, self.window_length,
+                    ),
+                )
+
+    def compute(self,
+                today,
+                assets,
+                out,
+                high,
+                low,
+                close,
+                tenkan_sen_length,
+                kijun_sen_length,
+                chikou_span_length):
+
+        out.tenkan_sen = tenkan_sen = (
+            high[-tenkan_sen_length:].max(axis=0) +
+            low[-tenkan_sen_length:].min(axis=0)
+        ) / 2
+        out.kijun_sen = kijun_sen = (
+            high[-kijun_sen_length:].max(axis=0) +
+            low[-kijun_sen_length:].min(axis=0)
+        ) / 2
+        out.senkou_span_a = (tenkan_sen + kijun_sen) / 2
+        out.senkou_span_b = (high.max(axis=0) + low.min(axis=0)) / 2
+        out.chikou_span = close[chikou_span_length]