ENH added Chande Kroll Stop indicator

README.md

@@ -1,3 +1,8 @@
+[![Python Version](https://img.shields.io/pypi/pyversions/pandas_ta.svg)](https://pypi.org/project/pandas_ta/)
+[![PyPi Version](https://img.shields.io/pypi/v/pandas_ta.svg)](https://pypi.org/project/pandas_ta/)
+[![Package Status](https://img.shields.io/pypi/status/pandas_ta.svg)](https://pypi.org/project/pandas_ta/)
+[![Downloads](https://img.shields.io/pypi/dm/pandas_ta.svg?style=flat)](https://pypistats.org/packages/pandas_ta)
+
 # Technical Analysis Library in Python 3.7
 ![Example Chart](/images/TA_Chart.png)
 
@@ -21,6 +26,7 @@ All the indicators return a named Series or a DataFrame in uppercase underscore
 * Added indicators:
     - __Bias__ (bias)
     - __Choppiness Index__ (chop)
+    - __Chande Kroll Stop__ (cksp)
     - __KDJ__ (kdj)
     - __Parabolic Stop and Reverse__ (psar)
     - __Price Distance__ (pdist)
@@ -212,12 +218,13 @@ Use parameter: cumulative=**True** for cumulative results.
 |:--------:|
 | ![Example Z Score](/images/SPY_ZScore.png) |
 
-## _Trend_ (13)
+## _Trend_ (14)
 
 * _Average Directional Movement Index_: **adx**
 * _Archer Moving Averages Trends_: **amat**
 * _Aroon Oscillator_: **aroon**
 * _Choppiness Index_: **chop**
+* _Chande Kroll Stop_: **cksp**
 * _Decreasing_: **decreasing**
 * _Detrended Price Oscillator_: **dpo**
 * _Increasing_: **increasing**

pandas_ta/__init__.py

@@ -92,6 +92,7 @@ from .trend.adx import adx
 from .trend.amat import amat
 from .trend.aroon import aroon
 from .trend.chop import chop
+from .trend.cksp import cksp
 from .trend.decreasing import decreasing
 from .trend.dpo import dpo
 from .trend.increasing import increasing

pandas_ta/core.py

@@ -767,6 +767,15 @@ class AnalysisIndicators(BasePandasObject):
         self._append(result, **kwargs)
         return result
 
+    def cksp(self, high=None, low=None, close=None, p=None, x=None, q=None, offset=None, **kwargs):
+        high = self._get_column(high, 'high')
+        low = self._get_column(low, 'low')
+        close = self._get_column(close, 'close')
+        from pandas_ta.trend.cksp import cksp
+        result = cksp(high=high, low=low, close=close, p=p, x=x, q=q, offset=offset, **kwargs)
+        self._append(result, **kwargs)
+        return result
+
     def decreasing(self, close=None, length=None, asint=True, offset=None, **kwargs):
         close = self._get_column(close, 'close')
         from pandas_ta.trend.decreasing import decreasing

pandas_ta/trend/cksp.py

@@ -0,0 +1,89 @@
+# -*- coding: utf-8 -*-
+from pandas import DataFrame
+from ..volatility.atr import atr
+from ..utils import get_offset, verify_series
+
+def cksp(high, low, close, p=None, x=None, q=None, offset=None, **kwargs):
+    """Indicator: Chande Kroll Stop (CKSP)"""
+    # Validate Arguments
+    high = verify_series(high)
+    low = verify_series(low)
+    close = verify_series(close)
+    p = int(p) if p and p > 0 else 10
+    x = float(x) if x and x > 0 else 1
+    q = int(q) if q and q > 0 else 9
+    offset = get_offset(offset)
+
+    # Calculate Result
+    atr_ = atr(high=high, low=low, close=close, length=p)
+
+    long_stop_ = high.rolling(p).max() - x * atr_
+    long_stop = long_stop_.rolling(q).max()
+
+    short_stop_ = high.rolling(p).min() + x * atr_
+    short_stop = short_stop_.rolling(q).min()
+
+    # Offset
+    if offset != 0:
+        long_stop = long_stop.shift(offset)
+        short_stop = short_stop.shift(offset)
+
+    # Handle fills
+    if 'fillna' in kwargs:
+        long_stop.fillna(kwargs['fillna'], inplace=True)
+        short_stop.fillna(kwargs['fillna'], inplace=True)
+    if 'fill_method' in kwargs:
+        long_stop.fillna(method=kwargs['fill_method'], inplace=True)
+        short_stop.fillna(method=kwargs['fill_method'], inplace=True)
+
+    # Name and Categorize it
+    _props = f"_{p}_{x}_{q}"
+    long_stop.name = f"CKSPl{_props}"
+    short_stop.name = f"CKSPs{_props}"
+    long_stop.category = short_stop.category = 'trend'
+
+    # Prepare DataFrame to return
+    ckspdf = DataFrame({long_stop.name: long_stop, short_stop.name: short_stop})
+    ckspdf.name = f"CKSP{_props}"
+    ckspdf.category = 'trend'
+
+    return ckspdf
+
+
+
+cksp.__doc__ = \
+"""Chande Kroll Stop (CKSP)
+
+The Tushar Chande and Stanley Kroll in their book
+“The New Technical Trader”. It is a trend-following indicator,
+identifying your stop by calculating the average true range of
+the recent market volatility.
+
+Sources:
+    https://www.multicharts.com/discussion/viewtopic.php?t=48914
+
+Calculation:
+    Default Inputs:
+        p=10, x=1, q=9
+    ATR = Average True Range
+
+    LS0 = high.rolling(p).max() - x * ATR(length=p)
+    LS = LS0.rolling(q).max()
+
+    SS0 = high.rolling(p).min() + x * ATR(length=p)
+    SS = SS0.rolling(q).min()
+
+Args:
+    close (pd.Series): Series of 'close's
+    p (int): ATR and first stop period.  Default: 10
+    x (float): ATR scalar.  Default: 1
+    q (int): Second stop period.  Default: 9
+    offset (int): How many periods to offset the result.  Default: 0
+
+Kwargs:
+    fillna (value, optional): pd.DataFrame.fillna(value)
+    fill_method (value, optional): Type of fill method
+
+Returns:
+    pd.DataFrame: long and short columns.
+"""

setup.py

@@ -6,7 +6,7 @@ long_description = "An easy to use Python 3 Pandas Extension with 95+ Technical
 setup(
     name ="pandas_ta",
     packages =['pandas_ta', 'pandas_ta.momentum', 'pandas_ta.overlap', 'pandas_ta.performance', 'pandas_ta.statistics', 'pandas_ta.trend', 'pandas_ta.volatility', 'pandas_ta.volume'],
-    version ="0.1.45b",
+    version ="0.1.46b",
     description =long_description,
     long_description =long_description,
     author ="Kevin Johnson",
@@ -20,6 +20,7 @@ setup(
     license ="The MIT License (MIT)",
     classifiers =[
         'Programming Language :: Python :: 3.7',
+        'Programming Language :: Python :: 3.8',
         'Development Status :: 4 - Beta',
         'License :: OSI Approved :: MIT License',
         'Natural Language :: English',

tests/test_indicator_overlap.py

@@ -34,7 +34,7 @@ class TestOverlap(TestCase):
 
     def setUp(self): pass
     def tearDown(self): pass
-    
+
 
     def test_dema(self):
         result = pandas_ta.dema(self.close)

tests/test_indicator_trend.py

@@ -81,6 +81,11 @@ class TestTrend(TestCase):
         self.assertIsInstance(result, Series)
         self.assertEqual(result.name, 'CHOP_14_1_100')
 
+    def test_cksp(self):
+        result = pandas_ta.cksp(self.high, self.low, self.close)
+        self.assertIsInstance(result, DataFrame)
+        self.assertEqual(result.name, 'CKSP_10_1_9')
+
     def test_decreasing(self):
         result = pandas_ta.decreasing(self.close)
         self.assertIsInstance(result, Series)

tests/test_indicator_trend_ext.py

@@ -43,6 +43,11 @@ class TestTrendExtension(TestCase):
         self.assertIsInstance(self.data, DataFrame)
         self.assertEqual(self.data.columns[-1], 'CHOP_14_1_100')
 
+    def test_cksp_ext(self):
+        self.data.ta.cksp(append=True)
+        self.assertIsInstance(self.data, DataFrame)
+        self.assertEqual(self.data.columns[-1], 'CKSPs_10_1_9')
+
     def test_decreasing_ext(self):
         self.data.ta.decreasing(append=True)
         self.assertIsInstance(self.data, DataFrame)