Merge pull request #20 from twopirllc/cog-indicator

CoG indicator

.gitignore

@@ -130,6 +130,7 @@ driver.py
 doc.py
 bt.ipynb
 ta_extension.ipynb
+kerasmodeller.ipynb
 Charts.ipynb
 pandas_pips
 reqs.txt

README.md

@@ -80,12 +80,13 @@ help(pd.DataFrame().ta.log_return)
 
 # Technical Analysis Indicators (by Category)
 
-## _Momentum_ (19)
+## _Momentum_ (20)
 
 * _Awesome Oscillator_: **ao**
 * _Absolute Price Oscillator_: **apo**
 * _Balance of Power_: **bop**
 * _Commodity Channel Index_: **cci**
+* _Center of Gravity_: **cg**
 * _Chande Momentum Oscillator_: **cmo**
 * _Coppock Curve_: **coppock**
 * _Fisher Transform_: **fisher**

pandas_ta/__init__.py

@@ -23,6 +23,7 @@ from .momentum.ao import ao
 from .momentum.apo import apo
 from .momentum.bop import bop
 from .momentum.cci import cci
+from .momentum.cg import cg
 from .momentum.cmo import cmo
 from .momentum.coppock import coppock
 from .momentum.fisher import fisher

pandas_ta/core.py

@@ -264,6 +264,13 @@ class AnalysisIndicators(BasePandasObject):
         self._append(result, **kwargs)
         return result
 
+    def cg(self, close=None, length=None, offset=None, **kwargs):
+        close = self._get_column(close, 'close')
+        from .momentum.cg import cg
+        result = cg(close=close, length=length, offset=offset, **kwargs)
+        self._append(result, **kwargs)
+        return result
+
     def cmo(self, close=None, length=None, drift=None, offset=None, **kwargs):
         close = self._get_column(close, 'close')
         from .momentum.cmo import cmo

pandas_ta/momentum/cg.py

@@ -0,0 +1,58 @@
+# -*- coding: utf-8 -*-
+from ..utils import get_offset, verify_series, weights
+
+def cg(close, length=None, offset=None, **kwargs):
+    """Indicator: Center of Gravity (CG)"""
+    # Validate Arguments
+    close = verify_series(close)
+    length = int(length) if length and length > 0 else 10
+    offset = get_offset(offset)
+
+    # Calculate Result
+    coefficients = [length - i for i in range(0, length)]
+    numerator = -close.rolling(length).apply(weights(coefficients), raw=True)
+    cg = numerator / close.rolling(length).sum()
+
+    # Offset
+    if offset != 0:
+        cg = cg.shift(offset)
+
+    # Handle fills
+    if 'fillna' in kwargs:
+        cg.fillna(kwargs['fillna'], inplace=True)
+    if 'fill_method' in kwargs:
+        cg.fillna(method=kwargs['fill_method'], inplace=True)
+
+    # Name and Categorize it
+    cg.name = f"CG_{length}"
+    cg.category = 'momentum'
+
+    return cg
+
+
+
+cg.__doc__ = \
+"""Center of Gravity (CG)
+
+The Center of Gravity Indicator by John Ehlers attempts to identify turning
+points while exhibiting zero lag and smoothing.
+
+Sources:
+    http://www.mesasoftware.com/papers/TheCGOscillator.pdf
+
+Calculation:
+    Default Inputs:
+        length=10
+
+Args:
+    close (pd.Series): Series of 'close's
+    length (int): The length of the period.  Default: 10
+    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.Series: New feature generated.
+"""

pandas_ta/utils.py

@@ -7,7 +7,9 @@ from functools import reduce
 from operator import mul
 from sys import float_info as sflt
 
-
+TRADING_DAYS_IN_YEAR = 250
+TRADING_HOURS_IN_DAY = 6.5
+MINUTES_IN_HOUR = 60
 
 def combination(**kwargs):
     """https://stackoverflow.com/questions/4941753/is-there-a-math-ncr-function-in-python"""

setup.py

@@ -6,7 +6,7 @@ long_description = "An easy to use Python 3 Pandas Extension of Technical Analys
 setup(
     name = "pandas_ta",
     packages = ["pandas_ta"],
-    version = "0.1.28b",
+    version = "0.1.29b",
     description=long_description,
     long_description=long_description,
     author = "Kevin Johnson",

tests/test_indicator_momentum.py

@@ -84,6 +84,11 @@ class TestMomentum(TestCase):
             except Exception as ex:
                 error_analysis(result, CORRELATION, ex)
 
+    def test_cg(self):
+        result = pandas_ta.cg(self.close)
+        self.assertIsInstance(result, Series)
+        self.assertEqual(result.name, 'CG_10')
+
     def test_cmo(self):
         result = pandas_ta.cmo(self.close)
         self.assertIsInstance(result, Series)

tests/test_indicator_momentum_ext.py

@@ -43,6 +43,11 @@ class TestMomentumExtension(TestCase):
         self.assertIsInstance(self.data, DataFrame)
         self.assertEqual(self.data.columns[-1], 'CCI_20_0.015')
 
+    def test_cg_ext(self):
+        self.data.ta.cg(append=True)
+        self.assertIsInstance(self.data, DataFrame)
+        self.assertEqual(self.data.columns[-1], 'CG_10')
+
     def test_cmo_ext(self):
         self.data.ta.cmo(append=True)
         self.assertIsInstance(self.data, DataFrame)