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86 lines
2.5 KiB
Python
86 lines
2.5 KiB
Python
# -*- coding: utf-8 -*-
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from pandas import Series
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from pandas_ta._typing import DictLike, Int, IntFloat
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from pandas_ta.overlap import hl2, sma
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from pandas_ta.utils import (
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non_zero_range,
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v_drift,
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v_pos_default,
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v_offset,
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v_series
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)
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def eom(
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high: Series, low: Series, close: Series, volume: Series,
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length: Int = None, divisor: IntFloat= None, drift: Int = None,
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offset: Int = None, **kwargs: DictLike
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) -> Series:
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"""Ease of Movement (EOM)
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Ease of Movement is a volume based oscillator that is designed to
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measure the relationship between price and volume fluctuating across
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a zero line.
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Sources:
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https://www.tradingview.com/wiki/Ease_of_Movement_(EOM)
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https://www.motivewave.com/studies/ease_of_movement.htm
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https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:ease_of_movement_emv
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Args:
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high (pd.Series): Series of 'high's
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low (pd.Series): Series of 'low's
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close (pd.Series): Series of 'close's
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volume (pd.Series): Series of 'volume's
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length (int): The short period. Default: 14
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divisor (float): Divisor. Default: 100000000
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drift (int): The diff period. Default: 1
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offset (int): How many periods to offset the result. Default: 0
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Kwargs:
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fillna (value, optional): pd.DataFrame.fillna(value)
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fill_method (value, optional): Type of fill method
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Returns:
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pd.Series: New feature generated.
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"""
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# Validate
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length = v_pos_default(length, 14)
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_length = length + 1
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high = v_series(high, _length)
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low = v_series(low, _length)
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close = v_series(close, _length)
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volume = v_series(volume, _length)
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if high is None or low is None or close is None or volume is None:
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return
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divisor = v_pos_default(divisor, 100_000_000)
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drift = v_drift(drift)
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offset = v_offset(offset)
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# Calculate
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high_low_range = non_zero_range(high, low)
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distance = hl2(high=high, low=low)
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distance -= hl2(high=high.shift(drift), low=low.shift(drift))
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box_ratio = volume / divisor
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box_ratio /= high_low_range
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eom = distance / box_ratio
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eom = sma(eom, length=length)
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# Offset
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if offset != 0:
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eom = eom.shift(offset)
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# Fill
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if "fillna" in kwargs:
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eom.fillna(kwargs["fillna"], inplace=True)
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if "fill_method" in kwargs:
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eom.fillna(method=kwargs["fill_method"], inplace=True)
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# Name and Category
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eom.name = f"EOM_{length}_{divisor}"
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eom.category = "volume"
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return eom
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