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101 lines
3.1 KiB
Python
101 lines
3.1 KiB
Python
# -*- coding: utf-8 -*-
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import numpy as np
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from pandas import DataFrame
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from ..utils import get_offset, verify_series
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from ..volatility import atr
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def supertrend(high, low, close, period=None, multiplier=None, mamode=None, drift=None, offset=None, **kwargs):
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# indicator : supertrend
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# Validate Arguments
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high = verify_series(high)
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low = verify_series(low)
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close = verify_series(close)
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offset = get_offset(offset)
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period = int(period) if period and period > 0 else 10
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multiplier = float(multiplier) if multiplier and multiplier > 0 else 1.5
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min_periods = int(kwargs['min_periods']) if 'min_periods' in kwargs and kwargs[
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'min_periods'] is not None else period
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st_updown = np.zeros(shape=(len(close)))
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strend = np.zeros(shape=(len(close)))
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# Bands initial calculation
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midrange = 0.5 * (high + low)
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distance = multiplier * atr(high, low, close, period, mamode, drift, offset, min_periods=min_periods)
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lowerband = midrange - distance
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upperband = midrange + distance
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# final calculation loop
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for i in range(1, len(close)):
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if close[i] > upperband[i-1]:
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st_updown[i] = 1
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elif close[i] < lowerband[i-1]:
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st_updown[i] = -1
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else:
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st_updown[i] = st_updown[i-1]
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if st_updown[i] > 0 and lowerband[i] < lowerband[i-1]:
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lowerband[i] = lowerband[i-1]
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if st_updown[i] < 0 and upperband[i] > upperband[i-1]:
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upperband[i] = upperband[i-1]
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if st_updown[i] < 0 and st_updown[i-1] > 0:
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upperband = midrange + distance
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if st_updown[i] > 0 and st_updown[i-1] < 0:
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lowerband = midrange - distance
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if st_updown[i] < 0 :
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strend[i] = upperband[i]
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else:
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strend[i] = lowerband[i]
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# Prepare DataFrame to return
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data = {f"supertrend_{period}_{multiplier}": strend, f"st_updown_{period}_{multiplier}": st_updown}
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supertrend_df = DataFrame(data)
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supertrend_df.name = f"supertrend_{period}_{multiplier}"
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supertrend_df.category = 'trend'
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# Apply offset if needed
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if offset != 0:
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supertrend_df = supertrend_df.shift(offset)
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# Handle fills
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if 'fillna' in kwargs:
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supertrend_df.fillna(kwargs['fillna'], inplace=True)
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if 'fill_method' in kwargs:
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supertrend_df.fillna(method=kwargs['fill_method'], inplace=True)
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return supertrend_df
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supertrend.__doc__ = \
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"""Supertrend (supertrend)
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Supertrend is a trend indicator. It was created by Olivier Seban
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Sources:
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https://www.abcbourse.com/apprendre/11_le_supertrend.html
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(in french, but many other can be found using a search engine)
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Calculation:
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Default Inputs:
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period = 10
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multiplier = 1.5
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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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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.DataFrame: supertrend, st_updown, slowk, slowd columns.
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""" |