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62 lines
2.1 KiB
Python
62 lines
2.1 KiB
Python
# -*- coding: utf-8 -*-
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from numpy import sqrt as npsqrt
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from .variance import variance
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from pandas_ta import Imports
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from pandas_ta.utils import get_offset, verify_series
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def stdev(close, length=None, ddof=None, talib=None, offset=None, **kwargs):
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"""Rolling Standard Deviation
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Calculates the Standard Deviation over a rolling period.
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Args:
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close (pd.Series): Series of 'close's
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length (int): It's period. Default: 30
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ddof (int): Delta Degrees of Freedom.
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The divisor used in calculations is N - ddof,
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where N represents the number of elements. The 'talib' argument
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must be false for 'ddof' to work. Default: 1
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talib (bool): If TA Lib is installed and talib is True, Returns the TA Lib
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version. TA Lib does not have a 'ddof' argument. Default: True
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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 Arguments
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length = int(length) if isinstance(length, int) and length > 0 else 30
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ddof = int(ddof) if isinstance(ddof, int) and ddof >= 0 and ddof < length else 1
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close = verify_series(close, length)
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offset = get_offset(offset)
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mode_tal = bool(talib) if isinstance(talib, bool) else True
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if close is None: return
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# Calculate Result
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if Imports["talib"] and mode_tal:
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from talib import STDDEV
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stdev = STDDEV(close, length)
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else:
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stdev = variance(close=close, length=length, ddof=ddof, talib=False).apply(npsqrt)
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# Offset
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if offset != 0:
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stdev = stdev.shift(offset)
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# Handle fills
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if "fillna" in kwargs:
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stdev.fillna(kwargs["fillna"], inplace=True)
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if "fill_method" in kwargs:
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stdev.fillna(method=kwargs["fill_method"], inplace=True)
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# Name & Category
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stdev.name = f"STDEV_{length}"
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stdev.category = "statistics"
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return stdev
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