mirror of
https://github.com/wassname/pandas-ta.git
synced 2026-06-27 16:10:07 +08:00
James Sawyer
94 lines
2.9 KiB
Python
94 lines
2.9 KiB
Python
# -*- coding: utf-8 -*-
|
|
from pandas import DataFrame
|
|
from pandas_ta.overlap import swma
|
|
from pandas_ta.utils import get_offset, non_zero_range, verify_series
|
|
|
|
|
|
def rvgi(open_,
|
|
high,
|
|
low,
|
|
close,
|
|
length=None,
|
|
swma_length=None,
|
|
offset=None,
|
|
**kwargs):
|
|
"""Indicator: Relative Vigor Index (RVGI)"""
|
|
# Validate Arguments
|
|
open_ = verify_series(open_)
|
|
high = verify_series(high)
|
|
low = verify_series(low)
|
|
close = verify_series(close)
|
|
high_low_range = non_zero_range(high, low)
|
|
close_open_range = non_zero_range(close, open_)
|
|
length = int(length) if length and length > 0 else 14
|
|
swma_length = int(swma_length) if swma_length and swma_length > 0 else 4
|
|
offset = get_offset(offset)
|
|
|
|
# Calculate Result
|
|
numerator = swma(close_open_range, length=swma_length).rolling(length).sum()
|
|
denominator = swma(high_low_range, length=swma_length).rolling(length).sum()
|
|
|
|
rvgi = numerator / denominator
|
|
signal = swma(rvgi, length=swma_length)
|
|
|
|
# Offset
|
|
if offset != 0:
|
|
rvgi = rvgi.shift(offset)
|
|
signal = signal.shift(offset)
|
|
|
|
# Handle fills
|
|
if "fillna" in kwargs:
|
|
rvgi.fillna(kwargs["fillna"], inplace=True)
|
|
signal.fillna(kwargs["fillna"], inplace=True)
|
|
if "fill_method" in kwargs:
|
|
rvgi.fillna(method=kwargs["fill_method"], inplace=True)
|
|
signal.fillna(method=kwargs["fill_method"], inplace=True)
|
|
|
|
# Name & Category
|
|
rvgi.name = f"RVGI_{length}_{swma_length}"
|
|
signal.name = f"RVGIs_{length}_{swma_length}"
|
|
rvgi.category = signal.category = "momentum"
|
|
|
|
# Prepare DataFrame to return
|
|
df = DataFrame({rvgi.name: rvgi, signal.name: signal})
|
|
df.name = f"RVGI_{length}_{swma_length}"
|
|
df.category = rvgi.category
|
|
|
|
return df
|
|
|
|
|
|
rvgi.__doc__ = """Relative Vigor Index (RVGI)
|
|
|
|
The Relative Vigor Index attempts to measure the strength of a trend relative to
|
|
its closing price to its trading range. It is based on the belief that it tends
|
|
to close higher than they open in uptrends or close lower than they open in
|
|
downtrends.
|
|
|
|
Sources:
|
|
https://www.investopedia.com/terms/r/relative_vigor_index.asp
|
|
|
|
Calculation:
|
|
Default Inputs:
|
|
length=14, swma_length=4
|
|
SWMA = Symmetrically Weighted Moving Average
|
|
numerator = SUM(SWMA(close - open, swma_length), length)
|
|
denominator = SUM(SWMA(high - low, swma_length), length)
|
|
RVGI = numerator / denominator
|
|
|
|
Args:
|
|
open_ (pd.Series): Series of 'open's
|
|
high (pd.Series): Series of 'high's
|
|
low (pd.Series): Series of 'low's
|
|
close (pd.Series): Series of 'close's
|
|
length (int): It's period. Default: 14
|
|
swma_length (int): It's period. Default: 4
|
|
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.
|
|
"""
|