mirror of
https://github.com/wassname/pandas-ta.git
synced 2026-06-27 16:10:07 +08:00
James Sawyer
103 lines
3.2 KiB
Python
103 lines
3.2 KiB
Python
# -*- coding: utf-8 -*-
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from pandas import DataFrame
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from pandas_ta.utils import (
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get_offset,
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recent_maximum_index,
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recent_minimum_index,
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verify_series,
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)
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def aroon(high, low, length=None, scalar=None, offset=None, **kwargs):
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"""Indicator: Aroon & Aroon Oscillator"""
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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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length = length if length and length > 0 else 14
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scalar = float(scalar) if scalar else 100
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offset = get_offset(offset)
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# Calculate Result
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periods_from_hh = high.rolling(length + 1).apply(recent_maximum_index,
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raw=True)
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periods_from_ll = low.rolling(length + 1).apply(recent_minimum_index,
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raw=True)
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aroon_up = aroon_down = scalar
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aroon_up *= 1 - (periods_from_hh / length)
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aroon_down *= 1 - (periods_from_ll / length)
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aroon_osc = aroon_up - aroon_down
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# Handle fills
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if "fillna" in kwargs:
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aroon_up.fillna(kwargs["fillna"], inplace=True)
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aroon_down.fillna(kwargs["fillna"], inplace=True)
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aroon_osc.fillna(kwargs["fillna"], inplace=True)
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if "fill_method" in kwargs:
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aroon_up.fillna(method=kwargs["fill_method"], inplace=True)
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aroon_down.fillna(method=kwargs["fill_method"], inplace=True)
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aroon_osc.fillna(method=kwargs["fill_method"], inplace=True)
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# Offset
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if offset != 0:
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aroon_up = aroon_up.shift(offset)
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aroon_down = aroon_down.shift(offset)
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aroon_osc = aroon_osc.shift(offset)
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# Name and Categorize it
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aroon_up.name = f"AROONU_{length}"
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aroon_down.name = f"AROOND_{length}"
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aroon_osc.name = f"AROONOSC_{length}"
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aroon_down.category = aroon_up.category = aroon_osc.category = "trend"
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# Prepare DataFrame to return
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data = {
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aroon_down.name: aroon_down,
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aroon_up.name: aroon_up,
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aroon_osc.name: aroon_osc,
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}
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aroondf = DataFrame(data)
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aroondf.name = f"AROON_{length}"
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aroondf.category = aroon_down.category
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return aroondf
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aroon.__doc__ = """Aroon & Aroon Oscillator (AROON)
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Aroon attempts to identify if a security is trending and how strong.
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Sources:
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https://www.tradingview.com/wiki/Aroon
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https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/aroon-ar/
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Calculation:
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Default Inputs:
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length=1, scalar=100
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recent_maximum_index(x): return int(np.argmax(x[::-1]))
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recent_minimum_index(x): return int(np.argmin(x[::-1]))
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periods_from_hh = high.rolling(length + 1).apply(recent_maximum_index, raw=True)
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AROON_UP = scalar * (1 - (periods_from_hh / length))
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periods_from_ll = low.rolling(length + 1).apply(recent_minimum_index, raw=True)
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AROON_DN = scalar * (1 - (periods_from_ll / length))
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AROON_OSC = AROON_UP - AROON_DN
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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: 1
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scalar (float): How much to magnify. Default: 100
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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: aroon_up, aroon_down, aroon_osc columns.
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"""
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