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79 lines
2.6 KiB
Python
79 lines
2.6 KiB
Python
# -*- coding: utf-8 -*-
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from ..overlap.hl2 import hl2
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from ..utils import get_drift, get_offset, verify_series
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def eom(high, low, close, volume, length=None, divisor=None, drift=None, offset=None, **kwargs):
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"""Indicator: Ease of Movement (EOM)"""
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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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volume = verify_series(volume)
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length = int(length) if length and length > 0 else 14
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min_periods = int(kwargs['min_periods']) if 'min_periods' in kwargs and kwargs['min_periods'] is not None else length
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divisor = divisor if divisor and divisor > 0 else 100000000
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drift = get_drift(drift)
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offset = get_offset(offset)
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# Calculate Result
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hl_range = high - low
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distance = hl2(high=high, low=low) - hl2(high=high.shift(drift), low=low.shift(drift))
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box_ratio = (volume / divisor) / hl_range
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eom = distance / box_ratio
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eom = eom.rolling(length, min_periods=min_periods).mean()
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# Offset
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if offset != 0:
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eom = eom.shift(offset)
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# Handle fills
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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 Categorize it
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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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eom.__doc__ = \
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"""Ease of Movement (EOM)
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Ease of Movement is a volume based oscillator that is designed to measure the
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relationship between price and volume flucuating across 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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Calculation:
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Default Inputs:
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length=14, divisor=100000000, drift=1
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SMA = Simple Moving Average
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hl_range = high - low
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distance = 0.5 * (high - high.shift(drift) + low - low.shift(drift))
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box_ratio = (volume / divisor) / hl_range
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eom = distance / box_ratio
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EOM = SMA(eom, length)
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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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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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""" |