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75 lines
2.2 KiB
Python
75 lines
2.2 KiB
Python
# -*- coding: utf-8 -*-
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from ..momentum.roc import roc
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from ..utils import get_offset, signed_series, verify_series
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def pvi(close, volume, length=None, initial=None, offset=None, **kwargs):
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"""Indicator: Positive Volume Index (PVI)"""
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# Validate arguments
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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 1
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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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initial = int(initial) if initial and initial > 0 else 1000
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offset = get_offset(offset)
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# Calculate Result
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roc_ = roc(close=close, length=length)
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signed_volume = signed_series(volume, initial=1)
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pvi = signed_volume[signed_volume > 0].abs() * roc_
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pvi.fillna(0, inplace=True)
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pvi.iloc[0]= initial
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pvi = pvi.cumsum()
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# Offset
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if offset != 0:
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pvi = pvi.shift(offset)
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# Handle fills
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if 'fillna' in kwargs:
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pvi.fillna(kwargs['fillna'], inplace=True)
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if 'fill_method' in kwargs:
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pvi.fillna(method=kwargs['fill_method'], inplace=True)
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# Name and Categorize it
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pvi.name = f"PVI_{length}"
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pvi.category = 'volume'
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return pvi
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pvi.__doc__ = \
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"""Positive Volume Index (PVI)
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The Positive Volume Index is a cumulative indicator that uses volume change in
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an attempt to identify where smart money is active. Used in conjunction with NVI.
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Sources:
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https://www.investopedia.com/terms/p/pvi.asp
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Calculation:
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Default Inputs:
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length=1, initial=1000
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ROC = Rate of Change
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roc = ROC(close, length)
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signed_volume = signed_series(volume, initial=1)
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pvi = signed_volume[signed_volume > 0].abs() * roc_
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pvi.fillna(0, inplace=True)
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pvi.iloc[0]= initial
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pvi = pvi.cumsum()
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Args:
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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: 13
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initial (int): The short period. Default: 1000
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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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""" |