Alpaca Trader

alpaca_trader/indicators.py

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+import pandas as pd
+
+def sma(data, window):
+    return data.rolling(window=window).mean()
+
+def ema(data, window):
+    return data.ewm(span=window, adjust=False).mean()
+
+def rsi(data, window=14):
+    delta = data.diff()
+    gain = (delta.where(delta > 0, 0)).rolling(window=window).mean()
+    loss = (-delta.where(delta < 0, 0)).rolling(window=window).mean()
+    loss = loss.replace(0, 0.0001)
+    rs = gain / loss
+    rsi_val = 100 - (100 / (1 + rs))
+    return rsi_val
+
+def atr(high, low, close, window=14):
+    high_low = high - low
+    high_close_prev = abs(high - close.shift())
+    low_close_prev = abs(low - close.shift())
+    true_range = pd.concat([high_low, high_close_prev, low_close_prev], axis=1).max(axis=1)
+    atr_val = true_range.rolling(window=window).mean()
+    return atr_val
+
+def adx(high, low, close, window=14):
+    tr1 = high - low
+    tr2 = abs(high - close.shift())
+    tr3 = abs(low - close.shift())
+    tr = pd.concat([tr1, tr2, tr3], axis=1).max(axis=1)
+    atr_val = tr.rolling(window=window).mean()
+    up_move = high - high.shift()
+    down_move = low.shift() - low
+    plus_dm = pd.Series(0.0, index=close.index)
+    minus_dm = pd.Series(0.0, index=close.index)
+    plus_dm[(up_move > down_move) & (up_move > 0)] = up_move
+    minus_dm[(down_move > up_move) & (down_move > 0)] = down_move
+    plus_di = 100 * (plus_dm.rolling(window=window).mean() / atr_val)
+    minus_di = 100 * (minus_dm.rolling(window=window).mean() / atr_val)
+    di_sum = plus_di + minus_di
+    di_sum = di_sum.replace(0, 0.0001)
+    dx = 100 * abs(plus_di - minus_di) / di_sum
+    adx_val = dx.rolling(window=window).mean()
+    return adx_val
+
+def macd(close, fast=12, slow=26, signal=9):
+    ema_fast = ema(close, fast)
+    ema_slow = ema(close, slow)
+    macd_line = ema_fast - ema_slow
+    signal_line = ema(macd_line, signal)
+    histogram = macd_line - signal_line
+    return macd_line, signal_line, histogram
+
+def bollinger(close, window=20, num_std=2):
+    middle = sma(close, window)
+    std = close.rolling(window=window).std()
+    upper = middle + (std * num_std)
+    lower = middle - (std * num_std)
+    return upper, middle, lower