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[GH-150] Fix pdm and ndm
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The directional movement index should be calculated with smoothed
moving average.

Also update the calculation so that we don't generate extra columns.
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@jealous
jealous committed Jun 22, 2023
1 parent 53af66a commit d9cfef6
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Showing 2 changed files with 84 additions and 57 deletions.
100 changes: 58 additions & 42 deletions stockstats.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -343,8 +343,8 @@ def _get_rsi(self, window=None):
change = self._delta(self['close'], -1)
close_pm = (change + change.abs()) / 2
close_nm = (-change + change.abs()) / 2
p_ema = self._smma(close_pm, window)
n_ema = self._smma(close_nm, window)
p_ema = self.smma(close_pm, window)
n_ema = self.smma(close_nm, window)

rs_column_name = 'rs_{}'.format(window)
self[rs_column_name] = rs = p_ema / n_ema
Expand Down Expand Up @@ -395,7 +395,7 @@ def _get_wave_trend(self):
self["wt2"] = self.sma(tci, 4)

@staticmethod
def _smma(series, window):
def smma(series, window):
return series.ewm(
ignore_na=False,
alpha=1.0 / window,
Expand All @@ -411,7 +411,7 @@ def _get_smma(self, column, windows):
"""
window = self.get_int_positive(windows)
column_name = '{}_{}_smma'.format(column, window)
self[column_name] = self._smma(self[column], window)
self[column_name] = self.smma(self[column], window)

def _get_trix(self, column=None, windows=None):
""" Triple Exponential Average
Expand Down Expand Up @@ -673,7 +673,7 @@ def _get_z(self, column, window):

def _atr(self, window):
tr = self._tr()
return self._smma(tr, window)
return self.smma(tr, window)

def _get_atr(self, window=None):
""" Average True Range
Expand Down Expand Up @@ -725,9 +725,27 @@ def _get_um_dm(self):
initialize up move and down move
"""
hd = self._col_delta('high')
self['um'] = (hd + hd.abs()) / 2
self['um'] = (hd > 0) * hd
ld = -self._col_delta('low')
self['dm'] = (ld + ld.abs()) / 2
self['dm'] = (ld > 0) * ld

def _get_pdm_ndm(self, window):
hd = self._col_delta('high')
ld = -self._col_delta('low')
p = ((hd > 0) & (hd > ld)) * hd
n = ((ld > 0) & (ld > hd)) * ld
if window > 1:
p = self.smma(p, window)
n = self.smma(n, window)
return p, n

def _pdm(self, window):
ret, _ = self._get_pdm_ndm(window)
return ret

def _ndm(self, window):
_, ret = self._get_pdm_ndm(window)
return ret

def _get_pdm(self, windows):
""" +DM, positive directional moving
Expand All @@ -738,14 +756,26 @@ def _get_pdm(self, windows):
:return:
"""
window = self.get_int_positive(windows)
column_name = 'pdm_{}'.format(window)
um, dm = self['um'], self['dm']
self['pdm'] = np.where(um > dm, um, 0)
if window > 1:
pdm = self['pdm_{}_ema'.format(window)]
column_name = 'pdm_{}'.format(window)
else:
column_name = 'pdm'
self[column_name] = self._pdm(window)

def _get_ndm(self, windows):
""" -DM, negative directional moving accumulation
If window is not 1, return the SMA of -DM.
:param windows: range
:return:
"""
window = self.get_int_positive(windows)
if window > 1:
column_name = 'ndm_{}'.format(window)
else:
pdm = self['pdm']
self[column_name] = pdm
column_name = 'ndm'
self[column_name] = self._ndm(window)

def _get_vr(self, windows=None):
if windows is None:
Expand All @@ -770,23 +800,12 @@ def _get_vr(self, windows=None):

self[column_name] = (avs + cvs / 2) / (bvs + cvs / 2) * 100

def _get_mdm(self, windows):
""" -DM, negative directional moving accumulation
If window is not 1, return the SMA of -DM.
:param windows: range
:return:
"""
window = self.get_int_positive(windows)
column_name = 'mdm_{}'.format(window)
um, dm = self['um'], self['dm']
self['mdm'] = np.where(dm > um, dm, 0)
if window > 1:
mdm = self['mdm_{}_ema'.format(window)]
else:
mdm = self['mdm']
self[column_name] = mdm
def _get_pdi_ndi(self, window):
pdm, ndm = self._get_pdm_ndm(window)
atr = self._atr(window)
pdi = pdm / atr * 100
ndi = ndm / atr * 100
return pdi, ndi

def _get_pdi(self, windows):
""" +DI, positive directional moving index
Expand All @@ -795,26 +814,22 @@ def _get_pdi(self, windows):
:return:
"""
window = self.get_int_positive(windows)
pdm_column = 'pdm_{}'.format(window)
tr_column = 'atr_{}'.format(window)
pdi, _ = self._get_pdi_ndi(window)
pdi_column = 'pdi_{}'.format(window)
self[pdi_column] = self[pdm_column] / self[tr_column] * 100
self[pdi_column] = pdi
return self[pdi_column]

def _get_mdi(self, windows):
window = self.get_int_positive(windows)
mdm_column = 'mdm_{}'.format(window)
tr_column = 'atr_{}'.format(window)
_, ndi = self._get_pdi_ndi(window)
mdi_column = 'mdi_{}'.format(window)
self[mdi_column] = self[mdm_column] / self[tr_column] * 100
self[mdi_column] = ndi
return self[mdi_column]

def _get_dx(self, windows):
window = self.get_int_positive(windows)
dx_column = 'dx_{}'.format(window)
mdi_column = 'mdi_{}'.format(window)
pdi_column = 'pdi_{}'.format(window)
mdi, pdi = self[mdi_column], self[pdi_column]
pdi, mdi = self._get_pdi_ndi(window)
self[dx_column] = abs(pdi - mdi) / (pdi + mdi) * 100
return self[dx_column]

Expand Down Expand Up @@ -1564,11 +1579,13 @@ def _get_rate(self):
self['rate'] = self['close'].pct_change() * 100

def _col_delta(self, col):
return self[col].diff()
ret = self[col].diff()
ret.iloc[0] = 0.0
return ret

def _get_delta(self, key):
key_to_delta = key.replace('_delta', '')
self[key] = self[key_to_delta].diff()
self[key] = self._col_delta(key_to_delta)
return self[key]

def _get_cross(self, key):
Expand Down Expand Up @@ -1645,7 +1662,6 @@ def handler(self):
('cci',): self._get_cci,
('tr',): self._get_tr,
('atr',): self._get_atr,
('um', 'dm'): self._get_um_dm,
('pdi', 'mdi', 'dx', 'adx', 'adxr'): self._get_dmi,
('trix',): self._get_trix,
('tema',): self._get_tema,
Expand Down
41 changes: 26 additions & 15 deletions test.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -522,35 +522,46 @@ def test_get_dma(self):
assert_that(c.loc[20160816], near_to(2.15))
assert_that(c.loc[20160815], near_to(2.2743))

def test_pdm_ndm(self):
c = self.get_stock_90days()

pdm = c['pdm_14']
assert_that(pdm.loc[20110104], equal_to(0))
assert_that(pdm.loc[20110331], near_to(.0842))

ndm = c['ndm_14']
assert_that(ndm.loc[20110104], equal_to(0))
assert_that(ndm.loc[20110331], near_to(0.0432))

def test_get_pdi(self):
c = self._supor.get('pdi')
assert_that(c.loc[20160817], near_to(24.5989))
assert_that(c.loc[20160816], near_to(28.6088))
assert_that(c.loc[20160815], near_to(21.23))
assert_that(c.loc[20160817], near_to(25.747))
assert_that(c.loc[20160816], near_to(27.948))
assert_that(c.loc[20160815], near_to(24.646))

def test_get_mdi(self):
c = self._supor.get('mdi')
assert_that(c.loc[20160817], near_to(13.6049))
assert_that(c.loc[20160816], near_to(15.8227))
assert_that(c.loc[20160815], near_to(18.8455))
assert_that(c.loc[20160817], near_to(16.195))
assert_that(c.loc[20160816], near_to(17.579))
assert_that(c.loc[20160815], near_to(19.542))

def test_dx(self):
c = self._supor.get('dx')
assert_that(c.loc[20160817], near_to(28.7771))
assert_that(c.loc[20160815], near_to(5.95))
assert_that(c.loc[20160812], near_to(10.05))
assert_that(c.loc[20160817], near_to(22.774))
assert_that(c.loc[20160815], near_to(11.550))
assert_that(c.loc[20160812], near_to(4.828))

def test_adx(self):
c = self._supor.get('adx')
assert_that(c.loc[20160817], near_to(20.1545))
assert_that(c.loc[20160816], near_to(16.7054))
assert_that(c.loc[20160815], near_to(11.8767))
assert_that(c.loc[20160817], near_to(15.535))
assert_that(c.loc[20160816], near_to(12.640))
assert_that(c.loc[20160815], near_to(8.586))

def test_adxr(self):
c = self._supor.get('adxr')
assert_that(c.loc[20160817], near_to(17.3630))
assert_that(c.loc[20160816], near_to(16.2464))
assert_that(c.loc[20160815], near_to(16.0628))
assert_that(c.loc[20160817], near_to(13.208))
assert_that(c.loc[20160816], near_to(12.278))
assert_that(c.loc[20160815], near_to(12.133))

def test_trix_default(self):
c = self._supor.get('trix')
Expand Down

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