60 lines
1.9 KiB
Python
60 lines
1.9 KiB
Python
from collections import namedtuple
|
|
|
|
import numpy as np
|
|
|
|
IchimokuCloud = namedtuple('IchimokuCloud', ['conversion_line', 'base_line', 'span_a', 'span_b'])
|
|
|
|
|
|
def ichimoku_cloud(candles: np.ndarray, conversion_line_period: int = 9, base_line_period: int = 26,
|
|
lagging_line_period: int = 52, displacement: int = 26) -> IchimokuCloud:
|
|
"""
|
|
Ichimoku Cloud
|
|
|
|
:param candles: np.ndarray
|
|
:param conversion_line_period: int - default: 9
|
|
:param base_line_period: int - default: 26
|
|
:param lagging_line_period: int - default: 52
|
|
:param displacement: - default: 26
|
|
|
|
:return: IchimokuCloud(conversion_line, base_line, span_a, span_b)
|
|
"""
|
|
if candles.shape[0] < 80:
|
|
return IchimokuCloud(np.nan, np.nan, np.nan, np.nan)
|
|
|
|
if candles.shape[0] > 80:
|
|
candles = candles[-80:]
|
|
|
|
# earlier
|
|
arr = candles[:-(displacement - 1)]
|
|
|
|
small_period = arr[-conversion_line_period:]
|
|
mid_period = arr[-base_line_period:]
|
|
long_period = arr[-lagging_line_period:]
|
|
|
|
small_ph = small_period[:, 3].max()
|
|
small_pl = small_period[:, 4].min()
|
|
mid_ph = mid_period[:, 3].max()
|
|
mid_pl = mid_period[:, 4].min()
|
|
long_ph = long_period[:, 3].max()
|
|
long_pl = long_period[:, 4].min()
|
|
|
|
early_conversion_line = (small_ph + small_pl) / 2
|
|
early_base_line = (mid_ph + mid_pl) / 2
|
|
span_a = (early_conversion_line + early_base_line) / 2
|
|
span_b = (long_ph + long_pl) / 2
|
|
|
|
# current
|
|
arr = candles
|
|
small_period = arr[-conversion_line_period:]
|
|
mid_period = arr[-base_line_period:]
|
|
|
|
small_ph = small_period[:, 3].max()
|
|
small_pl = small_period[:, 4].min()
|
|
mid_ph = mid_period[:, 3].max()
|
|
mid_pl = mid_period[:, 4].min()
|
|
|
|
current_conversion_line = (small_ph + small_pl) / 2
|
|
current_base_line = (mid_ph + mid_pl) / 2
|
|
|
|
return IchimokuCloud(current_conversion_line, current_base_line, span_a, span_b)
|