fixing bug donchian channels #133

bukosabino · May 4, 2020 · f52cf74 · f52cf74
1 parent 0b13b6b
commit f52cf74
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diff --git a/release.md b/release.md
@@ -1,6 +1,10 @@
 | Date | Version | Comment |
 | ------------- | ------------- | ------------- |
-| 2020/05/03 | 0.5.21 | Donchian Channel: adding tests; adding some useful functions; fixing some minor bug https://github.com/bukosabino/ta/issues/133 |
+|  |  | 1. Keltner Channel: adding tests; adding n atr input parametr; fixing some minor bug; adding unittests for adx https://github.com/bukosabino/ta/pull/148 |
+|  |  | 2. Refactor tests code and speed up the tests https://github.com/bukosabino/ta/pull/149 |
+|  |  | 3. Refactor tests code https://github.com/bukosabino/ta/pull/150 |
+|  |  | 4. Donchian Channel: Fixing bug https://github.com/bukosabino/ta/pull/151 |
+| 2020/05/03 | 0.5.21 | Donchian Channel: adding tests; adding some useful functions; fixing some minor bug https://github.com/bukosabino/ta/pull/147 https://github.com/bukosabino/ta/issues/133 |
 | 2020/04/20 | 0.5.20 | remove fstring compatibility for python versions < 3.6  |
 | 2020/04/20 | 0.5.19 | adding fstring compatibility for python versions < 3.6 https://github.com/bukosabino/ta/pull/141  |
 | 2020/04/16 | 0.5.18 | Adding VWAP indicator https://github.com/bukosabino/ta/issues/130  |

diff --git a/setup.py b/setup.py
@@ -4,7 +4,7 @@
 setup(
     name='ta',
     packages=['ta'],
-    version='0.5.21',
+    version='0.5.22',
     description='Technical Analysis Library in Python',
     long_description='It is a Technical Analysis library to financial time series datasets. You can use to do feature engineering. It is builded on Python Pandas library.',
     author='Dario Lopez Padial (Bukosabino)',
@@ -16,7 +16,7 @@
         'numpy',
         'pandas',
     ],
-    download_url='https://github.com/bukosabino/ta/tarball/0.5.21',
+    download_url='https://github.com/bukosabino/ta/tarball/0.5.22',
     keywords=['technical analysis', 'python3', 'pandas'],
     license='The MIT License (MIT)',
     classifiers=[

diff --git a/ta/tests/__init__.py b/ta/tests/__init__.py
@@ -7,7 +7,7 @@
                             TestVortexIndicator)
 from ta.tests.volatility import (TestAverageTrueRange, TestAverageTrueRange2,
                                  TestBollingerBands, TestDonchianChannel,
-                                 TestKeltnerChannel)
+                                 TestDonchianChannel2, TestKeltnerChannel)
 from ta.tests.volume import (TestAccDistIndexIndicator,
                              TestEaseOfMovementIndicator,
                              TestForceIndexIndicator, TestMFIIndicator,

diff --git a/ta/tests/data/cs-dc.csv b/ta/tests/data/cs-dc.csv
@@ -1,70 +1,31 @@
-Date,Close,average,upper_band,lower_band,middle_band,dc_high_indicator,dc_low_indicator,dc_percentage,dc_band_width
-2010-01-07,90.700,,,,,,,,
-2010-01-08,92.900,,,,,,,,
-2010-01-09,92.980,,,,,,,,
-2010-01-10,91.800,,,,,,,,
-2010-01-11,92.660,,,,,,,,
-2010-01-12,92.680,,,,,,,,
-2010-01-13,92.300,,,,,,,,
-2010-01-14,92.770,,,,,,,,
-2010-01-15,92.540,,,,,,,,
-2010-01-16,92.950,,,,,,,,
-2010-01-17,93.200,,,,,,,,
-2010-01-18,91.070,,,,,,,,
-2010-01-19,89.830,,,,,,,,
-2010-01-20,89.740,,,,,,,,
-2010-01-21,90.400,,,,,,,,
-2010-01-22,90.740,,,,,,,,
-2010-01-23,88.020,,,,,,,,
-2010-01-24,88.090,,,,,,,,
-2010-01-25,88.840,,,,,,,,
-2010-01-26,90.780,91.24950,93.20,88.02,90.61,0,0,0.5328185328,5.676743434
-2010-01-27,90.540,91.24150,93.20,88.02,90.61,0,0,0.4864864865,5.677241168
-2010-01-28,91.390,91.16600,93.20,88.02,90.61,0,0,0.6505791506,5.68194283
-2010-01-29,90.650,91.04950,93.20,88.02,90.61,0,0,0.5077220077,5.689213011
-2010-01-30,90.700,90.99450,93.20,88.02,90.61,0,0,0.5173745174,5.692651754
-2010-01-31,92.900,91.00650,93.20,88.02,90.61,0,0,0.9420849421,5.691901128
-2010-02-01,92.980,91.02150,93.20,88.02,90.61,0,0,0.9575289575,5.690963124
-2010-02-02,91.800,90.99650,93.20,88.02,90.61,0,0,0.7297297297,5.692526636
-2010-02-03,92.660,90.99100,93.20,88.02,90.61,0,0,0.8957528958,5.692870723
-2010-02-04,92.680,90.99800,93.20,88.02,90.61,0,0,0.8996138996,5.692432801
-2010-02-05,92.300,90.96550,93.20,88.02,90.61,0,0,0.8262548263,5.694466583
-2010-02-06,92.770,90.94400,92.98,88.02,90.50,0,0,0.9576612903,5.4539057
-2010-02-07,92.540,91.01750,92.98,88.02,90.50,0,0,0.9112903226,5.449501469
-2010-02-08,92.950,91.17350,92.98,88.02,90.50,0,0,0.9939516129,5.440177244
-2010-02-09,93.200,91.34650,93.20,88.02,90.61,1,0,1,5.670715353
-2010-02-10,91.070,91.38000,93.20,88.02,90.61,0,0,0.5888030888,5.668636463
-2010-02-11,89.830,91.33450,93.20,88.02,90.61,0,0,0.3494208494,5.671460401
-2010-02-12,89.740,91.42050,93.20,88.09,90.65,0,0,0.3228962818,5.589555953
-2010-02-13,90.400,91.53600,93.20,88.84,91.02,0,0,0.3577981651,4.763153295
-2010-02-14,90.740,91.63100,93.20,89.74,91.47,0,0,0.289017341,3.776014668
-2010-02-15,88.020,91.49300,93.20,88.02,90.61,0,1,0,5.661635316
-2010-02-16,88.090,91.37050,93.20,88.02,90.61,0,0,0.01351351351,5.669225844
-2010-02-17,88.840,91.24300,93.20,88.02,90.61,0,0,0.1583011583,5.677147836
-2010-02-18,90.780,91.24950,93.20,88.02,90.61,0,0,0.5328185328,5.676743434
-2010-02-19,90.540,91.24150,93.20,88.02,90.61,0,0,0.4864864865,5.677241168
-2010-02-20,91.390,91.16600,93.20,88.02,90.61,0,0,0.6505791506,5.68194283
-2010-02-21,90.650,91.04950,93.20,88.02,90.61,0,0,0.5077220077,5.689213011
-2010-02-22,90.700,90.99450,93.20,88.02,90.61,0,0,0.5173745174,5.692651754
-2010-02-23,92.900,91.00650,93.20,88.02,90.61,0,0,0.9420849421,5.691901128
-2010-02-24,92.980,91.02150,93.20,88.02,90.61,0,0,0.9575289575,5.690963124
-2010-02-25,91.800,90.99650,93.20,88.02,90.61,0,0,0.7297297297,5.692526636
-2010-02-26,92.660,90.99100,93.20,88.02,90.61,0,0,0.8957528958,5.692870723
-2010-02-27,92.680,90.99800,93.20,88.02,90.61,0,0,0.8996138996,5.692432801
-2010-02-28,92.300,90.96550,93.20,88.02,90.61,0,0,0.8262548263,5.694466583
-2010-03-01,92.770,90.94400,92.98,88.02,90.50,0,0,0.9576612903,5.4539057
-2010-03-02,92.540,91.01750,92.98,88.02,90.50,0,0,0.9112903226,5.449501469
-2010-03-03,92.950,91.17350,92.98,88.02,90.50,0,0,0.9939516129,5.440177244
-2010-03-04,93.200,91.34650,93.20,88.02,90.61,1,0,1,5.670715353
-2010-03-05,91.070,91.38000,93.20,88.02,90.61,0,0,0.5888030888,5.668636463
-2010-03-06,89.830,91.33450,93.20,88.02,90.61,0,0,0.3494208494,5.671460401
-2010-03-07,89.740,91.42050,93.20,88.09,90.65,0,0,0.3228962818,5.589555953
-2010-03-08,90.400,91.53600,93.20,88.84,91.02,0,0,0.3577981651,4.763153295
-2010-03-09,95.400,91.86400,95.40,89.74,92.57,1,0,1,6.161281895
-2010-03-10,96.800,92.16500,96.80,89.74,93.27,1,0,1,7.660174687
-2010-03-11,110.000,93.13800,110.00,89.74,99.87,1,0,1,21.75266808
-2010-03-12,88.840,93.01050,110.00,88.84,99.42,0,1,0,22.75011961
-2010-03-13,90.780,93.01700,110.00,88.84,99.42,0,0,0.09168241966,22.74852984
-2010-03-14,90.540,93.00900,110.00,88.84,99.42,0,0,0.08034026465,22.75048651
-2010-03-15,91.390,92.93350,110.00,88.84,99.42,0,0,0.120510397,22.76896921
-2010-03-16,90.650,92.81700,110.00,88.84,99.42,0,0,0.08553875236,22.79754786
+date,high,low,close,average,upper_band,lower_band,middle_band,dc_percentage,dc_band_width
+2010-01-07,48.700000000000000,47.790000000000000,48.160000000000000,,,,,,
+2010-01-08,48.720000000000000,48.140000000000000,48.610000000000000,,,,,,
+2010-01-09,48.900000000000000,48.390000000000000,48.750000000000000,,,,,,
+2010-01-10,48.870000000000000,48.370000000000000,48.630000000000000,,,,,,
+2010-01-11,48.820000000000000,48.240000000000000,48.740000000000000,,,,,,
+2010-01-12,49.050000000000000,48.635000000000000,49.030000000000000,,,,,,
+2010-01-13,49.200000000000000,48.940000000000000,49.070000000000000,,,,,,
+2010-01-14,49.350000000000000,48.860000000000000,49.320000000000000,,,,,,
+2010-01-15,49.920000000000000,49.500000000000000,49.910000000000000,,,,,,
+2010-01-16,50.190000000000000,49.870000000000000,50.130000000000000,,,,,,
+2010-01-17,50.120000000000000,49.200000000000000,49.530000000000000,,,,,,
+2010-01-18,49.660000000000000,48.900000000000000,49.500000000000000,,,,,,
+2010-01-19,49.880000000000000,49.430000000000000,49.750000000000000,,,,,,
+2010-01-20,50.190000000000000,49.725000000000000,50.030000000000000,,,,,,
+2010-01-21,50.360000000000000,49.260000000000000,50.310000000000000,,,,,,
+2010-01-22,50.570000000000000,50.090000000000000,50.520000000000000,,,,,,
+2010-01-23,50.650000000000000,50.300000000000000,50.410000000000000,,,,,,
+2010-01-24,50.430000000000000,49.210000000000000,49.340000000000000,,,,,,
+2010-01-25,49.630000000000000,48.980000000000000,49.370000000000000,,,,,,
+2010-01-26,50.330000000000000,49.610000000000000,50.230000000000000,49.46700,50.65,47.79,49.22,0.8531468531,5.781632199
+2010-01-27,50.290000000000000,49.200000000000000,49.237500000000000,49.52088,50.65,48.14,49.40,0.437250996,5.068569568
+2010-01-28,50.170000000000000,49.430000000000000,49.930000000000000,49.58688,50.65,48.24,49.45,0.7012448133,4.860157048
+2010-01-29,49.320000000000000,48.080000000000000,48.430000000000000,49.57088,50.65,48.08,49.37,0.1361867704,5.184495936
+2010-01-30,48.500000000000000,47.640000000000000,48.500000000000000,49.56438,50.65,47.64,49.15,0.2857142857,6.07291023
+2010-01-31,48.320100000000000,41.550000000000000,46.570000000000000,49.45588,50.65,41.55,46.10,0.5516483516,18.40024062
+2010-02-01,46.800000000000000,44.283300000000000,45.410000000000000,49.27488,50.65,41.55,46.10,0.4241758242,18.4678297
+2010-02-02,47.800000000000000,47.310000000000000,47.770000000000000,49.20988,50.65,41.55,46.10,0.6835164835,18.49222336
+2010-02-03,48.390000000000000,47.200000000000000,47.720000000000000,49.12988,50.65,41.55,46.10,0.678021978,18.52233493
+2010-02-04,48.660000000000000,47.900000000000000,48.620000000000000,49.06538,50.65,41.55,46.10,0.7769230769,18.54668389
+2010-02-05,48.790000000000000,47.730100000000000,47.850000000000000,48.95138,50.65,41.55,46.10,0.6923076923,18.58987618
diff --git a/ta/tests/data/cs-dc2.csv b/ta/tests/data/cs-dc2.csv
@@ -0,0 +1,31 @@
+date,high,low,close,average,upper_band,lower_band,middle_band,dc_percentage,dc_band_width
+2010-01-07,48.700000000000000,47.790000000000000,48.160000000000000,,,,,,
+2010-01-08,48.720000000000000,48.140000000000000,48.610000000000000,,,,,,
+2010-01-09,48.900000000000000,48.390000000000000,48.750000000000000,,,,,,
+2010-01-10,48.870000000000000,48.370000000000000,48.630000000000000,,,,,,
+2010-01-11,48.820000000000000,48.240000000000000,48.740000000000000,,,,,,
+2010-01-12,49.050000000000000,48.635000000000000,49.030000000000000,,,,,,
+2010-01-13,49.200000000000000,48.940000000000000,49.070000000000000,,,,,,
+2010-01-14,49.350000000000000,48.860000000000000,49.320000000000000,,,,,,
+2010-01-15,49.920000000000000,49.500000000000000,49.910000000000000,,,,,,
+2010-01-16,50.190000000000000,49.870000000000000,50.130000000000000,,,,,,
+2010-01-17,50.120000000000000,49.200000000000000,49.530000000000000,,,,,,
+2010-01-18,49.660000000000000,48.900000000000000,49.500000000000000,,,,,,
+2010-01-19,49.880000000000000,49.430000000000000,49.750000000000000,,,,,,
+2010-01-20,50.190000000000000,49.725000000000000,50.030000000000000,,,,,,
+2010-01-21,50.360000000000000,49.260000000000000,50.310000000000000,,,,,,
+2010-01-22,50.570000000000000,50.090000000000000,50.520000000000000,,,,,,
+2010-01-23,50.650000000000000,50.300000000000000,50.410000000000000,,,,,,
+2010-01-24,50.430000000000000,49.210000000000000,49.340000000000000,,,,,,
+2010-01-25,49.630000000000000,48.980000000000000,49.370000000000000,,,,,,
+2010-01-26,50.330000000000000,49.610000000000000,50.230000000000000,,,,,,
+2010-01-27,50.290000000000000,49.200000000000000,49.237500000000000,49.46700,50.65,47.79,49.22,0.8531468531,5.781632199
+2010-01-28,50.170000000000000,49.430000000000000,49.930000000000000,49.52088,50.65,48.14,49.40,0.437250996,5.068569568
+2010-01-29,49.320000000000000,48.080000000000000,48.430000000000000,49.58688,50.65,48.24,49.45,0.7012448133,4.860157048
+2010-01-30,48.500000000000000,47.640000000000000,48.500000000000000,49.57088,50.65,48.08,49.37,0.1361867704,5.184495936
+2010-01-31,48.320100000000000,41.550000000000000,46.570000000000000,49.56438,50.65,47.64,49.15,0.2857142857,6.07291023
+2010-02-01,46.800000000000000,44.283300000000000,45.410000000000000,49.45588,50.65,41.55,46.10,0.5516483516,18.40024062
+2010-02-02,47.800000000000000,47.310000000000000,47.770000000000000,49.27488,50.65,41.55,46.10,0.4241758242,18.4678297
+2010-02-03,48.390000000000000,47.200000000000000,47.720000000000000,49.20988,50.65,41.55,46.10,0.6835164835,18.49222336
+2010-02-04,48.660000000000000,47.900000000000000,48.620000000000000,49.12988,50.65,41.55,46.10,0.678021978,18.52233493
+2010-02-05,48.790000000000000,47.730100000000000,47.850000000000000,49.06538,50.65,41.55,46.10,0.7769230769,18.54668389
diff --git a/ta/tests/volatility.py b/ta/tests/volatility.py
@@ -7,10 +7,7 @@
                            bollinger_hband_indicator, bollinger_lband,
                            bollinger_lband_indicator, bollinger_mavg,
                            bollinger_pband, bollinger_wband,
-                           donchian_channel_hband,
-                           donchian_channel_hband_indicator,
-                           donchian_channel_lband,
-                           donchian_channel_lband_indicator,
+                           donchian_channel_hband, donchian_channel_lband,
                            donchian_channel_mband, donchian_channel_pband,
                            donchian_channel_wband, keltner_channel_hband,
                            keltner_channel_hband_indicator,
@@ -177,7 +174,8 @@ class TestDonchianChannel(unittest.TestCase):
     @classmethod
     def setUpClass(cls):
         cls._df = pd.read_csv(cls._filename, sep=',')
-        cls._params = dict(close=cls._df['Close'], n=20, fillna=False)
+        cls._params = dict(
+            high=cls._df['high'], low=cls._df['low'], close=cls._df['close'], n=20, offset=0, fillna=False)
         cls._indicator = DonchianChannel(**cls._params)
 
     @classmethod
@@ -209,16 +207,6 @@ def test_pband(self):
         result = self._indicator.donchian_channel_pband()
         pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
 
-    def test_hband_indicator(self):
-        target = 'dc_high_indicator'
-        result = self._indicator.donchian_channel_hband_indicator()
-        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
-
-    def test_lband_indicator(self):
-        target = 'dc_low_indicator'
-        result = self._indicator.donchian_channel_lband_indicator()
-        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
-
     def test_mavg2(self):
         target = 'middle_band'
         result = donchian_channel_mband(**self._params)
@@ -244,14 +232,74 @@ def test_pband2(self):
         result = donchian_channel_pband(**self._params)
         pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
 
-    def test_hband_indicator2(self):
-        target = 'dc_high_indicator'
-        result = donchian_channel_hband_indicator(**self._params)
+
+class TestDonchianChannel2(unittest.TestCase):
+    """
+    https://www.investopedia.com/terms/d/donchianchannels.asp
+    https://docs.google.com/spreadsheets/d/17JWWsxSiAb24BLzncUpccc8hg-03QjVWVXmoRCJ2lME/edit#gid=0
+    """
+
+    _filename = 'ta/tests/data/cs-dc2.csv'
+
+    @classmethod
+    def setUpClass(cls):
+        cls._df = pd.read_csv(cls._filename, sep=',')
+        cls._params = dict(
+            high=cls._df['high'], low=cls._df['low'], close=cls._df['close'], n=20, offset=1, fillna=False)
+        cls._indicator = DonchianChannel(**cls._params)
+
+    @classmethod
+    def tearDownClass(cls):
+        del(cls._df)
+
+    def test_mavg(self):
+        target = 'middle_band'
+        result = self._indicator.donchian_channel_mband()
         pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
 
-    def test_lband_indicator2(self):
-        target = 'dc_low_indicator'
-        result = donchian_channel_lband_indicator(**self._params)
+    def test_hband(self):
+        target = 'upper_band'
+        result = self._indicator.donchian_channel_hband()
+        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
+
+    def test_lband(self):
+        target = 'lower_band'
+        result = self._indicator.donchian_channel_lband()
+        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
+
+    def test_wband(self):
+        target = 'dc_band_width'
+        result = self._indicator.donchian_channel_wband()
+        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
+
+    def test_pband(self):
+        target = 'dc_percentage'
+        result = self._indicator.donchian_channel_pband()
+        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
+
+    def test_mavg2(self):
+        target = 'middle_band'
+        result = donchian_channel_mband(**self._params)
+        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
+
+    def test_hband2(self):
+        target = 'upper_band'
+        result = donchian_channel_hband(**self._params)
+        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
+
+    def test_lband2(self):
+        target = 'lower_band'
+        result = donchian_channel_lband(**self._params)
+        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
+
+    def test_wband2(self):
+        target = 'dc_band_width'
+        result = donchian_channel_wband(**self._params)
+        pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)
+
+    def test_pband2(self):
+        target = 'dc_percentage'
+        result = donchian_channel_pband(**self._params)
         pd.testing.assert_series_equal(self._df[target].tail(), result.tail(), check_names=False)