Source code for pandas_ta.overlap.mcgd

# -*- coding: utf-8 -*-
from pandas_ta.utils import get_offset, verify_series


def mcgd(close, length=None, offset=None, c=None, **kwargs):
    """Indicator: McGinley Dynamic Indicator"""
    # Validate arguments
    length = int(length) if length and length > 0 else 10
    c = float(c) if c and 0 < c <= 1 else 1
    close = verify_series(close, length)
    offset = get_offset(offset)

    if close is None: return

    # Calculate Result
    close = close.copy()

    def mcg_(series):
        denom = (c * length * (series.iloc[1] / series.iloc[0]) ** 4)
        series.iloc[1] = (series.iloc[0] + ((series.iloc[1] - series.iloc[0]) / denom))
        return series.iloc[1]

    mcg_cell = close[0:].rolling(2, min_periods=2).apply(mcg_, raw=False)
    mcg_ds = close[:1].append(mcg_cell[1:])

    # Offset
    if offset != 0:
        mcg_ds = mcg_ds.shift(offset)

    # Handle fills
    if "fillna" in kwargs:
        mcg_ds.fillna(kwargs["fillna"], inplace=True)
    if "fill_method" in kwargs:
        mcg_ds.fillna(method=kwargs["fill_method"], inplace=True)

    # Name & Category
    mcg_ds.name = f"MCGD_{length}"
    mcg_ds.category = "overlap"

    return mcg_ds


mcgd.__doc__ = \
"""McGinley Dynamic Indicator

The McGinley Dynamic looks like a moving average line, yet it is actually a
smoothing mechanism for prices that minimizes price separation, price whipsaws,
and hugs prices much more closely. Because of the calculation, the Dynamic Line
speeds up in down markets as it follows prices yet moves more slowly in up
markets. The indicator was designed by John R. McGinley, a Certified Market
Technician and former editor of the Market Technicians Association's Journal
of Technical Analysis.

Sources:
    https://www.investopedia.com/articles/forex/09/mcginley-dynamic-indicator.asp

Calculation:
    Default Inputs:
        length=10
        offset=0
        c=1

    def mcg_(series):
        denom = (constant * length * (series.iloc[1] / series.iloc[0]) ** 4)
        series.iloc[1] = (series.iloc[0] + ((series.iloc[1] - series.iloc[0]) / denom))
        return series.iloc[1]
    mcg_cell = close[0:].rolling(2, min_periods=2).apply(mcg_, raw=False)
    mcg_ds = close[:1].append(mcg_cell[1:])

Args:
    close (pd.Series): Series of 'close's
    length (int): Indicator's period. Default: 10
    offset (int): Number of periods to offset the result. Default: 0
    c (float): Multiplier for the denominator, sometimes set to 0.6. Default: 1

Kwargs:
    fillna (value, optional): pd.DataFrame.fillna(value)
    fill_method (value, optional): Type of fill method

Returns:
    pd.Series: New feature generated.
"""