# -*- coding: utf-8 -*-
from numpy import nan as npNaN
from pandas import Series
from pandas_ta.utils import get_drift, get_offset, verify_series
[docs]def vidya(close, length=None, drift=None, offset=None, **kwargs):
"""Indicator: Variable Index Dynamic Average (VIDYA)"""
# Validate Arguments
length = int(length) if length and length > 0 else 14
close = verify_series(close, length)
drift = get_drift(drift)
offset = get_offset(offset)
if close is None: return
def _cmo(source: Series, n:int , d: int):
"""Chande Momentum Oscillator (CMO) Patch
For some reason: from pandas_ta.momentum import cmo causes
pandas_ta.momentum.coppock to not be able to import it's
wma like from pandas_ta.overlap import wma?
Weird Circular TypeError!?!
"""
mom = source.diff(d)
positive = mom.copy().clip(lower=0)
negative = mom.copy().clip(upper=0).abs()
pos_sum = positive.rolling(n).sum()
neg_sum = negative.rolling(n).sum()
return (pos_sum - neg_sum) / (pos_sum + neg_sum)
# Calculate Result
m = close.size
alpha = 2 / (length + 1)
abs_cmo = _cmo(close, length, drift).abs()
vidya = Series(0, index=close.index)
for i in range(length, m):
vidya.iloc[i] = alpha * abs_cmo.iloc[i] * close.iloc[i] + vidya.iloc[i - 1] * (1 - alpha * abs_cmo.iloc[i])
vidya.replace({0: npNaN}, inplace=True)
# Offset
if offset != 0:
vidya = vidya.shift(offset)
# Handle fills
if "fillna" in kwargs:
vidya.fillna(kwargs["fillna"], inplace=True)
if "fill_method" in kwargs:
vidya.fillna(method=kwargs["fill_method"], inplace=True)
# Name & Category
vidya.name = f"VIDYA_{length}"
vidya.category = "overlap"
return vidya
vidya.__doc__ = \
"""Variable Index Dynamic Average (VIDYA)
Variable Index Dynamic Average (VIDYA) was developed by Tushar Chande. It is
similar to an Exponential Moving Average but it has a dynamically adjusted
lookback period dependent on relative price volatility as measured by Chande
Momentum Oscillator (CMO). When volatility is high, VIDYA reacts faster to
price changes. It is often used as moving average or trend identifier.
Sources:
https://www.tradingview.com/script/hdrf0fXV-Variable-Index-Dynamic-Average-VIDYA/
https://www.perfecttrendsystem.com/blog_mt4_2/en/vidya-indicator-for-mt4
Calculation:
Default Inputs:
length=10, adjust=False, sma=True
if sma:
sma_nth = close[0:length].sum() / length
close[:length - 1] = np.nan
close.iloc[length - 1] = sma_nth
EMA = close.ewm(span=length, adjust=adjust).mean()
Args:
close (pd.Series): Series of 'close's
length (int): It's period. Default: 14
offset (int): How many periods to offset the result. Default: 0
Kwargs:
adjust (bool, optional): Use adjust option for EMA calculation. Default: False
sma (bool, optional): If True, uses SMA for initial value for EMA calculation. Default: True
talib (bool): If True, uses TA-Libs implementation for CMO. Otherwise uses EMA version. Default: True
fillna (value, optional): pd.DataFrame.fillna(value)
fill_method (value, optional): Type of fill method
Returns:
pd.Series: New feature generated.
"""