2 new indicators

Author: ranaroussi

docs/source/indicators.rst

@@ -184,6 +184,14 @@ Typical Price
     ...
 
 
+PVT (Price Volume Trend)
+------------------------
+
+.. code:: python
+
+    bars['pvt'] = bars.pvt()
+    ...
+
 
 Rolling Minimum
 ---------------
@@ -331,6 +339,15 @@ VWAP
     ...
 
 
+Z-Score
+-------
+
+.. code:: python
+
+    bars['zscore'] = bars.zscore(window=20, stds=1, col='close')
+    ...
+
+
 -----
 
 

qtpylib/indicators.py

@@ -380,6 +380,19 @@ def stoch(bars, window=14, slow=False, slow_ma=3):
 
     return pd.DataFrame(index=bars.index, data={ 'k': k, 'r': r })
 
+# ---------------------------------------------------------
+def zscore(bars, window=20, stds=1, col='close'):
+    """ get zscore of price """
+    std  = bars[col].rolling(window).std() * stds
+    mean = bars[col].rolling(window).mean()
+    return (bars[col]-mean) / std
+
+# ---------------------------------------------------------
+def pvt(bars):
+    """ Price Volume Trend """
+    pvt = ((bars['close'] - bars['close'].shift(1)) / bars['close'].shift(1)) * bars['volume']
+    return pvt.cumsum()
+
 # ---------------------------------------------------------
 PandasObject.session                  = session
 PandasObject.atr                      = atr
@@ -402,6 +415,8 @@ def stoch(bars, window=14, slow=False, slow_ma=3):
 PandasObject.rolling_std              = rolling_std
 PandasObject.rsi                      = rsi
 PandasObject.stoch                    = stoch
+PandasObject.zscore                   = zscore
+PandasObject.pvt                      = pvt
 PandasObject.true_range               = true_range
 PandasObject.mid_price                = mid_price
 PandasObject.typical_price            = typical_price