Skip to content

keltner_channel ¤

keltner_channel ¤

keltner_channel(
    dataframe: DataFrame,
    ma: int = 20,
    ma_mode: Literal[
        "sma",
        "ema",
        "wma",
        "dema",
        "tema",
        "trima",
        "kama",
        "mama",
        "t3",
    ] = "ema",
    atr: int = 20,
    shift: float = 1.6,
    prefix: str = "kc_",
    inplace: bool = False,
    plot: bool | list[str] = False,
    plot_upper_kwargs: dict | None = None,
    plot_basis_kwargs: dict | None = None,
    plot_lower_kwargs: dict | None = None,
) -> dict[str, Series] | DataFrame

summary

Parameters:

  • dataframe (DataFrame) –

    description

  • ma (int, default: 20 ) –

    description. Defaults to 20.

  • ma_mode (Literal['sma', 'ema', 'wma', 'dema', 'tema', 'trima', 'kama', 'mama', 't3'], default: 'ema' ) –

    description. Defaults to "ema".

  • atr (int, default: 20 ) –

    description. Defaults to 20.

  • shift (float, default: 1.6 ) –

    description. Defaults to 1.6.

  • prefix (str, default: 'kc_' ) –

    description. Defaults to "kc_".

  • inplace (bool, default: False ) –

    description. Defaults to False.

  • plot (bool | list[str], default: False ) –

    description. Defaults to False.

  • plot_upper_kwargs (dict | None, default: None ) –

    description. Defaults to None.

  • plot_basis_kwargs (dict | None, default: None ) –

    description. Defaults to None.

  • plot_lower_kwargs (dict | None, default: None ) –

    description. Defaults to None.

Example 
df.i.keltner_channel(ma=20, atr=20, shift=1.6, inplace=True, plot=True)

Raises:

Returns:

  • dict[str, Series] | DataFrame –

    dict[str, pd.Series] | pd.DataFrame: {kc_upper, kc_middle, kc_lower}

Source code in lettrade/indicator/volatility/keltner_channel.py 
 11
 12
 13
 14
 15
 16
 17
 18
 19
 20
 21
 22
 23
 24
 25
 26
 27
 28
 29
 30
 31
 32
 33
 34
 35
 36
 37
 38
 39
 40
 41
 42
 43
 44
 45
 46
 47
 48
 49
 50
 51
 52
 53
 54
 55
 56
 57
 58
 59
 60
 61
 62
 63
 64
 65
 66
 67
 68
 69
 70
 71
 72
 73
 74
 75
 76
 77
 78
 79
 80
 81
 82
 83
 84
 85
 86
 87
 88
 89
 90
 91
 92
 93
 94
 95
 96
 97
 98
 99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
def keltner_channel(
    dataframe: pd.DataFrame,
    ma: int = 20,
    ma_mode: Literal[
        "sma",
        "ema",
        "wma",
        "dema",
        "tema",
        "trima",
        "kama",
        "mama",
        "t3",
    ] = "ema",
    atr: int = 20,
    shift: float = 1.6,
    prefix: str = "kc_",
    inplace: bool = False,
    plot: bool | list[str] = False,
    plot_upper_kwargs: dict | None = None,
    plot_basis_kwargs: dict | None = None,
    plot_lower_kwargs: dict | None = None,
) -> dict[str, pd.Series] | pd.DataFrame:
    """_summary_

    Args:
        dataframe (pd.DataFrame): _description_
        ma (int, optional): _description_. Defaults to 20.
        ma_mode (Literal[ "sma", "ema", "wma", "dema", "tema", "trima", "kama", "mama", "t3", ], optional): _description_. Defaults to "ema".
        atr (int, optional): _description_. Defaults to 20.
        shift (float, optional): _description_. Defaults to 1.6.
        prefix (str, optional): _description_. Defaults to "kc_".
        inplace (bool, optional): _description_. Defaults to False.
        plot (bool | list[str], optional): _description_. Defaults to False.
        plot_upper_kwargs (dict | None, optional): _description_. Defaults to None.
        plot_basis_kwargs (dict | None, optional): _description_. Defaults to None.
        plot_lower_kwargs (dict | None, optional): _description_. Defaults to None.

    Example:
        ```python
        df.i.keltner_channel(ma=20, atr=20, shift=1.6, inplace=True, plot=True)
        ```

    Raises:
        RuntimeError: _description_

    Returns:
        dict[str, pd.Series] | pd.DataFrame: {kc_upper, kc_middle, kc_lower}
    """
    if __debug__:
        if not isinstance(dataframe, pd.DataFrame):
            raise RuntimeError(
                f"dataframe type '{type(dataframe)}' "
                "is not instance of pandas.DataFrame"
            )
        if plot and not inplace:
            raise RuntimeError("Cannot plot when inplace=False")

    ma_fn = talib_ma(ma_mode)
    i_basis = ma_fn(dataframe, timeperiod=ma)

    i_atr = ta.ATR(dataframe, timeperiod=atr)
    i_upper = i_basis + shift * i_atr
    i_lower = i_basis - shift * i_atr

    # Result is inplace or new dict
    result = dataframe if inplace else {}
    result[f"{prefix}upper"] = i_upper
    result[f"{prefix}basis"] = i_basis
    result[f"{prefix}lower"] = i_lower

    # Plot
    if plot:
        from lettrade.indicator.plot import IndicatorPlotter
        from lettrade.plot.plotly import plot_lines

        # Enable lines
        if isinstance(plot, list):
            # Upper
            if f"{prefix}upper" in plot:
                if plot_upper_kwargs is None:
                    plot_upper_kwargs = dict()
            else:
                plot_upper_kwargs = None

            # Basis
            if f"{prefix}basis" in plot:
                if plot_basis_kwargs is None:
                    plot_basis_kwargs = dict()
            else:
                plot_basis_kwargs = None

            # Lower
            if f"{prefix}lower" in plot:
                if plot_lower_kwargs is None:
                    plot_lower_kwargs = dict()
            else:
                plot_lower_kwargs = None

        else:
            if plot_upper_kwargs is None:
                plot_upper_kwargs = dict()
            if plot_basis_kwargs is None:
                plot_basis_kwargs = dict()
            if plot_lower_kwargs is None:
                plot_lower_kwargs = dict()

        #
        serieses = []
        plots_kwargs = []

        # Upper
        if plot_upper_kwargs is not None:
            plot_upper_kwargs.setdefault("name", f"{prefix}upper")
            plot_upper_kwargs.setdefault("color", PlotColor.CYAN)
            serieses.append(i_upper)
            plots_kwargs.append(plot_upper_kwargs)

        # Basis
        if plot_basis_kwargs is not None:
            plot_basis_kwargs.setdefault("name", f"{prefix}basis")
            plot_basis_kwargs.setdefault("color", PlotColor.AMBER)
            serieses.append(i_basis)
            plots_kwargs.append(plot_basis_kwargs)

        # Lower
        if plot_lower_kwargs is not None:
            plot_lower_kwargs.setdefault("name", f"{prefix}lower")
            plot_lower_kwargs.setdefault("color", PlotColor.PURPLE)
            serieses.append(i_lower)
            plots_kwargs.append(plot_lower_kwargs)

        IndicatorPlotter(
            serieses=serieses,
            dataframe=dataframe,
            plotter=plot_lines,
            name=prefix,
            plots_kwargs=plots_kwargs,
        )

    return result