SO CLOSE BUT NOT WORKING

by: smoothgroove, 9 years ago

Last edited: 9 years ago

I believed i followed this Tutorial(Python: Average Directional Index (ADX) 4 Directional Movement System Calculation ) to the T!

but for some reason its not working

I used python 3.5 and python 2.7

the script does run

but PositiveDI prints out lots of zeros at the start:

[0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 4.6796655606859465, 4.8608501180864572, 5.0519981599119905, 5.253722178459804, 7.0995004362784035, 7.8134114348782102, 10.296702479575808, 11.613858259904966, 12.82297816588799, 13.224465770390136, 14.461149517903598, 15.186392394378423, 19.108133997681321, 22.153480492590248]


and NegativeDI look like decimal is in the wrong spot:

[1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1264.8232132711423, 1223.6609270295814, 1208.7821969325728, 1254.2085665117302, 1253.7048780528603, 1214.0470233080562, 1132.5904568797594, 1143.1243818789487, 1140.629041056726, 1109.6539352340444, 1066.0227381931079, 1061.5067266307467, 985.99843045027797, 1022.5674381891432, 968.88574746730922, 1014.9504689732723, 1002.9924537518942, 949.55537150363546, 982.8651616570919, 948.46675135171756, 1019.7163581082577, 972.52097918355264, 948.44682741439999, 944.29645455659545, 925.05202603545274, 947.66146625923011, 1027.3183737578063, 1066.0043723586368, 1060.547027618491, 1012.8872331646032, 953.50112731110016, 1023.5865717715576, 970.1237502366215, 977.28046546252813, 977.74264872732169, 960.69145003727544, 914.9756975534782, 875.69082954627186, 907.46106232797285, 838.11177576148555, 811.26155252903163, 750.91049971936798, 711.64667388492114, 737.51809727184957, 761.83090030595167, 732.14427888509044, 745.9122888915557, 697.61367088721488, 673.37325742915414, 656.6453212145143, 655.70432866198007, 655.79381899149359, 681.34886692518228, 685.13447904896054, 656.21867780970558, 631.55179654555081, 604.11732804314624, 567.54488834389747, 569.12042579506897, 538.60692734154964, 507.88155266323605, 505.4974388356033, 487.87999303205635, 444.53081621096374, 415.37652348430487, 381.69908802673206, 390.42671297124161, 367.24599437972228, 336.70001248193847, 308.27719216468154, 296.26538560751681, 276.50563145939049, 260.72491197017303, 245.94580912605534, 249.38937796064593, 247.5134790706712, 229.49285040474211, 218.70496852544804, 209.2571118302285, 204.80634237244681, 192.09008963183106, 171.7285065741018, 173.01485148871313, 160.65839200091946, 143.48544875513849, 133.16840332150778, 114.18343265996521, 104.61739573128254, 83.650024158729224, 56.364704630521565, 45.296811684013619]

ADX looks interesting:

[100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
100.         100.         100.         100.         100.         100.         100.
  99.82692439  99.62552835  99.39669673  99.12851026  98.73083228
  98.27236692  97.63661555  96.8289974   95.84978245  94.66039176
  93.23011239  91.41935955  88.64154788  85.01982084]



I began to start plotting the graph but I'm scared to death of the out come!

who ever can help, I owe my life too! lol

from smoothgroove

code:

import numpy as np



sampleData = open ('sampleData.txt','r').read()
splitData = sampleData.split('n')

date,closep,highp,lowp,openp,volume = np.loadtxt(splitData,
                                                 delimiter=',',
                                                 unpack=True)



def TR(d,c,h,l,o,yc):
    x = h-l
    y = abs(h-yc)
    z = abs(l-yc)


    if y <= x >= z:
        TR = x
    elif x <= y >= z:
        TR = y
    elif x <= z >= y:
        TR = z
    return d, TR



def DM(d,o,h,l,c,yo,yh,yl,yc):
    moveUp = h-yh
    moveDown = yl-l

    if 0 < moveUp > moveDown:
        PDM = moveUp
    else:
        PDM = 0

    if 0 < moveDown > moveUp:
        NDM = moveDown
    else:
        NDM = 0
    return d,PDM,NDM


def ExpMovingAverage(values, window):
    weights = np.exp(np.linspace(-1., 0., window))
    weights /= weights.sum()
    a =  np.convolve(values, weights, mode='full')[:len(values)]
    a[:window] = a[window]
    return a



def calcDIs():
    x = 1
    TRDates = []
    TrueRanges = []
    PosDMs = []
    NegDMs = []

    while x < len(date):
        TRDate,TrueRange = TR(date[x],closep[x],highp[x],lowp[x],openp[x],closep[x-1])
        TRDates.append(TRDate)
        TrueRanges.append(TrueRange)

        DMdate,PosDM,NegDM = DM(date[x],openp[x],highp[x],lowp[x],closep[x],openp[x-1],highp[x-1],lowp[-1],closep[x-1])
        PosDMs.append(PosDM)
        NegDMs.append(NegDM)

        x +=1

    print  len(PosDMs)


    expPosDM = ExpMovingAverage(PosDMs,14)
    expNegDM = ExpMovingAverage(NegDMs,14)
    ATR = ExpMovingAverage(TrueRanges,14)


    xx = 0
    PDIs = []
    NDIs = []


    while xx < len(ATR):
        PDI = 100*(expPosDM[xx]/ATR[xx])
        PDIs.append(PDI)


        NDI = 100*(expNegDM[xx]/ATR[xx])
        NDIs.append(NDI)

        xx +=1


    return PDIs,NDIs




def ADX():
    PositiveDI,NegativeDI = calcDIs()


    print  len(PositiveDI)
    print  len(NegativeDI)
    print  len(date[1:])

    xxx = 0
    DXs =[]

    while xxx < len(date[1:]):
        DX = 100*( (abs(PositiveDI[xxx]-NegativeDI[xxx])
                    /(PositiveDI[xxx]+NegativeDI[xxx])))


        DXs.append(DX)

        xxx += 1

    print  len(DXs)
    ADX = ExpMovingAverage(DXs,14)

    print  len(ADX)
    print  len(date[1:])

    print PositiveDI
    print NegativeDI
    print ADX

ADX()










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Try comparing your code to mine:

'''
This code is copyright Harrison Kinsley.

The open-source code is released under a BSD license:

Copyright (c) 2013, Harrison Kinsley
All rights reserved.

Redistribution and use in source and binary forms, with or without
modification, are permitted provided that the following conditions are met:
    * Redistributions of source code must retain the above copyright
      notice, this list of conditions and the following disclaimer.
    * Redistributions in binary form must reproduce the above copyright
      notice, this list of conditions and the following disclaimer in the
      documentation and/or other materials provided with the distribution.
    * Neither the name of the <organization> nor the
      names of its contributors may be used to endorse or promote products
      derived from this software without specific prior written permission.

THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
DISCLAIMED. IN NO EVENT SHALL <COPYRIGHT HOLDER> BE LIABLE FOR ANY
DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND
ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.


'''


import urllib2
import time
import datetime
import numpy as np
import matplotlib.pyplot as plt
import matplotlib.ticker as mticker
import matplotlib.dates as mdates
from matplotlib.finance import candlestick_ohlc
import matplotlib
import pylab
matplotlib.rcParams.update({'font.size': 9})



def rsiFunc(prices, n=14):
    deltas = np.diff(prices)
    seed = deltas[:n+1]
    up = seed[seed>=0].sum()/n
    down = -seed[seed<0].sum()/n
    rs = up/down
    rsi = np.zeros_like(prices)
    rsi[:n] = 100. - 100./(1.+rs)

    for i in range(n, len(prices)):
        delta = deltas[i-1] # cause the diff is 1 shorter

        if delta>0:
            upval = delta
            downval = 0.
        else:
            upval = 0.
            downval = -delta

        up = (up*(n-1) + upval)/n
        down = (down*(n-1) + downval)/n

        rs = up/down
        rsi[i] = 100. - 100./(1.+rs)

    return rsi

def movingaverage(values,window):
    weigths = np.repeat(1.0, window)/window
    smas = np.convolve(values, weigths, 'valid')
    return smas # as a numpy array

def ExpMovingAverage(values, window):
    weights = np.exp(np.linspace(-1., 0., window))
    weights /= weights.sum()
    a =  np.convolve(values, weights, mode='full')[:len(values)]
    a[:window] = a[window]
    return a


def computeMACD(x, slow=26, fast=12):
    emaslow = ExpMovingAverage(x, slow)
    emafast = ExpMovingAverage(x, fast)
    return emaslow, emafast, emafast - emaslow


def graphData(stock,MA1,MA2):

    '''
        Use this to dynamically pull a stock:
    '''
    try:
        print 'Currently Pulling',stock
        print str(datetime.datetime.fromtimestamp(int(time.time())).strftime('%Y-%m-%d %H:%M:%S'))
        #Keep in mind this is close high low open, lol.
        urlToVisit = 'http://chartapi.finance.yahoo.com/instrument/1.0/'+stock+'/chartdata;type=quote;range=10y/csv'
        stockFile =[]
        try:
            sourceCode = urllib2.urlopen(urlToVisit).read()
            splitSource = sourceCode.split('n')
            for eachLine in splitSource:
                splitLine = eachLine.split(',')
                if len(splitLine)==6:
                    if 'values' not in eachLine:
                        stockFile.append(eachLine)
        except Exception, e:
            print str(e), 'failed to organize pulled data.'
    except Exception,e:
        print str(e), 'failed to pull pricing data'

    try:  
        date, closep, highp, lowp, openp, volume = np.loadtxt(stockFile,delimiter=',', unpack=True,
                                                              converters={ 0: mdates.strpdate2num('%Y%m%d')})
        x = 0
        y = len(date)
        newAr = []
        while x < y:
            appendLine = date[x],openp[x],closep[x],highp[x],lowp[x],volume[x]
            newAr.append(appendLine)
            x+=1
            
        Av1 = movingaverage(closep, MA1)
        Av2 = movingaverage(closep, MA2)

        SP = len(date[MA2-1:])
            
        fig = plt.figure(facecolor='#07000d')

        ax1 = plt.subplot2grid((6,4), (1,0), rowspan=4, colspan=4, axisbg='#07000d')
        candlestick_ohlc(ax1, newAr[-SP:], width=.6, colorup='#53c156', colordown='#ff1717')

        Label1 = str(MA1)+' SMA'
        Label2 = str(MA2)+' SMA'

        ax1.plot(date[-SP:],Av1[-SP:],'#e1edf9',label=Label1, linewidth=1.5)
        ax1.plot(date[-SP:],Av2[-SP:],'#4ee6fd',label=Label2, linewidth=1.5)
        
        ax1.grid(True, color='w')
        ax1.xaxis.set_major_locator(mticker.MaxNLocator(10))
        ax1.xaxis.set_major_formatter(mdates.DateFormatter('%Y-%m-%d'))
        ax1.yaxis.label.set_color("w")
        ax1.spines['bottom'].set_color("#5998ff")
        ax1.spines['top'].set_color("#5998ff")
        ax1.spines['left'].set_color("#5998ff")
        ax1.spines['right'].set_color("#5998ff")
        ax1.tick_params(axis='y', colors='w')
        plt.gca().yaxis.set_major_locator(mticker.MaxNLocator(prune='upper'))
        ax1.tick_params(axis='x', colors='w')
        plt.ylabel('Stock price and Volume')

        maLeg = plt.legend(loc=9, ncol=2, prop={'size':7},
                   fancybox=True, borderaxespad=0.)
        maLeg.get_frame().set_alpha(0.4)
        textEd = pylab.gca().get_legend().get_texts()
        pylab.setp(textEd[0:5], color = 'w')

        volumeMin = 0
        
        ax0 = plt.subplot2grid((6,4), (0,0), sharex=ax1, rowspan=1, colspan=4, axisbg='#07000d')
        rsi = rsiFunc(closep)
        rsiCol = '#c1f9f7'
        posCol = '#386d13'
        negCol = '#8f2020'
        
        ax0.plot(date[-SP:], rsi[-SP:], rsiCol, linewidth=1.5)
        ax0.axhline(70, color=negCol)
        ax0.axhline(30, color=posCol)
        ax0.fill_between(date[-SP:], rsi[-SP:], 70, where=(rsi[-SP:]>=70), facecolor=negCol, edgecolor=negCol, alpha=0.5)
        ax0.fill_between(date[-SP:], rsi[-SP:], 30, where=(rsi[-SP:]<=30), facecolor=posCol, edgecolor=posCol, alpha=0.5)
        ax0.set_yticks([30,70])
        ax0.yaxis.label.set_color("w")
        ax0.spines['bottom'].set_color("#5998ff")
        ax0.spines['top'].set_color("#5998ff")
        ax0.spines['left'].set_color("#5998ff")
        ax0.spines['right'].set_color("#5998ff")
        ax0.tick_params(axis='y', colors='w')
        ax0.tick_params(axis='x', colors='w')
        plt.ylabel('RSI')

        ax1v = ax1.twinx()
        ax1v.fill_between(date[-SP:],volumeMin, volume[-SP:], facecolor='#00ffe8', alpha=.4)
        ax1v.axes.yaxis.set_ticklabels([])
        ax1v.grid(False)
        ax1v.set_ylim(0, 3*volume.max())
        ax1v.spines['bottom'].set_color("#5998ff")
        ax1v.spines['top'].set_color("#5998ff")
        ax1v.spines['left'].set_color("#5998ff")
        ax1v.spines['right'].set_color("#5998ff")
        ax1v.tick_params(axis='x', colors='w')
        ax1v.tick_params(axis='y', colors='w')

        
        ax2 = plt.subplot2grid((6,4), (5,0), sharex=ax1, rowspan=1, colspan=4, axisbg='#07000d')

        

        # START NEW INDICATOR CODE #

        def TR(d,c,h,l,o,yc):
            x = h-l
            y = abs(h-yc)
            z = abs(l-yc)
            
            if y <= x >= z:
                TR = x
            elif x <= y >= z:
                TR = y
            elif x <= z >= y:
                TR = z
            return d, TR


        def DM(d,o,h,l,c,yo,yh,yl,yc):
            moveUp = h-yh
            moveDown = yl-l

            if 0 < moveUp > moveDown:
                PDM = moveUp
            else:
                PDM = 0

            if 0 < moveDown > moveUp:
                NDM = moveDown
            else:
                NDM = 0

            return d,PDM,NDM


        def calcDIs():
            x = 1
            TRDates = []
            TrueRanges = []
            PosDMs = []
            NegDMs = []

            while x < len(date):
                TRDate, TrueRange = TR(date[x],closep[x],highp[x],lowp[x],openp[x],closep[x-1])
                TRDates.append(TRDate)
                TrueRanges.append(TrueRange)


                #DM(d,o,h,l,c,yo,yh,yl,yc)
                DMdate,PosDM,NegDM = DM(date[x],openp[x],highp[x],lowp[x],closep[x],openp[x-1],highp[x-1],lowp[x-1],closep[x-1])
                PosDMs.append(PosDM)
                NegDMs.append(NegDM)

                x+=1

            print len(PosDMs)

            expPosDM = ExpMovingAverage(PosDMs,14)
            expNegDM = ExpMovingAverage(NegDMs,14)
            ATR = ExpMovingAverage(TrueRanges,14)

            xx = 0
            PDIs = []
            NDIs = []

            while xx < len(ATR):
                PDI = 100*(expPosDM[xx]/ATR[xx])
                PDIs.append(PDI)

                NDI = 100*(expNegDM[xx]/ATR[xx])
                NDIs.append(NDI)

                xx += 1

            return PDIs,NDIs


        def ADX():
            PositiveDI,NegativeDI = calcDIs()

            print len(PositiveDI)
            print len(NegativeDI)
            print len(date[1:])

            xxx = 0
            DXs = []

            while xxx < len(date[1:]):
                DX = 100*( (abs(PositiveDI[xxx]-NegativeDI[xxx])
                            /(PositiveDI[xxx]+NegativeDI[xxx])))


                DXs.append(DX)
                xxx += 1

            print len(DXs)
            ADX = ExpMovingAverage(DXs,14)

            print len(ADX)
            print len(date[1:])

            print PositiveDI
            print NegativeDI
            print ADX

            plotDate = date[1:]

            try:
                ax2.plot(plotDate[-SP:],ADX[-SP:],'w')
                ax2.plot(plotDate[-SP:],PositiveDI[-SP:],'g')
                ax2.plot(plotDate[-SP:],NegativeDI[-SP:],'r')
                plt.ylabel('ADX(14)',color='w')

            except Exception, e:
                print str(e)

        ADX()
        

        

        # END NEW INDICATOR CODE #

        

        
        plt.gca().yaxis.set_major_locator(mticker.MaxNLocator(prune='upper'))
        ax2.spines['bottom'].set_color("#5998ff")
        ax2.spines['top'].set_color("#5998ff")
        ax2.spines['left'].set_color("#5998ff")
        ax2.spines['right'].set_color("#5998ff")
        ax2.tick_params(axis='x', colors='w')
        ax2.tick_params(axis='y', colors='w')
        ax2.yaxis.set_major_locator(mticker.MaxNLocator(nbins=5, prune='upper'))




        
        for label in ax2.xaxis.get_ticklabels():
            label.set_rotation(45)

        plt.suptitle(stock.upper(),color='w')

        plt.setp(ax0.get_xticklabels(), visible=False)

        plt.setp(ax1.get_xticklabels(), visible=False)
        
        '''ax1.annotate('Big news!',(date[510],Av1[510]),
            xytext=(0.8, 0.9), textcoords='axes fraction',
            arrowprops=dict(facecolor='white', shrink=0.05),
            fontsize=14, color = 'w',
            horizontalalignment='right', verticalalignment='bottom')'''

        plt.subplots_adjust(left=.09, bottom=.14, right=.94, top=.95, wspace=.20, hspace=0)
        plt.show()
        fig.savefig('example.png',facecolor=fig.get_facecolor())
          
    except Exception,e:
        print 'main loop',str(e)

while True:
    stock = raw_input('Stock to plot: ')
    graphData(stock,10,50)


-Harrison 9 years ago

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Does the ADX function works? I tried the function for some of the stocks, however results were not matching with the investing.com chart indicator.

-sanjeevkumar.093 5 years ago

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