Finance/technical_indicators/volume_price_confirmation_Indicator.py at main · catinthecode/Finance · GitHub

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# Import dependencies
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import yfinance as yf
import datetime as dt
yf.pdr_override()

# input
symbol = "AAPL"
start = dt.date.today() - dt.timedelta(days=180)
end = dt.date.today()

# Read data
df = yf.download(symbol, start, end)

short_term = 5
long_term = 20
vwma_lt = (
    (df["Adj Close"] * df["Volume"])
    + (df["Adj Close"].shift(1) * df["Volume"].shift(1))
    + (df["Adj Close"].shift(2) * df["Volume"].shift(2))
) / (df["Volume"].rolling(long_term).sum())

vwma_st = (
    (df["Adj Close"] * df["Volume"])
    + (df["Adj Close"].shift(1) * df["Volume"].shift(1))
    + (df["Adj Close"].shift(2) * df["Volume"].shift(2))
) / (df["Volume"].rolling(short_term).sum())

vpc = vwma_lt - df["Adj Close"].rolling(long_term).mean()
vpr = vwma_st / df["Adj Close"].rolling(short_term).mean()
vm = (
    df["Adj Close"].rolling(short_term).mean()
    / df["Adj Close"].rolling(long_term).mean()
)
vpci = vpc * vpr * vm
df["VPCI"] = vpci

fig = plt.figure(figsize=(14, 7))
ax1 = plt.subplot(2, 1, 1)
ax1.plot(df["Adj Close"])
ax1.grid(True, which="both")
# ax1.grid(which='minor', linestyle='-', linewidth='0.5', color='black')
# ax1.grid(which='major', linestyle='-', linewidth='0.5', color='red')
# ax1.minorticks_on()
ax1.legend(loc="best")
ax1.set_title("Stock " + symbol + " Closing Price")
ax1.set_ylabel("Price")

ax2 = plt.subplot(2, 1, 2)
ax2.plot(df["VPCI"], "-", label="Volume Price Confirmation Indicator")
# ax2.axhline(y=0,color='r')
ax2.set_xlabel("Date")
ax2.legend(loc="best")
plt.show()

# ## Candlestick with VPCI
from matplotlib import dates as mdates

dfc = df.copy()
dfc["VolumePositive"] = dfc["Open"] < dfc["Adj Close"]
# dfc = dfc.dropna()
dfc = dfc.reset_index()
dfc["Date"] = pd.to_datetime(dfc["Date"])
dfc["Date"] = dfc["Date"].apply(mdates.date2num)

from mplfinance.original_flavor import candlestick_ohlc

fig = plt.figure(figsize=(14, 7))
ax1 = plt.subplot(3, 1, 1)
candlestick_ohlc(ax1, dfc.values, width=0.5, colorup="g", colordown="r", alpha=1.0)
ax1.xaxis_date()
ax1.xaxis.set_major_formatter(mdates.DateFormatter("%d-%m-%Y"))
ax1.grid(True, which="both")
ax1.minorticks_on()
ax1v = ax1.twinx()
colors = dfc.VolumePositive.map({True: "g", False: "r"})
ax1v.bar(dfc.Date, dfc["Volume"], color=colors, alpha=0.4)
ax1v.axes.yaxis.set_ticklabels([])
ax1v.set_ylim(0, 3 * df.Volume.max())
ax1.set_title("Stock " + symbol + " Closing Price")
ax1.set_ylabel("Price")

ax2 = plt.subplot(3, 1, 2)
df["VolumePositive"] = df["Open"] < df["Adj Close"]
ax2.bar(
    df.index,
    df["Volume"],
    color=df.VolumePositive.map({True: "g", False: "r"}),
    label="macdhist",
)
ax2.grid()
ax2.set_ylabel("Volume")

ax3 = plt.subplot(3, 1, 3)
ax3.plot(df["VPCI"])
ax3.grid()
ax3.set_ylabel("Volume Price Confirmation Indicator")
ax3.set_xlabel("Date")
ax3.legend()
plt.show()