dv2 rewrite, literature addition and import

mementum · mementum · commit 38f9501835a7 · 2017-02-12T12:44:53.000+01:00
diff --git a/backtrader/indicators/__init__.py b/backtrader/indicators/__init__.py
@@ -55,7 +55,6 @@
 from .crossover import *
 from .dpo import *
 from .directionalmove import *
-from .dv2 import *
 from .envelope import *
 from .macd import *
 from .momentum import *
@@ -72,6 +71,8 @@
 from .williams import *
 
 
+from .dv2 import *  # depends on percentrank
+
 # Depends on Momentum
 from .kst import *
 
diff --git a/backtrader/indicators/dv2.py b/backtrader/indicators/dv2.py
@@ -21,21 +21,34 @@
 from __future__ import (absolute_import, division, print_function,
                         unicode_literals)
 
-from . import Indicator
+
+from . import Indicator, SMA, PercentRank
+
+
+__all__ = ['DV2']
 
 
 class DV2(Indicator):
     '''
     RSI(2) alternative
     Developed by David Varadi of http://cssanalytics.wordpress.com/
+
+    This seems to be the *Bounded* version.
+
+    See also:
+
+      - http://web.archive.org/web/20131216100741/http://quantingdutchman.wordpress.com/2010/08/06/dv2-indicator-for-amibroker/
+
     '''
-    params = (('rperiod', 252),)
+    params = (
+        ('period', 252),
+        ('maperiod', 2),
+        ('_movav', SMA),
+    )
     lines = ('dv2',)
 
     def __init__(self):
-        self.addminperiod(self.p.rperiod)
-        avg = (self.data.high + self.data.low) / 2
-        self.dvu = btind.SMA((self.data.close/avg), period=2)
-        self.lines.dv2 = btind.PctRank(self.dvu, period=self.p.rperiod) * 100
+        chl = self.data.close / ((self.data.high + self.data.low) / 2.0)
+        dvu = self.p._movav(chl, period=self.p.maperiod)
+        self.lines.dv2 = PercentRank(dvu, period=self.p.period) * 100
         super(DV2, self).__init__()
-
diff --git a/tests/test_ind_dv2.py b/tests/test_ind_dv2.py
@@ -0,0 +1,50 @@
+#!/usr/bin/env python
+# -*- coding: utf-8; py-indent-offset:4 -*-
+###############################################################################
+#
+# Copyright (C) 2015, 2016 Daniel Rodriguez
+#
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+#
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU General Public License for more details.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+#
+###############################################################################
+from __future__ import (absolute_import, division, print_function,
+                        unicode_literals)
+
+import testcommon
+
+import backtrader as bt
+import backtrader.indicators as btind
+
+chkdatas = 1
+chkvals = [
+    ['0.900000', '0.880000', '0.980000'],
+]
+
+chkmin = 50
+chkind = btind.DV2
+
+
+def test_run(main=False):
+    datas = [testcommon.getdata(i) for i in range(chkdatas)]
+    testcommon.runtest(datas,
+                       testcommon.TestStrategy,
+                       main=main,
+                       plot=main,
+                       chkind=chkind,
+                       chkmin=chkmin,
+                       chkvals=chkvals)
+
+
+if __name__ == '__main__':
+    test_run(main=True)
