Donchian Channels
get_donchian(quotes, lookback_periods=20)
Parameters
name | type | notes |
---|---|---|
quotes |
Iterable[Quote] | Iterable(such as list or an object having __iter__() ) of the Quote class or its sub-class. • Need help with pandas.DataFrame? |
lookback_periods |
int, default 20 | Number of periods (N ) for lookback period. Must be greater than 0 to calculate; however we suggest a larger value for an appropriate sample size. |
Historical quotes requirements
You must have at least N+1
periods of quotes
to cover the warmup periods.
quotes
is an Iterable[Quote]
collection of historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.
Return
DonchianResults[DonchianResult]
- This method returns a time series of all available indicator values for the
quotes
provided. -
DonchianResults
is just a list ofDonchianResult
. - It always returns the same number of elements as there are in the historical quotes.
- It does not return a single incremental indicator value.
- The first
N
periods will haveNone
values since there’s not enough data to calculate.
DonchianResult
name | type | notes |
---|---|---|
date |
datetime | Date |
upper_band |
Decimal, Optional | Upper line is the highest High over N periods |
center_line |
Decimal, Optional | Simple average of Upper and Lower bands |
lower_band |
Decimal, Optional | Lower line is the lowest Low over N periods |
width |
Decimal, Optional | Width as percent of Centerline price. (upper_band-lower_band)/center_line
|
Utilities
See Utilities and Helpers for more information.
Example
from stock_indicators import indicators
# This method is NOT a part of the library.
quotes = get_history_from_feed("SPY")
# calculate Donchian(20)
results = indicators.get_donchian(quotes, 20)
About Donchian Channels
Created by Richard Donchian, Donchian Channels, also called Price Channels, are derived from highest High and lowest Low values over a lookback window.
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