Finance/technical_indicators/commodity_channel_index.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=365 * 3)
end = dt.date.today()

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

n = 20
df["TP"] = (df["High"] + df["Low"] + df["Adj Close"]) / 3
df["SMA_TP"] = df["TP"].rolling(n).mean()
df["SMA_STD"] = df["TP"].rolling(n).std()
df["CCI"] = (df["TP"] - df["SMA_TP"]) / (0.015 * df["SMA_STD"])
df = df.drop(["TP", "SMA_TP", "SMA_STD"], axis=1)

fig = plt.figure(figsize=(14, 7))
ax1 = plt.subplot(2, 1, 1)
ax1.plot(df["Adj Close"])
ax1.set_title("Stock " + symbol + " Closing Price")
ax1.set_ylabel("Price")

ax2 = plt.subplot(2, 1, 2)
ax2.plot(df["CCI"], label="Commodity Channel Index")
ax2.axhline(y=100, color="red")
ax2.axhline(y=-100, color="red")
ax2.axhline(y=200, color="darkblue")
ax2.axhline(y=-200, color="darkblue")
ax2.grid()
ax2.set_ylabel("CCI")
ax2.set_xlabel("Date")
plt.show()

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"] = mdates.date2num(dfc["Date"].tolist())
from mplfinance.original_flavor import candlestick_ohlc

fig = plt.figure(figsize=(14, 7))
ax1 = plt.subplot(2, 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(2, 1, 2)
ax2.plot(df["CCI"], label="Commodity Channel Index")
ax2.axhline(y=100, color="red")
ax2.axhline(y=-100, color="red")
ax2.axhline(y=200, color="darkblue")
ax2.axhline(y=-200, color="darkblue")
ax2.grid()
ax2.set_ylabel("CCI")
ax2.set_xlabel("Date")
plt.show()