Add indicator(mementum#18)

btalib/indicators/__init__.py

@@ -65,6 +65,7 @@
 
 # Volatility
 from .atr import *  # noqa: F401 F403
+from .donchian import *
 
 # Momentum
 from .aroon import *  # noqa: F401 F403

btalib/indicators/donchian.py

@@ -0,0 +1,40 @@
+#!/usr/bin/env python
+# -*- coding: utf-8; py-indent-offset:4 -*-
+###############################################################################
+# Use of this source code is governed by the MIT License
+###############################################################################
+from . import Indicator
+
+
+class donchian(Indicator):
+    '''
+    The Donchian channel is an indicator used in market trading developed by Richard Donchian. 
+
+    It is formed by taking the highest high and the lowest low of the last n periods. The area between the high and the low is the channel for the period chosen. 
+
+    Formula: 
+      - top = max(high)
+      - bottom = min(low)
+      - mid = bottom + (top - bottom)/2
+
+    See: 
+      - https://en.wikipedia.org/wiki/Donchian_channel
+    '''
+
+    group = 'volatility'
+
+    inputs = ('high', 'low',)
+
+    alias = 'DONCHIAN', 'DonchianChannel', 'DONCHIANCHANNEL'
+
+    outputs = 'top', 'bot', 'mid'
+
+    params = (
+            ('period', 20, 'Period to consider'),
+            )
+
+    def __init__(self):
+
+        self.o.top = top = self.i.high.rolling(window=self.p.period).max()
+        self.o.bot = bot = self.i.low.rolling(window=self.p.period).min()
+        self.o.mid = bot + (top - bot)/2