Create HullMovingAverage.py

indicators/HullMovingAverage.py

@@ -0,0 +1,66 @@
+import numpy as np
+import pandas as pd
+
+def HullMovingAverage(dataframe, period=20, divisor=2.0):
+    df = dataframe.copy()
+    df["HMA"] = np.nan
+
+    full_period = max(int(period) if period > 1 else 1, 1)
+    half_period = max(int(full_period / divisor) if divisor > 1 else 1, 1)
+    sqrt_period = int(np.sqrt(full_period))
+    array_size = -1
+    weight1 = 1.0
+    weight2 = 1.0
+    weight3 = 1.0
+    value_col = df["close"]
+    hull_col = np.zeros(len(df))
+
+    for i in range(len(df)):
+        value = value_col.iloc[i]
+
+        if array_size < len(df):
+            array_size = len(df) + 500
+            array = np.zeros((array_size, 8))
+
+        m = array
+        m[i, 0] = value
+
+        if i > full_period:
+            m[i, 1] = m[i - 1, 1] + value * half_period - m[i - 1, 5]
+            m[i, 5] = m[i - 1, 5] + value - value_col.iloc[i - half_period]
+            m[i, 2] = m[i - 1, 2] + value * full_period - m[i - 1, 6]
+            m[i, 6] = m[i - 1, 6] + value - value_col.iloc[i - full_period]
+        else:
+            m[i, 1] = m[i, 2] = m[i, 5] = m[i, 6] = weight1 = weight2 = 0
+            w1 = half_period
+            w2 = full_period
+            for k in range(i, -1, -1):
+                if w1 > 0:
+                    m[i, 1] += value_col.iloc[k] * w1
+                    m[i, 5] += value_col.iloc[k]
+                    weight1 += w1
+                m[i, 2] += value_col.iloc[k] * w2
+                m[i, 6] += value_col.iloc[k]
+                weight2 += w2
+                if w1 > 0:
+                    w1 -= 1
+                w2 -= 1
+
+        m[i, 7] = 2.0 * m[i, 1] / weight1 - m[i, 2] / weight2
+
+        if i > sqrt_period:
+            m[i, 3] = m[i - 1, 3] + m[i, 7] * sqrt_period - m[i - 1, 7]
+            m[i, 7] = m[i - 1, 7] + m[i, 7] - m[i - sqrt_period, 7]
+        else:
+            m[i, 3] = m[i, 7] = weight3 = 0
+            w3 = sqrt_period
+            for k in range(i, -1, -1):
+                m[i, 3] += m[k, 7] * w3
+                m[i, 7] += m[k, 7]
+                weight3 += w3
+                w3 -= 1
+
+        hull_col[i] = m[i, 3] / weight3
+
+    df["HMA"] = hull_col
+    return df["HMA"]