Williams %R

README.md

@@ -30,8 +30,7 @@ Last but not least, `talipp` is a community project and therefore open to any su
 
 ### What's new in the recent versions
 
-- Normalized Average True Range indicator
-- Rogers-Satchell volatility indicator
+- Williams %R indicator
 - auto-sampling of input values
 
 For the full history of changes see [Release Notes](https://github.com/nardew/talipp/releases).
@@ -86,6 +85,7 @@ For the full history of changes see [Release Notes](https://github.com/nardew/ta
 - Ultimate Oscillator (UO)
 - Vortex Indicator (VTX)
 - Volume Weighted Average Price (VWAP)
+- Williams %R
 - ZigZag
 
 ### Installation

examples/binance_online.py

@@ -7,11 +7,10 @@
 from cryptoxlib.version_conversions import async_run
 
 from talipp.indicators import AccuDist, ADX, ALMA, AO, Aroon, ATR, BB, BOP, CCI, ChaikinOsc, ChandeKrollStop, CHOP, \
-    CoppockCurve, DEMA, DonchianChannels, DPO, EMA, EMV, ForceIndex, HMA, IBS, Ichimoku, \
-    KAMA, KeltnerChannels, KST, KVO, MACD, MassIndex, McGinleyDynamic, MeanDev, NATR, OBV, ROC, RogersSatchell, RSI, \
-    ParabolicSAR, \
-    SFX, SMA, SMMA, SOBV, STC, StdDev, \
-    Stoch, StochRSI, SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, WMA, ZigZag, ZLEMA
+    CoppockCurve, DEMA, DonchianChannels, DPO, EMA, EMV, ForceIndex, HMA, IBS, Ichimoku, KAMA, KeltnerChannels, KST, \
+    KVO, MACD, MassIndex, McGinleyDynamic, MeanDev, NATR, OBV, ROC, RogersSatchell, RSI, ParabolicSAR, SFX, SMA, SMMA, \
+    SOBV, STC, StdDev, Stoch, StochRSI, SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, Williams, WMA, \
+    ZigZag, ZLEMA
 from talipp.ohlcv import OHLCV
 
 
@@ -85,6 +84,7 @@ async def run():
     print(f'VTX: {VTX(14, ohlcv)[-1]}')
     print(f'VWAP: {VWAP(ohlcv)[-1]}')
     print(f'VWMA: {VWMA(20, ohlcv)[-1]}')
+    print(f'Williams: {Williams(14, ohlcv)[-5:]}')
     print(f'WMA: {WMA(9, close)[-1]}')
     print(f'ZigZag: {ZigZag(0.1, 4, ohlcv)[-15:]}')
     print(f'ZLEMA: {ZLEMA(14, close)[-1]}')

examples/indicators.py

@@ -3,7 +3,7 @@
 from talipp.indicators import AccuDist, ADX, ALMA, AO, Aroon, ATR, BB, BOP, CCI, ChaikinOsc, ChandeKrollStop, CHOP, \
     CoppockCurve, DEMA, DonchianChannels, DPO, EMA, EMV, ForceIndex, HMA, IBS, Ichimoku, KAMA, KeltnerChannels, KST, KVO, \
     MACD, MassIndex, MeanDev, NATR, OBV, ROC, RogersSatchell, RSI, ParabolicSAR, SFX, SMA, SMMA, SOBV, STC, StdDev, Stoch, StochRSI, \
-    SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, WMA, ZigZag, ZLEMA
+    SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, Williams, WMA, ZigZag, ZLEMA
 from talipp.ohlcv import OHLCVFactory
 
 if __name__ == "__main__":
@@ -71,6 +71,7 @@
     print(f'VTX: {VTX(14, ohlcv)[-1]}')
     print(f'VWAP: {VWAP(ohlcv)[-1]}')
     print(f'VWMA: {VWMA(20, ohlcv)[-1]}')
+    print(f'Williams: {Williams(9, ohlcv)[-1]}')
     print(f'WMA: {WMA(9, close)[-1]}')
     print(f'ZigZag: {ZigZag(0.1, 10, ohlcv)[-5:]}')
     print(f'ZLEMA: {ZLEMA(9, close)[-1]}')

talipp/indicators/Williams.py

@@ -0,0 +1,54 @@
+from typing import List, Any
+
+from talipp.indicator_util import has_valid_values
+from talipp.indicators.Indicator import Indicator, InputModifierType
+from talipp.input import SamplingPeriodType
+from talipp.ohlcv import OHLCV
+
+
+class Williams(Indicator):
+    """Williams %R.
+
+    Input type: [OHLCV][talipp.ohlcv.OHLCV]
+
+    Output type: `float`
+
+    Args:
+        period: Period.
+        input_values: List of input values.
+        input_indicator: Input indicator.
+        input_modifier: Input modifier.
+        input_sampling: Input sampling type.
+    """
+
+    def __init__(self, period: int,
+                 input_values: List[OHLCV] = None,
+                 input_indicator: Indicator = None,
+                 input_modifier: InputModifierType = None,
+                 input_sampling: SamplingPeriodType = None):
+        super().__init__(input_modifier=input_modifier,
+                         input_sampling=input_sampling)
+
+        self.period = period
+
+        self.initialize(input_values, input_indicator)
+
+    def _calculate_new_value(self) -> Any:
+        if not has_valid_values(self.input_values, self.period):
+            return None
+
+        input_period = self.input_values[-1 * self.period:]
+
+        highs = [value.high for value in input_period if value.high is not None]
+        lows = [value.low for value in input_period if value.low is not None]
+
+        max_high = max(highs)
+        min_low = min(lows)
+
+        if max_high == min_low:
+            if has_valid_values(self.output_values, 1):
+                return self.output_values[-1]
+            else:
+                return None
+
+        return -100.0 * (max_high - self.input_values[-1].close) / (max_high - min_low)

talipp/indicators/__init__.py

@@ -54,6 +54,7 @@
 from .VTX import VTX as VTX
 from .VWAP import VWAP as VWAP
 from .VWMA import VWMA as VWMA
+from .Williams import Williams as Williams
 from .WMA import WMA as WMA
 from .ZigZag import ZigZag as ZigZag
 from .ZLEMA import ZLEMA as ZLEMA
@@ -115,6 +116,7 @@
     "VTX",
     "VWAP",
     "VWMA",
+    "Williams",
     "WMA",
     "ZigZag",
     "ZLEMA"

test/test_Williams.py

@@ -0,0 +1,32 @@
+import unittest
+
+from talipp.indicators import Williams
+
+from TalippTest import TalippTest
+
+
+class Test(TalippTest):
+    def setUp(self) -> None:
+        self.input_values = list(TalippTest.OHLCV_TMPL)
+
+    def test_init(self):
+        ind = Williams(14, self.input_values)
+
+        print(ind)
+
+        self.assertAlmostEqual(ind[-3], -11.065573, places = 5)
+        self.assertAlmostEqual(ind[-2], -25.819672, places = 5)
+        self.assertAlmostEqual(ind[-1], -35.245901, places = 5)
+
+    def test_update(self):
+        self.assertIndicatorUpdate(Williams(14, self.input_values))
+
+    def test_delete(self):
+        self.assertIndicatorDelete(Williams(14, self.input_values))
+
+    def test_purge_oldest(self):
+        self.assertIndicatorPurgeOldest(Williams(143, self.input_values))
+
+
+if __name__ == '__main__':
+    unittest.main()