[GH-154] Add Elder-Ray Index (#155)

The Elder-Ray Index contains the bull and the bear power.
Both are calculated based on the EMA of the close price.

The default window is 13.

Formular:
* Bulls Power = High - EMA
* Bears Power = Low - EMA
* EMA is exponential moving average of close of N periods

Examples:
* `df['eribull']` retrieves the 13 periods bull power
* `df['eribear']` retrieves the 13 periods bear power
* `df['eribull_5']` retrieves the 5 periods bull power
* `df['eribear_5']` retrieves the 5 periods bear power

README.md

@@ -66,6 +66,7 @@ Supported statistics/indicators are:
 * Ichimoku: Ichimoku Cloud
 * CTI: Correlation Trend Indicator
 * LRMA: Linear Regression Moving Average
+* ERI: Elder-Ray Index
 
 ## Installation
 
@@ -670,6 +671,23 @@ Examples:
 * `df['mfi']` retrieves the 14 periods MFI
 * `df['mfi_6']` retrieves the 6 periods MFI
 
+#### [ERI - Elder-Ray Index](https://admiralmarkets.com/education/articles/forex-indicators/bears-and-bulls-power-indicator)
+
+The Elder-Ray Index contains the bull and the bear power.
+Both are calculated based on the EMA of the close price.
+
+The default window is 13.
+
+Formular:
+* Bulls Power = High - EMA
+* Bears Power = Low - EMA
+* EMA is exponential moving average of close of N periods
+
+Examples:
+* `df['eribull']` retrieves the 13 periods bull power
+* `df['eribear']` retrieves the 13 periods bear power
+* `df['eribull_5']` retrieves the 5 periods bull power
+* `df['eribear_5']` retrieves the 5 periods bear power
 
 #### [KER - Kaufman's efficiency ratio](https://strategyquant.com/codebase/kaufmans-efficiency-ratio-ker/)
 

stockstats.py

@@ -120,6 +120,8 @@ class StockDataFrame(pd.DataFrame):
 
     CTI = 12
 
+    ERI = 13
+
     MULTI_SPLIT_INDICATORS = ("kama",)
 
     # End of options
@@ -1040,12 +1042,12 @@ def _get_roc(self, column, window):
         self[column_name] = self.roc(self[column], window)
 
     @staticmethod
-    def ema(series, window):
+    def ema(series, window, *, adjust=True):
         return series.ewm(
             ignore_na=False,
             span=window,
-            min_periods=0,
-            adjust=True).mean()
+            min_periods=1,
+            adjust=adjust).mean()
 
     @staticmethod
     def _rolling(series, window):
@@ -1210,6 +1212,39 @@ def _get_ppo(self):
         self['ppos'] = self.ema(self['ppo'], self.PPO_EMA_SIGNAL)
         self['ppoh'] = self['ppo'] - self['ppos']
 
+    def _get_eribull(self, windows=None):
+        return self._get_eri(windows)
+
+    def _get_eribear(self, windows=None):
+        return self._get_eri(windows)
+
+    def _get_eri(self, windows=None):
+        """ The bull line of Elder-Ray Index
+
+        The Elder-Ray Index contains the bull and the bear power.
+        Both are calculated based on the EMA of the close price.
+
+        The default window is 13.
+
+        https://admiralmarkets.com/education/articles/forex-indicators/bears-and-bulls-power-indicator
+
+        Formular:
+        * Bulls Power = High - EMA
+        * Bears Power = Low - EMA
+        * EMA is exponential moving average of close of N periods
+        """
+        if windows is None:
+            window = self.ERI
+            bull_name = 'eribull'
+            bear_name = 'eribear'
+        else:
+            window = self.get_int_positive(windows)
+            bull_name = 'eribull_{}'.format(window)
+            bear_name = 'eribear_{}'.format(window)
+        ema = self.ema(self['close'], window, adjust=False)
+        self[bull_name] = self['high'] - ema
+        self[bear_name] = self['low'] - ema
+
     def _get_coppock(self, windows=None):
         """ Get Coppock Curve
 
@@ -1714,6 +1749,7 @@ def handler(self):
             ('ichimoku',): self._get_ichimoku,
             ('cti',): self._get_cti,
             ('ker',): self._get_ker,
+            ('eribull', 'eribear'): self._get_eri,
         }
 
     def __init_not_exist_column(self, key):

test.py

@@ -309,6 +309,27 @@ def test_ppo(self):
         assert_that(stock['ppos'].loc[20110331], near_to(0.6840))
         assert_that(stock['ppoh'].loc[20110331], near_to(0.4349))
 
+    def test_eri(self):
+        stock = self.get_stock_90days()
+        bull = stock['eribull']
+        bear = stock['eribear']
+        assert_that(bull[20110104], near_to(0.070))
+        assert_that(bear[20110104], near_to(-0.309))
+        assert_that(bull[20110222], near_to(0.099))
+        assert_that(bear[20110222], near_to(-0.290))
+
+        bull = stock['eribull_13']
+        bear = stock['eribear_13']
+        assert_that(bull[20110104], near_to(0.070))
+        assert_that(bear[20110104], near_to(-0.309))
+        assert_that(bull[20110222], near_to(0.099))
+        assert_that(bear[20110222], near_to(-0.290))
+
+        bull = stock['eribull_10']
+        bear = stock['eribear_10']
+        assert_that(bull[20110222], near_to(0.092))
+        assert_that(bear[20110222], near_to(-0.297))
+
     def test_column_mstd(self):
         stock = self.get_stock_20days()
         mstd_3 = stock['close_3_mstd']