[GH-160] Add Relative Vigor Index (#161)

The Relative Vigor Index (RVI) is a momentum indicator
used in technical analysis that measures the strength
of a trend by comparing a security's closing price to
its trading range while smoothing the results using a
simple moving average (SMA).

https://www.investopedia.com/terms/r/relative_vigor_index.asp

Formular

* NUMERATOR= (a+(2×b)+(2×c)+d) / 6
* DENOMINATOR= (e+(2×f)+(2×g)+h) / 6
* RVI= SMA-N of DENOMINATOR / SMA-N of NUMERATOR
* Signal Line = (RVI+(2×i)+(2×j)+k) / 6

where:

* a=Close−Open
* b=Close−Open One Bar Prior to a
* c=Close−Open One Bar Prior to b
* d=Close−Open One Bar Prior to c
* e=High−Low of Bar a
* f=High−Low of Bar b
* g=High−Low of Bar c
* h=High−Low of Bar d
* i=RVI Value One Bar Prior
* j=RVI Value One Bar Prior to i
* k=RVI Value One Bar Prior to j
* N=Minutes/Hours/Days/Weeks/Months

Examples:
* `df['rvgi']` retrieves the RVGI line of window 14
* `df['rvgis']` retrieves the RVGI signal line of window 14
* `df['rvgi_5']` retrieves the RVGI line of window 5
* `df['rvgis_5']` retrieves the RVGI signal line of window 5

README.md

@@ -66,6 +66,7 @@ Supported statistics/indicators are:
 * LRMA: Linear Regression Moving Average
 * ERI: Elder-Ray Index
 * FTR: the Gaussian Fisher Transform Price Reversals indicator
+* RVGI: Relative Vigor Index
 
 ## Installation
 
@@ -923,6 +924,42 @@ Examples:
 * `df['ftr']` returns the FTR with window 9
 * `df['ftr_20']` returns the FTR with window 20
 
+#### [Relative Vigor Index (RVGI)](https://www.investopedia.com/terms/r/relative_vigor_index.asp)
+
+The Relative Vigor Index (RVI) is a momentum indicator
+used in technical analysis that measures the strength
+of a trend by comparing a security's closing price to
+its trading range while smoothing the results using a
+simple moving average (SMA).
+
+Formular
+
+* NUMERATOR= (a+(2×b)+(2×c)+d) / 6
+* DENOMINATOR= (e+(2×f)+(2×g)+h) / 6
+* RVI= SMA-N of DENOMINATOR / SMA-N of NUMERATOR
+* Signal Line = (RVI+(2×i)+(2×j)+k) / 6
+
+where:
+
+* a=Close−Open
+* b=Close−Open One Bar Prior to a
+* c=Close−Open One Bar Prior to b
+* d=Close−Open One Bar Prior to c
+* e=High−Low of Bar a
+* f=High−Low of Bar b
+* g=High−Low of Bar c
+* h=High−Low of Bar d
+* i=RVI Value One Bar Prior
+* j=RVI Value One Bar Prior to i
+* k=RVI Value One Bar Prior to j
+* N=Minutes/Hours/Days/Weeks/Months
+
+Examples:
+* `df['rvgi']` retrieves the RVGI line of window 14
+* `df['rvgis']` retrieves the RVGI signal line of window 14
+* `df['rvgi_5']` retrieves the RVGI line of window 5
+* `df['rvgis_5']` retrieves the RVGI signal line of window 5
+
 ## Issues
 
 We use [Github Issues](https://github.com/jealous/stockstats/issues) to track

stockstats.py

@@ -73,6 +73,7 @@ class StockStatsError(Exception):
     'ppo': (12, 26, 9),  # short, long, signal
     'rsi': 14,
     'rsv': 9,
+    'rvgi': 14,
     'stochrsi': 14,
     'supertrend': 14,
     'tema': 5,
@@ -198,6 +199,10 @@ def name(self):
             return f'{self._name}_{self._windows}'
         return f'{self.column}_{self.windows}_{self._name}'
 
+    def set_name(self, name: str):
+        self._name = name
+        return self
+
     def name_ex(self, ex):
         ret = f'{self._name}{ex}'
         if self._windows is None:
@@ -1429,7 +1434,7 @@ def _get_kama(self, meta: _Meta):
             last_kama = cur
         self[meta.name] = kama
 
-    def _ftr(self, window: int):
+    def _ftr(self, window: int) -> pd.Series:
         mp = (self.high + self.low) * 0.5
         highest = mp.rolling(window).max()
         lowest = mp.rolling(window).min()
@@ -1470,6 +1475,65 @@ def _get_ftr(self, meta: _Meta):
         """
         self[meta.name] = self._ftr(meta.int)
 
+    @staticmethod
+    def sym_wma4(series: pd.Series) -> pd.Series:
+        arr = np.array([1, 2, 2, 1])
+        weights = arr / sum(arr)
+        rolled = series.rolling(arr.size)
+        ret = rolled.apply(lambda x: np.dot(x, weights), raw=True)
+        ret.iloc[:arr.size - 1] = 0.0
+        return ret
+
+    def _rvgi(self, window: int) -> pd.Series:
+        """ Relative Vigor Index (RVGI)
+
+        The Relative Vigor Index (RVI) is a momentum indicator
+        used in technical analysis that measures the strength
+        of a trend by comparing a security's closing price to
+        its trading range while smoothing the results using a
+        simple moving average (SMA).
+
+        https://www.investopedia.com/terms/r/relative_vigor_index.asp
+
+        Formular
+        * NUMERATOR= (a+(2×b)+(2×c)+d) / 6
+        * DENOMINATOR= (e+(2×f)+(2×g)+h) / 6
+        * RVI= SMA-N of DENOMINATOR / SMA-N of NUMERATOR
+        * Signal Line = (RVI+(2×i)+(2×j)+k) / 6
+
+        where:
+        * a=Close−Open
+        * b=Close−Open One Bar Prior to a
+        * c=Close−Open One Bar Prior to b
+        * d=Close−Open One Bar Prior to c
+        * e=High−Low of Bar a
+        * f=High−Low of Bar b
+        * g=High−Low of Bar c
+        * h=High−Low of Bar d
+        * i=RVI Value One Bar Prior
+        * j=RVI Value One Bar Prior to i
+        * k=RVI Value One Bar Prior to j
+        * N=Minutes/Hours/Days/Weeks/Months
+        """
+        co = self.close - self.open
+        hl = self.high - self.low
+
+        nu = self.sym_wma4(co)
+        de = self.sym_wma4(hl)
+        ret = self.sma(nu, window) / self.sma(de, window)
+        return ret
+
+    def _get_rvgis(self, meta: _Meta):
+        self._get_rvgi(meta.set_name('rvgi'))
+
+    def _get_rvgi(self, meta: _Meta):
+        rvgi = self._rvgi(meta.int)
+        rvgi.iloc[:3] = 0.0
+        rvgi_s = self.sym_wma4(rvgi)
+        rvgi_s.iloc[:6] = 0.0
+        self[meta.name] = rvgi
+        self[meta.name_ex('s')] = rvgi_s
+
     @staticmethod
     def parse_column_name(name):
         m = re.match(r'(.*)_([\d\-+~,.]+)_(\w+)', name)
@@ -1613,6 +1677,7 @@ def handler(self):
             ('ker',): self._get_ker,
             ('eribull', 'eribear'): self._get_eri,
             ('ftr',): self._get_ftr,
+            ('rvgi', 'rvgis'): self._get_rvgi,
         }
 
     def __init_not_exist_column(self, key):

test.py

@@ -889,6 +889,15 @@ def test_mad_raw():
         res = StockDataFrame._mad(series, 6)
         assert_that(res[5], near_to(2.667))
 
+    @staticmethod
+    def test_sym_wma4():
+        series = pd.Series([4, 2, 2, 4, 8])
+        res = StockDataFrame.sym_wma4(series)
+        assert_that(res[0], equal_to(0))
+        assert_that(res[2], equal_to(0))
+        assert_that(res[3], near_to(2.666))
+        assert_that(res[4], near_to(3.666))
+
     def test_ichimoku(self):
         stock = self.get_stock_90days()
         i0 = stock['ichimoku']
@@ -977,6 +986,21 @@ def test_ftr(self):
         f = stock['ftr_15']
         assert_that(f[20110128], near_to(-1.005))
 
+    def test_rvgi(self):
+        stock = self.get_stock_30days()
+        r, s = stock['rvgi'], stock['rvgis']
+        r14, s14 = stock['rvgi_14'], stock['rvgis_14']
+        assert_that(r[20110128], equal_to(r14[20110128]))
+        assert_that(s[20110128], equal_to(s14[20110128]))
+        assert_that(r[20110106], equal_to(0))
+        assert_that(r[20110107], near_to(0.257))
+        assert_that(s[20110111], equal_to(0))
+        assert_that(s[20110112], near_to(0.303))
+
+        s10, r10 = stock['rvgis_10'], stock['rvgi_10']
+        assert_that(r10[20110128], near_to(-0.056))
+        assert_that(s10[20110128], near_to(-0.043))
+
     def test_change_group_window_defaults(self):
         stock = self.get_stock_90days()
         macd = stock['macd']