Created
April 24, 2020 16:38
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The code in https://github.com/virtualizedfrog/blog_code/blob/master/PSAR/psar.py was modified to match value of PSAR given in tradingview
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####################################################################### | |
# Author : Arun B | |
# | |
# Purpose : Calculate Parabolic SAR | |
############################################################################ | |
def psar(barsdata, iaf = 0.02, inc=0.02,maxaf = 0.2): | |
length = len(barsdata) | |
dates = list(barsdata['date']) | |
high = list(barsdata['high']) | |
low = list(barsdata['low']) | |
close = list(barsdata['close']) | |
psar = close[0:len(close)] | |
cpsar = close[0:len(close)] | |
bb = close[0:len(close)] | |
EP =close[0:len(close)] | |
AF=close[0:len(close)] | |
rev =close[0:len(close)] | |
#psarbull = [None] * length | |
#psarbear = [None] * length | |
bull = True | |
af = iaf | |
ep = low[0] | |
hp = high[0] | |
lp = low[0] | |
for i in range(2,length): | |
if bull: | |
psar[i] = psar[i - 1] + af * (hp - psar[i - 1]) | |
else: | |
psar[i] = psar[i - 1] + af * (lp - psar[i - 1]) | |
cpsar[i]=psar[i] | |
reverse = False | |
if bull: | |
if low[i] < psar[i]: | |
bull = False | |
reverse = True | |
psar[i] = max(hp,high[i]) | |
lp = low[i] | |
EP[i]=lp | |
af = iaf | |
AF[i]=af | |
else: | |
if high[i] > psar[i]: | |
bull = True | |
reverse = True | |
psar[i] = min(lp,low[i]) | |
hp = high[i] | |
EP[i]=hp | |
af = iaf | |
AF[i]=af | |
if not reverse: | |
if bull: | |
if high[i] > hp: | |
hp = high[i] | |
af = min(af + inc, maxaf) | |
EP[i] =hp | |
AF[i]=af | |
#psar[i] = psar[i - 1] + af * (hp - psar[i - 1]) | |
else: | |
AF[i]=AF[i-1] | |
EP[i]=EP[i-1] | |
if low[i - 1] < psar[i]: | |
psar[i] = low[i - 1] | |
if low[i - 2] < psar[i]: | |
psar[i] = low[i - 2] | |
else: | |
if low[i] < lp: | |
lp = low[i] | |
af = min(af + inc, maxaf) | |
EP[i]=lp | |
AF[i]=af | |
#psar[i] = psar[i - 1] + af * (lp - psar[i - 1]) | |
else: | |
AF[i]=AF[i-1] | |
EP[i]=EP[i-1] | |
if high[i - 1] > psar[i]: | |
psar[i] = high[i - 1] | |
if high[i - 2] > psar[i]: | |
psar[i] = high[i - 2] | |
bb[i]=bull | |
rev[i]=reverse | |
return {"dates":dates, "high":high, "low":low, "close":close, "psar":psar,"bb":bb,"cpsar":cpsar,"ep":EP,"af":AF,"rev":rev} | |
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