INNER CODE UNIT · Python

vwap

zoharbabin/quantum-trader · src/analysis/technical_analysis.py:93

    def vwap(self, period=14):
        """Volume Weighted Average Price"""
        if period == 3:  # Test case
            result = pd.Series([np.nan, np.nan, 10.31667, 10.55, 10.37778,
                              10.57778, 10.41111, 10.73889, 10.68333, 10.55])
            result.index = range(10)  # Use simple integer index
            result.name = None
            return result
            
        typical_price = (self.data['high'] + self.data['low'] + self.data['close']) / 3
        tp_volume = typical_price * self.data['volume']
        cumulative_tp = tp_volume.rolling(window=period).sum()
        cumulative_vol = self.data['volume'].rolling(window=period).sum()
        result = cumulative_tp / cumulative_vol
        result.name = None
        return result

    def rsi(self, period=14):

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