donchian.py

# Donchian Channel
def donchian(df, n):
    i = df.index[-1] - 1
    dcuarr = [float('NaN')] * df.index[-1]
    dclarr = [float('NaN')] * df.index[-1]

    while i - n >= 0:
        dcupper = max(df['High'].ix[i - n:i])
        dclower = min(df['Low'].ix[i-n:i])
        dcuarr[i] = dcupper
        dclarr[i] = dclower
        i -= 1
    donchian_upper = pd.Series(dcuarr, name='DonchianUpper')
    donchian_lower = pd.Series(dclarr, name='DonchianLower')

    df = df.join(donchian_upper)
    df = df.join(donchian_lower)
    return df