ENH: Add new technical indicator: Fibonacci Retractment

tests/pipeline/test_technical.py

@@ -20,6 +20,7 @@
     MovingAverageConvergenceDivergenceSignal,
     AnnualizedVolatility,
     RSI,
+    FibonacciRetractment
 )
 from zipline.testing import check_allclose, parameter_space
 from zipline.testing.fixtures import ZiplineTestCase
@@ -663,3 +664,32 @@ def test_volatility(self):
             expected_vol,
             decimal=8
         )
+
+
+class FibonacciRetractmentTestCase(ZiplineTestCase):
+    """
+    Test FibonacciRetractment Calculation
+    """
+    def test_fibo(self):
+
+        fibo = FibonacciRetractment()
+
+        nassets = 3
+        today = np.datetime64(1, 'ns')
+        assets = np.arange(nassets)
+
+        np.random.seed(100)  # Seed so we get deterministic results.
+        test_data = np.abs(np.random.randn(15, nassets))
+
+        out = np.empty((6, nassets), dtype=float)
+        fibo.compute(today, assets, out, test_data)
+
+        expected = np.empty((6, 3), dtype=float)
+        expected[0] = [1.74976547,  1.69061683,  1.61898166]
+        expected[1] = [1.08414923,  1.14101903,  1.0217989]
+        expected[2] = [0.87854002,  0.97124798,  0.83732884]
+        expected[3] = [0.67293081,  0.80147694,  0.65285877]
+        expected[4] = [0.41853298,  0.59142123,  0.42461615]
+        expected[5] = [0.00731456,  0.25187914,  0.05567601]
+
+        np.testing.assert_almost_equal(out, expected, 7)

zipline/pipeline/factors/__init__.py

@@ -41,6 +41,7 @@
     RateOfChangePercentage,
     RSI,
     TrueRange,
+    FibonacciRetractment,
 )
 
 __all__ = [
@@ -58,6 +59,7 @@
     'ExponentialWeightedMovingStdDev',
     'Factor',
     'FastStochasticOscillator',
+    'FibonacciRetractment',
     'IchimokuKinkoHyo',
     'Latest',
     'LinearWeightedMovingAverage',

zipline/pipeline/factors/technical.py

@@ -11,6 +11,7 @@
     diff,
     dstack,
     inf,
+    apply_along_axis
 )
 from numexpr import evaluate
 
@@ -390,3 +391,36 @@ def compute(self, today, assets, out, close, fast_period, slow_period,
 
 # Convenience aliases.
 MACDSignal = MovingAverageConvergenceDivergenceSignal
+
+
+class FibonacciRetractment(CustomFactor):
+    """
+    FibonacciRetractment
+
+    https://www.investopedia.com/ask/answers/05/fibonacciretracement.asp
+
+    Given a period, 4 retractment levels are calculated between the peak
+    and the trough, where the ratio of each retractment level is based on
+    Fibonacci sequence.
+
+    Parameters
+    ----------
+    period : int > 0, optional
+        The window length for the Fibonacci retractment levels calculation.
+        Default is 0.
+    """
+
+    window_length = 15
+    inputs = (EquityPricing.close,)
+
+    def compute(self, today, assets, out, closes, period=0):
+        windowed_closes = closes[-period:]
+        trough = apply_along_axis(min, 0, windowed_closes)
+        peak = apply_along_axis(max, 0, windowed_closes)
+        range = peak - trough
+        out[0] = peak
+        out[1] = trough + 0.618 * range
+        out[2] = trough + 0.5 * range
+        out[3] = trough + 0.382 * range
+        out[4] = trough + 0.236 * range
+        out[5] = trough