Parabolic SAR implementation in Python

I have recently tried to use the Parabolic Stop and Reverse indicator to track the VIX index (volatility on the S&P 500). A while back, I had used TA-lib and many of its indicators, but it was a while back. And I found it fairly painful to setup for Python this time. Given that I only needed this indicator, and that it is often better to have your own code for this kind of analysis, I simply translated an implementation from AmiBroker to Python. And here is a quick overview of what it looks like: pypsar20141209 The full code can be downloaded from my GitHub account.

def psar(barsdata, iaf = 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)]
    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])
        reverse = False
        if bull:
            if low[i] < psar[i]:
                bull = False
                reverse = True
                psar[i] = hp
                lp = low[i]
                af = iaf
        else:
            if high[i] > psar[i]:
                bull = True
                reverse = True
                psar[i] = lp
                hp = high[i]
                af = iaf
        if not reverse:
            if bull:
                if high[i] > hp:
                    hp = high[i]
                    af = min(af + iaf, maxaf)
                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 + iaf, maxaf)
                if high[i - 1] > psar[i]:
                    psar[i] = high[i - 1]
                if high[i - 2] > psar[i]:
                    psar[i] = high[i - 2]
        if bull:
            psarbull[i] = psar[i]
        else:
            psarbear[i] = psar[i]
    return {"dates":dates, "high":high, "low":low, "close":close, "psar":psar, "psarbear":psarbear, "psarbull":psarbull}

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