def calKKMACD (self, inputData, outputHMA, outputEMA, outputDiff, position, periodHMA, periodEMA):
"""caculate myself moving average convergence divergence
caculate myself moving average convergence divergence
Args:
inputData: input source data, FinanceLine class
outputHMA: output HMA finance data, FinanceLine class
outputEMA: output EMA finance data, FinanceLine class
outputDiff: output (HMA-EMA) finance data, FinanceLine class
position: current caculate position
periodHMA: HMA moving average period
periodEMA: HMA moving average period
Returns:
None
Raise:
FinanceMathFunctionError: An error occured caculating.
FinanceMathFunctionOutofIndex: position is larger than inputData
length
FinanceMathFunctionPosBelowPeriod: position is smaller than period
"""
if not isinstance(inputData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(inputData)))
if not isinstance(outputHMA, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputHMA)))
if not isinstance(outputEMA, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputEMA)))
if not isinstance(outputDiff, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputDiff)))
if not isinstance(position, int):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(position)))
if position>=len(inputData):
raise FinanceMathFunctionOutofIndex()
if not isinstance(periodHMA, int) or periodHMA<=1:
raise FinanceMathFunctionError("{0:s} is not a integer or <=1.".format(str(period)))
if not isinstance(periodEMA, int) or periodEMA<=1:
raise FinanceMathFunctionError("{0:s} is not a integer or <=1.".format(str(period)))
if position<periodHMA-1 or position<periodEMA-1:
raise FinanceMathFunctionPosBelowPeriod("position:{0:d}<(period:{1:d}-1).".format(position,periodEMA))
exceptTemp=False
try:
self.calHMA(inputData,outputHMA,position,periodHMA)
except FinanceMathFunctionPosBelowPeriod as e:
exceptTemp=True
try:
self.calEMA(inputData,outputEMA,position,periodEMA)
except FinanceMathFunctionPosBelowPeriod as e:
exceptTemp=True
if exceptTemp:
raise FinanceMathFunctionPosBelowPeriod()
pointtemp=financeData.FinancePoint(outputHMA[-1].time, outputHMA[-1].value-outputEMA[-1].value)
outputDiff.add(pointtemp)
def calxMACD (self, inputData, inputMA1, inputMA2, outputDiff, position):
if not isinstance(inputData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(inputData)))
if not isinstance(inputMA1, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(inputMA1)))
if len(inputMA1)==0:
raise FinanceMathFunctionPosBelowPeriod("inputMA1 len is 0.")
if not isinstance(inputMA2, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(inputMA2)))
if len(inputMA2)==0:
raise FinanceMathFunctionPosBelowPeriod("inputMA2 len is 0.")
if not isinstance(outputDiff, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputDiff)))
if not isinstance(position, int):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(position)))
if position>=len(inputData):
raise FinanceMathFunctionOutofIndex()
pointtemp=financeData.FinancePoint(inputMA1[-1].time, inputMA1[-1].value-inputMA2[-1].value)
outputDiff.add(pointtemp)
def calHMA (self, inputData, outputData, position, period=5):
"""caculate hull moving average
caculate hull moving average
Args:
inputData: input source data, FinanceLine class
outputData: output finance data, FinanceLine class
position: current caculate position
period: moving average period, default 5
Returns:
None
Raise:
FinanceMathFunctionError: An error occured caculating.
FinanceMathFunctionOutofIndex: position is larger than inputData
length
FinanceMathFunctionPosBelowPeriod: position is smaller than period
"""
if not isinstance(inputData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(inputData)))
if not isinstance(outputData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputData)))
if not isinstance(position, int):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(position)))
if position>=len(inputData):
raise FinanceMathFunctionOutofIndex()
if not isinstance(period, int) or period<=1:
raise FinanceMathFunctionError("{0:s} is not a integer or <=1.".format(str(period)))
if position<period-1:
raise FinanceMathFunctionPosBelowPeriod("position:{0:d}<(period:{1:d}-1).".format(position,period))
idstr=str(id(inputData)+id(outputData))
if idstr not in self.tempdic.keys():
self.tempdic[idstr]=financeData.FinanceLine()
wma1=financeData.FinanceLine()
self.calWMA(inputData,wma1,position,period)
wma2=financeData.FinanceLine()
self.calWMA(inputData,wma2,position,int(period/2))
pointtemp=financeData.FinancePoint(inputData[position].time,wma2[0].value*2-wma1[0].value)
self.tempdic[idstr].add(pointtemp)
#self.tempdic[idstr].removeRepeatItem()
self.calWMA(self.tempdic[idstr],outputData,len(self.tempdic[idstr])-1,int(math.sqrt(period)))
def calEMA (self, inputData, outputData, position, period=5):
"""caculate exponential moving average
caculate exponential moving average
Args:
inputData: input source data, FinanceLine class
outputData: output finance data, FinanceLine class
position: current caculate position
period: moving average period, default 5
Returns:
None
Raise:
FinanceMathFunctionError: An error occured caculating.
FinanceMathFunctionOutofIndex: position is larger than inputData
length
FinanceMathFunctionPosBelowPeriod: position is smaller than period
"""
if not isinstance(inputData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(inputData)))
if not isinstance(outputData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputData)))
if not isinstance(position, int):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(position)))
if position>=len(inputData):
raise FinanceMathFunctionOutofIndex()
if not isinstance(period, int) or period<=1:
raise FinanceMathFunctionError("{0:s} is not a integer or <=1.".format(str(period)))
if position<period-1:
raise FinanceMathFunctionPosBelowPeriod("position:{0:d}<(period:{1:d}-1).".format(position,period))
alpha=2.0/(period+1)
valuetemp=0.0
divider=0.0
for icount in range(period):
valuetemp+=inputData[position-icount].value*((1-alpha)**icount)
divider+=((1-alpha)**icount)
valuetemp/=divider
outputData.add(financeData.FinancePoint(inputData[position].time, valuetemp))
if __name__ == "__main__":
plotObj = mpd.MPLTDraw()
line1 = fd.FinanceLine()
if True:
startPos = -300
settemp = fd.FinanceDataSet()
#settemp.getDataFromFile("./history/Index_TaiwanWI_google_1_day.csv")
settemp.getDataFromFile("./history/Stock_ChinaSteel_google_1_day.csv")
line1 = settemp.closeValue[startPos:]
line2 = settemp.highValue[startPos:]
line3 = settemp.lowValue[startPos:]
else:
for icount in range(50):
line1.add(
fd.FinancePoint(
datetime.datetime(2016, 8, 1) +
datetime.timedelta(days=icount + 1),
numpy.sin((icount + 1) * 0.13) * 1000))
line2.add(
fd.FinancePoint(
datetime.datetime(2016, 8, 1) +
datetime.timedelta(days=icount + 1), (numpy.sin(
(icount + 1) * 0.13) + 5) * 1000))
line1.add(
fd.FinancePoint(
datetime.datetime(2016, 8, 1) +
datetime.timedelta(days=icount + 1), (numpy.sin(
(icount + 1) * 0.13) - 5) * 1000))
plotObj.addLine(line1)
#fobj=fm.FinanceMathFunction()
#resultline=fd.FinanceLine()
def getHighLowSignificantPoint (self, inputCheckHigh, inputCheckLow, inputHigh, inputLow, offset=2):
maxList=[]
minList=[]
resultHigh=financeData.FinanceLine()
resultLow=financeData.FinanceLine()
hlen=len(inputHigh)
llen=len(inputLow)
if hlen!=llen:
raise Exception()
for icount in range(-2, 0-hlen, -1):
checkrange1=icount-offset
checkrange2=icount+1
try:
if inputCheckHigh[icount-1].value<=inputCheckHigh[icount].value>inputCheckHigh[icount+1].value:
indextemp=inputHigh.getMaxValueIndex(checkrange1, checkrange2)
if indextemp!=None:
if len(maxList)==0:
maxList.append(indextemp)
elif indextemp in maxList:
pass
elif inputHigh[indextemp].value<inputHigh[indextemp-1].value:
pass
elif len(minList)==0 or maxList[-1]<minList[-1]:
if inputHigh[indextemp].value>inputHigh[maxList[-1]].value:
del maxList[-1]
maxList.append(indextemp)
elif maxList[-1]>=minList[-1]:
maxList.append(indextemp)
except IndexError:
pass
try:
if inputCheckLow[icount-1].value>=inputCheckLow[icount].value<inputCheckLow[icount+1].value:
indextemp=inputLow.getMinValueIndex(checkrange1, checkrange2)
if indextemp!=None:
if not len(minList):
minList.append(indextemp)
elif indextemp in minList:
pass
elif inputLow[indextemp].value>inputLow[indextemp-1].value:
pass
elif len(maxList)==0 or maxList[-1]>minList[-1]:
if inputLow[indextemp].value<inputLow[minList[-1]].value:
del minList[-1]
minList.append(indextemp)
elif maxList[-1]<=minList[-1]:
minList.append(indextemp)
except IndexError:
pass
for icount in range(len(inputHigh)):
if icount in maxList:
resultHigh.add(financeData.FinancePoint(inputHigh[icount].time,
financeData.FinanceLine.peakValeDict["peak"]))
else:
resultHigh.add(financeData.FinancePoint(inputHigh[icount].time,
financeData.FinanceLine.peakValeDict["slope"]))
if icount in minList:
resultLow.add(financeData.FinancePoint(inputHigh[icount].time,
financeData.FinanceLine.peakValeDict["vale"]))
else:
resultLow.add(financeData.FinancePoint(inputHigh[icount].time,
financeData.FinanceLine.peakValeDict["slope"]))
return (resultHigh, resultLow)
def calATR (self, closeData, highData, lowData, outputATR, position, period, multiplier):
"""caculate average true range
caculate average true range
Args:
closeData: close source data, FinanceLine class
highData: high source data, FinanceLine class
lowData: low source data, FinanceLine class
outputATR: output ATR finance data, FinanceLine class
position: current caculate position
period: band period
multiplier: range mutiplier
Returns:
None
Raise:
FinanceMathFunctionError: An error occured caculating.
FinanceMathFunctionOutofIndex: position is larger than inputData
length
FinanceMathFunctionPosBelowPeriod: position is smaller than period
"""
if not isinstance(closeData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(closeData)))
if not isinstance(highData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(highData)))
if not isinstance(lowData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(lowData)))
if not isinstance(outputATR, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputATR)))
if not isinstance(position, int):
raise FinanceMathFunctionError("{0:s} is not a integer.".format(str(position)))
if position>=len(closeData):
raise FinanceMathFunctionOutofIndex()
if period<=1:
raise FinanceMathFunctionError("{0:s} is <=1.".format(str(period)))
if position<period-1:
raise FinanceMathFunctionPosBelowPeriod("position:{0:d}<(period:{1:d}-1).".format(position,period))
if not isinstance(multiplier, float):
raise FinanceMathFunctionError("{0:s} is not a float.".format(str(multiplier)))
idAtrstr=str(id(closeData)+id(outputATR))
if idAtrstr not in self.tempdic.keys():
self.tempdic[idAtrstr]=financeData.FinanceLine()
if position>=0:
ptemp=position
else:
ptemp=len(closeData)+positio1n
if ptemp==0:
rtemp=math.fabs(highData[ptemp].value-lowData[ptemp].value)
self.tempdic[idAtrstr].add(FinancePoint(closeData[ptemp].time, rtemp*multiplier))
else:
rtemp=math.fabs(highData[ptemp].value-lowData[ptemp].value)
stemp=math.fabs(highData[ptemp].value-closeData[ptemp-1].value)
if stemp>rtemp:
rtemp=stemp
stemp=math.fabs(lowData[ptemp].value-closeData[ptemp-1].value)
if stemp>rtemp:
rtemp=stemp
self.tempdic[idAtrstr].add(financeData.FinancePoint(closeData[ptemp].time, rtemp*multiplier))
try:
self.calEMA(self.tempdic[idAtrstr],outputATR,ptemp-period+1,period)
except FinanceMathFunctionPosBelowPeriod:
pass
def calHMABand (self, closeData, highData, lowData, outputMid, outputHigh, outputLow, position, period, multiplier):
"""caculate HMA band
caculate HMA band
Args:
closeData: close source data, FinanceLine class
highData: high source data, FinanceLine class
lowData: low source data, FinanceLine class
outputMid: output middle line finance data, FinanceLine class
outputHigh: output high line finance data, FinanceLine class
outputLow: output low line finance data, FinanceLine class
position: current caculate position
period: band period
multiplier: high/low mutiplier
Returns:
None
Raise:
FinanceMathFunctionError: An error occured caculating.
FinanceMathFunctionOutofIndex: position is larger than inputData
length
FinanceMathFunctionPosBelowPeriod: position is smaller than period
"""
if not isinstance(closeData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(closeData)))
if not isinstance(highData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(highData)))
if not isinstance(lowData, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(lowData)))
if not isinstance(outputMid, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputMid)))
if not isinstance(outputHigh, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputHigh)))
if not isinstance(outputLow, financeData.FinanceLine):
raise FinanceMathFunctionError("{0:s} is not a FinanceLine class.".format(str(outputLow)))
if not isinstance(position, int):
raise FinanceMathFunctionError("{0:s} is not a integer.".format(str(position)))
if position>=len(closeData):
raise FinanceMathFunctionOutofIndex()
if period<=1:
raise FinanceMathFunctionError("{0:s} is <=1.".format(str(period)))
if position<period-1:
raise FinanceMathFunctionPosBelowPeriod("position:{0:d}<(period:{1:d}-1).".format(position,period))
if not isinstance(multiplier, float):
raise FinanceMathFunctionError("{0:s} is not a float.".format(str(multiplier)))
idhighstr=str(id(highData)+id(outputHigh))
if idhighstr not in self.tempdic.keys():
self.tempdic[idhighstr]=financeData.FinanceLine()
idlowstr=str(id(lowData)+id(outputLow))
if idlowstr not in self.tempdic.keys():
self.tempdic[idlowstr]=financeData.FinanceLine()
exceptTemp=False
try:
self.calHMA(closeData,outputMid,position,period)
except FinanceMathFunctionPosBelowPeriod as e:
exceptTemp=True
try:
self.calHMA(highData,self.tempdic[idhighstr],position,period)
except FinanceMathFunctionPosBelowPeriod as e:
exceptTemp=True
try:
self.calHMA(lowData,self.tempdic[idlowstr],position,period)
except FinanceMathFunctionPosBelowPeriod as e:
exceptTemp=True
if exceptTemp:
raise FinanceMathFunctionPosBelowPeriod()
temph=self.tempdic[idhighstr][-1].value-outputMid[-1].value
templ=outputMid[-1].value-self.tempdic[idlowstr][-1].value
if temph>templ:
offset=temph
else:
offset=templ
pointtemp=financeData.FinancePoint(outputMid[-1].time, outputMid[-1].value+offset*multiplier)
outputHigh.add(pointtemp)
pointtemp=financeData.FinancePoint(outputMid[-1].time, outputMid[-1].value-offset*multiplier)
outputLow.add(pointtemp)