if all([
lagOpen[i], lagOpen[i] < lag2Close[i], lagClose[i] < Open[i],
(lagClose[i] < lag2Close[i])
]):
Doji.append(i)
else:
Doji.append(0)
ret = Close / Close.shift(1) - 1
lag1ret = ret.shift(1)
lag2ret = ret.shift(2)
Trend = [0, 0, 0]
for i in range(3, len(ret)):
if all([lag1ret[i] < lag2ret[i] < 0]):
Trend.append(1)
else:
Trend.append(0)
StarSig = []
for i in range(len(Trend)):
if all([Shape[i] == 1, Doji[i] == 1, Trend[i] == 1]):
StarSig.append(1)
else:
StarSig.append(0)
for i in range(len(StarSig)):
if StarSig[i] == 1:
print(ssec2012.index[i])
ssec201209 = ssec2012['2012-08-21':'2012-09-30']
candle.candlePlot(ssec201209, title='上证综指2012年9月份的日K线图')
#2.
shzheng = pd.read_csv('Data/Part5/001/problem27-2.csv',
index_col='date')
shzheng.index.name='Date'
shzheng.index = pd.to_datetime(shzheng.index,format='%Y-%m-%d')
shzheng131=shzheng['2013-01-01':'2013-06-30']
CL_OP = shzheng131.Close - shzheng131.Open
CL_OP.describe()
Doji = pd.Series(np.where(np.abs(CL_OP.values)<8,1,0),
index=CL_OP.index)
Doji[Doji==1].index
cd.candlePlot(shzheng131,
title='Candle Plot of Shanghai Composite Index')
#3.
shzheng = pd.read_csv('Data/Part5/001/problem27-3.csv',
index_col='date')
shzheng.index.name='Date'
shzheng.index = pd.to_datetime(shzheng.index,format='%Y-%m-%d')
CL_OP = shzheng.Close - shzheng.Open
CL_OP.describe()
dat = pd.concat([CL_OP,CL_OP.shift(1),CL_OP.shift(2)],1)
StarSig = []
for i in range(len(Trend)):
if all([Shape[i] == 1, Doji[i] == 1, Trend[i] == 1]):
StarSig.append(1)
else:
StarSig.append(0)
for i in range(len(StarSig)):
if StarSig[i] == 1:
print(ssec2012.index[i])
ssec201209 = ssec2012['2012-08-21':'2012-09-30']
# Need to specify path before import
import candle
candle.candlePlot(ssec201209, title=' 上 证 综 指 2012 年9 月 份 的 日 K 线图 ')
# Dark Cloud Cover
# 提 取 读 入 上 证 综 指 年 的 日 交 易 数 据
import pandas as pd
ssec2011 = pd.read_csv('ssec2011.csv')
ssec2011.index = ssec2011.iloc[:, 1]
ssec2011.index = pd.to_datetime(ssec2011.index, format='%Y-%m-%d')
ssec2011 = ssec2011.iloc[:, 2:]
# 提 取 价 格 数 据
Close11 = ssec2011.Close
Open11 = ssec2011.Open
# 刻 画 捕 捉 符 合 “ 乌 云 盖 顶 ” 形 态 的 连 续 两 个 蜡 烛 实 体
lagClose11 = Close11.shift(1)
plt.rcParams['font.sans-serif'] = ['SimHei']
plt.rcParams['axes.unicode_minus'] = False
ax.set_title('加權股價指數2013年4月份K線圖')
candlestick_ohlc(ax,
taiex201304_listData,
width=0.7,
colorup='r',
colordown='g')
plt.setp(plt.gca().get_xticklabels(),
rotation=50,
horizontalalignment='center')
plt.show()
from candle import candlePlot
candlePlot(taiex201304, title='加權股價指數2013年4月份K線圖')
#morning star
taiex2011 = pd.read_csv('taiex2011.csv', sep='\t')
taiex2011.index = pd.to_datetime(taiex2011.Date, format='%Y-%m-%d')
taiex2011.head(2)
taiex2011.iloc[-2:, :]
Close = taiex2011.Close
Open = taiex2011.Open
ClOp = Close - Open
ClOp.head()
ClOp.describe()
Shape = [0, 0, 0]
RSV.name = 'RSV'
periodHigh.head(3)
periodLow.head(3)
RSV.head()
RSV.describe()
close1 = close['2015']
RSV1 = RSV['2015']
Cl_RSV = pd.DataFrame([close1, RSV1]).transpose()
Cl_RSV.plot(subplots=True, title='未成熟随机指标RSV')
GSPC2015 = GSPC['2015']
import candle
candle.candlePlot(GSPC2015,\
'标普500指数2015年日K线图')
RSV1 = pd.Series([50, 50], index=date[6:8]).append(RSV)
RSV1.name = 'RSV'
RSV1.head()
KValue = pd.Series(0.0, index=RSV1.index)
KValue[0] = 50
for i in range(1, len(RSV1)):
KValue[i] = 2 / 3 * KValue[i - 1] + RSV1[i] / 3
KValue.name = 'KValue'
KValue.head()
DValue = pd.Series(0.0, index=RSV1.index)
DValue[0] = 50
RSI5 = rsi(jtyh.Close, 5)
RSI6 = rsi(jtyh.Close, 6)
RSI7 = rsi(jtyh.Close, 7)
RSI8 = rsi(jtyh.Close, 8)
RSI9 = rsi(jtyh.Close, 9)
RSI10 = rsi(jtyh.Close, 10)
RSI12 = rsi(jtyh.Close, 12)
RSI_all = pd.concat([RSI5, RSI6, RSI7, RSI8, RSI9, RSI10, RSI12], 1)
#2.
jtyh = pd.read_csv('Data/Part5/003/problem29-2.csv', index_col='date')
jtyh.index.name = 'Date'
jtyh.index = pd.to_datetime(jtyh.index, format='%Y-%m-%d')
import candle
candle.candlePlot(jtyh, 'Candle Plot of Bank of Communications')
RSI6 = rsi(jtyh.Close, 6)
RSI30 = rsi(jtyh.Close, 30)
RSI = pd.concat([RSI6, RSI30], 1)
RSI.columns = ['RSI6', 'RSI30']
RSI.plot()
signal = np.where(RSI6 > 90, -1, np.where(RSI6 < 10, 1, 0))
ret = (jtyh.Close - jtyh.Close.shift(1)) / jtyh.Close.shift(1)
ret6 = ret[6:]
signal = pd.Series(signal, index=ret6.index)
RSI_ret = ret6[1:] * signal.shift(1)[1:]
sum(RSI_ret > 0) / sum(signal != 0)
RSI_all = pd.concat([RSI6, RSI30, RSI6.shift(1), RSI30.shift(1)], 1)
/(periodHigh-periodLow))
RSV=pd.Series(RSV,index=Close.index[8:])
RSV.name='RSV'
RSV.head()
RSV.describe()
Close1=Close['2015']
RSV1=RSV['2015']
Cl_RSV=pd.DataFrame([Close1,RSV1]).transpose()
Cl_RSV.plot(subplots=True,
title='未成熟隨機指標RSV')
GSPC2015=GSPC['2015']
import candle
candle.candlePlot(GSPC2015,\
'2015年標普500指數日K線圖')
K=[50]
D=[50]
for i in range(len(RSV)):
KValue = (2/3)*K[-1] + (RSV[i]/3)
DValue = (2/3)*D[-1] + KValue/3
K.append(KValue)
D.append(DValue)
K=pd.Series(K[1:],index=RSV.index)
K.name='KValue'
K.head()
# encoding: UTF-8
import pandas as pd
import numpy as np
import candle as cd
import matplotlib.pyplot as plt
# shzheng = pd.read_csv(r'data\problem27-1.csv', index_col='date')
# shzheng.index.name = 'Date'
# shzheng.index = pd.to_datetime(shzheng.index, format='%Y-%m-%d')
# shzheng13 = shzheng['2013-03-01':'2013-05-31'].copy()
# cd.candleVolume(shzheng13, candletitle='上证指数', bartitle='成交量')
shzheng = pd.read_csv('data\problem27-2.csv', index_col='date')
shzheng.index.name = 'Date'
shzheng.index = pd.to_datetime(shzheng.index, format='%Y-%m-%d')
shzheng131 = shzheng['2013-01-01':'2013-06-30'].copy()
CL_OP = shzheng131.Close - shzheng131.Open
print(CL_OP.describe())
Doji = pd.Series(np.where(np.abs(CL_OP.values) < 5, 1, 0), index=CL_OP.index)
print(Doji[Doji == 1].index)
cd.candlePlot(shzheng131, title='Candle Plot of Shanghai Composite Index')