def calHMABandWeight (self, inputClose, inputHigh, inputLow, highSigPoint, lowSigPoint, period, multiplier):
result=0.0
wcount=0
midtemp=financeData.FinanceLine()
hightemp=financeData.FinanceLine()
lowtemp=financeData.FinanceLine()
for icount in range(len(inputClose)):
try:
self.calHMABand(inputClose,
inputHigh,
inputLow,
midtemp, hightemp, lowtemp,
icount, period, multiplier)
except FinanceMathFunctionPosBelowPeriod:
continue
for icount in range(-1, -1-len(midtemp), -1):
if highSigPoint[icount].value==financeData.FinanceLine.peakValeDict["peak"]: #high
if inputHigh[icount].value<midtemp[icount].value:
continue
diff=math.fabs(inputHigh[icount].value-hightemp[icount].value)
result+=diff
wcount+=1
if lowSigPoint[icount].value==financeData.FinanceLine.peakValeDict["vale"]: #low
if inputLow[icount].value>midtemp[icount].value:
continue
diff=math.fabs(lowtemp[icount].value-inputLow[icount].value)
result+=diff
wcount+=1
if not wcount:
return result
return (result/wcount)
def calRatio (self, closeData, highData, lowData, period, multiplier, matype='hma'):
midtemp=financeData.FinanceLine()
hightemp=financeData.FinanceLine()
lowtemp=financeData.FinanceLine()
for icount in range(len(closeData)):
try:
if matype=='hma':
self.calHMABand(closeData, highData, lowData, midtemp, hightemp, lowtemp, icount, period, multiplier)
elif matype=='ema':
self.calEMABand(closeData, highData, lowData, midtemp, hightemp, lowtemp, icount, period, multiplier)
else:
raise Exception()
except FinanceMathFunctionPosBelowPeriod:
pass
outCount=[]
inCount=[]
outBoundCnt=[]
for icount in range(-1,0-len(hightemp),-1):
if (closeData[icount].value>=midtemp[icount].value
and highData[icount].value>=hightemp[icount].value):
outCount.append(closeData[icount])
if lowData[icount].value>=hightemp[icount].value:
outBoundCnt.append(closeData[icount])
elif (closeData[icount].value<midtemp[icount].value
and lowData[icount].value<=lowtemp[icount].value):
outCount.append(closeData[icount])
if highData[icount].value<=hightemp[icount].value:
outBoundCnt.append(closeData[icount])
else:
inCount.append(closeData[icount])
if len(outCount)==0:
return (0, 0)
return (len(outCount)/(len(inCount)+len(outCount)) ,len(outBoundCnt)/len(outCount))
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 xxtest_Atr (self):
fobj=FinanceMathFunction()
atrline=financeData.FinanceLine()
for icount in range(len(self.sampleSet)):
try:
fobj.calATR(self.sampleSet.closeValue,self.sampleSet.highValue,self.sampleSet.lowValue,atrline,icount,16, 2.0)
except FinanceMathFunctionPosBelowPeriod:
continue
for item in atrline:
print('atr %s %f' %(str(item.time), item.value))
self.assertTrue(True)
def calKKMacdWeight (self, inputData, periodHMA, periodEMA, offset=2):
result=0.0
hamtemp=financeData.FinanceLine()
ematemp=financeData.FinanceLine()
difftemp=financeData.FinanceLine()
for icount in range(len(inputData)):
try:
self.calKKMACD(inputData, hmatemp, ematemp, difftemp, icount, periodHMA, periodEMA)
except FinanceMathFunctionPosBelowPeriod:
continue
ihDiff=len(inputData)-len(hamtemp)
ieDiff=len(inputData)-len(ematemp)
idDiff=len(inputData)-len(difftemp)
peaktemp=[]
valetemp=[]
difftemp.peakLine=difftemp.findPeak()
difftemp.valeLine=difftemp.findVale()
for icount in range(0-len(difftemp), -1):
if difftemp.peakLine[icount].value==financeData.FinanceLine.peakValeDict["slope"]:
continue
elif difftemp.peakLine[icount].value==financeData.FinanceLine.peakValeDict["peak"]:
indextemp=inputData.getMaxValueIndex(icount-offset, icount)
peaktemp.append([icount, indextemp, inputData[indextemp].value])
return result
"""
This program draw finance data with matPlotDraw.
"""
import datetime
import numpy
import financeData as fd
import financeMath as fm
import matPlotDraw as mpd
import dataCenter as dc
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) +
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)
