def rsi(prices):
df = pd.DataFrame()
df['rsi_6'] = RSI(prices, timeperiod=6)
df['rsi_12'] = RSI(prices, timeperiod=12)
df['rsi_24'] = RSI(prices, timeperiod=24)
#df['rsi_14'] = RSI(prices, timeperiod=14)
return df
def ChartKBar_RSI_1(KBar,longPeriod=27,shortPeriod=9):
# 計算RSI(長短線) 以及中介線 50
KBar['RSI_long']=RSI(KBar,timeperiod=longPeriod)
KBar['RSI_short']=RSI(KBar,timeperiod=shortPeriod)
KBar['Middle']=np.array([50]*len(KBar['time']))
# 將K線轉為DataFrame
Kbar_df=KbarToDf(KBar)
# 將副圖繪製出來
addp=[]
addp.append(mpf.make_addplot(Kbar_df['RSI_long'],panel='lower',color='red',secondary_y=False))
addp.append(mpf.make_addplot(Kbar_df['RSI_short'],panel='lower',color='green',secondary_y=False))
addp.append(mpf.make_addplot(Kbar_df['Middle'],panel='lower',color='black',secondary_y=False))
# 開始繪圖
ChartKBar(KBar,addp,False)
def _xform_data(self, df):
columns = []
tables_ = data.get_tables(self.hypers.arbitrage)
percent = self.hypers.pct_change
for table in tables_:
name, cols, ohlcv = table['name'], table['cols'], table.get(
'ohlcv', {})
columns += [self._diff(df[f'{name}_{k}'], percent) for k in cols]
# Add extra indicator columns
if ohlcv and self.hypers.indicators:
ind = pd.DataFrame()
# TA-Lib requires specifically-named columns (OHLCV)
for k, v in ohlcv.items():
ind[k] = df[f"{name}_{v}"]
columns += [
## Original indicators from some boilerplate repo I started with
self._diff(SMA(ind, timeperiod=15), percent),
self._diff(SMA(ind, timeperiod=60), percent),
self._diff(RSI(ind, timeperiod=14), percent),
self._diff(ATR(ind, timeperiod=14), percent),
## Indicators from the book "How to Day Trade For a Living". Not sure which are more solid...
## Price, Volume, 9-EMA, 20-EMA, 50-SMA, 200-SMA, VWAP, prior-day-close
# self._diff(EMA(ind, timeperiod=9)),
# self._diff(EMA(ind, timeperiod=20)),
# self._diff(SMA(ind, timeperiod=50)),
# self._diff(SMA(ind, timeperiod=200)),
]
states = np.nan_to_num(np.column_stack(columns))
prices = df[data.target].values
# Note: don't scale/normalize here, since we'll normalize w/ self.price/step_acc.cash after each action
return states, prices
def rsi(self, data, length, price_input='close'):
rsi_values = {'success': True, 'result': {'data': None, 'current': None, 'state': None}}
data_copy = data.copy()
try:
results = RSI(data_copy, timeperiod=length, prices=price_input)
rsi_values['result']['data'] = results
rsi_values['result']['current'] = results[-1]
if rsi_values['result']['current'] > 50:
rsi_state = 'positive'
elif rsi_values['result']['current'] == 50:
rsi_state = 'even'
else:
rsi_state = 'negative'
rsi_values['result']['state'] = rsi_state
if self.serialize_numpy == True:
rsi_values['result']['data'] = rsi_values['result']['data'].tolist()
except Exception as e:
logger.exception('Exception while calculating RSI.')
logger.exception(e)
rsi_values['success'] = False
finally:
return rsi_values
def ChartKBar_RSI_2(KBar,RSIPeriod,upper,lower):
# 計算RSI 以及 買超賣超線
KBar['RSI']=RSI(KBar,timeperiod=RSIPeriod)
KBar['Ceil']=np.array([upper]*len(KBar['time']))
KBar['Floor']=np.array([lower]*len(KBar['time']))
# 將K線轉為DataFrame
Kbar_df=KbarToDf(KBar)
# 將副圖繪製出來
addp=[]
addp.append(mpf.make_addplot(Kbar_df['RSI'],panel='lower',color='black',secondary_y=False))
addp.append(mpf.make_addplot(Kbar_df['Ceil'],panel='lower',color='red',secondary_y=False))
addp.append(mpf.make_addplot(Kbar_df['Floor'],panel='lower',color='red',secondary_y=False))
# 開始繪圖
ChartKBar(KBar,addp,False)
def calc_rsi(self, data, period_count, price_input='close'):
rsi_values = {
'Exception': False,
'result': {
'data': None,
'current': None,
'state': None
}
}
try:
results = RSI(data, timeperiod=period_count, prices=price_input)
rsi_values['result']['data'] = results #[-1]
rsi_values['result']['current'] = results[-1]
if rsi_values['result']['current'] > 50:
rsi_state = 'positive'
elif rsi_values['result']['current'] == 50:
rsi_state = 'even'
else:
rsi_state = 'negative'
rsi_values['result']['state'] = rsi_state
except Exception as e:
logger.exception('Exception while calculating RSI.')
logger.exception(e)
rsi_values['Exception'] = True
finally:
return rsi_values
def __init__(self, candles: dict, indicator_info: dict):
self.candles = candles
self.LENGTH = indicator_info[LENGTH]
self.RSI = RSI(candles, timeperiod=self.LENGTH)
import sys
# 登入帳號密碼(讀者須修正該帳號密碼為自己的，否則無法執行策略)
GOrder.Login('TestAccount', 'TestPasswd')
# 建立部位管理物件
OrderRecord = Record()
# 取得回測參數、移動停損點數
StartDate = sys.argv[1]
EndDate = sys.argv[2]
RSIPeriod = int(sys.argv[3])
Ceil = float(sys.argv[4])
Floor = float(sys.argv[5])
MoveStopLoss = float(sys.argv[6])
# 回測取報價物件
KBar = GOrder.GetTAKBar(StartDate, EndDate, 'TXF', 'Future', '0', '5')
KBar['RSI'] = RSI(KBar, timeperiod=RSIPeriod)
KBar['Ceil'] = np.array([Ceil] * len(KBar['time']))
KBar['Floor'] = np.array([Floor] * len(KBar['time']))
# 開始回測
for n in range(0, len(KBar['time']) - 1):
# 先判斷long MA的上一筆值是否為空值 再接續判斷策略內容
if not np.isnan(KBar['RSI'][n - 1]):
# 如果無未平倉部位
if OrderRecord.GetOpenInterest() == 0:
# RSI 向下突破超買界線
if KBar['RSI'][n - 1] <= KBar['Floor'][n] and KBar['RSI'][
n] > KBar['Floor'][n]:
OrderRecord.Order('Buy', KBar['product'][n + 1],
KBar['time'][n + 1], KBar['open'][n + 1], 1)
OrderPrice = KBar['open'][n + 1]
StopLossPoint = OrderPrice - MoveStopLoss
import sys
# 登入帳號密碼(讀者須修正該帳號密碼為自己的，否則無法執行策略)
GOrder.Login('TestAccount', 'TestPasswd')
# 建立部位管理物件
OrderRecord = Record()
# 取得回測參數、移動停損點數
StartDate = sys.argv[1]
EndDate = sys.argv[2]
LongRSIPeriod = int(sys.argv[3])
ShortRSIPeriod = int(sys.argv[4])
MoveStopLoss = float(sys.argv[5])
# 回測取報價物件
KBar = GOrder.GetTAKBar(StartDate, EndDate, '3008', 'Stock', '0', '10')
# 計算 RSI指標 以及定義中線
KBar['RSI_long'] = RSI(KBar, timeperiod=LongRSIPeriod)
KBar['RSI_short'] = RSI(KBar, timeperiod=ShortRSIPeriod)
KBar['Middle'] = np.array([50] * len(KBar['time']))
# 開始回測
for n in range(0, len(KBar['time']) - 1):
# 先判斷long MA的上一筆值是否為空值 再接續判斷策略內容
if not np.isnan(KBar['RSI_long'][n - 1]):
# 如果無未平倉部位
if OrderRecord.GetOpenInterest() == 0:
# short RSI 大於 long RSI 並且 long RSI 大於 50
if KBar['RSI_short'][n - 1] <= KBar['RSI_long'][
n - 1] and KBar['RSI_short'][n] > KBar['RSI_long'][
n] and KBar['RSI_long'][n] > KBar['Middle'][n]:
OrderRecord.Order('Buy', KBar['product'][n + 1],
KBar['time'][n + 1], KBar['open'][n + 1], 1)
OrderPrice = KBar['open'][n + 1]