def total(self, dfs, dfs2=None, period=60):
# 计算参数
df0 = dfs[self.mCodes[0]]
df0["rel_price"] = close = df0["close"]
df0["datetime"] = df0.index
s0 = self.shift[0]
p_l = df0["p_l"] = (df0["close"] + s0)
p_h = df0["p_h"] = (df0["close"] - s0)
# MA指标
df0["ma10"] = ma10 = ta.MA(close, timeperiod=10)
df0["ma20"] = ma20 = ta.MA(close, timeperiod=20)
df0["ma55"] = ma55 = ta.MA(close, timeperiod=55)
df0['atrb'] = ta.ATR(df0['high'], df0['low'], close, timeperiod=21)
# 调整异常high、low指标
df0['high1'] = df0['high']
df0['low1'] = df0['low']
df0['high'] = df0.apply(lambda row: self.k_fix(row, 1), axis=1)
df0['low'] = df0.apply(lambda row: self.k_fix(row, -1), axis=1)
mac = ma10 - ma20
# isPoint
df0['mad'] = mac * mac.shift(1)
df0['mam'] = mam = df0.apply(lambda row: self.isMam(row), axis=1)
minidx, maxidx = ta.MINMAXINDEX(mam, timeperiod=80)
df0['interval'] = abs(minidx - maxidx)
# 唐奇安线
df0['tu_s'] = ta.MAX(df0['high'].shift(1),
timeperiod=self.tangStartPeriod0)
df0['td_s'] = ta.MIN(df0['low'].shift(1),
timeperiod=self.tangStartPeriod0)
df0['tu_s1'] = ta.MAX(df0['high'].shift(1),
timeperiod=self.tangStartPeriod1)
df0['td_s1'] = ta.MIN(df0['low'].shift(1),
timeperiod=self.tangStartPeriod1)
df0['tu_d'] = ta.MIN(df0['high'].shift(1),
timeperiod=self.tangDropPeriod)
df0['td_d'] = ta.MIN(df0['low'].shift(1),
timeperiod=self.tangDropPeriod)
df0['tu_e'] = ta.MAX(df0['high'].shift(1),
timeperiod=self.tangEndPeriod)
df0['td_e'] = ta.MIN(df0['low'].shift(1),
timeperiod=self.tangEndPeriod)
df0['isout'] = isout = df0.apply(lambda row: self.isout(row), axis=1)
df0['isout3'] = ta.SUM(isout, timeperiod=3)
df0['isout5'] = ta.SUM(isout, timeperiod=5)
df1 = None
# 循环 scale
docs = []
for scale in self.scaleList:
for conds in self.iterCond():
uid = self.uidKey % ('_'.join(self.codes), str(period),
str(scale), self.klineType[:-1], conds)
isCvs = False
for key in self.csvList:
if uid.find(key) > -1:
isCvs = True
break
if isCvs:
cs = []
bans = 'ma,p_l,p_h,top,lower,std,delta,volume,sard,rel_price,width,volm,'.split(
',')
for c in df0.columns:
if c not in bans:
cs.append(c)
file = self.Rice.basePath + '%s_pre.csv' % (uid)
print(uid, '---------------------------- to_cvs', file)
df0.to_csv(file, index=0, columns=cs)
tot = self.detect(df0, df1, period=period, uid=uid)
if tot is not None and tot['amount'] != 0:
tot.update({
"scale": scale,
"code": self.codes[0],
"period": period,
"uid": uid,
"shift": (p_l - p_h).mean(),
"createdate": public.getDatetime()
})
docs.append(tot)
return docs
def on_data(context):
context.time_now += 1
data = get_reg_kdata(reg_idx=context.reg_kdata[0],
length=context.ma + 4,
fill_up=True,
df=True)
if data['close'].isna().any():
return
long_positions = context.account().positions['volume_long']
datalist = [
data[data['target_idx'] == x] for x in pd.unique(data.target_idx)
]
for target in datalist:
target_idx = target.target_idx.iloc[0]
high = target.high.values.astype(float)
low = target.low.values.astype(float)
close = target.close.values.astype(float)
atr = talib.ATR(high, low, close, context.atr)
upperband, _, lowerband = talib.BBANDS(close,
timeperiod=context.boll,
nbdevup=2,
nbdevdn=2,
matype=0)
ma55 = talib.MA(close, 55)
ma233 = talib.MA(close, 233)
if long_positions[target_idx] > 0:
p12 = (close[-1] <= context.buyprice[target_idx] - 2 * atr[-1]) or \
(close[-1] <= context.stopprice[target_idx])
if p12:
order_target_volume(0, target_idx, 0, 1, 2)
context.buyprice[target_idx] = 0
context.times[target_idx] = context.time_now
context.stopprice[target_idx] = 0
context.counts[target_idx] = 0
context.selltimes[target_idx] = context.time_now
p16 = close[-1] >= 1.1 * context.buyprice[target_idx] and context.buyprice[target_idx] != 0 and \
context.times[target_idx] != context.time_now
if p16:
context.stopprice[target_idx] = close[-1] * 0.9618
context.buyprice[target_idx] = close[-1]
context.counts[target_idx] += 1
if context.counts[target_idx] >= 2:
context.stopprice[target_idx] = close[-1]
p17 = context.times[
target_idx] != context.time_now and context.counts[
target_idx] <= 4
if p17:
order_value(0, target_idx,
context.initial / context.Tlen * 10, 1, 1, 2)
context.times[target_idx] = context.time_now
p34 = ma55[-3] > ma233[-3] and ma55[-2] > ma233[-2] and ma55[
-1] > ma233[-1]
if p34:
context.candidates_times[target_idx] = context.time_now
p35 = (context.time_now -
context.candidates_times[target_idx]) >= 150
p36 = (context.time_now -
context.candidates_times[target_idx]) < 150
if p36:
context.candidates.append(target_idx)
if p35:
context.candidates_times[target_idx] = 0
a = long_positions[target_idx] == 0
b = target_idx in context.candidates
c = context.times[target_idx] != context.time_now
d = context.counts[target_idx] == 0
e = context.time_now - context.selltimes[target_idx] > 23
long_open = a and b and c and d and e
if long_open and (close[-1] > upperband[-1]) and (
upperband[-1] -
lowerband[-1]) > 1.2 * (upperband - lowerband)[-21:].mean():
order_value(0, target_idx, context.initial / context.Tlen * 10, 1,
1, 2)
context.buyprice[target_idx] = close[-1]
context.stopprice[target_idx] = close[-1] * 0.9382
def on_bar(self, bar):
if self.cls_mode == gm.MD_MODE_PLAYBACK:
if bar.strtime[0:10] != self.cur_date[0:10]:
self.cur_date = bar.strtime[0:10] + ' 08:00:00'
# 新的交易日
self.init_data_newday()
symbol = bar.exchange + '.' + bar.sec_id
if symbol in self.dict_prev_close and self.dict_prev_close[
symbol] is None:
self.dict_prev_close[symbol] = bar.open
self.movement_stop_profit_loss(bar)
self.fixation_stop_profit_loss(bar)
pos = self.get_position(bar.exchange, bar.sec_id, OrderSide_Bid)
# 补充当天价格
if symbol in self.dict_price:
if self.dict_price[symbol][0][-1] < bar.high:
self.dict_price[symbol][0][-1] = bar.high
if self.dict_price[symbol][1][-1] > bar.low:
self.dict_price[symbol][1][-1] = bar.low
self.dict_price[symbol][2][-1] = bar.close
if self.dict_open_close_signal[symbol] is False:
# 当天未有对该代码开、平仓
if symbol in self.dict_price:
atr_index = talib.ATR(high=self.dict_price[symbol][0],
low=self.dict_price[symbol][1],
close=self.dict_price[symbol][2],
timeperiod=self.atr_period)
if pos is None and symbol not in self.dict_open_cum_days \
and (bar.close > self.dict_prev_close[symbol] + atr_index[-1] * self.buy_multi_atr):
# 有开仓机会则设置已开仓的交易天数
self.dict_open_cum_days[symbol] = 0
cash = self.get_cash()
cur_open_vol = self.open_vol
if cash.available / bar.close > self.open_vol:
cur_open_vol = self.open_vol
else:
cur_open_vol = int(
cash.available / bar.close / 100) * 100
if cur_open_vol == 0:
print(
'no available cash to buy, available cash: %.2f' %
cash.available)
else:
self.open_long(bar.exchange, bar.sec_id, bar.close,
cur_open_vol)
self.dict_open_close_signal[symbol] = True
logging.info(
'open long, symbol:%s, time:%s, price:%.2f' %
(symbol, bar.strtime, bar.close))
elif pos is not None and (bar.close <
self.dict_prev_close[symbol] -
atr_index[-1] * self.buy_multi_atr):
vol = pos.volume - pos.volume_today
if vol > 0:
self.close_long(bar.exchange, bar.sec_id, bar.close,
vol)
self.dict_open_close_signal[symbol] = True
logging.info(
'close long, symbol:%s, time:%s, price:%.2f' %
(symbol, bar.strtime, bar.close))
if symbol in self.dict_prev_close:
self.dict_prev_close[symbol] = bar.close
def position(self):
#仓位管理
vol = ta.ATR(self.high, self.low, self.close, timeperiod = self.N1)
def atrStopLoss(self, am, paraDict):
bandPeriod = paraDict['bandPeriod']
atrTime = paraDict['atrTime']
atr = ta.ATR(am.high, am.low, am.close, bandPeriod)
stopLossAtr = atrTime * atr
return stopLossAtr
def part_test(
con_id,
begin_time,
end_time,
# p_window, p_limit,
# v_window, v_limit,
# voli_window, voli_limit,
CCI_window,
CCI_limit,
# hold_time
):
print(con_id, begin_time, end_time)
try:
# print(con_id, begin_time, end_time)
# data_df = fut_data.load_intra_data(con_id, ['High', 'Low', 'Close', 'Volume', 'OpenInterest'])
data_df = fut_data.load_intra_reshape_data(
con_id, ['High', 'Low', 'Close', 'Volume', 'OpenInterest'])
if con_id == 'J1501.DCE':
print(1)
# begin_time = pd.to_datetime('20190101')
# # end_time = begin_time + timedelta(1)
# end_time = pd.to_datetime('20190401')
# p_window = 1
# p_limit = 1
# v_window = 20
# v_limit = 2
part_data_df = data_df.truncate(before=begin_time, after=end_time)
part_data_df['OpenInterest_core'] = FutIndex.boll_fun(
data_df['OpenInterest'], 100)
part_data_df['weekday'] = pd.to_datetime(
part_data_df['Date']).dt.weekday
part_data_df['weekday_pos'] = (
(part_data_df['weekday'] != 3)
# & (part_data_df['weekday'] != 3)
# & (part_data_df['weekday'] != 3)
# (part_data_df['weekday'] != 4)
).astype(int)
part_data_df['month'] = part_data_df['Date'].str.slice(5, 7)
# part_data_df['month_pos'] = ((part_data_df['month'] != '10') & (part_data_df['month'] != '12')).astype(int)
part_data_df['month_pos'] = (part_data_df['month'] != '1').astype(int)
# part_data_df['time_pos_cut'] = part_data_df.apply(lambda x: -1 if (((x['Time'] > '14:51')
# & (x['Time'] <= '15:00')
# # | (x['Time'] > '21:00')
# # & (x['Time'] <= '22:00')
# # | (x['Time'] > '21:00')
# # & (x['Time'] <= '22:00')
# )) else 1, axis=1)
part_data_df[
'Vol_OI'] = part_data_df['Volume'] / part_data_df['OpenInterest']
part_data_df['Volume_boll'] = FutIndex.boll_fun(
part_data_df[['Volume']], CCI_window)
part_data_df['past_roll_Volume'] = bt.AZ_Rolling_mean(
part_data_df[['Volume']], CCI_window)
v_window = 60
part_data_df['Volume_zscore'] = bt.AZ_Col_zscore(
part_data_df[['Volume']], CCI_window)
part_data_df['Volume_signal'] = part_data_df['Volume_zscore'][
part_data_df['Volume_zscore'] < 1].astype(int)
# part_data_df['Volume_signal'] = (part_data_df['Volume_zscore'] < 2).astype(int).replace(0, -1)
p_window = 5
# part_data_df['past_min_pct_change'] = (part_data_df['Close'] - part_data_df['Close'].shift(p_window)) \
# / part_data_df['Close'].shift(p_window)
part_data_df['past_min_pct_change'] = (
part_data_df['Close'] / part_data_df['Close'].shift(p_window) - 1)
part_data_df['past_min_pct_signal'] = part_data_df['past_min_pct_change'] \
.apply(lambda x: 0 if abs(x) < 0.004 else (1 if x > 0.004 else -1))
test_window = CCI_window
macd, macdsignal, macdhist = ta.MACD(part_data_df['Close'], 12, 26, 9)
part_data_df['macd'] = macd
RSI = ta.RSI(part_data_df['Close'], test_window)
RSI = RSI - 50
RSI[RSI > 20] = 20
RSI[RSI < -20] = -20
part_data_df['RSI'] = RSI
part_data_df['RSI_signal'] = Signal.fun_1(part_data_df['RSI'], 1)
part_data_df['RSI_pos'] = Position.fun_1(part_data_df['RSI_signal'],
limit=60)
# aroondown, aroonup = ta.AROON(part_data_df['High'], part_data_df['Low'], test_window)
obv = ta.OBV(part_data_df['Close'], part_data_df['Volume'])
part_data_df['obv'] = obv
atr = ta.ATR(part_data_df['High'], part_data_df['Low'],
part_data_df['Close'], test_window)
part_data_df['atr'] = atr
adx = ta.ADX(part_data_df['High'], part_data_df['Low'],
part_data_df['Close'], test_window)
part_data_df['adx'] = adx
trix = ta.TRIX(part_data_df['Close'], 60)
part_data_df['trix'] = trix
willr = ta.WILLR(part_data_df['High'], part_data_df['Low'],
part_data_df['Close'], test_window)
part_data_df['willr'] = willr
part_data_df['CCI_score'] = FutIndex.CCI_fun(part_data_df['High'],
part_data_df['Low'],
part_data_df['Close'],
CCI_window)
part_data_df['CCI_signal'] = Signal.fun_1(part_data_df['CCI_score'],
CCI_limit)
part_data_df['CCI_pos'] = Position.fun_1(part_data_df['CCI_signal'])
part_data_df['boll_score'], ma_n, md_n = FutIndex.boll_fun(
part_data_df['Close'], CCI_window, return_line=True)
part_data_df['boll_signal'] = Signal.fun_1(part_data_df['boll_score'],
CCI_limit)
part_data_df['boll_pos'] = Position.fun_1(part_data_df['boll_signal'])
# part_data_df['boll_pos'] = Position.fun_3(part_data_df['boll_signal'], part_data_df['past_min_pct_signal'])
# part_data_df['trend_signal'] = bt.AZ_Rolling(part_data_df['Close'], 500).std()
# part_data_df['trend_pos'] = (part_data_df['trend_signal'] < 40).astype(int)
part_data_df['trend_indicator'] = bt.AZ_Rolling(part_data_df['Close'], 100). \
apply(lambda x: (x[-1] / x[0] - 1) / (max(x) / min(x) - 1), raw=False)
part_data_df['trend_pos'] = (part_data_df['trend_indicator'] <
0.5).astype(int)
# part_data_df['position'] = part_data_df['boll_pos'] * part_data_df['weekday_pos'] * part_data_df['month_pos']
part_data_df['position'] = part_data_df['CCI_pos']
# * part_data_df['trend_pos'] # * part_data_df['trend_pos']
part_data_df['position_sft'] = (part_data_df['position'].shift(2) *
part_data_df['weekday_pos']).fillna(0)
# * part_data_df['month_pos'])
part_data_df['price_return'] = part_data_df['Close'] - part_data_df[
'Close'].shift(1)
# part_data_df['price_return_sum'] = bt.AZ_Rolling(part_data_df['price_return'], hold_time).sum() \
# .shift(-hold_time + 1)
part_data_df['pnl'] = part_data_df['position_sft'] * part_data_df[
'price_return']
part_data_df['asset'] = part_data_df['pnl'].cumsum()
# part_data_df['pnl_test'] = part_data_df['signal'] * part_data_df['price_return_sum'].shift(-2)
part_data_df['turnover'] = (part_data_df['position_sft'] - part_data_df['position_sft'].shift(1)) \
* part_data_df['Close']
# 剔除开盘收盘5min的signal
# if '1910' in con_id:
# plt.figure(figsize=[64, 64])
# ax1 = plt.subplot(4, 1, 1)
# ax2 = plt.subplot(4, 1, 2)
# ax3 = plt.subplot(4, 1, 3)
# ax1.plot(part_data_df['asset'].values)
# # ax2.plot(part_data_df['Close'].values, '--', color='#75bbfd')
# ax2.scatter(np.array(range(len(part_data_df.index)))[(part_data_df['position_sft'] > 0)],
# part_data_df['Close'][part_data_df['position_sft'] > 0], s=0.5, color='red')
#
# ax2.scatter(np.array(range(len(part_data_df.index)))[(part_data_df['position_sft'] == 0)],
# part_data_df['Close'][part_data_df['position_sft'] == 0], s=0.5, color='black')
#
# ax2.scatter(np.array(range(len(part_data_df.index)))[(part_data_df['position_sft'] < 0)],
# part_data_df['Close'][part_data_df['position_sft'] < 0], s=0.5, color='blue')
#
# # ax2.scatter(np.array(range(len(part_data_df.index)))[(part_data_df['past_min_pct_signal'] > 0)],
# # part_data_df['Close'][part_data_df['past_min_pct_signal'] > 0], s=20, color='y')
# # ax2.scatter(np.array(range(len(part_data_df.index)))[(part_data_df['past_min_pct_signal'] < 0)],
# # part_data_df['Close'][part_data_df['past_min_pct_signal'] < 0], s=20, color='#f504c9')
#
# ax3.bar(range(len(part_data_df.index)), part_data_df['Volume'].values)
#
# ax1.grid()
# ax2.grid()
# ax3.grid()
# plt.title(con_id)
# savfig_send(con_id)
part_pnl_df = part_data_df.groupby('Date')['pnl'].sum()
part_turnover = part_data_df.groupby('Date')['turnover'].apply(
lambda x: sum(abs(x)))
return part_pnl_df, part_turnover, part_data_df
except Exception as error:
print(error)
return pd.Series(), pd.Series(), pd.Series()
def atr(self, n, array=False):
"""ATR指标"""
result = talib.ATR(self.high, self.low, self.close, n)
if array:
return result
return result[-1]
def get_factors(index,
Open,
Close,
High,
Low,
Volume,
rolling = 26,
drop=False,
normalization=True):
tmp = pd.DataFrame()
tmp['tradeTime'] = index
#累积/派发线（Accumulation / Distribution Line，该指标将每日的成交量通过价格加权累计，用以计算成交量的动量。属于趋势型因子
tmp['AD'] = talib.AD(High, Low, Close, Volume)
# 佳庆指标（Chaikin Oscillator），该指标基于AD曲线的指数移动均线而计算得到。属于趋势型因子
tmp['ADOSC'] = talib.ADOSC(High, Low, Close, Volume, fastperiod=3, slowperiod=10)
# 平均动向指数，DMI因子的构成部分。属于趋势型因子
tmp['ADX'] = talib.ADX(High, Low, Close,timeperiod=14)
# 相对平均动向指数，DMI因子的构成部分。属于趋势型因子
tmp['ADXR'] = talib.ADXR(High, Low, Close,timeperiod=14)
# 绝对价格振荡指数
tmp['APO'] = talib.APO(Close, fastperiod=12, slowperiod=26)
# Aroon通过计算自价格达到近期最高值和最低值以来所经过的期间数，帮助投资者预测证券价格从趋势到区域区域或反转的变化，
#Aroon指标分为Aroon、AroonUp和AroonDown3个具体指标。属于趋势型因子
tmp['AROONDown'], tmp['AROONUp'] = talib.AROON(High, Low,timeperiod=14)
tmp['AROONOSC'] = talib.AROONOSC(High, Low,timeperiod=14)
# 均幅指标（Average TRUE Ranger），取一定时间周期内的股价波动幅度的移动平均值，是显示市场变化率的指标，主要用于研判买卖时机。属于超买超卖型因子。
tmp['ATR14']= talib.ATR(High, Low, Close, timeperiod=14)
tmp['ATR6']= talib.ATR(High, Low, Close, timeperiod=6)
# 布林带
tmp['Boll_Up'],tmp['Boll_Mid'],tmp['Boll_Down']= talib.BBANDS(Close, timeperiod=20, nbdevup=2, nbdevdn=2, matype=0)
# 均势指标
tmp['BOP'] = talib.BOP(Open, High, Low, Close)
#5日顺势指标（Commodity Channel Index），专门测量股价是否已超出常态分布范围。属于超买超卖型因子。
tmp['CCI5'] = talib.CCI(High, Low, Close, timeperiod=5)
tmp['CCI10'] = talib.CCI(High, Low, Close, timeperiod=10)
tmp['CCI20'] = talib.CCI(High, Low, Close, timeperiod=20)
tmp['CCI88'] = talib.CCI(High, Low, Close, timeperiod=88)
# 钱德动量摆动指标（Chande Momentum Osciliator），与其他动量指标摆动指标如相对强弱指标（RSI）和随机指标（KDJ）不同，
# 钱德动量指标在计算公式的分子中采用上涨日和下跌日的数据。属于超买超卖型因子
tmp['CMO_Close'] = talib.CMO(Close,timeperiod=14)
tmp['CMO_Open'] = talib.CMO(Close,timeperiod=14)
# DEMA双指数移动平均线
tmp['DEMA6'] = talib.DEMA(Close, timeperiod=6)
tmp['DEMA12'] = talib.DEMA(Close, timeperiod=12)
tmp['DEMA26'] = talib.DEMA(Close, timeperiod=26)
# DX 动向指数
tmp['DX'] = talib.DX(High, Low, Close,timeperiod=14)
# EMA 指数移动平均线
tmp['EMA6'] = talib.EMA(Close, timeperiod=6)
tmp['EMA12'] = talib.EMA(Close, timeperiod=12)
tmp['EMA26'] = talib.EMA(Close, timeperiod=26)
# KAMA 适应性移动平均线
tmp['KAMA'] = talib.KAMA(Close, timeperiod=30)
# MACD
tmp['MACD_DIF'],tmp['MACD_DEA'],tmp['MACD_bar'] = talib.MACD(Close, fastperiod=12, slowperiod=24, signalperiod=9)
# 中位数价格 不知道是什么意思
tmp['MEDPRICE'] = talib.MEDPRICE(High, Low)
# 负向指标 负向运动
tmp['MiNUS_DI'] = talib.MINUS_DI(High, Low, Close,timeperiod=14)
tmp['MiNUS_DM'] = talib.MINUS_DM(High, Low,timeperiod=14)
# 动量指标（Momentom Index），动量指数以分析股价波动的速度为目的，研究股价在波动过程中各种加速，减速，惯性作用以及股价由静到动或由动转静的现象。属于趋势型因子
tmp['MOM'] = talib.MOM(Close, timeperiod=10)
# 归一化平均值范围
tmp['NATR'] = talib.NATR(High, Low, Close,timeperiod=14)
# OBV 能量潮指标（On Balance Volume，OBV），以股市的成交量变化来衡量股市的推动力，从而研判股价的走势。属于成交量型因子
tmp['OBV'] = talib.OBV(Close, Volume)
# PLUS_DI 更向指示器
tmp['PLUS_DI'] = talib.PLUS_DI(High, Low, Close,timeperiod=14)
tmp['PLUS_DM'] = talib.PLUS_DM(High, Low, timeperiod=14)
# PPO 价格振荡百分比
tmp['PPO'] = talib.PPO(Close, fastperiod=6, slowperiod= 26, matype=0)
# ROC 6日变动速率（Price Rate of Change），以当日的收盘价和N天前的收盘价比较，
#通过计算股价某一段时间内收盘价变动的比例，应用价格的移动比较来测量价位动量。属于超买超卖型因子。
tmp['ROC6'] = talib.ROC(Close, timeperiod=6)
tmp['ROC20'] = talib.ROC(Close, timeperiod=20)
#12日量变动速率指标（Volume Rate of Change），以今天的成交量和N天前的成交量比较，通过计算某一段时间内成交量变动的幅度，应用成交量的移动比较来测量成交量运动趋向，
#达到事先探测成交量供需的强弱，进而分析成交量的发展趋势及其将来是否有转势的意愿，属于成交量的反趋向指标。属于成交量型因子
tmp['VROC6'] = talib.ROC(Volume, timeperiod=6)
tmp['VROC20'] = talib.ROC(Volume, timeperiod=20)
# ROC 6日变动速率（Price Rate of Change），以当日的收盘价和N天前的收盘价比较，
#通过计算股价某一段时间内收盘价变动的比例，应用价格的移动比较来测量价位动量。属于超买超卖型因子。
tmp['ROCP6'] = talib.ROCP(Close, timeperiod=6)
tmp['ROCP20'] = talib.ROCP(Close, timeperiod=20)
#12日量变动速率指标（Volume Rate of Change），以今天的成交量和N天前的成交量比较，通过计算某一段时间内成交量变动的幅度，应用成交量的移动比较来测量成交量运动趋向，
#达到事先探测成交量供需的强弱，进而分析成交量的发展趋势及其将来是否有转势的意愿，属于成交量的反趋向指标。属于成交量型因子
tmp['VROCP6'] = talib.ROCP(Volume, timeperiod=6)
tmp['VROCP20'] = talib.ROCP(Volume, timeperiod=20)
# RSI
tmp['RSI'] = talib.RSI(Close, timeperiod=14)
# SAR 抛物线转向
tmp['SAR'] = talib.SAR(High, Low, acceleration=0.02, maximum=0.2)
# TEMA
tmp['TEMA6'] = talib.TEMA(Close, timeperiod=6)
tmp['TEMA12'] = talib.TEMA(Close, timeperiod=12)
tmp['TEMA26'] = talib.TEMA(Close, timeperiod=26)
# TRANGE 真实范围
tmp['TRANGE'] = talib.TRANGE(High, Low, Close)
# TYPPRICE 典型价格
tmp['TYPPRICE'] = talib.TYPPRICE(High, Low, Close)
# TSF 时间序列预测
tmp['TSF'] = talib.TSF(Close, timeperiod=14)
# ULTOSC 极限振子
tmp['ULTOSC'] = talib.ULTOSC(High, Low, Close, timeperiod1=7, timeperiod2=14, timeperiod3=28)
# 威廉指标
tmp['WILLR'] = talib.WILLR(High, Low, Close, timeperiod=14)
# 标准化
if normalization:
factors_list = tmp.columns.tolist()[1:]
if rolling >= 26:
for i in factors_list:
tmp[i] = (tmp[i] - tmp[i].rolling(window=rolling, center=False).mean())/ tmp[i].rolling(window=rolling, center=False).std()
elif rolling < 26 & rolling > 0:
print ('Recommended rolling range greater than 26')
elif rolling <=0:
for i in factors_list:
tmp[i] = (tmp[i] - tmp[i].mean())/tmp[i].std()
if drop:
tmp.dropna(inplace=True)
tmp.set_index('tradeTime', inplace=True)
return tmp
row['Coin'],
row['Pair_tuple'],
limit=250,
aggregate=1,
exchange=row['Exchange'])
closes = df_daily.close.values
lows = df_daily.low.values
highs = df_daily.high.values
opens = df_daily.open.values
volumetos = df_daily.volumeto.values
rsi = talib.RSI(closes, timeperiod=14)
ema12 = talib.EMA(closes, timeperiod=12)
ema26 = talib.EMA(closes, timeperiod=26)
ema50 = talib.EMA(closes, timeperiod=50)
ema200 = talib.EMA(closes, timeperiod=200)
atr = talib.ATR(highs, lows, closes, timeperiod=14)
obv = talib.OBV(closes, volumetos)
list_indicators.append([
row.Coin + '/' + row.Pair_tuple, closes[-2], rsi[-2], ema50[-2],
ema200[-2]
])
print(i)
except:
list_missing.append([row.Coin + '/' + row.Pair_tuple, row.Exchange])
pass
df_indicators = pd.DataFrame(
list_indicators,
columns=['Pair', '1H Close', '1H RSI', '1H EMA50', '1H EMA200'])
df_indicators.set_index('Pair', inplace=True)
def ATR(high, low, close, timeperiod=14):
# AVERAGE TRUE RANGE
real_ = ta.ATR(high, low, close, timeperiod)
return real_
df['OBV'] = ta.OBV(df.close.values, df.volume.values.astype(float))
df['ADOSC'] = ta.ADOSC(df.high.values,
df.low.values,
df.close.values,
df.volume.values.astype(float),
fastperiod=3,
slowperiod=10)
df['EMA5'] = ta.EMA(df.close.values, timeperiod=5)
df['EMA10'] = ta.EMA(df.close.values, timeperiod=10)
df['EMA20'] = ta.EMA(df.close.values, timeperiod=20)
df['EMA60'] = ta.EMA(df.close.values, timeperiod=60)
df['EMA120'] = ta.EMA(df.close.values, timeperiod=120)
df['CRTDR'] = (df.close.values - df.low.values) / (df.high.values -
df.low.values)
df['ATR'] = ta.ATR(df.high.values,
df.low.values,
df.close.values,
timeperiod=12)
#look at returns
df['1day_returns'] = np.log(df.close / df.close.shift(1))
df['5day_returns'] = np.log(df.close / df.close.shift(5))
df['10day_returns'] = np.log(df.close / df.close.shift(10))
df['20day_returns'] = np.log(df.close / df.close.shift(20))
df['60day_returns'] = np.log(df.close / df.close.shift(60))
#Signals if price goes up or down in future
df['1day_Signal'] = 0
df['5day_Signal'] = 0
df['10day_Signal'] = 0
df['20day_Signal'] = 0
df['60day_Signal'] = 0
def get_factors(high, low, close, volume, set_bool):
BBANDS = False
DEMA = False
EMA = False
HT_TRENDLINE = False
KAMA = False
MA = False
MAMA = False
MIDPOINT = False
MIDPRICE = False
SAR = False
SAREXT = False
SMA = False
T3 = False
TEMA = False
TRIMA = False
WMA = False
AD = False
ADOSC = False
OBV = False
HT_DCPERIOD = False
HT_DCPHASE = False
HT_PHASOR = False
HT_SINE = False
HT_TRENDMODE = False
AVGPRICE = False
MEDPRICE = False
TYPPRICE = False
WCLPRICE = False
ATR = False
NATR = False
TRANGE = False
ADX = False
ADXR = False
APO = False
AROON = False
AROONOSC = False
BOP = False
CCI = False
CMO = False
DX = False
MACD = False
ivergence = False
MACDEXT = False
MACDFIX = False
MFI = False
MINUS_DI = False
MINUS_DM = False
MOM = False
PLUS_DI = False
PLUS_DM = False
PPO = False
ROC = False
ROCP = False
ROCR = False
ROCR100 = False
RSI = False
STOCH = False
STOCHF = False
STOCHRSI = False
TRIX = False
ULTOSC = False
WILLR = False
if 'BBANDS' in set_bool:
BBANDS = True
if 'DEMA' in set_bool:
DEMA = True
if 'EMA' in set_bool:
EMA = True
if 'HT_TRENDLINE' in set_bool:
HT_TRENDLINE = True
if 'KAMA' in set_bool:
KAMA = True
if 'MA' in set_bool:
MA = True
if 'MAMA' in set_bool:
MAMA = True
if 'MIDPOINT' in set_bool:
MIDPOINT = True
if 'MIDPRICE' in set_bool:
MIDPRICE = True
if 'SAR' in set_bool:
SAR = True
if 'SAREXT' in set_bool:
SAREXT = True
if 'SMA' in set_bool:
SMA = True
if 'T3' in set_bool:
T3 = True
if 'TEMA' in set_bool:
TEMA = True
if 'TRIMA' in set_bool:
TRIMA = True
if 'WMA' in set_bool:
WMA = True
if 'AD' in set_bool:
AD = True
if 'ADOSC' in set_bool:
ADOSC = True
if 'OBV' in set_bool:
OBV = True
if 'HT_DCPERIOD' in set_bool:
HT_DCPERIOD = True
if 'HT_DCPHASE' in set_bool:
HT_DCPHASE = True
if 'HT_PHASOR' in set_bool:
HT_PHASOR = True
if 'HT_SINE' in set_bool:
HT_SINE = True
if 'HT_TRENDMODE' in set_bool:
HT_TRENDMODE = True
if 'AVGPRICE' in set_bool:
AVGPRICE = True
if 'MEDPRICE' in set_bool:
MEDPRICE = True
if 'TYPPRICE' in set_bool:
TYPPRICE = True
if 'WCLPRICE' in set_bool:
WCLPRICE = True
if 'ATR' in set_bool:
ATR = True
if 'NATR' in set_bool:
NATR = True
if 'TRANGE' in set_bool:
TRANGE = True
if 'ADX' in set_bool:
ADX = True
if 'ADXR' in set_bool:
ADXR = True
if 'APO' in set_bool:
APO = True
if 'AROON' in set_bool:
AROON = True
if 'AROONOSC' in set_bool:
AROONOSC = True
if 'BOP' in set_bool:
BOP = True
if 'CCI' in set_bool:
CCI = True
if 'CMO' in set_bool:
CMO = True
if 'DX' in set_bool:
DX = True
if 'MACD' in set_bool:
MACD = True
if 'ivergence' in set_bool:
ivergence = True
if 'MACDEXT' in set_bool:
MACDEXT = True
if 'MACDFIX' in set_bool:
MACDFIX = True
if 'MFI' in set_bool:
MFI = True
if 'MINUS_DI' in set_bool:
MINUS_DI = True
if 'MINUS_DM' in set_bool:
MINUS_DM = True
if 'MOM' in set_bool:
MOM = True
if 'PLUS_DI' in set_bool:
PLUS_DI = True
if 'PLUS_DM' in set_bool:
PLUS_DM = True
if 'PPO' in set_bool:
PPO = True
if 'ROC' in set_bool:
ROC = True
if 'ROCP' in set_bool:
ROCP = True
if 'ROCR' in set_bool:
ROCR = True
if 'ROCR100' in set_bool:
ROCR100 = True
if 'RSI' in set_bool:
RSI = True
if 'STOCH' in set_bool:
STOCH = True
if 'STOCHF' in set_bool:
STOCHF = True
if 'STOCHRSI' in set_bool:
STOCHRSI = True
if 'TRIX' in set_bool:
TRIX = True
if 'ULTOSC' in set_bool:
ULTOSC = True
if 'WILLR' in set_bool:
WILLR = True
fators = [
'BBANDS', 'DEMA', 'EMA', 'HT_TRENDLINE', 'KAMA', 'MA', 'MAMA',
'MIDPOINT', 'MIDPRICE', 'SAR', 'SAREXT', 'SMA', 'T3', 'TEMA', 'TRIMA',
'WMA', 'AD', 'ADOSC', 'OBV', 'HT_DCPERIOD', 'HT_DCPHASE', 'HT_PHASOR',
'HT_SINE', 'HT_TRENDMODE', 'AVGPRICE', 'MEDPRICE', 'TYPPRICE',
'WCLPRICE', 'ATR', 'NATR', 'TRANGE', 'ADX', 'ADXR', 'APO', 'AROON',
'AROONOSC', 'BOP', 'CCI', 'CMO', 'DX', 'MACD', 'ivergence', 'MACDEXT',
'MACDFIX', 'MFI', 'MINUS_DI', 'MINUS_DM', 'MOM', 'PLUS_DI', 'PLUS_DM',
'PPO', 'ROC', 'ROCP', 'ROCR', 'ROCR100', 'RSI', 'STOCH', 'STOCHF',
'STOCHRSI', 'TRIX', 'ULTOSC', 'WILLR'
]
data_sets = np.zeros([len(high), 1])
if BBANDS == True:
upperband, middleband, lowerband = ta.BBANDS(close,
timeperiod=5,
nbdevup=2,
nbdevdn=2,
matype=0)
upperband = array_process(upperband)
middleband = array_process(middleband)
lowerband = array_process(lowerband)
data_sets = np.hstack([data_sets, upperband, middleband, lowerband])
if DEMA == True:
dema = ta.DEMA(close, timeperiod=30)
dema = array_process(dema)
data_sets = np.hstack([data_sets, dema])
if EMA == True:
ema = ta.EMA(close, timeperiod=30)
ema = array_process(ema)
data_sets = np.hstack([data_sets, ema])
if HT_TRENDLINE == True:
trendline = ta.HT_TRENDLINE(close)
trendline = array_process(trendline)
data_sets = np.hstack([data_sets, trendline])
if KAMA == True:
kama = ta.KAMA(close, timeperiod=30)
kama = array_process(kama)
data_sets = np.hstack([data_sets, kama])
if MA == True:
ma = ta.MA(close, timeperiod=30, matype=0)
ma = array_process(ma)
data_sets = np.hstack([data_sets, ma])
if MAMA == True:
mama, fama = ta.MAMA(close, fastlimit=0, slowlimit=0)
mama = array_process(mama)
fama = array_process(fama)
data_sets = np.hstack([data_sets, mama, fama])
if MIDPOINT == True:
midpoint = ta.MIDPOINT(close, timeperiod=14)
midpoint = array_process(midpoint)
data_sets = np.hstack([data_sets, midpoint])
if MIDPRICE == True:
midprice = ta.MIDPRICE(high, low, timeperiod=14)
midprice = array_process(midprice)
data_sets = np.hstack([data_sets, midprice])
if SAR == True:
sar = ta.SAR(high, low, acceleration=0, maximum=0)
sar = array_process(sar)
data_sets = np.hstack([data_sets, sar])
if SAREXT == True:
sarext = ta.SAREXT(high,
low,
startvalue=0,
offsetonreverse=0,
accelerationinitlong=0,
accelerationlong=0,
accelerationmaxlong=0,
accelerationinitshort=0,
accelerationshort=0,
accelerationmaxshort=0)
sarext = array_process(sarext)
data_sets = np.hstack([data_sets, sarext])
if SMA == True:
sma = ta.SMA(close, timeperiod=30)
sma = array_process(sma)
data_sets = np.hstack([data_sets, sma])
if T3 == True:
t3 = ta.T3(close, timeperiod=5, vfactor=0)
t3 = array_process(t3)
data_sets = np.hstack([data_sets, t3])
if TEMA == True:
tema = ta.TEMA(close, timeperiod=30)
tema = array_process(tema)
data_sets = np.hstack([data_sets, tema])
if TRIMA == True:
trima = ta.TRIMA(close, timeperiod=30)
trima = array_process(trima)
data_sets = np.hstack([data_sets, trima])
if WMA == True:
wma = ta.WMA(close, timeperiod=30)
wma = array_process(wma)
data_sets = np.hstack([data_sets, wma])
if AD == True:
ad = ta.AD(high, low, close, volume)
ad = array_process(ad)
data_sets = np.hstack([data_sets, ad])
if ADOSC == True:
adosc = ta.ADOSC(high, low, close, volume, fastperiod=3, slowperiod=10)
adosc = array_process(adosc)
data_sets = np.hstack([data_sets, adosc])
if OBV == True:
obv = ta.OBV(close, volume)
obv = array_process(obv)
data_sets = np.hstack([data_sets, obv])
if HT_DCPERIOD == True:
dcperiod = ta.HT_DCPERIOD(close)
dcperiod = array_process(dcperiod)
data_sets = np.hstack([data_sets, dcperiod])
if HT_DCPHASE == True:
dcphase = ta.HT_DCPHASE(close)
dcphase = array_process(dcphase)
data_sets = np.hstack([data_sets, dcphase])
if HT_PHASOR == True:
inphase, quadrature = ta.HT_PHASOR(close)
inphase = array_process(inphase)
data_sets = np.hstack([data_sets, inphase])
quadrature = array_process(quadrature)
data_sets = np.hstack([data_sets, quadrature])
if HT_SINE == True:
sine, leadsine = ta.HT_SINE(close)
sine = array_process(sine)
data_sets = np.hstack([data_sets, sine])
leadsine = array_process(leadsine)
data_sets = np.hstack([data_sets, leadsine])
if HT_TRENDMODE == True:
integer = ta.HT_TRENDMODE(close)
integer = array_process(integer)
data_sets = np.hstack([data_sets, integer])
if AVGPRICE == True:
avgprice = ta.AVGPRICE(open, high, low, close)
avgprice = array_process(avgprice)
data_sets = np.hstack([data_sets, avgprice])
if MEDPRICE == True:
medprice = ta.MEDPRICE(high, low)
medprice = array_process(medprice)
data_sets = np.hstack([data_sets, medprice])
if TYPPRICE == True:
typprice = ta.TYPPRICE(high, low, close)
typprice = array_process(typprice)
data_sets = np.hstack([data_sets, typprice])
if WCLPRICE == True:
wclprice = ta.WCLPRICE(high, low, close)
wclprice = array_process(wclprice)
data_sets = np.hstack([data_sets, wclprice])
if ATR == True:
atr = ta.ATR(high, low, close, timeperiod=14)
atr = array_process(atr)
data_sets = np.hstack([data_sets, atr])
if NATR == True:
natr = ta.NATR(high, low, close, timeperiod=14)
natr = array_process(natr)
data_sets = np.hstack([data_sets, natr])
if TRANGE == True:
trange = ta.TRANGE(high, low, close)
natr = array_process(trange)
data_sets = np.hstack([data_sets, trange])
if ADX == True:
adx = ta.ADX(high, low, close, timeperiod=14)
adx = array_process(adx)
data_sets = np.hstack([data_sets, adx])
if ADXR == True:
adxr = ta.ADXR(high, low, close, timeperiod=14)
adxr = array_process(adxr)
data_sets = np.hstack([data_sets, adxr])
if APO == True:
apo = ta.APO(close, fastperiod=12, slowperiod=26, matype=0)
apo = array_process(apo)
data_sets = np.hstack([data_sets, apo])
if AROON == True:
aroondown, aroonup = ta.AROON(high, low, timeperiod=14)
aroondown = array_process(aroondown)
data_sets = np.hstack([data_sets, aroondown])
aroonup = array_process(aroonup)
data_sets = np.hstack([data_sets, aroonup])
if AROONOSC == True:
aroonosc = ta.AROONOSC(high, low, timeperiod=14)
aroonosc = array_process(aroonosc)
data_sets = np.hstack([data_sets, aroonosc])
if BOP == True:
bop = ta.BOP(open, high, low, close)
bop = array_process(bop)
data_sets = np.hstack([data_sets, bop])
if CCI == True:
cci = ta.CCI(high, low, close, timeperiod=14)
cci = array_process(cci)
data_sets = np.hstack([data_sets, cci])
if CMO == True:
cmo = ta.CMO(close, timeperiod=14)
cmo = array_process(cmo)
data_sets = np.hstack([data_sets, cmo])
if DX == True:
dx = ta.DX(high, low, close, timeperiod=14)
dx = array_process(dx)
data_sets = np.hstack([data_sets, dx])
if MACD == True:
macd, macdsignal, macdhist = ta.MACD(close,
fastperiod=12,
slowperiod=26,
signalperiod=9)
macd = array_process(macd)
data_sets = np.hstack([data_sets, macd])
macdhist = array_process(macdhist)
data_sets = np.hstack([data_sets, macdhist])
macdsignal = array_process(macdsignal)
data_sets = np.hstack([data_sets, macdsignal])
if MACDEXT == True:
macd, macdsignal, macdhist = ta.MACDEXT(close,
fastperiod=12,
fastmatype=0,
slowperiod=26,
slowmatype=0,
signalperiod=9,
signalmatype=0)
macd = array_process(macd)
data_sets = np.hstack([data_sets, macd])
macdhist = array_process(macdhist)
data_sets = np.hstack([data_sets, macdhist])
macdsignal = array_process(macdsignal)
data_sets = np.hstack([data_sets, macdsignal])
if MACDFIX == True:
macd, macdsignal, macdhist = ta.MACDFIX(close, signalperiod=9)
macd = array_process(macd)
data_sets = np.hstack([data_sets, macd])
macdhist = array_process(macdhist)
data_sets = np.hstack([data_sets, macdhist])
macdsignal = array_process(macdsignal)
data_sets = np.hstack([data_sets, macdsignal])
if MFI == True:
mfi = ta.MFI(high, low, close, volume, timeperiod=14)
mfi = array_process(mfi)
data_sets = np.hstack([data_sets, mfi])
if MINUS_DI == True:
minus_di = ta.MINUS_DI(high, low, close, timeperiod=14)
minus_di = array_process(minus_di)
data_sets = np.hstack([data_sets, minus_di])
if MINUS_DM == True:
minus_dm = ta.MINUS_DM(high, low, timeperiod=14)
minus_dm = array_process(minus_dm)
data_sets = np.hstack([data_sets, minus_dm])
if MOM == True:
mom = ta.MOM(close, timeperiod=10)
mom = array_process(mom)
data_sets = np.hstack([data_sets, mom])
if PLUS_DI == True:
plus_di = ta.PLUS_DI(high, low, close, timeperiod=14)
plus_di = array_process(plus_di)
data_sets = np.hstack([data_sets, plus_di])
if PLUS_DM == True:
plus_dm = ta.PLUS_DM(high, low, timeperiod=14)
plus_dm = array_process(plus_dm)
data_sets = np.hstack([data_sets, plus_dm])
if PPO == True:
ppo = ta.PPO(close, fastperiod=12, slowperiod=26, matype=0)
ppo = array_process(ppo)
data_sets = np.hstack([data_sets, ppo])
if ROC == True:
roc = ta.ROC(close, timeperiod=10)
roc = array_process(roc)
data_sets = np.hstack([data_sets, roc])
if ROCP == True:
rocp = ta.ROCP(close, timeperiod=10)
rocp = array_process(rocp)
data_sets = np.hstack([data_sets, rocp])
if ROCR == True:
rocr = ta.ROCR(close, timeperiod=10)
rocr = array_process(rocr)
data_sets = np.hstack([data_sets, rocr])
if ROCR100 == True:
rocr100 = ta.ROCR100(close, timeperiod=10)
rocr100 = array_process(rocr100)
data_sets = np.hstack([data_sets, rocr100])
if RSI == True:
rsi = ta.RSI(close, timeperiod=14)
rsi = array_process(rsi)
data_sets = np.hstack([data_sets, rsi])
if STOCH == True:
slowk, slowd = ta.STOCH(high,
low,
close,
fastk_period=5,
slowk_period=3,
slowk_matype=0,
slowd_period=3,
slowd_matype=0)
slowd = array_process(slowd)
data_sets = np.hstack([data_sets, slowd])
slowk = array_process(slowk)
data_sets = np.hstack([data_sets, slowk])
if STOCHF == True:
fastk, fastd = ta.STOCHF(high,
low,
close,
fastk_period=5,
fastd_period=3,
fastd_matype=0)
fastd = array_process(fastd)
data_sets = np.hstack([data_sets, fastd])
fastk = array_process(fastk)
data_sets = np.hstack([data_sets, fastk])
if STOCHRSI == True:
fastk, fastd = ta.STOCHRSI(close,
timeperiod=14,
fastk_period=5,
fastd_period=3,
fastd_matype=0)
fastk = array_process(fastk)
data_sets = np.hstack([data_sets, fastk])
fastd = array_process(fastd)
data_sets = np.hstack([data_sets, fastd])
if TRIX == True:
trix = ta.TRIX(close, timeperiod=30)
trix = array_process(trix)
data_sets = np.hstack([data_sets, trix])
if ULTOSC == True:
ultosc = ta.ULTOSC(high,
low,
close,
timeperiod1=7,
timeperiod2=14,
timeperiod3=28)
ultosc = array_process(ultosc)
data_sets = np.hstack([data_sets, ultosc])
if WILLR == True:
willr = ta.WILLR(high, low, close, timeperiod=14)
willr = array_process(willr)
data_sets = np.hstack([data_sets, willr])
return data_sets[:, 1:]
def show(args, klines, kline_column_names, display_count, disp_ic_keys):
for index, value in enumerate(kline_column_names):
if value == "high":
highindex = index
if value == "low":
lowindex = index
if value == "open":
openindex = index
if value == "close":
closeindex = index
if value == "volume":
volumeindex = index
if value == "open_time":
opentimeindex = index
klines_df = pd.DataFrame(klines, columns=kline_column_names)
open_times = [
datetime.fromtimestamp((float(open_time) / 1000))
for open_time in klines_df["open_time"][-display_count:]
]
close_times = [
datetime.fromtimestamp((float(close_time) / 1000))
for close_time in klines_df["close_time"][-display_count:]
]
fig, axes = plt.subplots(len(disp_ic_keys) + 1, 1, sharex=True)
fig.subplots_adjust(left=0.05,
bottom=0.04,
right=1,
top=1,
wspace=0,
hspace=0)
fig.suptitle(args.s + ' ' + args.i)
quotes = []
for k in klines[-display_count:]:
d = datetime.fromtimestamp(k[0] / 1000)
quote = (dts.date2num(d), float(k[1]), float(k[4]), float(k[2]),
float(k[3]))
quotes.append(quote)
i = -1
# kine
i += 1
ax = axes[i]
mpf.candlestick_ochl(axes[i],
quotes,
width=0.02,
colorup='g',
colordown='r')
ax.set_ylabel('price')
ax.grid(True)
ax.autoscale_view()
ax.xaxis_date()
handle_overlap_studies(args, ax, klines_df, close_times, display_count)
"""
if args.EBANDS: # BANDS
name = 'EBANDS'
upperband, middleband, lowerband = tal.EBANDS(klines_df, timeperiod=26)
ax.plot(close_times, middleband[-display_count:], "b--", label=name)
ax.plot(close_times, upperband[-display_count:], 'y--', label=name+' upperband')
ax.plot(close_times, lowerband[-display_count:], 'y--', label=name+' lowerband')
"""
ic_key = 'macd'
if ic_key in disp_ic_keys:
i += 1
ax = axes[i]
ax.set_ylabel('macd')
ax.grid(True)
klines_df = ic.pd_macd(klines_df)
difs = [round(a, 2) for a in klines_df["dif"]]
deas = [round(a, 2) for a in klines_df["dea"]]
macds = [round(a, 2) for a in klines_df["macd"]]
ax.plot(close_times, difs[-display_count:], "y", label="dif")
ax.plot(close_times, deas[-display_count:], "b", label="dea")
ax.plot(close_times,
macds[-display_count:],
"r",
drawstyle="steps",
label="macd")
ic_key = 'RSI'
if ic_key in disp_ic_keys:
i += 1
ax = axes[i]
ax.set_ylabel(ic_key)
ax.grid(True)
rsis = talib.RSI(klines_df["close"], timeperiod=14)
rsis = [round(a, 2) for a in rsis][-display_count:]
ax.plot(close_times, rsis, "r", label=ic_key)
ax.plot(close_times, [70] * len(rsis), '-', color='r')
ax.plot(close_times, [30] * len(rsis), '-', color='r')
"""
rs2 = ic.py_rsis(klines, closeindex, period=14)
rs2 = [round(a, 2) for a in rs2][-display_count:]
axes[i].plot(close_times, rs2, "y", label="rsi2")
"""
"""
fastk, fastd = talib.STOCHRSI(klines_df["close"], timeperiod=14)
rsifks = [round(a, 2) for a in fastk][-display_count:]
rsifds = [round(a, 2) for a in fastd][-display_count:]
axes[i].plot(close_times, rsifks, "b", label="rsi")
axes[i].plot(close_times, rsifds, "y", label="rsi")
"""
ic_key = 'KDJ'
if ic_key in disp_ic_keys:
i += 1
ax = axes[i]
ax.set_ylabel(ic_key)
ax.grid(True)
"""
ks, ds = talib.STOCH(klines_df["high"], klines_df["low"], klines_df["close"],
fastk_period=9, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)
js = ks - ds
"""
ks, ds, js = ic.pd_kdj(klines_df)
ks = [round(a, 2) for a in ks][-display_count:]
ds = [round(a, 2) for a in ds][-display_count:]
js = [round(a, 2) for a in js][-display_count:]
ax.plot(close_times, ks, "b", label="K")
ax.plot(close_times, ds, "y", label="D")
ax.plot(close_times, js, "m", label="J")
# Volume Indicator
ic_key = 'AD'
if ic_key in disp_ic_keys:
real = talib.AD(klines_df["high"], klines_df["low"],
klines_df["close"], klines_df["volume"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'ADOSC'
if ic_key in disp_ic_keys:
real = talib.ADOSC(klines_df["high"],
klines_df["low"],
klines_df["close"],
klines_df["volume"],
fastperiod=3,
slowperiod=10)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'OBV'
if ic_key in disp_ic_keys:
real = talib.OBV(klines_df["close"], klines_df["volume"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
# Volatility Indicator
ic_key = 'ATR'
if ic_key in disp_ic_keys:
real = talib.ATR(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'NATR'
if ic_key in disp_ic_keys:
real = talib.NATR(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'TRANGE'
if ic_key in disp_ic_keys:
real = talib.TRANGE(klines_df["high"], klines_df["low"],
klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
# Price Transform
ic_key = 'AVGPRICE'
if ic_key in disp_ic_keys:
real = talib.AVGPRICE(klines_df["open"], klines_df["high"],
klines_df["low"], klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'MEDPRICE'
if ic_key in disp_ic_keys:
real = talib.MEDPRICE(klines_df["high"], klines_df["low"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'TYPPRICE'
if ic_key in disp_ic_keys:
real = talib.TYPPRICE(klines_df["high"], klines_df["low"],
klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'WCLPRICE'
if ic_key in disp_ic_keys:
real = talib.WCLPRICE(klines_df["high"], klines_df["low"],
klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
# Cycle Indicator
ic_key = 'HT_DCPERIOD'
if ic_key in disp_ic_keys:
real = talib.HT_DCPERIOD(klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'HT_DCPHASE'
if ic_key in disp_ic_keys:
real = talib.HT_DCPHASE(klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'HT_PHASOR'
if ic_key in disp_ic_keys:
real = talib.HT_PHASOR(klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'HT_SINE'
if ic_key in disp_ic_keys:
real = talib.HT_SINE(klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'HT_TRENDMODE'
if ic_key in disp_ic_keys:
real = talib.HT_TRENDMODE(klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
# Statistic
ic_key = 'BETA'
if ic_key in disp_ic_keys:
real = talib.BETA(klines_df["high"], klines_df["low"], timeperiod=5)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'CORREL'
if ic_key in disp_ic_keys:
real = talib.CORREL(klines_df["high"], klines_df["low"], timeperiod=30)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'LINEARREG'
if ic_key in disp_ic_keys:
real = talib.LINEARREG(klines_df["close"], timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'LINEARREG_ANGLE'
if ic_key in disp_ic_keys:
real = talib.LINEARREG_ANGLE(klines_df["close"], timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'LINEARREG_INTERCEPT'
if ic_key in disp_ic_keys:
real = talib.LINEARREG_INTERCEPT(klines_df["close"], timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'LINEARREG_SLOPE'
if ic_key in disp_ic_keys:
real = talib.LINEARREG_SLOPE(klines_df["close"], timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'STDDEV' # Standard Deviation
if ic_key in disp_ic_keys:
real = talib.STDDEV(klines_df["close"], timeperiod=5, nbdev=1)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'TSF' # Time Series Forecast
if ic_key in disp_ic_keys:
real = talib.TSF(klines_df["close"], timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'VAR' # Variance
if ic_key in disp_ic_keys:
real = talib.VAR(klines_df["close"], timeperiod=5, nbdev=1)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
# Momentum Indicator
ic_key = 'DX'
if ic_key in disp_ic_keys:
dxs = talib.DX(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod=14)
adxs = talib.ADX(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod=14)
adxrs = talib.ADXR(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, dxs[-display_count:], "r:")
ts.ax(axes[i], ic_key, close_times, adxs[-display_count:], "y:")
ts.ax(axes[i], ic_key, close_times, adxrs[-display_count:], "k:")
ic_key = 'APO'
if ic_key in disp_ic_keys:
real = talib.APO(klines_df["close"],
fastperiod=12,
slowperiod=26,
matype=0)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'AROON'
if ic_key in disp_ic_keys:
aroondown, aroonup = talib.AROON(klines_df["high"],
klines_df["low"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key + ' DOWN', close_times,
aroondown[-display_count:], "y:")
ts.ax(axes[i], ic_key + ' UP', close_times, aroonup[-display_count:],
"y:")
ic_key = 'AROONOSC'
if ic_key in disp_ic_keys:
real = talib.AROONOSC(klines_df["high"],
klines_df["low"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'BOP'
if ic_key in disp_ic_keys:
real = talib.BOP(klines_df["open"], klines_df["high"],
klines_df["low"], klines_df["close"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'CCI'
if ic_key in disp_ic_keys:
real = talib.CCI(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'CMO'
if ic_key in disp_ic_keys:
real = talib.CMO(klines_df["close"], timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'MACD'
if ic_key in disp_ic_keys:
macd, macdsignal, macdhist = talib.MACD(klines_df["close"],
fastperiod=12,
slowperiod=26,
signalperiod=9)
i += 1
ts.ax(axes[i], ic_key, close_times, macd[-display_count:], "y")
ts.ax(axes[i], ic_key, close_times, macdsignal[-display_count:], "b")
ts.ax(axes[i],
ic_key,
close_times,
macdhist[-display_count:],
"r",
drawstyle="steps")
ic_key = 'MACDEXT'
if ic_key in disp_ic_keys:
macd, macdsignal, macdhist = talib.MACDEXT(klines_df["close"],
fastperiod=12,
fastmatype=0,
slowperiod=26,
slowmatype=0,
signalperiod=9,
signalmatype=0)
i += 1
ts.ax(axes[i], ic_key, close_times, macd[-display_count:], "y")
ts.ax(axes[i], ic_key, close_times, macdsignal[-display_count:], "b")
ts.ax(axes[i],
ic_key,
close_times,
macdhist[-display_count:],
"r",
drawstyle="steps")
ic_key = 'MACDFIX'
if ic_key in disp_ic_keys:
macd, macdsignal, macdhist = talib.MACDFIX(klines_df["close"],
signalperiod=9)
i += 1
ts.ax(axes[i], ic_key, close_times, macd[-display_count:], "y")
ts.ax(axes[i], ic_key, close_times, macdsignal[-display_count:], "b")
ts.ax(axes[i],
ic_key,
close_times,
macdhist[-display_count:],
"r",
drawstyle="steps")
ic_key = 'MFI'
if ic_key in disp_ic_keys:
real = talib.MFI(klines_df["high"], klines_df["low"],
klines_df["close"], klines_df["volume"])
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'MINUS_DI'
if ic_key in disp_ic_keys:
real = talib.MINUS_DI(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'MINUS_DM'
if ic_key in disp_ic_keys:
real = talib.MINUS_DM(klines_df["high"],
klines_df["low"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'MOM'
if ic_key in disp_ic_keys:
real = talib.MOM(klines_df["close"], timeperiod=10)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'PLUS_DI'
if ic_key in disp_ic_keys:
real = talib.PLUS_DI(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'PLUS_DM'
if ic_key in disp_ic_keys:
real = talib.PLUS_DM(klines_df["high"],
klines_df["low"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'PPO'
if ic_key in disp_ic_keys:
real = talib.PPO(klines_df["close"],
fastperiod=12,
slowperiod=26,
matype=0)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'ROC'
if ic_key in disp_ic_keys:
real1 = talib.ROC(klines_df["close"], timeperiod=10)
real2 = talib.ROCP(klines_df["close"], timeperiod=10)
real3 = talib.ROCR(klines_df["close"], timeperiod=10)
real4 = talib.ROCR100(klines_df["close"], timeperiod=10)
i += 1
ts.ax(axes[i], ic_key, close_times, real1[-display_count:], "y:")
ts.ax(axes[i], ic_key, close_times, real2[-display_count:], "k:")
ts.ax(axes[i], ic_key, close_times, real3[-display_count:], "m:")
ts.ax(axes[i], ic_key, close_times, real4[-display_count:], "b:")
ic_key = 'STOCH'
if ic_key in disp_ic_keys:
slowk, slowd = talib.STOCH(klines_df["high"],
klines_df["low"],
klines_df["close"],
fastk_period=5,
slowk_period=3,
slowk_matype=0,
slowd_period=3,
slowd_matype=0)
i += 1
slowj = 3 * slowk - 2 * slowd
ts.ax(axes[i], ic_key, close_times, slowk[-display_count:], "b")
ts.ax(axes[i], ic_key, close_times, slowd[-display_count:], "y")
ts.ax(axes[i], ic_key, close_times, slowj[-display_count:], "m")
ic_key = 'STOCHF'
if ic_key in disp_ic_keys:
fastk, fastd = talib.STOCHF(klines_df["high"],
klines_df["low"],
klines_df["close"],
fastk_period=5,
fastd_period=3,
fastd_matype=0)
i += 1
fastj = 3 * fastk - 2 * fastd
ts.ax(axes[i], ic_key, close_times, fastk[-display_count:], "y:")
ts.ax(axes[i], ic_key, close_times, fastd[-display_count:], "b:")
ts.ax(axes[i], ic_key, close_times, fastj[-display_count:], "m")
ic_key = 'STOCHRSI'
if ic_key in disp_ic_keys:
fastk, fastd = talib.STOCHRSI(klines_df["close"],
timeperiod=14,
fastk_period=5,
fastd_period=3,
fastd_matype=0)
i += 1
ts.ax(axes[i], ic_key, close_times, fastk[-display_count:], "y:")
ts.ax(axes[i], ic_key, close_times, fastd[-display_count:], "b:")
ic_key = 'TRIX'
if ic_key in disp_ic_keys:
real = talib.TRIX(klines_df["close"], timeperiod=30)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'ULTOSC'
if ic_key in disp_ic_keys:
real = talib.ULTOSC(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod1=7,
timeperiod2=14,
timeperiod3=28)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
ic_key = 'WILLR'
if ic_key in disp_ic_keys:
real = talib.WILLR(klines_df["high"],
klines_df["low"],
klines_df["close"],
timeperiod=14)
i += 1
ts.ax(axes[i], ic_key, close_times, real[-display_count:], "y:")
plt.show()
def get_quota(self):
#stock_amount = cral_CNstock_order_ana.main()
close = self.__df['close']
high_prices = self.__df['high'].values
low_prices = self.__df['low'].values
close_prices = close.values
ma5 = talib.MA(close_prices, 5)
ma10 = talib.MA(close_prices, 10)
ma20 = talib.MA(close_prices, 20)
ma30 = talib.MA(close_prices, 30)
K, D = talib.STOCH(high_prices,
low_prices,
close_prices,
fastk_period=9,
slowk_period=3)
J = K * 3 - D * 2
sar = talib.SAR(high_prices,
low_prices,
acceleration=0.05,
maximum=0.2)
sar = pd.DataFrame(sar - close)
sar.index = self.__df.date
atr = talib.ATR(high_prices, low_prices, close_prices)
natr = talib.NATR(high_prices, low_prices, close_prices)
trange = talib.TRANGE(high_prices, low_prices, close_prices)
cci = talib.CCI(high_prices, low_prices, close_prices, 14)
dif, dea, bar = talib.MACDFIX(close_prices)
bar = bar * 2
df_all = self.__df.drop(['code', 'open', 'low', 'high', 'volume'],
axis=1).set_index('date')
df_all.insert(0, 'ma5', ma5)
df_all.insert(0, 'ma10', ma10)
df_all.insert(0, 'ma20', ma20)
df_all.insert(0, 'ma30', ma30)
df_all.insert(0, 'K', K)
df_all.insert(0, 'D', D)
df_all.insert(0, 'J', J)
df_all.insert(0, 'cci', cci)
df_all.insert(0, 'bar', bar)
df_all.insert(0, 'dif', dif)
df_all.insert(0, 'dea', dea)
df_all.insert(0, 'sar', sar)
#df_all = pd.concat([df_all,stock_amount],axis=1)
df_yesterday = df_all.T
index_c = df_all.index
added = [np.nan] * len(df_all.columns)
df_yesterday.insert(0, len(df_yesterday.columns), added)
df_yesterday = df_yesterday.T
df_yesterday = df_yesterday.drop(df_all.index[len(df_all.index) - 1])
df_yesterday.insert(0, 'index_c', index_c)
df_yesterday = df_yesterday.set_index('index_c')
df_dif = df_all - df_yesterday
df_dif_close_plus_one_day = df_dif.copy()
for i in range(len(df_dif_close_plus_one_day['close']) - 1):
df_dif_close_plus_one_day['close'][i] = df_dif_close_plus_one_day[
'close'][i + 1]
df_dif_close_plus_one_day['close'][
len(df_dif_close_plus_one_day['close']) - 1] = np.nan
df_dif = df_dif.dropna(axis=0, how='any')
df_dif_close_plus_one_day = df_dif_close_plus_one_day.dropna(axis=0,
how='any')
return df_dif, df_dif_close_plus_one_day
def ta_atr(n, k_data):
atr = pd.DataFrame()
atr['atr'] = ta.ATR(k_data.high, k_data.low, k_data.close, timeperiod=n)
return (atr.round(3))
def run_factor_plot(self):
list_signal = []
is_win = False
self.kl_pd['Ma30'] = self.kl_pd.Close.rolling(window=30).mean()#pd.rolling_mean(self.kl_pd.Close,window=30)#增加M30移动平均线
#print self.kl_pd.loc['2017-12-27':'2018-02-09'].filter(['Close','Ma30'])
#self.kl_pd.apply(self._day_task, axis=1)
self.kl_pd['atr14'] = talib.ATR(self.kl_pd.High.values,self.kl_pd.Low.values,self.kl_pd.Close.values,timeperiod=14)#计算ATR14
self.kl_pd['atr21'] = talib.ATR(self.kl_pd.High.values,self.kl_pd.Low.values,self.kl_pd.Close.values,timeperiod=21)#计算ATR21
#pd.DataFrame({'close':self.kl_pd.Close, 'atr14':self.kl_pd.atr14,'art21':self.kl_pd.art21,})
self.kl_pd['artwin'] = self.kl_pd.Close - self.kl_pd['atr14']*3#止盈对应的买入价位
self.kl_pd['artloss'] = self.kl_pd.Close + self.kl_pd['atr14']*1#止损对应的买入价位
p1 = plt.subplot(3,1,1)
self.kl_pd.Close.plot()
self.kl_pd.Ma30.plot(c='black')
self.kl_pd.artwin.plot()
self.kl_pd.artloss.plot()
plt.title(u'浙大网新')
plt.ylim(np.min(self.kl_pd.Close)-5,np.max(self.kl_pd.Close)+5)#设置Y轴范围
plt.xticks([]) #去掉纵坐标值
plt.legend(['Close','30ave','atrwin','artloss'],loc='best')
for kl_index,today in self.kl_pd.iterrows():
signal = self._day_task(kl_index, self.buy_price)
if signal > 0:# 买入
if is_win == False:#空仓则买
start = self.kl_pd.index.get_loc(kl_index)
is_win = True
self.buy_price = today.Close
self.posit_num = int(self.cash_hold/today.Close)
self.cash_hold = 0
print("Start order",kl_index,today.Close)
plt.annotate('B',xy=(kl_index,self.kl_pd.Close.asof(kl_index)),xytext=(kl_index, self.kl_pd.Close.asof(kl_index)+4),arrowprops=dict(facecolor='yellow',shrink=0.1),horizontalalignment='left',verticalalignment='top')
elif signal < 0:# 卖出
if is_win == True:#避免未买先卖
end = self.kl_pd.index.get_loc(kl_index)
is_win = False
self.buy_price = 0
print("End order",kl_index,today.Close)
self.cash_hold = int(self.posit_num*today.Close)
self.market_total = 0
if self.kl_pd.Close[end] < self.kl_pd.Close[start]:#赔钱显示绿色
plt.fill_between(self.kl_pd.index[start:end],0,self.kl_pd.Close[start:end],color='green',alpha=0.38)
else:#赚钱显示绿色
plt.fill_between(self.kl_pd.index[start:end],0,self.kl_pd.Close[start:end],color='red',alpha=0.38)
list_signal.append(is_win)
if is_win == True:
self.market_total = int(self.posit_num*today.Close)
self.profit_curve.append(self.market_total)
else:
self.profit_curve.append(self.cash_hold)
self.kl_pd['keep'] = list_signal
self.kl_pd['keep'].fillna(method = 'ffill',inplace = True)
""" 计算基准收益 """
self.kl_pd['benchmark_profit'] = np.log(self.kl_pd.Close/self.kl_pd.Close.shift(1))
""" 计算趋势突破策略收益 """
self.kl_pd['trend_profit'] = self.kl_pd.keep*self.kl_pd.benchmark_profit
""" 可视化收益情况对比 """
p2 = plt.subplot(3,1,2)
self.kl_pd[['benchmark_profit','trend_profit']].cumsum().plot(grid=True,ax = p2)
plt.xticks([]) #去掉纵坐标值
plt.legend(['benchmark_profit','trend_profit'],loc='best')
p3 = plt.subplot(3,1,3)
p3.xaxis.set_minor_locator(mdates.WeekdayLocator(byweekday=(1),interval=1))
p3.xaxis.set_minor_formatter(mdates.DateFormatter('%d\n%a'))
self.kl_pd['profit'] = self.profit_curve
self.kl_pd.profit.plot()
plt.legend(['profit'],loc='best')
plt.xticks([]) #去掉纵坐标值
#plt.subplots_adjust(left=None, bottom=None, right=None, top=None, wspace=0, hspace=0.25)
plt.subplots_adjust(left=0.09,bottom=0.20, right=0.94,top=0.95, wspace=0, hspace=0.25)
plt.show()
import numpy as np
from sklearn.model_selection import train_test_split
from sklearn.tree import DecisionTreeClassifier
df = quandl.get("CHRIS/CME_ES2")
df.head()
df.tail()
df.shape
# need to find ta ta lib
# import talib as ta
df['EMA10'] = ta.EMA(df['Settle'].values, timeperiod=10)
df['EMA30'] = ta.EMA(df['Settle'].values, timeperiod=30)
df['ATR'] = ta.ATR(df['High'].values,
df['Low'].values,
df['Settle'].values,
timeperiod=14)
df['ADX'] = ta.ADX(df['High'].values,
df['Low'].values,
df['Settle'].values,
timeperiod=14)
df['RSI'] = ta.RSI(df['Settle'].values, timeperiod=14)
macd, macdsignal, macdhist = ta.MACD(df['Settle'].values,
fastperiod=12,
slowperiod=26,
signalperiod=9)
df['MACD'] = macd
df['MACDsignal'] = macdsignal
df.tail()
# Calc Predictors
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
for orderID in self.orderList:
self.cancelOrder(orderID)
self.orderList = []
# 保存K线数据
self.closeArray[0:self.bufferSize -
1] = self.closeArray[1:self.bufferSize]
self.highArray[0:self.bufferSize -
1] = self.highArray[1:self.bufferSize]
self.lowArray[0:self.bufferSize - 1] = self.lowArray[1:self.bufferSize]
self.closeArray[-1] = bar.close
self.highArray[-1] = bar.high
self.lowArray[-1] = bar.low
self.bufferCount += 1
if self.bufferCount < self.bufferSize:
return
# 计算指标数值
self.atrValue = talib.ATR(self.highArray, self.lowArray,
self.closeArray, self.atrLength)[-1]
self.atrArray[0:self.bufferSize - 1] = self.atrArray[1:self.bufferSize]
self.atrArray[-1] = self.atrValue
self.atrCount += 1
if self.atrCount < self.bufferSize:
return
self.atrMa = talib.MA(self.atrArray, self.atrMaLength)[-1]
self.rsiValue = talib.RSI(self.closeArray, self.rsiLength)[-1]
# 判断是否要进行交易
# 当前无仓位
if self.pos == 0:
self.intraTradeHigh = bar.high
self.intraTradeLow = bar.low
# ATR数值上穿其移动平均线，说明行情短期内波动加大
# 即处于趋势的概率较大，适合CTA开仓
if self.atrValue > self.atrMa:
# 使用RSI指标的趋势行情时，会在超买超卖区钝化特征，作为开仓信号
if self.rsiValue > self.rsiBuy:
# 这里为了保证成交，选择超价5个整指数点下单
self.buy(bar.close + 5, 1)
return
if self.rsiValue < self.rsiSell:
self.short(bar.close - 5, 1)
return
# 持有多头仓位
if self.pos == 1:
# 计算多头持有期内的最高价，以及重置最低价
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
self.intraTradeLow = bar.low
# 计算多头移动止损
longStop = self.intraTradeHigh * (1 - self.trailingPercent / 100)
# 发出本地止损委托，并且把委托号记录下来，用于后续撤单
orderID = self.sell(longStop, 1, stop=True)
self.orderList.append(orderID)
return
# 持有空头仓位
if self.pos == -1:
self.intraTradeLow = min(self.intraTradeLow, bar.low)
self.intraTradeHigh = bar.high
shortStop = self.intraTradeLow * (1 + self.trailingPercent / 100)
orderID = self.cover(shortStop, 1, stop=True)
self.orderList.append(orderID)
return
# 发出状态更新事件
self.putEvent()
"/Users/wuyong/alldata/original_data/trades_bian_ethusdt_s_2.csv",
index_col=0)
# print(data_zb.head())
data_zb["tickid"] = data_zb["dealtime"]
# data_zb["tickid"] = data_zb.index
data_zb["close"] = data_zb["price"]
# print(data_zb.head(30))
# print(len(data_zb))
data_k = pd.read_csv(
"/Users/wuyong/alldata/original_data/trades_bian_ethusdt_m_2.csv",
index_col=0)
# print(data_k.head(20))
# atr = ta.ATR(data_k['high'].values, data_k['low'].values, data_k['close'].values, timeperiod=90)
# data_k["atr_90"] = atr
atr = ta.ATR(data_k['high'].values,
data_k['low'].values,
data_k['close'].values,
timeperiod=7)
data_k["atr_7"] = atr
data_k["growth"] = data_k["close"] - data_k["open"]
data_k["growth"] = data_k["growth"].apply(lambda x: 1 if x > 0 else 0)
data_k["growth"] = ts_sum(data_k["growth"])
data_k["high_35"] = ts_max(data_k["high"], window=55)
data_k["low_30"] = ts_min(data_k["low"], window=55)
data_k["low_days"] = ts_lowday(data_k["low"], window=35)
data_k["ma7"] = ta.MA(data_k["close"].values, timeperiod=7, matype=0)
data_k["ma90"] = ta.MA(data_k["close"].values, timeperiod=90, matype=0)
data_k["ma450"] = ta.MA(data_k["close"].values, timeperiod=450, matype=0)
data_k["diff"] = data_k["ma7"] - data_k["ma90"]
data_k["diff"] = data_k["diff"].apply(lambda x: 0 if x > 0 else x)
data_k["diff"] = data_k["diff"].apply(lambda x: 1 if x < 0 else x)
data_k["filter"] = [
data['SAR'] = talib.SAR(data.High, data.Low, acceleration=0.02, maximum=0.2) # Plot Parabolic SAR with close price data[['Close', 'SAR']][:500].plot(figsize=(10,5)) plt.grid() plt.show() '''ADX''' real = ADX(high, low, close, timeperiod=14) '''Bollinger bands''' up, mid, low = BBANDS(close, timeperiod=20, nbdevup=2, nbdevdn=2, matype=0) '''RSI''' RSI(close, timeperiod=14) ''' ATR''' odayATR = talib.ATR(df1['High'],df1['Low'],df1['Close'],timeperiod=20) '''Stochastic''' slowk, slowd = STOCH(high, low, close, fastk_period=5, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)
def feat_imp():
import pandas as pd
import numpy as np
import talib as ta
import matplotlib.pyplot as plt
#get_ipython().run_line_magic('matplotlib', 'inline')
#from nsepy import get_history
from datetime import date
import LSTM9
from LSTM9 import CSV_file
# In[2]:
df=pd.read_csv(LSTM9.CSV_file+'.csv',index_col='Date',parse_dates=True)
#df=pd.read_csv('995_PAGE_IND.csv',index_col='datetime',parse_dates=True)
#df=pd.read_csv('995_PAGE_IND.csv',index_col='datetime',parse_dates=True)
#del df['Volume']
#del df['Turnover (Lacs)']
O=df['Open']
H=df['High']
L=df['Low']
C=df['Close']
# In[3]:
df['ADX'] = ta.ADX(O, L, C, timeperiod=14)
df['RSI'] = ta.RSI( C, timeperiod=14)
df['SMA_10']=C.rolling(10).mean()
df['SMA_21']=C.rolling(21).mean()
df['SMA_3']=C.rolling(3).mean()
df['SMA_50']=C.rolling(50).mean()
df['exp_10'] = C.ewm(span=10, adjust=False).mean()
df['exp_21'] = C.ewm(span=21, adjust=False).mean()
#Average True Range
df['ATR']=ta.ATR(H,L,C,timeperiod=14)
#Commodiy Channel Index
df['CCI']=ta.CCI(H,L,C,timeperiod=14)
#Momentum
df['MOM']=ta.MOM(C,timeperiod=10)
#ROC
df['ROC']=ta.ROC(C,timeperiod=10)
#ROCP
df['ROCR']=ta.ROCP(C,timeperiod=10)
#Williams %R
df['Williams %R']=ta.WILLR(H,L,C,timeperiod=14)
#Stochastic %K
df['slowk'], df['slowd'] = ta.STOCH(H, L, C, fastk_period=5, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)
# In[4]:
#drop all the nan values
df=df.dropna()
df.head()
#For Converting into a Binary Classification Problem we will assign them into 1 or 0 values
df['pred_price']=np.where(df['Close'].shift(-1)>df['Close'],1,0)
A=df['pred_price'].unique()
print(A)
# In[5]:
#Seperating into target and test set
y=df['pred_price']
x=df.drop(columns=['pred_price'])
#define train/test split ratio
split_ratio=0.9
train_x=x[0:int(split_ratio*len(x))]
test_x=x[int(split_ratio*len(x)):(len(x))]
print('Observations: %d' % (len(x)))
print('Train Dataset:',train_x.shape)
print('Test Dataset:',test_x.shape)
print('----------------------------')
train_y=y[0:int(split_ratio*len(y))]
test_y=y[int(split_ratio*len(y)):(len(y))]
print('Observations: %d' % (len(y)))
print('Train Dataset:',train_y.shape)
print('Test Dataset:',test_y.shape)
# In[6]:
#Normalizing the data
from sklearn.preprocessing import MinMaxScaler
scaler=MinMaxScaler(feature_range=(0,1)) #scaling Down
train_x_scaled=scaler.fit_transform(train_x)
test_x_scaled=scaler.fit_transform(test_x)
print(train_x_scaled)
# In[22]:
import time
import numpy as np
import matplotlib.pyplot as plt
from matplotlib.colors import ListedColormap
from sklearn.model_selection import train_test_split
from sklearn.preprocessing import StandardScaler
from sklearn.datasets import make_moons, make_circles, make_classification
from sklearn.neural_network import MLPClassifier
from sklearn.neighbors import KNeighborsClassifier
from sklearn.svm import SVC
from sklearn.gaussian_process import GaussianProcessClassifier
from sklearn.gaussian_process.kernels import RBF
from sklearn.tree import DecisionTreeClassifier
from sklearn.ensemble import RandomForestClassifier, AdaBoostClassifier
from sklearn.naive_bayes import GaussianNB
from sklearn.discriminant_analysis import QuadraticDiscriminantAnalysis
from sklearn.feature_selection import RFE
from sklearn.linear_model import LogisticRegression
dict_classifiers={
"Logistic Regression":LogisticRegression(solver='lbfgs',max_iter=5000),
"Nearest Neighbors" : KNeighborsClassifier(),
"Support Vector Machine": SVC(gamma='auto'),
#"Gradient Boosting Classifier": XGBClassifier(),
"Decision Tree": DecisionTreeClassifier(),
"Random Forest":RandomForestClassifier(n_estimators=100),
"Neural Net":MLPClassifier(solver='adam',alpha=0.0001,learning_rate='constant',learning_rate_init=0.001),
"Naive Bayes":GaussianNB()
}
# In[23]:
no_classifiers=len(dict_classifiers.keys())
import time
def batch_classify(train_x_scaled,train_y,verbose=True):
df_results=pd.DataFrame(data=np.zeros(shape=(no_classifiers,3)),columns=['classifier','train_score','training_time'])
count=0
for key,classifier in dict_classifiers.items():
t_start=time.process_time()
classifier.fit(train_x_scaled,train_y)
t_end=time.process_time()
t_diff=t_end-t_start
train_score=classifier.score(train_x_scaled,train_y)
df_results.loc[count,'classifier']=key
df_results.loc[count,'train_score']=train_score
df_results.loc[count,'training_time']=t_diff
if verbose:
print('trained {c} in {f:2f}s'.format(c=key,f=t_diff))
count+=1
return df_results
# In[24]:
df_results=batch_classify(train_x_scaled,train_y)
print(df_results)
# In[25]:
log_reg = LogisticRegression(solver='lbfgs', max_iter=5000)
log_reg.fit(train_x_scaled, train_y)
# In[26]:
import sklearn
predictions=log_reg.predict(test_x_scaled)
print('accuracy:',sklearn.metrics.accuracy_score(test_y,predictions))
print("confusion matrix:",sklearn.metrics.confusion_matrix(test_y,predictions))
print("classification report:",sklearn.metrics.classification_report(test_y,predictions))
# In[27]:
#roc curve
y_pred_proba=log_reg.predict_proba(test_x_scaled)[:,1]
fpr,tpr,thresholds=sklearn.metrics.roc_curve(test_y,y_pred_proba)
roc_auc=sklearn.metrics.auc(fpr,tpr)
#plot of Roc
print('ROC AUC is ' +str(roc_auc))
plt.plot([0,1],[0,1],'k--')
plt.plot(fpr,tpr)
plt.xlabel('False Positive Rate')
plt.ylabel('True Positive Rate')
plt.title('ROC curve')
plt.show(block=False)
plt.pause(5)
plt.close()
# In[28]:
#Feature Importance
feature_importance=abs(log_reg.coef_[0])
print(feature_importance)
feature_importance=100.0*((feature_importance)/feature_importance.max())
sorted_idx=np.argsort(feature_importance)
pos=np.arange(sorted_idx.shape[0])+0.5
featfig=plt.figure(figsize=(20,10))
featax=featfig.add_subplot(1,1,1)
featax.barh(pos,feature_importance[sorted_idx],align='center')
featax.set_yticks(pos)
featax.set_yticklabels(np.array(train_x.columns)[sorted_idx],fontsize=15)
featax.set_xlabel('Relative Feature Importance')
plt.tight_layout()
plt.show()
def ATR_factor(self, df, timeperiod=14):
return talib.ATR(
df.loc[:, self.map_dict['high']].values,
df.loc[:, self.map_dict['low']].values,
df.loc[:, self.map_dict['close']].values,
timeperiod)
def addIndi(self, enrich, endf):
# Overlays
if enrich == 'bbands':
bbup, bbmid, bblow = ta.BBANDS(endf['Close'], timeperiod=5, nbdevup=2, nbdevdn=2, matype=0)
endf.insert(0, column='bblow', value=bblow)
endf.insert(0, column='bbmid', value=bbmid)
endf.insert(0, column='bbup', value=bbup)
return endf
if enrich == 'mama':
mama, fama = ta.MAMA(endf['Close'])
endf.insert(0, column='fama', value=fama)
endf.insert(0, column='mama', value=mama)
return endf
if enrich == 'dema':
endf.insert(0, column='dema', value=ta.DEMA(endf['Close'], timeperiod=30))
return endf
if enrich == 'ema':
endf.insert(0, column='ema', value=ta.EMA(endf['Close'], timeperiod=30)) # Unstable period
return endf
if enrich == 'ht_trendline':
endf.insert(0, column='ht_trendline', value=ta.HT_TRENDLINE(endf['Close'])) # Unstable period
return endf
if enrich == 'kama':
endf.insert(0, column='kama', value=ta.KAMA(endf['Close'], timeperiod=30)) # Unstable period
return endf
if enrich == 'ma':
endf.insert(0, column='ma', value=ta.MA(endf['Close'], timeperiod=30, matype=0))
return endf
if enrich == 'midpoint':
endf.insert(0, column='midpoint', value=ta.MIDPOINT(endf['Close'], timeperiod=14))
return endf
if enrich == 'midprice':
endf.insert(0, column='midprice', value=ta.MIDPRICE(endf['High'], endf['Low'], timeperiod=14))
return endf
if enrich == 'sar':
endf.insert(0, column='sar', value=ta.SAR(endf['High'], endf['Low'], acceleration=0, maximum=0))
return endf
if enrich == 'sarext':
endf.insert(0, column='sarext', value=ta.SAREXT(endf['High'], endf['Low'], startvalue=0, offsetonreverse=0, accelerationinitlong=0, accelerationlong=0, accelerationmaxlong=0, accelerationinitshort=0, accelerationshort=0, accelerationmaxshort=0))
return endf
if enrich == 'sma':
endf.insert(0, column='sma', value=ta.SMA(endf['Close'], timeperiod=30))
return endf
if enrich == 't3':
endf.insert(0, column='t3', value=ta.T3(endf['Close'], timeperiod=5, vfactor=0)) # Unstable period
return endf
if enrich == 'tema':
endf.insert(0, column='tema', value=ta.TEMA(endf['Close'], timeperiod=30))
return endf
if enrich == 'trima':
endf.insert(0, column='trima', value=ta.TRIMA(endf['Close'], timeperiod=30))
return endf
if enrich == 'wma':
endf.insert(0, column='wma', value=ta.WMA(endf['Close'], timeperiod=30))
return endf
# Momentum
if enrich == 'adx':
endf.insert(0, column='adx', value=ta.ADX(endf['High'], endf['Low'], endf['Close'], timeperiod=14))
return endf
if enrich == 'adxr':
endf.insert(0, column='adxr', value=ta.ADXR(endf['High'], endf['Low'], endf['Close'], timeperiod=14))
return endf
if enrich == 'apo':
endf.insert(0, column='apo', value=ta.APO(endf['Close'], fastperiod=12, slowperiod=26, matype=0))
return endf
if enrich == 'aroonosc':
endf.insert(0, column='aroonosc', value=ta.AROONOSC(endf['High'], endf['Low'], timeperiod=14))
return endf
if enrich == 'aroon':
aroondown, aroonup = ta.AROON(endf['High'], endf['Low'], timeperiod=14)
endf.insert(0, column='aroonup', value=aroonup)
endf.insert(0, column='aroondown', value=aroondown)
return endf
if enrich == 'bop':
endf.insert(0, column='bop', value=ta.BOP(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cci':
endf.insert(0, column='cci', value=ta.CCI(endf['High'], endf['Low'], endf['Close'], timeperiod=14))
return endf
if enrich == 'cmo':
endf.insert(0, column='cmo', value=ta.CMO(endf['Close'], timeperiod=14))
return endf
if enrich == 'dx':
endf.insert(0, column='dx', value=ta.DX(endf['High'], endf['Low'], endf['Close'], timeperiod=14))
return endf
if enrich == 'macd':
macd, macdsignal, macdhist = ta.MACD(endf['Close'], fastperiod=12, slowperiod=26, signalperiod=9)
endf.insert(0, column='macd', value=macd)
endf.insert(0, column='macdsignal', value=macdsignal)
endf.insert(0, column='macdhist', value=macdhist)
return endf
if enrich == 'mfi':
endf.insert(0, column='mfi', value=ta.MFI(endf['High'], endf['Low'], endf['Close'], endf['Volume'], timeperiod=14))
return endf
if enrich == 'mom':
endf.insert(0, column='mom', value=ta.MOM(endf['Close'], timeperiod=10))
return endf
if enrich == 'ppo':
endf.insert(0, column='ppo', value=ta.PPO(endf['Close'], fastperiod=12, slowperiod=26, matype=0))
return endf
if enrich == 'roc':
endf.insert(0, column='roc', value=ta.ROC(endf['Close'], timeperiod=10))
return endf
if enrich == 'rocp':
endf.insert(0, column='rocp', value=ta.ROCP(endf['Close'], timeperiod=10))
return endf
if enrich == 'rsi':
endf.insert(0, column='rsi', value=ta.RSI(endf['Close'], timeperiod=14))
return endf
if enrich == 'stoch':
slowk, slowd = ta.STOCH(endf['High'], endf['Low'], endf['Close'], fastk_period=5, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)
endf.insert(0, column='slowk', value=slowk)
endf.insert(0, column='slowd', value=slowd)
return endf
if enrich == 'trix':
endf.insert(0, column='trix', value=ta.TRIX(endf['Close'], timeperiod=30))
return endf
if enrich == 'ultosc':
endf.insert(0, column='ultosc', value=ta.ULTOSC(endf['High'], endf['Low'], endf['Close'], timeperiod1=7, timeperiod2=14, timeperiod3=28))
return endf
if enrich == 'willr':
endf.insert(0, column='willr', value=ta.WILLR(endf['High'], endf['Low'], endf['Close'], timeperiod=14))
return endf
# Volume
if enrich == 'ad':
endf.insert(0, column='ad', value=ta.AD(endf['High'], endf['Low'], endf['Close'], endf['Volume']))
return endf
if enrich == 'adosc':
endf.insert(0, column='adosc', value=ta.ADOSC(endf['High'], endf['Low'], endf['Close'], endf['Volume'], fastperiod=3, slowperiod=10))
return endf
if enrich == 'obv':
endf.insert(0, column='obv', value=ta.OBV(endf['Close'], endf['Volume']))
return endf
# Volitility
if enrich == 'atr':
endf.insert(0, column='atr', value=ta.ATR(endf['High'], endf['Low'], endf['Close'], timeperiod=14))
return endf
if enrich == 'natr':
endf.insert(0, column='natr', value=ta.NATR(endf['High'], endf['Low'], endf['Close'], timeperiod=14))
return endf
if enrich == 'trange':
endf.insert(0, column='trange', value=ta.TRANGE(endf['High'], endf['Low'], endf['Close']))
return endf
# Pattern
if enrich == 'cdl2crows':
endf.insert(0, column='cdl2crows', value=ta.CDL2CROWS(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdl3blackcrows':
endf.insert(0, column='cdl3blackcrows', value=ta.CDL3BLACKCROWS(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdl3inside':
endf.insert(0, column='cdl3inside', value=ta.CDL3INSIDE(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdl3linestrike':
endf.insert(0, column='cdl3linestrike', value=ta.CDL3LINESTRIKE(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdl3outside':
endf.insert(0, column='cdlcdl3outside', value=ta.CDL3OUTSIDE(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdl3starsinsouth':
endf.insert(0, column='cdl3starsinsouth', value=ta.CDL3STARSINSOUTH(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdl3whitesoldiers':
endf.insert(0, column='cdl3whitesoldiers', value=ta.CDL3WHITESOLDIERS(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlabandonedbaby':
endf.insert(0, column='cdlabandonedbaby', value=ta.CDLABANDONEDBABY(endf['Open'], endf['High'], endf['Low'], endf['Close'], penetration=0))
return endf
if enrich == 'cdladvanceblock':
endf.insert(0, column='cdladvanceblock', value=ta.CDLADVANCEBLOCK(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlbelthold':
endf.insert(0, column='cdlbelthold', value=ta.CDLBELTHOLD(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlbreakaway':
endf.insert(0, column='cdlbreakaway', value=ta.CDLBREAKAWAY(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlclosingmarubozu':
endf.insert(0, column='cdlclosingmarubozu', value=ta.CDLCLOSINGMARUBOZU(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlconcealbabyswall':
endf.insert(0, column='cdlconcealbabyswall', value=ta.CDLCONCEALBABYSWALL(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlcounterattack':
endf.insert(0, column='cdlcounterattack', value=ta.CDLCOUNTERATTACK(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdldarkcloudcover':
endf.insert(0, column='cdldarkcloudcover', value=ta.CDLDARKCLOUDCOVER(endf['Open'], endf['High'], endf['Low'], endf['Close'], penetration=0))
return endf
if enrich == 'cdldoji':
endf.insert(0, column='cdldoji', value=ta.CDLDOJI(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdldojistar':
endf.insert(0, column='cdldojistar', value=ta.CDLDOJISTAR(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdldragonflydoji':
endf.insert(0, column='cdldragonflydoji', value=ta.CDLDRAGONFLYDOJI(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlengulfing':
endf.insert(0, column='cdlengulfing', value=ta.CDLENGULFING(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdleveningdojistar':
endf.insert(0, column='cdleveningdojistar', value=ta.CDLEVENINGDOJISTAR(endf['Open'], endf['High'], endf['Low'], endf['Close'], penetration=0))
return endf
if enrich == 'cdleveningstar':
endf.insert(0, column='cdleveningstar', value=ta.CDLEVENINGSTAR(endf['Open'], endf['High'], endf['Low'], endf['Close'], penetration=0))
return endf
if enrich == 'cdlgapsidesidewhite':
endf.insert(0, column='cdlgapsidesidewhite', value=ta.CDLGAPSIDESIDEWHITE(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlgravestonedoji':
endf.insert(0, column='cdlgravestonedoji', value=ta.CDLGRAVESTONEDOJI(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlhammer':
endf.insert(0, column='cdlhammer', value=ta.CDLHAMMER(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlhangingman':
endf.insert(0, column='cdlhangingman', value=ta.CDLHANGINGMAN(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlharami':
endf.insert(0, column='cdlharami', value=ta.CDLHARAMI(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlharamicross':
# print(endf.info(),file=sys.stderr)
endf.insert(0, column='cdlharamicross', value=ta.CDLHARAMICROSS(endf['Open'], endf['High'], endf['Low'], endf['Close']))
# print(endf.info(),file=sys.stderr)
return endf
if enrich == 'cdlhighwave':
print(endf.info(), file=sys.stderr)
endf.insert(0, column='cdlhighwave', value=ta.CDLHIGHWAVE(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlhikkake':
endf.insert(0, column='cdlhikkake', value=ta.CDLHIKKAKE(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlhikkakemod':
endf.insert(0, column='cdlhikkakemod', value=ta.CDLHIKKAKEMOD(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlhomingpigeon':
endf.insert(0, column='cdlhomingpigeon', value=ta.CDLHOMINGPIGEON(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlidentical3crows':
endf.insert(0, column='cdlidentical3crows', value=ta.CDLIDENTICAL3CROWS(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlinneck':
endf.insert(0, column='cdlinneck', value=ta.CDLINNECK(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlinvertedhammer':
endf.insert(0, column='cdlinvertedhammer', value=ta.CDLINVERTEDHAMMER(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlkicking':
endf.insert(0, column='cdlkicking', value=ta.CDLKICKING(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlkickingbylength':
endf.insert(0, column='cdlkickingbylength', value=ta.CDLKICKINGBYLENGTH(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlladderbottom':
endf.insert(0, column='cdlladderbottom', value=ta.CDLLADDERBOTTOM(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdllongleggeddoji':
endf.insert(0, column='cdllongleggeddoji', value=ta.CDLLONGLEGGEDDOJI(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdllongline':
endf.insert(0, column='cdllongline', value=ta.CDLLONGLINE(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlmarubozu':
endf.insert(0, column='cdlmarubozu', value=ta.CDLMARUBOZU(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlmatchinglow':
endf.insert(0, column='cdlmatchinglow', value=ta.CDLMATCHINGLOW(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlmathold':
endf.insert(0, column='cdlmathold', value=ta.CDLMATHOLD(endf['Open'], endf['High'], endf['Low'], endf['Close'], penetration=0))
return endf
if enrich == 'cdlmorningdojistar':
endf.insert(0, column='cdlmorningdojistar', value=ta.CDLMORNINGDOJISTAR(endf['Open'], endf['High'], endf['Low'], endf['Close'], penetration=0))
return endf
if enrich == 'cdlmorningstar':
endf.insert(0, column='cdlmorningstar', value=ta.CDLMORNINGSTAR(endf['Open'], endf['High'], endf['Low'], endf['Close'], penetration=0))
return endf
if enrich == 'cdlonneck':
endf.insert(0, column='cdlonneck', value=ta.CDLONNECK(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlpiercing':
endf.insert(0, column='cdlpiercing', value=ta.CDLPIERCING(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlrickshawman':
endf.insert(0, column='cdlrickshawman', value=ta.CDLRICKSHAWMAN(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlrisefall3methods':
endf.insert(0, column='cdlrisefall3methods', value=ta.CDLRISEFALL3METHODS(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlseparatinglines':
endf.insert(0, column='cdlseparatinglines', value=ta.CDLSEPARATINGLINES(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlshootingstar':
endf.insert(0, column='cdlshootingstar', value=ta.CDLSHOOTINGSTAR(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlshortline':
endf.insert(0, column='cdlshortline', value=ta.CDLSHORTLINE(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlspinningtop':
endf.insert(0, column='cdlspinningtop', value=ta.CDLSPINNINGTOP(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlstalledpattern':
endf.insert(0, column='cdlstalledpattern', value=ta.CDLSTALLEDPATTERN(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlsticksandwich':
endf.insert(0, column='cdlsticksandwich', value=ta.CDLSTICKSANDWICH(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdltakuri':
endf.insert(0, column='cdltakuri', value=ta.CDLTAKURI(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdltasukigap':
endf.insert(0, column='cdltasukigap', value=ta.CDLTASUKIGAP(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlthrusting':
endf.insert(0, column='cdlthrusting', value=ta.CDLTHRUSTING(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdltristar':
endf.insert(0, column='cdltristar', value=ta.CDLTRISTAR(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlunique3river':
endf.insert(0, column='cdlunique3river', value=ta.CDLUNIQUE3RIVER(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlupsidegap2crows':
endf.insert(0, column='cdlupsidegap2crows', value=ta.CDLUPSIDEGAP2CROWS(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'cdlxsidegap3methods':
endf.insert(0, column='cdlxsidegap3methods', value=ta.CDLXSIDEGAP3METHODS(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
# Price
if enrich == 'avgprice':
endf.insert(0, column='avgprice', value=ta.AVGPRICE(endf['Open'], endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'medprice':
endf.insert(0, column='medprice', value=ta.MEDPRICE(endf['High'], endf['Low']))
return endf
if enrich == 'typprice':
endf.insert(0, column='typprice', value=ta.TYPPRICE(endf['High'], endf['Low'], endf['Close']))
return endf
if enrich == 'wclprice':
endf.insert(0, column='wclprice', value=ta.WCLPRICE(endf['High'], endf['Low'], endf['Close']))
return endf
# Stats
if enrich == 'beta':
endf.insert(0, column='beta', value=ta.BETA(endf['High'], endf['Low'], timeperiod=5))
return endf
if enrich == 'correl':
endf.insert(0, column='correl', value=ta.CORREL(endf['High'], endf['Low'], timeperiod=30))
return endf
if enrich == 'linearreg':
endf.insert(0, column='linearreg', value=ta.LINEARREG(endf['Close'], timeperiod=14))
return endf
if enrich == 'linearreg_angle':
endf.insert(0, column='linearreg_angle', value=ta.LINEARREG_ANGLE(endf['Close'], timeperiod=14))
return endf
if enrich == 'linearreg_intercept':
endf.insert(0, column='linearreg_intercept', value=ta.LINEARREG_INTERCEPT(endf['Close'], timeperiod=14))
return endf
if enrich == 'linearreg_slope':
endf.insert(0, column='linearreg_slope', value=ta.LINEARREG_SLOPE(endf['Close'], timeperiod=14))
return endf
if enrich == 'stddev':
endf.insert(0, column='stddev', value=ta.STDDEV(endf['Close'], timeperiod=5, nbdev=1))
return endf
if enrich == 'tsf':
endf.insert(0, column='tsf', value=ta.TSF(endf['Close'], timeperiod=14))
return endf
if enrich == 'var':
endf.insert(0, column='var', value=ta.VAR(endf['Close'], timeperiod=5, nbdev=1))
return endf
def atrStoploss(self):
atrPeriod = self.paraDict['atrPeriod']
atr = ta.ATR(self.high, self.low, self.close, atrPeriod)
return atr
def SuperTrend(data, period, multiplier, columns=['h', 'l', 'o', 'c']):
high_i = columns[0]
low_i = columns[1]
open_i = columns[2]
close_i = columns[3]
data['MP'] = (data[high_i] + data[low_i]) / 2
data['ATR'] = talib.ATR(data[high_i],
data[low_i],
data[close_i].shift(1),
timeperiod=period)
data['ATR'] = data['ATR'].fillna(0)
data['BASIC UPPERBAND'] = data['MP'] + multiplier * data['ATR']
data['BASIC LOWERBAND'] = data['MP'] - multiplier * data['ATR']
data['FINAL UPPERBAND'] = np.float64()
data['FINAL LOWERBAND'] = np.float64()
for i in range(0, len(data)):
if i < period:
data.iloc[i, data.columns.get_loc('FINAL UPPERBAND')] = 0
data.iloc[i, data.columns.get_loc('FINAL LOWERBAND')] = 0
else:
data.iloc[i, data.columns.get_loc('FINAL UPPERBAND')] = np.where(
np.logical_or(
data['BASIC UPPERBAND'].iloc[i] <
data['FINAL UPPERBAND'].iloc[i - 1],
data[close_i].iloc[i - 1] >
data['FINAL UPPERBAND'].iloc[i - 1]),
data['BASIC UPPERBAND'].iloc[i],
data['FINAL UPPERBAND'].iloc[i - 1])
data.iloc[i, data.columns.get_loc('FINAL LOWERBAND')] = np.where(
np.logical_or(
data['BASIC LOWERBAND'].iloc[i] >
data['FINAL LOWERBAND'].iloc[i - 1],
data[close_i].iloc[i - 1] <
data['FINAL LOWERBAND'].iloc[i - 1]),
data['BASIC LOWERBAND'].iloc[i],
data['FINAL LOWERBAND'].iloc[i - 1])
# endfor
data['SuperTrend'] = 0
for i in range(0, len(data)):
if i < period:
data.iloc[i, data.columns.get_loc('SuperTrend')] = 0
else:
conditions = [np.logical_and(data['SuperTrend'].iloc[i-1] == data['FINAL UPPERBAND'].iloc[i-1], \
data[close_i].iloc[i] < data['FINAL UPPERBAND'].iloc[i])
, np.logical_and(data['SuperTrend'].iloc[i-1] == data['FINAL UPPERBAND'].iloc[i-1], data[close_i].iloc[i] > data['FINAL UPPERBAND'].iloc[i])
, np.logical_and(data['SuperTrend'].iloc[i-1] == data['FINAL LOWERBAND'].iloc[i-1], data[close_i].iloc[i] > data['FINAL LOWERBAND'].iloc[i])
, np.logical_and(data['SuperTrend'].iloc[i-1] == data['FINAL LOWERBAND'].iloc[i-1], data[close_i].iloc[i] < data['FINAL LOWERBAND'].iloc[i])]
choices = [
data['FINAL UPPERBAND'].iloc[i],
data['FINAL LOWERBAND'].iloc[i],
data['FINAL LOWERBAND'].iloc[i],
data['FINAL UPPERBAND'].iloc[i]
]
data.iloc[i, data.columns.get_loc('SuperTrend')] = np.select(
conditions, choices)
# endfor
# Drop all zeros
data = data.drop(data[(data.SuperTrend == 0.0)].index)
return data
xdata = df.drop(columns=[
'Unnamed: 0', 'Target2', 'Date', 'Close', 'Open', 'High', 'Low',
'Volume', 'Adj Close'
],
axis=1)
ydata = df['Target2']
high, low, close, open = df['High'], df['Low'], df['Close'], df['Open']
columns = [
'sma', 'ema', 'atr', 'adx', 'cci', 'roc', 'rsi', 'willr', 'fastk',
'fastd'
]
sma = talib.SMA(close, timeperiod=timestep)
ema = talib.EMA(close, timeperiod=timestep)
atr = talib.ATR(high, low, close, timeperiod=timestep)
adx = talib.ADX(high, low, close, timeperiod=timestep)
cci = talib.CCI(high, low, close, timeperiod=timestep)
roc = talib.ROC(close, timeperiod=timestep)
rsi = talib.RSI(close, timeperiod=timestep)
willr = talib.WILLR(high, low, close, timeperiod=timestep)
fastk, fastd = talib.STOCHF(high,
low,
close,
fastk_period=timestep,
fastd_period=3,
fastd_matype=0)
xdata['sma'] = sma
xdata['ema'] = ema
xdata['atr'] = atr
for k in range(len(ticker_data)):
open_list.append(ticker_data[k].o)
high_list.append(ticker_data[k].h)
low_list.append(ticker_data[k].l)
close_list.append(ticker_data[k].c)
volume_list.append(ticker_data[k].v)
ohlc_df['open'] = open_list
ohlc_df['high'] = high_list
ohlc_df['low'] = low_list
ohlc_df['close'] = close_list
ohlc_df['volume'] = volume_list
ohlc_df['avg_vol'] = ohlc_df['volume'].rolling(window=14).mean()
ohlc_df['atr'] = ta.ATR(ohlc_df['high'],
ohlc_df['low'],
ohlc_df['close'],
timeperiod=14)
ohlc_df['atr_pct'] = ohlc_df['atr'] / ohlc_df['close']
ohlc_df['CDL2CROWS'] = ta.CDL2CROWS(ohlc_df['open'],
ohlc_df['high'],
ohlc_df['low'],
ohlc_df['close'])
ohlc_df['CDL3BLACKCROWS'] = ta.CDL3BLACKCROWS(
ohlc_df['open'], ohlc_df['high'], ohlc_df['low'],
ohlc_df['close'])
ohlc_df['CDL3INSIDE'] = ta.CDL3INSIDE(ohlc_df['open'],
ohlc_df['high'],
ohlc_df['low'],
ohlc_df['close'])
ohlc_df['CDL3LINESTRIKE'] = ta.CDL3LINESTRIKE(
ohlc_df['open'], ohlc_df['high'], ohlc_df['low'],
for sym in symbol_list:
# 查询历史行情
df_data = history(symbol=sym,
frequency='1d',
start_time=start_year,
end_time=end_year,
fields='eob,open,high,low,close',
adjust=1,
df=True)
df_data.rename(columns={'eob': 'datetime'}, inplace=True)
# df_data = get_stk(sym, start_year, end_year)
# df_data = get_k(sym, 60, 0, start_year, end_year)
if len(df_data) == 0:
continue
df_data.loc[:, 'atr'] = ta.ATR(df_data.high,
df_data.low,
df_data.close,
timeperiod=atr_n)
df_data.loc[:, 'chg'] = (df_data['close'] - df_data['close'].shift(1)
) / df_data['close'].shift(1)
# df_data.loc[:,'ma5'] = df_data.close.rolling(5,min_periods=0).mean()
# df_data.loc[:,'ma21'] = df_data.close.rolling(21,min_periods=0).mean()
# cci_n= [15, 30, 60]
# cci_m = pd.DataFrame()
# for n in cci_n:
# cci_m = pd.concat([cci_m, ta_cci(n,df_data)], axis=1)
# df_data = pd.concat([df_data, cci_m], axis=1)
# for N in [32]:#range(4,41):
N = 20
M = 2 * N
def ohlc_gen_compute(data, from1):
### Check to make sure they are even number
if (data.shape[0] % 2) == 1:
data = data.iloc[1:]
#
data["Date"] = data.index
data["Week"] = data["Date"].dt.week
data["Year"] = data["Date"].dt.year
#Create weekly data from daily data
data_weekly = data[data.index >= from1].groupby(["Year", "Week"]).agg({
"Date":
"first",
'Open':
'first',
'High':
'max',
'Low':
'min',
'Close':
'last',
'Volume':
'sum'
})
#Add TA in daily and weekly data
data_weekly["Week"] = data_weekly.index
data_weekly.index = data_weekly["Date"]
#
dayofyear = data['Date'].dt.dayofyear
#
# new column introduced by Kevin Davey
data['prevClose'] = data['Close'].shift(1)
data['prevprevClose'] = data['Close'].shift(2)
# 0 = Monday, 6 = Sunday
data['dayofweek'] = data.index.to_series().dt.dayofweek
#
data['ATR21'] = TA.ATR(data['High'],
data['Low'],
data['Close'],
timeperiod=21)
data['prevATR21'] = data['ATR21'].shift(1)
data['trailing_ATR'] = data['prevClose'] - 3 * data['prevATR21']
#
data['SAR'] = TA.SAR(data['High'], data['Low'])
data['ADX'] = TA.ADX(data['High'], data['Low'], data['Close'])
data['prevADX'] = data['ADX'].shift(1)
data['ADX-trend'] = data['ADX'] - data['ADX'].shift(1) # today - previous
#
data['firstday'] = (dayofyear <
dayofyear.shift(1)) | (dayofyear.shift(1).isnull())
#
data["EMA9"] = TA.EMA(data["Close"], 9)
data["EMA19"] = TA.EMA(data["Close"], 19)
data["EMA50"] = TA.EMA(data["Close"], 50)
#
# Gruppy line short term
data["EMA3"] = TA.EMA(data["Close"], 3)
data["EMA5"] = TA.EMA(data["Close"], 5)
data["EMA8"] = TA.EMA(data["Close"], 8)
data["EMA10"] = TA.EMA(data["Close"], 10)
data["EMA12"] = TA.EMA(data["Close"], 12)
data["EMA15"] = TA.EMA(data["Close"], 15)
#
# Gruppy line long term
data["EMA30"] = TA.EMA(data["Close"], 30)
data["EMA35"] = TA.EMA(data["Close"], 35)
data["EMA40"] = TA.EMA(data["Close"], 40)
data["EMA45"] = TA.EMA(data["Close"], 45)
data["EMA50"] = TA.EMA(data["Close"], 50)
data["EMA60"] = TA.EMA(data["Close"], 60)
data['guppy_long_width'] = data["EMA60"] - data["EMA30"]
data['guppy_long_width'] = data['guppy_long_width'].abs()
data['guppy_30over60'] = data["EMA30"] > data["EMA60"]
#
ST_ema = ['EMA5', 'EMA8', 'EMA10', 'EMA12', 'EMA15']
LT_ema = ['EMA35', 'EMA40', 'EMA45', 'EMA50', 'EMA60']
data['guppy_ShortTermTrend'] = 0
# condition = (data['EMA3'] > data[ST_ema].max(axis=1)) & data['EMA3'].notna() & data['EMA15'].notna()
condition = (data['EMA3']>data['EMA5']) &\
(data['EMA5']>data['EMA8']) &\
(data['EMA8']>data['EMA10']) &\
(data['EMA10']>data['EMA12']) &\
(data['EMA12']>data['EMA15'])
data.loc[condition, 'guppy_ShortTermTrend'] = 1
condition = (data['EMA3']<data['EMA5']) &\
(data['EMA5']<data['EMA8']) &\
(data['EMA8']<data['EMA10']) &\
(data['EMA10']<data['EMA12']) &\
(data['EMA12']<data['EMA15'])
# condition = (data['EMA3'] < data[ST_ema].min(axis=1)) & data['EMA3'].notna() & data['EMA15'].notna()
data.loc[condition, 'guppy_ShortTermTrend'] = -1
data['guppy_LongTermTrend'] = 0
# condition = (data['EMA30'] > data[LT_ema].max(axis=1)) & data['EMA30'].notna() & data['EMA60'].notna()
condition = (data['EMA30']>data['EMA35']) &\
(data['EMA35']>data['EMA40']) &\
(data['EMA40']>data['EMA45']) &\
(data['EMA45']>data['EMA50']) &\
(data['EMA50']>data['EMA60'])
data.loc[condition, 'guppy_LongTermTrend'] = 1
condition = (data['EMA30']<data['EMA35']) &\
(data['EMA35']<data['EMA40']) &\
(data['EMA40']<data['EMA45']) &\
(data['EMA45']<data['EMA50']) &\
(data['EMA50']<data['EMA60'])
# condition = (data['EMA30'] < data[LT_ema].min(axis=1)) & data['EMA30'].notna() & data['EMA60'].notna()
data.loc[condition, 'guppy_LongTermTrend'] = -1
data['guppy_LongTermTrend_simple'] = 0
condition = (data['EMA30'] > data['EMA60']
) & data['EMA30'].notna() & data['EMA60'].notna()
data.loc[condition, 'guppy_LongTermTrend_simple'] = 1
condition = (data['EMA30'] < data['EMA60']
) & data['EMA30'].notna() & data['EMA60'].notna()
data.loc[condition, 'guppy_LongTermTrend_simple'] = -1
#
data['guppy_LongTermBandWiden'] = False
#
window = 200
chipavg = 'CHIP_AVG_{}'.format(window)
chipscore = 'CHIP_SCORE_{}'.format(window)
chipema = "EMA{}".format(window)
data[chipavg], data[chipscore] = ta_chip(data['High'], data['Low'],
data['Close'], data['Volume'],
window)
data[chipema] = TA.EMA(data["Close"], window)
data['CHIP_CRAZY'] = abs(data[chipavg] - data[chipema])
#
window = 1000
chipavg1 = 'CHIP_AVG_{}'.format(window)
chipscore1 = 'CHIP_SCORE_{}'.format(window)
data[chipavg1], data[chipscore1] = ta_chip(data['High'], data['Low'],
data['Close'], data['Volume'],
window)
data['CHIP_TREND'] = data[chipavg] - data[chipavg1]
#
guppy_window = 5
guppy_longterm = data['guppy_LongTermTrend']
guppy_longterm_up = guppy_longterm.rolling(guppy_window).sum() == (
guppy_window * 1)
guppy_longterm_down = guppy_longterm.rolling(guppy_window).sum() == (
guppy_window * -1)
#
for d in guppy_longterm_up[guppy_longterm_up].index:
prev_longterm = data.loc[:d, 'guppy_LongTermTrend']
last_diff_date = prev_longterm[prev_longterm != 1].tail(1).index[0]
first_same_iloc = data.index.get_loc(last_diff_date) + 1
first_same_loc = data.index[first_same_iloc]
window_median = data.loc[first_same_loc:d, 'guppy_long_width'].median()
data.loc[d, 'guppy_LongTermBandWiden'] = data.loc[
d, 'guppy_long_width'] > window_median
#
for d in guppy_longterm_down[guppy_longterm_down].index:
prev_longterm = data.loc[:d, 'guppy_LongTermTrend']
last_diff_date = prev_longterm[prev_longterm != -1].tail(1).index[0]
first_same_iloc = data.index.get_loc(last_diff_date) + 1
first_same_loc = data.index[first_same_iloc]
window_median = data.loc[first_same_loc:d, 'guppy_long_width'].median()
data.loc[d, 'guppy_LongTermBandWiden'] = data.loc[
d, 'guppy_long_width'] > window_median
#
data['slowk'], data['slowd'] = TA.STOCH(data['High'], data['Low'],
data['Close'])
# data = generic_peak_trough_projection_ampd(data, 'guppy_long_width', long_change)
#
data["RSI9"] = TA.RSI(data["Close"], 9)
data["macd"], data["macdsignal"], data["macdhist"] = TA.MACD(
data["Close"], fastperiod=12, slowperiod=26, signalperiod=9)
#
data["EMA5"] = TA.EMA(data["Close"], 5)
data["BBupper"], data["BBmid"], data["BBlower"] = TA.BBANDS(data["Close"],
timeperiod=5,
nbdevup=2,
nbdevdn=2,
matype=0)
data['RSI9-75'] = data['RSI9'].rolling(200).apply(
lambda x: np.percentile(x, 75))
data['RSI9-9'] = TA.EMA(data["RSI9"], 9)
data['RSI9-19'] = TA.EMA(data["RSI9"], 19)
data['RSI9-50'] = TA.EMA(data["RSI9"], 50)
data['obv'] = TA.OBV(data['Close'], data['Volume'])
data["obv9"] = TA.EMA(data["obv"], 9)
data["obv19"] = TA.EMA(data["obv"], 19)
data["obv50"] = TA.EMA(data["obv"], 50)
data['ADOSC'] = TA.ADOSC(data["High"], data["Low"], data["Close"],
data["Volume"])
data['MFI'] = TA.MFI(data["High"], data["Low"], data["Close"],
data["Volume"])
data["chaikin"] = TA.ADOSC(data['High'],
data['Low'],
data['Close'],
data['Volume'],
fastperiod=3,
slowperiod=10)
data["chaikin9"] = TA.EMA(data["chaikin"], 9)
data["chaikin19"] = TA.EMA(data["chaikin"], 19)
data["chaikin50"] = TA.EMA(data["chaikin"], 50)
#
price_diff = (data['Close'] - data['CHIP_AVG_200']).apply(pos_neg)
data['Price_CHIP200_10'] = price_diff.rolling(window=10).sum()
data['Price_CHIP200_20'] = price_diff.rolling(window=20).sum()
data['guppy_LT_last5'] = data['guppy_LongTermTrend'].rolling(
window=5).sum()
#
data_weekly["EMA9"] = TA.EMA(data_weekly["Close"], 9)
data_weekly["EMA19"] = TA.EMA(data_weekly["Close"], 19)
data_weekly["EMA50"] = TA.EMA(data_weekly["Close"], 50)
#
data['Date-simple'] = data['Date']
data["Date"] = data["Date"].apply(mdates.date2num)
#Construct filtered daily and weekly data for chart generation
#
return data
df['adx'] = adx
dx = talib.DX(df.high.values, df.low.values, df.close.values, timeperiod=14)
df['dx'] = dx
cci = talib.CCI(df.high.values, df.low.values, df.close.values, timeperiod=14)
df['cci'] = cci
upperband, middleband, lowerband = talib.BBANDS(df.close.values, timeperiod=5, nbdevup=2, nbdevdn=2, matype=0)
df['upperband'] = upperband
df['middleband'] = middleband
df['lowerband'] = lowerband
sar = talib.SAR(df.high.values, df.low.values, acceleration=0, maximum=0)
df['sar'] = sar
ad = talib.ADOSC(df.high.values, df.low.values, df.close.values, df.volume.values, fastperiod=3, slowperiod=10)
df['ad'] = ad
obv = talib.OBV(df.close.values, df.volume.values)
df['obv'] = obv
atr = talib.ATR(df.high.values, df.low.values, df.close.values, timeperiod=14)
df['atr'] = atr
df['ma5'] = talib.MA(df.close.values, timeperiod=5)
df['ma10'] = talib.MA(df.close.values, timeperiod=10)
df['ma30'] = talib.MA(df.close.values, timeperiod=30)
df['ma60'] = talib.MA(df.close.values, timeperiod=60)
df['ma120'] = talib.MA(df.close.values, timeperiod=120)
=======
try:
macd, macdsignal, macdhist = talib.MACD(df.close.values, fastperiod=12, slowperiod=26, signalperiod=9)
df['macd'] = macd
df['macdsignal'] = macdsignal
df['macdhist'] = macdhist
k, d = talib.STOCH(df.high.values, df.low.values, df.close.values, fastk_period=5, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)
df['k'] = k
df['d'] = d
