记录一些股票常用的指标计算 |
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做毕设要用到一些股票指标作为ELM的输入值，一共17个。稍微找了一下talib里的一些函数，跟我需要用到的指标还差那么一点，只好自己找公式实现了。但其实那些指标背后的公式都很简单。这里顺便把用到的talib里的函数也一起放上了。 指标先把要用指标放上来 缩写描述KKDJ中的K值DKDJ中的D值JKDJ中的J值MACD异同移动平均线MOM动量线BIAS乖离率CMO钱德动量摆动指标TRIX三重指数平滑平均线OBV能量潮ROC变动率指标AMA移动平均平行线差指标VR成交量变异率PSY心理线指标Force Index强力指数指标DPO区间震荡线VHF十字过滤线指标RVI相对活力指数 实现先导入几个包，除了talib、numpy和pandas以外还有stockstats、pandas_talib import pandas as pd import numpy as np import talib import stockstats import pandas_talib ''' 这里虽然没有定义df这个变量，但这很明显就是dateframe格式的某只股票基础数据 包括开盘价、收盘价、最高价、最低价和成交量 建议用tushare来获取数据(当然仅限日数据) ''' stockStat = stockstats.StockDataFrame.retype(df) close = df.close highPrice = df.high lowPrice = df.low volume = df.volume然后把一些人家库已经实现好的指标放出来 df.rename(columns={'close': 'Close', 'volume': 'Volume'}, inplace=True) sig_k , sig_d = talib.STOCH(np.array(highPrice), np.array(lowPrice), np.array(close), fastk_period=9,slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0) sig_j = sig_k * 3 - sig_d * 2 sig = pd.concat([sig_k, sig_d, sig_j], axis=1, keys=['K', 'D', 'J']) sig['MACD'], MACDsignal, MACDhist = talib.MACD(np.array(close), fastperiod=6, slowperiod=12, signalperiod=9) sig['MOM'] = talib.MOM(np.array(close), timeperiod=5) sig['CMO'] = talib.CMO(close, timeperiod=10) sig['TRIX'] = talib.TRIX(close, timeperiod=14) sig['OBV'] = talib.OBV(close, volume) sig['ROC'] = talib.ROC(close, timeperiod=10) sig['VR'] = stockStat['vr'] sig['Force_Index'] = pandas_talib.FORCE(df, 12)['Force_12']然后就是自己实现的指标了。 BIAS def BIAS(close, timeperiod=20): if isinstance(close,np.ndarray): pass else: close = np.array(close) MA = talib.MA(close,timeperiod=timeperiod) return (close-MA)/MA AMA def AMA(stockStat): return talib.MA(stockStat['dma'], timeperiod=10) PSY def PSY(priceData, period): difference = priceData[1:] - priceData[:-1] difference = np.append(0, difference) difference_dir = np.where(difference > 0, 1, 0) psy = np.zeros((len(priceData),)) psy[:period] *= np.nan for i in range(period, len(priceData)): psy[i] = (difference_dir[i-period+1:i+1].sum()) / period return psy*100 DPO def DPO(close): p = talib.MA(close, timeperiod=11) p.shift() return close-p VHF def VHF(close): LCP = talib.MIN(close, timeperiod=28) HCP = talib.MAX(close, timeperiod=28) NUM = HCP - LCP pre = close.copy() pre = pre.shift() DEN = abs(close-close.shift()) DEN = talib.MA(DEN, timeperiod=28)*28 return NUM.div(DEN) RVI def RVI(df): close = df.close open = df.open high = df.high low = df.low X = close-open+2*(close.shift()-open.shift())+ 2*(close.shift(periods=2)-open.shift(periods=2))*(close.shift(periods=3)- open.shift(periods=3))/6 Y = high-low+2*(high.shift()-low.shift())+ 2*(high.shift(periods=2)-low.shift(periods=2))*(high.shift(periods=3)- low.shift(periods=3))/6 Z = talib.MA(X, timeperiod=10)*10 D = talib.MA(Y, timeperiod=10)*10 return Z/D |
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