python实现技术指标(简单移动平均，加权移动平均线，指数移动平均线)

最新推荐文章于 2024-07-25 04:51:46 发布

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最新推荐文章于 2024-07-25 04:51:46 发布

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分类专栏：量化交易文章标签： python 开发语言

本文链接：https://blog.csdn.net/cl2010abc/article/details/139779242

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移动平均线是最常见的技术指标，它能够去除时间序列的短期波动，使得数据变得平滑，从而可以方便看出序列的趋势特征。常见的移动平均线有简单移动平均线，加权移动平均线，指数移动平均线。

一. 简单移动平均(SMA)

简单移动平均线(Simple Moving Average)，很好理解，就是将过去n个窗口内的价格进行算术平均
$SMA_t(n) = \frac{1}{n}(X_{t-n+1} + X_{t-n+2} + ... + X_t)$

以下是贵州茅台从 $2018.6.1$ 到 $2019.12.31$ 收盘价的简单移动平均线。

import pandas as pd
import baostock as bs
import matplotlib.pyplot as plt


def get_data(code, start_date, end_date):
    lg = bs.login()
    rs = bs.query_history_k_data_plus(code,
                                      "date,code,open,high,low,close,volume",
                                      start_date=start_date, end_date=end_date,
                                      frequency="d", adjustflag="3")
    data_list = []
    while (rs.error_code == '0') & rs.next():
        data_list.append(rs.get_row_data())
    result = pd.DataFrame(data_list, columns=rs.fields)
    bs.logout()

    result['date'] = pd.to_datetime(result['date'])
    result['open'] = result['open'].astype(float)
    result['high'] = result['high'].astype(float)
    result['low'] = result['low'].astype(float)
    result['close'] = result['close'].astype(float)
    result['volume'] = result['volume'].astype(float)
    result.set_index(result['date'], inplace=True)

    return result


if __name__ == '__main__':
    data = get_data('sh.600519', '2018-06-01', '2019-12-31')
    data['SMA10'] = data['close'].rolling(10).mean()
    data['SMA20'] = data['close'].rolling(20).mean()

    fig = plt.figure(figsize=(20, 10))
    ax = fig.add_subplot()
    ax.plot(data.index, data['close'], linestyle='--', label='close')
    ax.plot(data.index, data['SMA10'], label='SMA10')
    ax.plot(data.index, data['SMA20'], label='SMA20')
    ax.legend()

    plt.show()

在这里插入图片描述

二. 加权移动平均(WMA)

加权移动平均(Weighted Moving Average)在计算平均值时，对最近的数据赋予的权重比历史数据的权重要大。
$WMA(n)_t = \frac{nX_t + (n-1)X_{t-1} + ... + 2X_{t-n+2} + X_{t-n+1}}{n + (n - 1) + ...+ 2 + 1}$

以下是贵州茅台从 $2018.6.1$ 到 $2019.12.31$ 收盘价的加权移动平均线。

import numpy as np
import pandas as pd
import baostock as bs
import matplotlib.pyplot as plt


def get_data(code, start_date, end_date):
    lg = bs.login()
    rs = bs.query_history_k_data_plus(code,
                                      "date,code,open,high,low,close,volume",
                                      start_date=start_date, end_date=end_date,
                                      frequency="d", adjustflag="3")
    data_list = []
    while (rs.error_code == '0') & rs.next():
        data_list.append(rs.get_row_data())
    result = pd.DataFrame(data_list, columns=rs.fields)
    bs.logout()

    result['date'] = pd.to_datetime(result['date'])
    result['open'] = result['open'].astype(float)
    result['high'] = result['high'].astype(float)
    result['low'] = result['low'].astype(float)
    result['close'] = result['close'].astype(float)
    result['volume'] = result['volume'].astype(float)
    result.set_index(result['date'], inplace=True)

    return result


if __name__ == '__main__':
    data = get_data('sh.600519', '2018-06-01', '2019-12-31')
    n = 10
    weights = np.array(range(1, n + 1))
    weights_sum = np.sum(weights)
    data['WMA10'] = data['close'].rolling(window=n, min_periods=n).apply(lambda x: np.sum(x * weights) / weights_sum)

    fig = plt.figure(figsize=(20, 10))
    ax = fig.add_subplot()
    ax.plot(data.index, data['close'], linestyle='--', label='close')
    ax.plot(data.index, data['WMA10'], label='WMA10')
    ax.legend()

    plt.show()

在这里插入图片描述

三. 指数移动平均(EMA)

指数移动平均(Exponential Moving Average)跟加权移动平均类似，只是它对最近的数据赋予了更高的权重。
$EMA_t = {\alpha}X_t + (1-\alpha)EMA_{t-1}$
$\alpha$ 一般取 $2/ (n + 1)$ , $n$ 为数据序列长度，pandas中计算EMA一般可以使用ewm方法。

以下是贵州茅台从 $2018.6.1$ 到 $2019.12.31$ 收盘价的指数移动平均线。

import numpy as np
import pandas as pd
import baostock as bs
import matplotlib.pyplot as plt


def get_data(code, start_date, end_date):
    lg = bs.login()
    rs = bs.query_history_k_data_plus(code,
                                      "date,code,open,high,low,close,volume",
                                      start_date=start_date, end_date=end_date,
                                      frequency="d", adjustflag="3")
    data_list = []
    while (rs.error_code == '0') & rs.next():
        data_list.append(rs.get_row_data())
    result = pd.DataFrame(data_list, columns=rs.fields)
    bs.logout()

    result['date'] = pd.to_datetime(result['date'])
    result['open'] = result['open'].astype(float)
    result['high'] = result['high'].astype(float)
    result['low'] = result['low'].astype(float)
    result['close'] = result['close'].astype(float)
    result['volume'] = result['volume'].astype(float)
    result.set_index(result['date'], inplace=True)

    return result


if __name__ == '__main__':
    data = get_data('sh.600519', '2018-06-01', '2019-12-31')[['date', 'close']]
    data['EMA10'] = data['close'].ewm(span=10, adjust=True).mean()

    fig = plt.figure(figsize=(20, 10))
    ax = fig.add_subplot()
    ax.plot(data.index, data['close'], linestyle='--', label='close')
    ax.plot(data.index, data['EMA10'], label='EMA10')
    ax.legend()

    plt.show()

在这里插入图片描述

四. 对比三种均线

1. 三种均线的权重对比

从权重思维来看，三种方法都可以认为是加权平均。

SMA：权重系数一致
WMA：权重系数随时间间隔线性递减
EMA：权重系数随时间间隔指数递减

下面通过程序展示三种均线的权重系数的递减情况

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt


if __name__ == '__main__':
    n = 30
    # 简单移动平均权重
    weight_sma = np.ones(n)

    # 加权移动平均
    weights_wma = range(1, n + 1)
    weights_wma /= np.sum(weights_wma)
    weights_wma = weights_wma[::-1]

    # 指数移动平均
    alpha = 2 / (n + 1)
    t = np.array(range(0, n))
    weights_ema = alpha * (1 - alpha) ** t

    df = pd.DataFrame({"SMA30-Weights": weight_sma, "WMA30-Weights": weights_wma, "EMA30-Weights": weights_ema})
    ax = df.plot.bar(subplots=True, figsize=(16, 6), title=['', '', ''])
    
    plt.show()

在这里插入图片描述
从上图中的权重系数随时间间隔衰减情况可以看出，指数移动平均系数衰减较快，也因此一般也能更快的发现趋势的变化。

2. 三种均线可视化

下面展示贵州茅台从2018.6.1到2019.12.31收盘价的三种移动均线。

import numpy as np
import pandas as pd
import baostock as bs
import matplotlib.pyplot as plt



def get_data(code, start_date, end_date):
    lg = bs.login()
    rs = bs.query_history_k_data_plus(code,
                                      "date,code,open,high,low,close,volume",
                                      start_date=start_date, end_date=end_date,
                                      frequency="d", adjustflag="3")
    data_list = []
    while (rs.error_code == '0') & rs.next():
        data_list.append(rs.get_row_data())
    result = pd.DataFrame(data_list, columns=rs.fields)
    bs.logout()

    result['date'] = pd.to_datetime(result['date'])
    result['open'] = result['open'].astype(float)
    result['high'] = result['high'].astype(float)
    result['low'] = result['low'].astype(float)
    result['close'] = result['close'].astype(float)
    result['volume'] = result['volume'].astype(float)
    result.set_index(result['date'], inplace=True)

    return result


# 简单移动平均
def sma_demo(data, n):
    data['SMA20'] = data['close'].rolling(window=n, min_periods=n).mean()
    return data


# 加权移动平均
def wma_demo(data, n):
    weights = np.array(range(1, n + 1))
    weights_sum = np.sum(weights)
    data['WMA20'] = data['close'].rolling(window = n, min_periods=n).apply(lambda x: np.sum(x * weights) / weights_sum)
    return data



# 指数平均
def ema_demo(data, n):
    data['EMA20'] = data['close'].ewm(span=n, min_periods=n, adjust=True).mean()
    return data





if __name__ == '__main__':
    data = get_data('sh.600519', '2018-06-01', '2019-12-31')[['close']]

    data = sma_demo(data, 20)
    data = wma_demo(data, 20)
    data = ema_demo(data, 20)

    fig = plt.figure(figsize=(30, 20))
    ax = fig.add_subplot()
    ax.plot(data.index, data['close'], linestyle='--', label='close')
    ax.plot(data.index, data['SMA20'], label='SMA20')
    ax.plot(data.index, data['WMA20'], label='WMA20')
    ax.plot(data.index, data['EMA20'], label='EMA20')
    ax.legend()

    plt.show()

运行结果：
在这里插入图片描述

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python实现技术指标(简单移动平均，加权移动平均线，指数移动平均线)

移动平均线是最常见的技术指标，它能够去除时间序列的短期波动，使得数据变得平滑，从而可以方便看出序列的趋势特征。常见的移动平均线有简单移动平均线，加权移动平均线，指数移动平均线。
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