python-MACD指标编写

注：最近写指标，采用pandas重新编写了macd指标的算法，主要是调用ewm这个指数平滑的函数，效率大大提高。

def cal_macd_system(data,short_,long_,m):
    '''
    data是包含高开低收成交量的标准dataframe
    short_,long_,m分别是macd的三个参数
    返回值是包含原始数据和diff,dea,macd三个列的dataframe
    '''
    data['diff']=data['close'].ewm(adjust=False,alpha=2/(short_+1),ignore_na=True).mean()-\
                data['close'].ewm(adjust=False,alpha=2/(long_+1),ignore_na=True).mean()
    data['dea']=data['diff'].ewm(adjust=False,alpha=2/(m+1),ignore_na=True).mean()
    data['macd']=2*(data['diff']-data['dea'])
    return data

两种算法的结果不变,但是第一种的效率大大大的提高。

以后指标系列文章所用的示范数据都是来源于网易财经-000001上证指数，2010年到2017年5月数据

###经热心朋友casinozyz指正，该macd算法修改为如下，稍后会做一个更有效率的版本.(以前吹得牛逼2019-01-04已经实现)

 

import pandas as pd
import numpy as np
import datetime
import time
#获取数据
df=pd.read_csv('C:/Users/HXWD/Desktop/000001.csv',encoding='gbk')
df.columns=['date','code','name','close','high','low','open','preclose',
'change','change_per','volume','amt']
df=df[['date','open','high','low','close','volume','amt']]
df.head()
def get_EMA(df,N):
    for i in range(len(df)):
        if i==0:
            df.ix[i,'ema']=df.ix[i,'close']
        if i>0:
            df.ix[i,'ema']=(2*df.ix[i,'close']+(N-1)*df.ix[i-1,'ema'])/(N+1)
    ema=list(df['ema'])
    return ema
def get_MACD(df,short=12,long=26,M=9):
    a=get_EMA(df,short)
    b=get_EMA(df,long)
    df['diff']=pd.Series(a)-pd.Series(b)
    #print(df['diff'])
    for i in range(len(df)):
        if i==0:
            df.ix[i,'dea']=df.ix[i,'diff']
        if i>0:
            df.ix[i,'dea']=(2*df.ix[i,'diff']+(M-1)*df.ix[i-1,'dea'])/(M+1)
    df['macd']=2*(df['diff']-df['dea'])
    return df
get_MACD(df,12,26,9)
df