【金融】【python】使用python处理多种期货数据指标

featureExtraction.py

自己在网上搜的然后复现的，可能不是很准确。
包括：Relative Strength Index(相对强度指数)Stochastic Oscillator(随机振荡器)Williams %R(威廉指数)Moving Average Convergence Divergence(移动平均收敛发散)Price Rate of Change(价格变化率)Simple 10-day moving averageWeighted 10-day moving averageMomentumA/D (Accumulation/Distribution) OscillatorCCI (Commodity Channel Index)

import numpy as np

def RSI(data):
    """
    Relative Strength Index(相对强度指数):
        选择`14天`RSI,平均上涨为0则RSI=0,平均下跌为0则RSI=100
    参考https://blog.csdn.net/pureszgd/article/details/83661531
    Params:
    ----------
        data: np.array, columns rank as `Open, High, Low, Close`.
    """
    data = data[:, 3]
    length = data.size
    diff = np.zeros(length)
    rsi = np.zeros(length)

    n = 14
    for i in range(1, length):
        diff[i] = data[i] - data[i-1]
    up_avg = sum(diff[0:n][diff[0:n] > 0]) / n
    down_avg = sum(-1 * diff[0:n][diff[0:n] < 0]) / n

    rs = up_avg / down_avg
    rsi[n-1] = 100 - 100 / (1 + rs)

    for i in range(n, length):
        # if len(diff[i-14:i] >= 0) == 0:
        #     rsi[i] = 100
        #     continue
        up = 0
        down = 0
        if diff[i] > 0:
            up = diff[i]
        else:
            down = -1 * diff[i]

        # RS = np.mean(diff[i-14:i][diff[i-14:i] > 0]) / abs(np.mean(diff[i-14:i][diff[i-14:i] < 0]))
        up_avg = (up_avg * (n - 1) + up) / n
        down_avg = (down_avg * (n - 1) + down) / n
        RS = up_avg / down_avg

        rsi[i] = 100 - 100 / (1 + RS)
        if np.isnan(rsi[i]):
            print('RSI get nan', diff[i-14:i])
    return rsi

def SO(data):
    """
    Stochastic K%
    Stochastic Oscillator(随机振荡器): 
        主要研究高低价位与收市价的关系，反映价格走势的强弱和超买超卖现象。
        采用`14天`Stochastic Oscillator(随机振荡器)
    Stochastic D% 由于按照定义, Stochastic K%实际与William’s R%相关。
    因而取Stochastic D%，即Stochastic K%的`3天`移动平均
    Params:
    ----------
        data: np.array, columns rank as `Open, High, Low, Close`.
    """

    length = data[:, 3].size
    K = np.zeros(length)
    D = np.zeros(length)
    n = 14
    for i in range(n-1, length):
        C = data[i, 3]
        L14 = min(data[i-n+1:i+1, 2])
        H14 = max(data[i-n+1:i+1, 1])
        K[i] = 100 * (C - L14) / (H14 - L14)
        D[i] = sum(K[i-2:i+1]) / 3
    return D

def WR(data):
    """
    (Larry William’s R%)
    Williams %R(威廉指数):
        采用`14天`Williams %R
    -100 * (H14 - C) / (H14 - L14)
    Params:
    ----------
        data: np.array, columns rank as `Open, High, Low, Close`.
    """
    length = data[:, 3].size
    R = np.zeros(length)

    n = 14
    for i in range(n-1, length):
        C = data[i, 3]
        L14 = min(data[i-n+1:i+1, 2])
        H14 = max(data[i-n+1:i+1, 1])
        R[i] = -100 * (H14 - C) / (H14 - L14)
    return R


def MACD(data):
    """
    Moving Average Convergence Divergence(移动平均收敛发散):
        MACD = `EMA_12`(C) − `EMA_26`(C)
        EMA: v(t) = β⋅v(t−1) + (1−β)⋅θ(t), 取 `β = 0.9`
            则EMA12的 β = 1 - 1/12 = 0.9167, EMA26的 β = 1 - 1/26 = 0.9615
    Params:
    ----------
        data: np.array, columns rank as `Open, High, Low, Close`.
    """
    data = data[:, 3]
    length = data.size
    macd = np.zeros(length)
    EMA12 = np.zeros(length)
    EMA26 = np.zeros(length)
    EMA12[0] = data[0]
    EMA26[0] = data[0]
    for i in range(1, length):
        EMA12[i] = 0.9167 * EMA12[i-1] + 0.0833 * data[i]
        EMA26[i] = 0.9615 * EMA26[i-1] + 0.0385 * data[i]
        macd[i] = EMA12[i] - EMA26[i]
    return macd



def PROC(data):
    """
    Price Rate of Change(价格变化率):
        采用`1天`Price Rate of Change
    Params:
    ----------
        data: np.array, columns rank as `Open, High, Low, Close`.
    """
    data = data[:, 3]
    length = data.size
    proc = np.zeros(length)
    # TODO: 注意data中不能有0值
    proc[1:] = (data[1:] - data[:-1]) / data[:-1]
    return proc

def Simple10MA(data):
    """
    Simple 10-day moving average
    """
    data = data[:, 3]
    length = data.size
    simple10MA = np.zeros(length)

    n = 10
    sum10 = np.sum(data[0:n])
    simple10MA[n-1] = sum10 / n
    for i in range(n, length):
        sum10 = sum10 - data[i-n] + data[i]
        simple10MA[i] = sum10 / n
    return simple10MA

def Weighted10MA(data):
    """
    Weighted 10-day moving average
    Params:
    ----------
        data: np.array, columns rank as `Open, High, Low, Close`.
    """
    
    data = data[:, 3]
    length = data.size
    weighted10MA = np.zeros(length)

    n = 10
    sumN = (n + 1) * n / 2
    for i in range(n-1, length):
        weightedSum = 0
        for j in range(n):
            weightedSum += (n-j) * data[i-j]
        weighted10MA[i] = weightedSum / sumN
    return weighted10MA
        
def Momentum(data):
    """
    Momentum
    C_t - C_{t-n}
    Params:
    ----------
        data: np.array, columns rank as `Open, High, Low, Close`.
    """
    n = 10
    data = data[:, 3]
    length = data.size
    momentum = np.zeros(length)
    for i in range(n-1, length):
        momentum[i] = data[i] - data[i - n + 1]
    return momentum

def ADOscillator(data):
    """
    A/D (Accumulation/Distribution) Oscillator
    (H_t - C_{t-1}) / (H_t - L_t)
    Params:
    ----------
        data: np.array, columns rank as `Open, High, Low, Close`.
    """
    length = data[:,3].size
    ado = np.zeros(length)
    for i in range(1, length):
        ado[i] = (data[i,1] - data[i-1,3]) / (data[i,1] - data[i,2])
    return ado

def CCI(data):
    """
    CCI (Commodity Channel Index)
    CCI_t = (M_t - SM_t) / (0.015 * D_t)
    M_t = (H_t + L_t + C_t) / 3
    SM_t = (Σn M_{t-i+1}) / n
    D_t = (Σn |M_{t-i+1} - SM_t|) / n
    Params:
    ----------
        data: np.array, columns rank as `Open, High, Low, Close`.
    """
    length = data[:,3].size
    cci = np.zeros(length)
    m = np.zeros(length)

    n = 14
    for i in range(n-1):
        m[i] = (data[i,1] + data[i,2] + data[i,3]) / 3
    for i in range(n-1, length):
        m[i] = (data[i,1] + data[i,2] + data[i,3]) / 3
        SM = sum(m[i-n+1:i+1]) / n
        D = sum(abs(m[i-n+1:i+1] - SM)) / n
        cci[i] = (m[i] - SM) / (0.015 * D)
    return cci


if __name__ == '__main__':
    data = np.random.randint(0,10,(30,4))
    rsi = RSI(data)
    print('rsi', rsi)
    so = SO(data)
    print('so', so)
    wr = WR(data)
    print('wr', wr)
    macd = MACD(data)
    print('macd', macd)
    proc = PROC(data)
    print('proc', proc)
    simpleMA = Simple10MA(data)
    print('simpleMA', simpleMA)
    weightedMA = Weighted10MA(data)
    print('weightedMA', weightedMA)
    momentum = Momentum(data)
    print('momentum', momentum)
    ado = ADOscillator(data)
    print('ado', ado)
    cci = CCI(data)
    print('cci', cci)
    
    

pandas_techinal_indicators.py

采用jmartinezheras/reproduce-stock-market-direction-random-forests实现的文件。

包括：moving_averageexponential_moving_averagemomentumrate_of_change(ROC)average_true_range(真实波动幅度均值 Average True Range)bollinger_bandsppsr(Pivot Points, Supports and Resistances)stochastic_oscillator_k(stochastic oscillator %K)stochastic_oscillator_d(stochastic oscillator %D)trix(三重指数平滑平均线（TRIX）)average_directional_movement_index(Average Directional Movement Index)macd(MACD, MACD Signal and MACD difference)mass_indexvortex_indicator(涡旋指标（VI）)kst_oscillator(KST Oscillator)relative_strength_index(RSI)true_strength_index(TSI)accumulation_distribution(A/D 累计派发指标)chaikin_oscillatormoney_flow_index(Money FLOW Index资金流量指标又被称为相对强弱指标)on_balance_volume(能量潮指标)force_indexease_of_movement(简易波动指标-Ease of Movement)commodity_channel_index(CCI指标/顺势指标)coppock_curvekeltner_channelultimate_oscillatordonchian_channelstandard_deviation

"""
Indicators as shown by Peter Bakker at:
https://www.quantopian.com/posts/technical-analysis-indicators-without-talib-code
"""

"""
25-Mar-2018: Fixed syntax to support the newest version of Pandas. Warnings should no longer appear.
             Fixed some bugs regarding min_periods and NaN.
			 If you find any bugs, please report to github.com/palmbook
"""

# Import Built-Ins
import logging

# Import Third-Party
import pandas as pd
import numpy as np

# Import Homebrew

# Init Logging Facilities
log = logging.getLogger(__name__)


def moving_average(df, n):
    """Calculate the moving average for the given data.
    
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    MA = pd.Series(df['Close'].rolling(n, min_periods=n).mean(), name='MA_' + str(n))
    df = df.join(MA)
    return df


def exponential_moving_average(df, n):
    """
    
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    EMA = pd.Series(df['Close'].ewm(span=n, min_periods=n).mean(), name='EMA_' + str(n))
    df = df.join(EMA)
    return df


def momentum(df, n):
    """
    【使用】Momentum
    :param df: pandas.DataFrame 
    :param n: 
    :return: pandas.DataFrame
    """
    M = pd.Series(df['Close'].diff(n), name='Momentum_' + str(n))
    df = df.join(M)
    return df


def rate_of_change(df, n):
    """
    【使用】ROC
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    M = df['Close'].diff(n - 1)
    N = df['Close'].shift(n - 1)
    ROC = pd.Series(M / N, name='ROC_' + str(n))
    df = df.join(ROC)
    return df


def average_true_range(df, n):
    """
    【使用】真实波动幅度均值 Average True Range 简介

    平均真实波动范围（Average true range）简称ATR指标，是由J.Welles Wilder 发明的，
    ATR指标主要是用来衡量市场波动的强烈度，即为了显示市场变化率的指标。
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    i = 0
    TR_l = [0]
    while i < df.index[-1]:
        TR = max(df.loc[i + 1, 'High'], df.loc[i, 'Close']) - min(df.loc[i + 1, 'Low'], df.loc[i, 'Close'])
        TR_l.append(TR)
        i = i + 1
    TR_s = pd.Series(TR_l)
    ATR = pd.Series(TR_s.ewm(span=n, min_periods=n).mean(), name='ATR_' + str(n))
    df = df.join(ATR)
    return df


def bollinger_bands(df, n):
    """
    
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    MA = pd.Series(df['Close'].rolling(n, min_periods=n).mean())
    MSD = pd.Series(df['Close'].rolling(n, min_periods=n).std())
    b1 = 4 * MSD / MA
    B1 = pd.Series(b1, name='BollingerB_' + str(n))
    df = df.join(B1)
    b2 = (df['Close'] - MA + 2 * MSD) / (4 * MSD)
    B2 = pd.Series(b2, name='Bollinger%b_' + str(n))
    df = df.join(B2)
    return df


def ppsr(df):
    """Calculate Pivot Points, Supports and Resistances for given data
    
    :param df: pandas.DataFrame
    :return: pandas.DataFrame
    """
    PP = pd.Series((df['High'] + df['Low'] + df['Close']) / 3)
    R1 = pd.Series(2 * PP - df['Low'])
    S1 = pd.Series(2 * PP - df['High'])
    R2 = pd.Series(PP + df['High'] - df['Low'])
    S2 = pd.Series(PP - df['High'] + df['Low'])
    R3 = pd.Series(df['High'] + 2 * (PP - df['Low']))
    S3 = pd.Series(df['Low'] - 2 * (df['High'] - PP))
    psr = {'PP': PP, 'R1': R1, 'S1': S1, 'R2': R2, 'S2': S2, 'R3': R3, 'S3': S3}
    PSR = pd.DataFrame(psr)
    df = df.join(PSR)
    return df


def stochastic_oscillator_k(df):
    """Calculate stochastic oscillator %K for given data.
    
    :param df: pandas.DataFrame
    :return: pandas.DataFrame
    """
    SOk = pd.Series((df['Close'] - df['Low']) / (df['High'] - df['Low']), name='SO%k')
    df = df.join(SOk)
    return df


def stochastic_oscillator_d(df, n):
    """Calculate stochastic oscillator %D for given data.
    【使用】
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    SOk = pd.Series((df['Close'] - df['Low']) / (df['High'] - df['Low']), name='SO%k')
    SOd = pd.Series(SOk.ewm(span=n, min_periods=n).mean(), name='SO%d_' + str(n))
    df = df.join(SOd)
    return df


def trix(df, n):
    """Calculate TRIX for given data.
    【使用】三重指数平滑平均线（TRIX）
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    EX1 = df['Close'].ewm(span=n, min_periods=n).mean()
    EX2 = EX1.ewm(span=n, min_periods=n).mean()
    EX3 = EX2.ewm(span=n, min_periods=n).mean()
    i = 0
    ROC_l = [np.nan]
    while i + 1 <= df.index[-1]:
        ROC = (EX3[i + 1] - EX3[i]) / EX3[i]
        ROC_l.append(ROC)
        i = i + 1
    Trix = pd.Series(ROC_l, name='Trix_' + str(n))
    df = df.join(Trix)
    return df


def average_directional_movement_index(df, n, n_ADX):
    """Calculate the Average Directional Movement Index for given data.
    
    :param df: pandas.DataFrame
    :param n: 
    :param n_ADX: 
    :return: pandas.DataFrame
    """
    i = 0
    UpI = []
    DoI = []
    while i + 1 <= df.index[-1]:
        UpMove = df.loc[i + 1, 'High'] - df.loc[i, 'High']
        DoMove = df.loc[i, 'Low'] - df.loc[i + 1, 'Low']
        if UpMove > DoMove and UpMove > 0:
            UpD = UpMove
        else:
            UpD = 0
        UpI.append(UpD)
        if DoMove > UpMove and DoMove > 0:
            DoD = DoMove
        else:
            DoD = 0
        DoI.append(DoD)
        i = i + 1
    i = 0
    TR_l = [0]
    while i < df.index[-1]:
        TR = max(df.loc[i + 1, 'High'], df.loc[i, 'Close']) - min(df.loc[i + 1, 'Low'], df.loc[i, 'Close'])
        TR_l.append(TR)
        i = i + 1
    TR_s = pd.Series(TR_l)
    ATR = pd.Series(TR_s.ewm(span=n, min_periods=n).mean())
    UpI = pd.Series(UpI)
    DoI = pd.Series(DoI)
    PosDI = pd.Series(UpI.ewm(span=n, min_periods=n).mean() / ATR)
    NegDI = pd.Series(DoI.ewm(span=n, min_periods=n).mean() / ATR)
    ADX = pd.Series((abs(PosDI - NegDI) / (PosDI + NegDI)).ewm(span=n_ADX, min_periods=n_ADX).mean(),
                    name='ADX_' + str(n) + '_' + str(n_ADX))
    df = df.join(ADX)
    return df


def macd(df, n_fast, n_slow):
    """Calculate MACD, MACD Signal and MACD difference
    
    :param df: pandas.DataFrame
    :param n_fast: 
    :param n_slow: 
    :return: pandas.DataFrame
    """
    EMAfast = pd.Series(df['Close'].ewm(span=n_fast, min_periods=n_slow).mean())
    EMAslow = pd.Series(df['Close'].ewm(span=n_slow, min_periods=n_slow).mean())
    MACD = pd.Series(EMAfast - EMAslow, name='MACD_' + str(n_fast) + '_' + str(n_slow))
    MACDsign = pd.Series(MACD.ewm(span=9, min_periods=9).mean(), name='MACDsign_' + str(n_fast) + '_' + str(n_slow))
    MACDdiff = pd.Series(MACD - MACDsign, name='MACDdiff_' + str(n_fast) + '_' + str(n_slow))
    df = df.join(MACD)
    df = df.join(MACDsign)
    df = df.join(MACDdiff)
    return df


def mass_index(df):
    """Calculate the Mass Index for given data.
    
    :param df: pandas.DataFrame
    :return: pandas.DataFrame
    """
    Range = df['High'] - df['Low']
    EX1 = Range.ewm(span=9, min_periods=9).mean()
    EX2 = EX1.ewm(span=9, min_periods=9).mean()
    Mass = EX1 / EX2
    MassI = pd.Series(Mass.rolling(25).sum(), name='Mass Index')
    df = df.join(MassI)
    return df


def vortex_indicator(df, n):
    """Calculate the Vortex Indicator for given data.
    【使用】涡旋指标（VI）
    Vortex Indicator described here:
        http://www.vortexindicator.com/VFX_VORTEX.PDF
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    i = 0
    TR = [0]
    while i < df.index[-1]:
        Range = max(df.loc[i + 1, 'High'], df.loc[i, 'Close']) - min(df.loc[i + 1, 'Low'], df.loc[i, 'Close'])
        TR.append(Range)
        i = i + 1
    i = 0
    VM = [0]
    while i < df.index[-1]:
        Range = abs(df.loc[i + 1, 'High'] - df.loc[i, 'Low']) - abs(df.loc[i + 1, 'Low'] - df.loc[i, 'High'])
        VM.append(Range)
        i = i + 1
    VI = pd.Series(pd.Series(VM).rolling(n).sum() / pd.Series(TR).rolling(n).sum(), name='Vortex_' + str(n))
    df = df.join(VI)
    return df


def kst_oscillator(df, r1, r2, r3, r4, n1, n2, n3, n4):
    """Calculate KST Oscillator for given data.
    
    :param df: pandas.DataFrame
    :param r1: 
    :param r2: 
    :param r3: 
    :param r4: 
    :param n1: 
    :param n2: 
    :param n3: 
    :param n4: 
    :return: pandas.DataFrame
    """
    M = df['Close'].diff(r1 - 1)
    N = df['Close'].shift(r1 - 1)
    ROC1 = M / N
    M = df['Close'].diff(r2 - 1)
    N = df['Close'].shift(r2 - 1)
    ROC2 = M / N
    M = df['Close'].diff(r3 - 1)
    N = df['Close'].shift(r3 - 1)
    ROC3 = M / N
    M = df['Close'].diff(r4 - 1)
    N = df['Close'].shift(r4 - 1)
    ROC4 = M / N
    KST = pd.Series(
        ROC1.rolling(n1).sum() + ROC2.rolling(n2).sum() * 2 + ROC3.rolling(n3).sum() * 3 + ROC4.rolling(n4).sum() * 4,
        name='KST_' + str(r1) + '_' + str(r2) + '_' + str(r3) + '_' + str(r4) + '_' + str(n1) + '_' + str(
            n2) + '_' + str(n3) + '_' + str(n4))
    df = df.join(KST)
    return df


def relative_strength_index(df, n):
    """Calculate Relative Strength Index(RSI) for given data.
    【使用】
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    i = 0
    UpI = [0]
    DoI = [0]
    while i + 1 <= df.index[-1]:
        UpMove = df.loc[i + 1, 'High'] - df.loc[i, 'High']
        DoMove = df.loc[i, 'Low'] - df.loc[i + 1, 'Low']
        if UpMove > DoMove and UpMove > 0:
            UpD = UpMove
        else:
            UpD = 0
        UpI.append(UpD)
        if DoMove > UpMove and DoMove > 0:
            DoD = DoMove
        else:
            DoD = 0
        DoI.append(DoD)
        i = i + 1
    UpI = pd.Series(UpI)
    DoI = pd.Series(DoI)
    PosDI = pd.Series(UpI.ewm(span=n, min_periods=n).mean())
    NegDI = pd.Series(DoI.ewm(span=n, min_periods=n).mean())
    RSI = pd.Series(PosDI / (PosDI + NegDI), name='RSI_' + str(n))
    df = df.join(RSI)
    return df


def true_strength_index(df, r, s):
    """Calculate True Strength Index (TSI) for given data.
    
    :param df: pandas.DataFrame
    :param r: 
    :param s: 
    :return: pandas.DataFrame
    """
    M = pd.Series(df['Close'].diff(1))
    aM = abs(M)
    EMA1 = pd.Series(M.ewm(span=r, min_periods=r).mean())
    aEMA1 = pd.Series(aM.ewm(span=r, min_periods=r).mean())
    EMA2 = pd.Series(EMA1.ewm(span=s, min_periods=s).mean())
    aEMA2 = pd.Series(aEMA1.ewm(span=s, min_periods=s).mean())
    TSI = pd.Series(EMA2 / aEMA2, name='TSI_' + str(r) + '_' + str(s))
    df = df.join(TSI)
    return df


def accumulation_distribution(df, n):
    """Calculate Accumulation/Distribution for given data.
    【使用】A/D 累计派发指标
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    ad = (2 * df['Close'] - df['High'] - df['Low']) / (df['High'] - df['Low']) * df['Volume']
    M = ad.diff(n - 1)
    N = ad.shift(n - 1)
    ROC = M / N
    AD = pd.Series(ROC, name='Acc/Dist_ROC_' + str(n))
    df = df.join(AD)
    return df


def chaikin_oscillator(df):
    """Calculate Chaikin Oscillator for given data.
    
    :param df: pandas.DataFrame
    :return: pandas.DataFrame
    """
    ad = (2 * df['Close'] - df['High'] - df['Low']) / (df['High'] - df['Low']) * df['Volume']
    Chaikin = pd.Series(ad.ewm(span=3, min_periods=3).mean() - ad.ewm(span=10, min_periods=10).mean(), name='Chaikin')
    df = df.join(Chaikin)
    return df


def money_flow_index(df, n):
    """Calculate Money Flow Index and Ratio for given data.
    Money FLOW Index资金流量指标又被称为相对强弱指标
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    PP = (df['High'] + df['Low'] + df['Close']) / 3
    i = 0
    PosMF = [0]
    while i < df.index[-1]:
        if PP[i + 1] > PP[i]:
            PosMF.append(PP[i + 1] * df.loc[i + 1, 'Volume'])
        else:
            PosMF.append(0)
        i = i + 1
    PosMF = pd.Series(PosMF)
    TotMF = PP * df['Volume']
    MFR = pd.Series(PosMF / TotMF)
    MFI = pd.Series(MFR.rolling(n, min_periods=n).mean(), name='MFI_' + str(n))
    df = df.join(MFI)
    return df


def on_balance_volume(df, n):
    """Calculate On-Balance Volume for given data.
    【使用】能量潮指标
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    i = 0
    OBV = [0]
    while i < df.index[-1]:
        if df.loc[i + 1, 'Close'] - df.loc[i, 'Close'] > 0:
            OBV.append(df.loc[i + 1, 'Volume'])
        if df.loc[i + 1, 'Close'] - df.loc[i, 'Close'] == 0:
            OBV.append(0)
        if df.loc[i + 1, 'Close'] - df.loc[i, 'Close'] < 0:
            OBV.append(-df.loc[i + 1, 'Volume'])
        i = i + 1
    OBV = pd.Series(OBV)
    OBV_ma = pd.Series(OBV.rolling(n, min_periods=n).mean(), name='OBV_' + str(n))
    df = df.join(OBV_ma)
    return df


def force_index(df, n):
    """Calculate Force Index for given data.
    
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    F = pd.Series(df['Close'].diff(n) * df['Volume'].diff(n), name='Force_' + str(n))
    df = df.join(F)
    return df


def ease_of_movement(df, n):
    """Calculate Ease of Movement for given data.
    【使用】简易波动指标-Ease of Movement
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    EoM = (df['High'].diff(1) + df['Low'].diff(1)) * (df['High'] - df['Low']) / (2 * df['Volume'])
    Eom_ma = pd.Series(EoM.rolling(n, min_periods=n).mean(), name='EoM_' + str(n))
    df = df.join(Eom_ma)
    return df


def commodity_channel_index(df, n):
    """Calculate Commodity Channel Index for given data.
    【使用】CCI指标又叫顺势指标，其英文全名为Commodity Channel Index
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    PP = (df['High'] + df['Low'] + df['Close']) / 3
    CCI = pd.Series((PP - PP.rolling(n, min_periods=n).mean()) / PP.rolling(n, min_periods=n).std(),
                    name='CCI_' + str(n))
    df = df.join(CCI)
    return df


def coppock_curve(df, n):
    """Calculate Coppock Curve for given data.
    
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    M = df['Close'].diff(int(n * 11 / 10) - 1)
    N = df['Close'].shift(int(n * 11 / 10) - 1)
    ROC1 = M / N
    M = df['Close'].diff(int(n * 14 / 10) - 1)
    N = df['Close'].shift(int(n * 14 / 10) - 1)
    ROC2 = M / N
    Copp = pd.Series((ROC1 + ROC2).ewm(span=n, min_periods=n).mean(), name='Copp_' + str(n))
    df = df.join(Copp)
    return df


def keltner_channel(df, n):
    """Calculate Keltner Channel for given data.
    
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    KelChM = pd.Series(((df['High'] + df['Low'] + df['Close']) / 3).rolling(n, min_periods=n).mean(),
                       name='KelChM_' + str(n))
    KelChU = pd.Series(((4 * df['High'] - 2 * df['Low'] + df['Close']) / 3).rolling(n, min_periods=n).mean(),
                       name='KelChU_' + str(n))
    KelChD = pd.Series(((-2 * df['High'] + 4 * df['Low'] + df['Close']) / 3).rolling(n, min_periods=n).mean(),
                       name='KelChD_' + str(n))
    df = df.join(KelChM)
    df = df.join(KelChU)
    df = df.join(KelChD)
    return df


def ultimate_oscillator(df):
    """Calculate Ultimate Oscillator for given data.
    
    :param df: pandas.DataFrame
    :return: pandas.DataFrame
    """
    i = 0
    TR_l = [0]
    BP_l = [0]
    while i < df.index[-1]:
        TR = max(df.loc[i + 1, 'High'], df.loc[i, 'Close']) - min(df.loc[i + 1, 'Low'], df.loc[i, 'Close'])
        TR_l.append(TR)
        BP = df.loc[i + 1, 'Close'] - min(df.loc[i + 1, 'Low'], df.loc[i, 'Close'])
        BP_l.append(BP)
        i = i + 1
    UltO = pd.Series((4 * pd.Series(BP_l).rolling(7).sum() / pd.Series(TR_l).rolling(7).sum()) + (
                2 * pd.Series(BP_l).rolling(14).sum() / pd.Series(TR_l).rolling(14).sum()) + (
                                 pd.Series(BP_l).rolling(28).sum() / pd.Series(TR_l).rolling(28).sum()),
                     name='Ultimate_Osc')
    df = df.join(UltO)
    return df


def donchian_channel(df, n):
    """Calculate donchian channel of given pandas data frame.
    :param df: pandas.DataFrame
    :param n:
    :return: pandas.DataFrame
    """
    i = 0
    dc_l = []
    while i < n - 1:
        dc_l.append(0)
        i += 1

    i = 0
    while i + n - 1 < df.index[-1]:
        dc = max(df['High'].ix[i:i + n - 1]) - min(df['Low'].ix[i:i + n - 1])
        dc_l.append(dc)
        i += 1

    donchian_chan = pd.Series(dc_l, name='Donchian_' + str(n))
    donchian_chan = donchian_chan.shift(n - 1)
    return df.join(donchian_chan)


def standard_deviation(df, n):
    """Calculate Standard Deviation for given data.
    
    :param df: pandas.DataFrame
    :param n: 
    :return: pandas.DataFrame
    """
    df = df.join(pd.Series(df['Close'].rolling(n, min_periods=n).std(), name='STD_' + str(n)))
    return df