基于Python实现期权定价和股票技术指标

最新推荐文章于 2024-05-31 14:04:00 发布

ErwinLIU

最新推荐文章于 2024-05-31 14:04:00 发布

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本文链接：https://blog.csdn.net/qq_41717185/article/details/108039153

版权

本文介绍了如何使用Python编程实现Black-Scholes模型进行期权定价，并探讨了股票交易中的技术指标应用。

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技术指标

def MA(series,days):
    '''
    n日简单移动平均
    '''
    
    dict={
   }
    dict[0] = series
    for day in range(1,days):
        dict[day] = series.shift(day)
    temp = pd.DataFrame(dict)
    temp = pd.DataFrame(temp.mean(skipna=False, axis=1),columns=['MA'])
    
    return temp['MA']

def EMA(series,n):
    '''
    n日指数移动平均，由于需要用到历史移动平均值，故该值将逐步回归真实值
    '''
    
    ema = series[0]
    EMA = []
    for i in series:
        ema = (2*i + (n-1)*ema)/(n+1)
        EMA.append(ema)
        
    return pd.Series(EMA)


def MACD(series):
    '''
    MACD值
    '''
    
    quick_line = EMA(series, 12)
    slow_line = EMA(series, 26)
    DIF = quick_line - slow_line
    
    DEA = EMA(DIF, 9)
    macd = 2 * (DIF - DEA)

    return macd

def macd_trigger(series):
    '''
    基于MACD值构建的买卖信号
    '''
    
    def gen_flag(dataframe):
        muti = dataframe['pre_macd'] * dataframe['macd']
        if muti <0:
            if dataframe['pre_macd']<0:
                return 'buy' #买点信号
            else:
                return 'sale' #卖点信号
        else:
            return 'waitting'

    pre_macd = series.shift(1)
    data = pd.DataFrame({
   'pre_macd':pre_macd,'macd':series})
    data['macd_trigger'] = data.apply(gen_flag,axis=1)
    
    return data['macd_trigger']


def SAR(price_high, price_low, price_close, n=4, af=