【Python 量化交易】KDJ技术指标

KDJ Source Code

class KDJIndicator(object):
    def __init__(self,
                 low: pd.Series,
                 high: pd.Series,
                 close: pd.Series,
                 n: int = 9,
                 m1: int = 3,
                 m2: int = 3,
                 ):
        self._low = low.copy()
        self._high = high.copy()
        self._close = close.copy()
        self._N = n
        self._M1 = m1
        self._M2 = m2
        self._run()

    def _run(self):
        low_list = self._low.rolling(self._N).min()
        low_list.fillna(value=self._low.expanding().min(), inplace=True)
        high_list = self._high.rolling(self._N).max()
        high_list.fillna(value=self._high.expanding().max(), inplace=True)
        rsv = (self._close - low_list) / (high_list - low_list) * 100
        self.K = rsv.ewm(com=self._M1-1).mean()
        self.D = self.K.ewm(com=self._M2-1).mean()
        self.J = 3 * self.K - 2 * self.D

    def k(self):
        return pd.Series(self.K, name='K')

    def d(self):
        return pd.Series(self.D, name='D')

    def j(self):
        return pd.Series(self.J, name='J')

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