numpy 学习笔记6

测试数据：

AAPL,28-01-2011, ,344.17,344.4,333.53,336.1,21144800
AAPL,31-01-2011, ,335.8,340.04,334.3,339.32,13473000
AAPL,01-02-2011, ,341.3,345.65,340.98,345.03,15236800
AAPL,02-02-2011, ,344.45,345.25,343.55,344.32,9242600
AAPL,03-02-2011, ,343.8,344.24,338.55,343.44,14064100
AAPL,04-02-2011, ,343.61,346.7,343.51,346.5,11494200
AAPL,07-02-2011, ,347.89,353.25,347.64,351.88,17322100
AAPL,08-02-2011, ,353.68,355.52,352.15,355.2,13608500
AAPL,09-02-2011, ,355.19,359,354.87,358.16,17240800
AAPL,10-02-2011, ,357.39,360,348,354.54,33162400
AAPL,11-02-2011, ,354.75,357.8,353.54,356.85,13127500
AAPL,14-02-2011, ,356.79,359.48,356.71,359.18,11086200
AAPL,15-02-2011, ,359.19,359.97,357.55,359.9,10149000
AAPL,16-02-2011, ,360.8,364.9,360.5,363.13,17184100
AAPL,17-02-2011, ,357.1,360.27,356.52,358.3,18949000
AAPL,18-02-2011, ,358.21,359.5,349.52,350.56,29144500
AAPL,22-02-2011, ,342.05,345.4,337.72,338.61,31162200
AAPL,23-02-2011, ,338.77,344.64,338.61,342.62,23994700
AAPL,24-02-2011, ,344.02,345.15,338.37,342.88,17853500
AAPL,25-02-2011, ,345.29,348.43,344.8,348.16,13572000
AAPL,28-02-2011, ,351.21,355.05,351.12,353.21,14395400
AAPL,01-03-2011, ,355.47,355.72,347.68,349.31,16290300
AAPL,02-03-2011, ,349.96,354.35,348.4,352.12,21521000
AAPL,03-03-2011, ,357.2,359.79,355.92,359.56,17885200
AAPL,04-03-2011, ,360.07,360.29,357.75,360,16188000
AAPL,07-03-2011, ,361.11,361.67,351.31,355.36,19504300
AAPL,08-03-2011, ,354.91,357.4,352.25,355.76,12718000
AAPL,09-03-2011, ,354.69,354.76,350.6,352.47,16192700
AAPL,10-03-2011, ,349.69,349.77,344.9,346.67,18138800
AAPL,11-03-2011, ,345.4,352.32,345,351.99,16824200
AAPL,11-04-2011, ,345.4,352.32,345,351.99,16824200
AAPL,11-05-2011, ,345.4,352.32,345,351.99,16824200
AAPL,11-06-2011, ,345.4,352.32,345,351.99,16824200
AAPL,11-07-2011, ,345.4,352.32,345,351.99,16824200
AAPL,11-08-2011, ,345.4,352.32,345,351.99,16824200
AAPL,11-03-2011, ,345.4,352.32,345,351.99,16824200

# encoding=utf-8
import numpy as np

import sys
from matplotlib.pyplot import plot
from matplotlib.pyplot import show

N = 5
weights = np.ones(N) / N
print 'weights=', weights
c = np.loadtxt('data.csv', delimiter=',', usecols=(6,), unpack=True)
print 'c:=', c, c.size
c[0] = 100
#  简单易懂平均值
sma = np.convolve(weights, c)[N - 1:-N + 1]

smaBefore = np.convolve(weights, c)
print 'smaBefore:=', smaBefore
lastSma = np.convolve(weights, c)[N - 1:-N + 1]
print 'lastSma:=', lastSma

t = np.arange(N - 1, len(c))
plot(t, c[N - 1:], lw=1.0)
plot(t, sma, lw=2.0)
show()

# 指数移动平均线
# 指数级移动，越近的时间，权重越低，越远的权重越少
#  权重呈现指数级衰减
x = np.arange(5)
print "Exp :", np.exp(x)
print "Linspace", np.linspace(-1, 0, 5)
N = 5
weights = np.exp(np.linspace(-1., 0., N))
print 'exp:' + weights
weights /= weights.sum()
print 'Weigths:', weights
c = np.loadtxt('data.csv', delimiter=',', usecols=(6,), unpack=True)
ema = np.convolve(weights, c)[N - 1:-N + 1]
t = np.arange(N - 1, len(c))
plot(t, c[N - 1:], lw=1.0)
plot(t, ema, lw=2.0)
show()

股票分析

# encoding=utf-8
import numpy as np

import sys
from matplotlib.pyplot import plot
from matplotlib.pyplot import show

# 布林带
N = 5
weights = np.ones(N) / N
print 'Weights', weights
c = np.loadtxt('data.csv', delimiter=',', usecols=(6,), unpack=True)
sma = np.convolve(weights, c)[N - 1:-N + 1]
deviation = []
C = len(c)
for i in range(N - 1, C):
    if i + N < C:
        dev = c[i:i + N]
    else:
        dev = c[-N:]
    averages = np.zeros(N)
    averages.fill(sma[i - N - 1])
    dev = dev - averages
    dev = dev ** 2
    dev = np.sqrt(np.mean(dev))
    deviation.append(dev)

deviation = 2 * np.array(deviation)
print 'deviation', deviation
print 'sma:', sma
print len(deviation), len(sma)
upperBB = sma + deviation
lowerBB = sma - deviation
c_slice = c[N - 1:]
between_bands = np.where((c_slice < upperBB) & (c_slice > lowerBB))
print 'between_bands', between_bands
print lowerBB[between_bands]
print c[between_bands]
print upperBB[between_bands]
between_bands = len(np.ravel(between_bands))
print "Ratio between bands", float(between_bands) / len(c_slice)

t = np.arange(N - 1, C)
plot(t, c_slice, lw=1.0)
plot(t, sma, lw=2.0)
plot(t, upperBB, lw=3.0)
plot(t, lowerBB, lw=4.0)
show()