python 无法安装talib_【硬核福利】量化交易神器talib中28个技术指标的Python实现（附全部源码）...

于 2020-11-20 08:01:34 发布
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文章标签： python 无法安装talib

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乐学偶得（http://lexueoude.com) 公众号： 乐学Fintech

用代码理解分析解决金融问题

之前跟大家分享过用Python调用talib实现技术指标分析，但是许多小伙伴有更高的需求：比如需要指标自定义，或者想明白技术分析背后的原理。所以，这一期我们跟大家分享一下通过纯Python+Pandas+Numpy+Math实现talib中的常见指标，是学习底层算法与自定义交易指标，提升内功的非常好的材料。

我们需要的库非常简单，只需要这三个：

import

关于pandas版本的问题，我们视频中跟大家分享过，注意以下用法需要pandas的版本为0.21，若报ewma无法调用的错误，可以指定安装此版本的pandas，或者通过

pandas

这样调用的方法解决。

1.移动平均

def

2.指数移动平均

def

3.动量

def

4.变化率

def ROC(df, n):
    M = df['Close'].diff(n - 1)
    N = df['Close'].shift(n - 1)
    ROC = Series(M / N, name = 'ROC_' + str(n))
    df = df.join(ROC)
    return df

5.均幅指标

def ATR(df, n):
    i = 0
    TR_l = [0]
    while i < df.index[-1]:
        TR = max(df.get_value(i + 1, 'High'), df.get_value(i, 'Close')) - min(df.get_value(i + 1, 'Low'), df.get_value(i, 'Close'))
        TR_l.append(TR)
        i = i + 1
    TR_s = Series(TR_l)
    ATR = Series(ewma(TR_s, span = n, min_periods = n), name = 'ATR_' + str(n))
    df = df.join(ATR)
    return df

6.布林线

def BBANDS(df, n):
    MA = Series(rolling_mean(df['Close'], n))
    MSD = Series(rolling_std(df['Close'], n))
    b1 = 4 * MSD / MA
    B1 = Series(b1, name = 'BollingerB_' + str(n))
    df = df.join(B1)
    b2 = (df['Close'] - MA + 2 * MSD) / (4 * MSD)
    B2 = Series(b2, name = 'Bollinger%b_' + str(n))
    df = df.join(B2)
    return df

7.转折、支撑、阻力点

def PPSR(df):
    PP = Series((df['High'] + df['Low'] + df['Close']) / 3)
    R1 = Series(2 * PP - df['Low'])
    S1 = Series(2 * PP - df['High'])
    R2 = Series(PP + df['High'] - df['Low'])
    S2 = Series(PP - df['High'] + df['Low'])
    R3 = Series(df['High'] + 2 * (PP - df['Low']))
    S3 = Series(df['Low'] - 2 * (df['High'] - PP))
    psr = {'PP':PP, 'R1':R1, 'S1':S1, 'R2':R2, 'S2':S2, 'R3':R3, 'S3':S3}
    PSR = DataFrame(psr)
    df = df.join(PSR)
    return df

8.随机振荡器（%K线）

def STOK(df):
    SOk = Series((df['Close'] - df['Low']) / (df['High'] - df['Low']), name = 'SO%k')
    df = df.join(SOk)
    return df

9.随机振荡器（%D线）

def STO(df, n):
    SOk = Series((df['Close'] - df['Low']) / (df['High'] - df['Low']), name = 'SO%k')
    SOd = Series(ewma(SOk, span = n, min_periods = n - 1), name = 'SO%d_' + str(n))
    df = df.join(SOd)
    return df

10.三重指数平滑平均线

def TRIX(df, n):
    EX1 = ewma(df['Close'], span = n, min_periods = n - 1)
    EX2 = ewma(EX1, span = n, min_periods = n - 1)
    EX3 = ewma(EX2, span = n, min_periods = n - 1)
    i = 0
    ROC_l = [0]
    while i + 1 <= df.index[-1]:
        ROC = (EX3[i + 1] - EX3[i]) / EX3[i]
        ROC_l.append(ROC)
        i = i + 1
    Trix = Series(ROC_l, name = 'Trix_' + str(n))
    df = df.join(Trix)
    return df

11.平均定向运动指数

def ADX(df, n, n_ADX):
    i = 0
    UpI = []
    DoI = []
    while i + 1 <= df.index[-1]:
        UpMove = df.get_value(i + 1, 'High') - df.get_value(i, 'High')
        DoMove = df.get_value(i, 'Low') - df.get_value(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.get_value(i + 1, 'High'), df.get_value(i, 'Close')) - min(df.get_value(i + 1, 'Low'), df.get_value(i, 'Close'))
        TR_l.append(TR)
        i = i + 1
    TR_s = Series(TR_l)
    ATR = Series(ewma(TR_s, span = n, min_periods = n))
    UpI = Series(UpI)
    DoI = Series(DoI)
    PosDI = Series(ewma(UpI, span = n, min_periods = n - 1) / ATR)
    NegDI = Series(ewma(DoI, span = n, min_periods = n - 1) / ATR)
    ADX = Series(ewma(abs(PosDI - NegDI) / (PosDI + NegDI), span = n_ADX, min_periods = n_ADX - 1), name = 'ADX_' + str(n) + '_' + str(n_ADX))
    df = df.join(ADX)
    return df

12.MACD

def MACD(df, n_fast, n_slow):
    EMAfast = Series(ewma(df['Close'], span = n_fast, min_periods = n_slow - 1))
    EMAslow = Series(ewma(df['Close'], span = n_slow, min_periods = n_slow - 1))
    MACD = Series(EMAfast - EMAslow, name = 'MACD_' + str(n_fast) + '_' + str(n_slow))
    MACDsign = Series(ewma(MACD, span = 9, min_periods = 8), name = 'MACDsign_' + str(n_fast) + '_' + str(n_slow))
    MACDdiff = 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

13.梅斯线（高低价趋势反转）

def MassI(df):
    Range = df['High'] - df['Low']
    EX1 = ewma(Range, span = 9, min_periods = 8)
    EX2 = ewma(EX1, span = 9, min_periods = 8)
    Mass = EX1 / EX2
    MassI = Series(rolling_sum(Mass, 25), name = 'Mass Index')
    df = df.join(MassI)
    return df

14.涡旋指标

def Vortex(df, n):
    i = 0
    TR = [0]
    while i < df.index[-1]:
        Range = max(df.get_value(i + 1, 'High'), df.get_value(i, 'Close')) - min(df.get_value(i + 1, 'Low'), df.get_value(i, 'Close'))
        TR.append(Range)
        i = i + 1
    i = 0
    VM = [0]
    while i < df.index[-1]:
        Range = abs(df.get_value(i + 1, 'High') - df.get_value(i, 'Low')) - abs(df.get_value(i + 1, 'Low') - df.get_value(i, 'High'))
        VM.append(Range)
        i = i + 1
    VI = Series(rolling_sum(Series(VM), n) / rolling_sum(Series(TR), n), name = 'Vortex_' + str(n))
    df = df.join(VI)
    return df

15.KST振荡器

def KST(df, r1, r2, r3, r4, n1, n2, n3, n4):
    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 = Series(rolling_sum(ROC1, n1) + rolling_sum(ROC2, n2) * 2 + rolling_sum(ROC3, n3) * 3 + rolling_sum(ROC4, n4) * 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

16.相对强度指标

def RSI(df, n):
    i = 0
    UpI = [0]
    DoI = [0]
    while i + 1 <= df.index[-1]:
        UpMove = df.get_value(i + 1, 'High') - df.get_value(i, 'High')
        DoMove = df.get_value(i, 'Low') - df.get_value(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 = Series(UpI)
    DoI = Series(DoI)
    PosDI = Series(ewma(UpI, span = n, min_periods = n - 1))
    NegDI = Series(ewma(DoI, span = n, min_periods = n - 1))
    RSI = Series(PosDI / (PosDI + NegDI), name = 'RSI_' + str(n))
    df = df.join(RSI)
    return df

17.真实强度指标

def TSI(df, r, s):
    M = Series(df['Close'].diff(1))
    aM = abs(M)
    EMA1 = Series(ewma(M, span = r, min_periods = r - 1))
    aEMA1 = Series(ewma(aM, span = r, min_periods = r - 1))
    EMA2 = Series(ewma(EMA1, span = s, min_periods = s - 1))
    aEMA2 = Series(ewma(aEMA1, span = s, min_periods = s - 1))
    TSI = Series(EMA2 / aEMA2, name = 'TSI_' + str(r) + '_' + str(s))
    df = df.join(TSI)
    return df

18.吸筹/派发指标

def ACCDIST(df, n):
    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 = Series(ROC, name = 'Acc/Dist_ROC_' + str(n))
    df = df.join(AD)
    return df

19.佳庆指标CHAIKIN振荡器

def Chaikin(df):
    ad = (2 * df['Close'] - df['High'] - df['Low']) / (df['High'] - df['Low']) * df['Volume']
    Chaikin = Series(ewma(ad, span = 3, min_periods = 2) - ewma(ad, span = 10, min_periods = 9), name = 'Chaikin')
    df = df.join(Chaikin)
    return df

20.资金流量与比率指标

def MFI(df, n):
    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.get_value(i + 1, 'Volume'))
        else:
            PosMF.append(0)
        i = i + 1
    PosMF = Series(PosMF)
    TotMF = PP * df['Volume']
    MFR = Series(PosMF / TotMF)
    MFI = Series(rolling_mean(MFR, n), name = 'MFI_' + str(n))
    df = df.join(MFI)
    return df

21.能量潮指标

def OBV(df, n):
    i = 0
    OBV = [0]
    while i < df.index[-1]:
        if df.get_value(i + 1, 'Close') - df.get_value(i, 'Close') > 0:
            OBV.append(df.get_value(i + 1, 'Volume'))
        if df.get_value(i + 1, 'Close') - df.get_value(i, 'Close') == 0:
            OBV.append(0)
        if df.get_value(i + 1, 'Close') - df.get_value(i, 'Close') < 0:
            OBV.append(-df.get_value(i + 1, 'Volume'))
        i = i + 1
    OBV = Series(OBV)
    OBV_ma = Series(rolling_mean(OBV, n), name = 'OBV_' + str(n))
    df = df.join(OBV_ma)
    return df

22.强力指数指标

def FORCE(df, n):
    F = Series(df['Close'].diff(n) * df['Volume'].diff(n), name = 'Force_' + str(n))
    df = df.join(F)
    return df

23.简易波动指标

def EOM(df, n):
    EoM = (df['High'].diff(1) + df['Low'].diff(1)) * (df['High'] - df['Low']) / (2 * df['Volume'])
    Eom_ma = Series(rolling_mean(EoM, n), name = 'EoM_' + str(n))
    df = df.join(Eom_ma)
    return df

24.顺势指标

def CCI(df, n):
    PP = (df['High'] + df['Low'] + df['Close']) / 3
    CCI = Series((PP - rolling_mean(PP, n)) / rolling_std(PP, n), name = 'CCI_' + str(n))
    df = df.join(CCI)
    return df

25.估波指标

def COPP(df, n):
    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 = Series(ewma(ROC1 + ROC2, span = n, min_periods = n), name = 'Copp_' + str(n))
    df = df.join(Copp)
    return df

26.肯特纳通道

def KELCH(df, n):
    KelChM = Series(rolling_mean((df['High'] + df['Low'] + df['Close']) / 3, n), name = 'KelChM_' + str(n))
    KelChU = Series(rolling_mean((4 * df['High'] - 2 * df['Low'] + df['Close']) / 3, n), name = 'KelChU_' + str(n))
    KelChD = Series(rolling_mean((-2 * df['High'] + 4 * df['Low'] + df['Close']) / 3, n), name = 'KelChD_' + str(n))
    df = df.join(KelChM)
    df = df.join(KelChU)
    df = df.join(KelChD)
    return df

27.终极指标（终极振荡器）

def ULTOSC(df):
    i = 0
    TR_l = [0]
    BP_l = [0]
    while i < df.index[-1]:
        TR = max(df.get_value(i + 1, 'High'), df.get_value(i, 'Close')) - min(df.get_value(i + 1, 'Low'), df.get_value(i, 'Close'))
        TR_l.append(TR)
        BP = df.get_value(i + 1, 'Close') - min(df.get_value(i + 1, 'Low'), df.get_value(i, 'Close'))
        BP_l.append(BP)
        i = i + 1
    UltO = Series((4 * rolling_sum(Series(BP_l), 7) / rolling_sum(Series(TR_l), 7)) + (2 * rolling_sum(Series(BP_l), 14) / rolling_sum(Series(TR_l), 14)) + (rolling_sum(Series(BP_l), 28) / rolling_sum(Series(TR_l), 28)), name = 'Ultimate_Osc')
    df = df.join(UltO)
    return df

28.唐奇安通道指标

def DONCH(df, n):
    i = 0
    DC_l = []
    while i < n - 1:
        DC_l.append(0)
        i = 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 = i + 1
    DonCh = Series(DC_l, name = 'Donchian_' + str(n))
    DonCh = DonCh.shift(n - 1)
    df = df.join(DonCh)
    return df

参考资料：

乐学偶得《Python零基础入门到6大方向热门应用》、《零基础Python玩Fintech金融量化》、《Python股票量化投资策略与交易》等笔记

开源项目：ultrafinance

内容首发

公众号： 乐学Fintech

用代码理解分析解决金融问题

3cf656f4582f3dee665c82f57384bb24.png
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