金融量化-技术分析策略和交易系统_CCI指标的策略实现

技术分析策略和交易系统_CCI指标的策略实现

CCI指标详解及实战用法

import numpy as np
import pandas as pd
import talib as ta
import tushare as ts
import matplotlib as mpl
import matplotlib.pyplot as plt
import seaborn as sns
plt.style.use('seaborn')
%matplotlib inline
# 确保可以显示‘-’号
mpl.rcParams['axes.unicode_minus']=False
# 确保中文显示正常
mpl.rcParams['font.sans-serif'] = ['SimHei']  

1. 数据获取和数据处理

# 获得历史数据并按时间升序排序
stock = ts.get_h_data('600030', '2016-06-01', '2017-06-30')
stock.sort_index(inplace=True)
stock.head()

	open	high	close	low	volume	amount
date
2016-06-01	16.00	16.14	15.79	15.78	116695922.0	1.949830e+09
2016-06-02	15.79	15.93	15.82	15.65	77142114.0	1.278391e+09
2016-06-03	15.86	16.09	15.84	15.71	115413775.0	1.920685e+09
2016-06-06	15.87	15.92	15.69	15.65	55176173.0	9.119408e+08
2016-06-07	15.74	15.86	15.72	15.66	59436762.0	9.817197e+08

# 计算CCI，取时间周期为20
stock['cci'] = ta.CCI(np.asarray(stock['high']), np.asarray(stock['low']), np.asarray(stock['close']), timeperiod=20)

stock.tail()

	open	high	close	low	volume	amount	cci
date
2017-06-26	16.62	17.08	16.94	16.58	211319532.0	3.640808e+09	229.588926
2017-06-27	16.93<