# -*- coding: utf-8 -*- # 导入所需的库和函数from pandas_ta.utils import get_offset, signed_series, verify_series
# 定义函数 pvol，计算价格和成交量的乘积defpvol(close, volume, offset=None,**kwargs):"""Indicator: Price-Volume (PVOL)"""# 验证参数的有效性
close = verify_series(close)# 验证价格序列
volume = verify_series(volume)# 验证成交量序列
offset = get_offset(offset)# 获取偏移量
signed = kwargs.pop("signed",False)# 获取 signed 参数，默认为 False# 计算结果
pvol = close * volume # 计算价格和成交量的乘积if signed:
pvol *= signed_series(close,1)# 如果 signed 为 True，则乘以 close 的符号系列# 偏移if offset !=0:
pvol = pvol.shift(offset)# 对结果进行偏移# 处理填充if"fillna"in kwargs:
pvol.fillna(kwargs["fillna"], inplace=True)# 使用指定值填充缺失值if"fill_method"in kwargs:
pvol.fillna(method=kwargs["fill_method"], inplace=True)# 使用指定的填充方法填充缺失值# 设置名称和分类
pvol.name =f"PVOL"# 设置结果的名称
pvol.category ="volume"# 设置结果的分类return pvol # 返回计算结果
pvol.__doc__ = \
"""Price-Volume (PVOL)
Returns a series of the product of price and volume.
Calculation:
if signed:
pvol = signed_series(close, 1) * close * volume
else:
pvol = close * volume
Args:
close (pd.Series): Series of 'close's
volume (pd.Series): Series of 'volume's
signed (bool): Keeps the sign of the difference in 'close's. Default: True
offset (int): How many periods to offset the result. Default: 0
Kwargs:
fillna (value, optional): pd.DataFrame.fillna(value)
fill_method (value, optional): Type of fill method
Returns:
pd.Series: New feature generated.
"""
.\pandas-ta\pandas_ta\volume\pvr.py
# -*- coding: utf-8 -*-# 从pandas_ta.utils模块中导入verify_series函数from pandas_ta.utils import verify_series
# 从numpy中导入别名为npNaN的nan值from numpy import nan as npNaN
# 从pandas模块中导入Series类from pandas import Series
# 定义函数pvr，计算价格成交量等级指标defpvr(close, volume):""" Indicator: Price Volume Rank"""# 验证参数
close = verify_series(close)
volume = verify_series(volume)# 计算结果# 计算收盘价的差分并填充NaN值为0
close_diff = close.diff().fillna(0)# 计算成交量的差分并填充NaN值为0
volume_diff = volume.diff().fillna(0)# 创建与close索引相同的Series对象，并填充NaN值为npNaN
pvr_ = Series(npNaN, index=close.index)# 根据条件设置pvr_中的值
pvr_.loc[(close_diff >=0)&(volume_diff >=0)]=1
pvr_.loc[(close_diff >=0)&(volume_diff <0)]=2
pvr_.loc[(close_diff <0)&(volume_diff >=0)]=3
pvr_.loc[(close_diff <0)&(volume_diff <0)]=4# 设置名称和分类
pvr_.name =f"PVR"
pvr_.category ="volume"return pvr_
# 设置函数pvr的文档字符串
pvr.__doc__ = \
"""Price Volume Rank
The Price Volume Rank was developed by Anthony J. Macek and is described in his
article in the June, 1994 issue of Technical Analysis of Stocks & Commodities
Magazine. It was developed as a simple indicator that could be calculated even
without a computer. The basic interpretation is to buy when the PV Rank is below
2.5 and sell when it is above 2.5.
Sources:
https://www.fmlabs.com/reference/default.htm?url=PVrank.htm
Calculation:
return 1 if 'close change' >= 0 and 'volume change' >= 0
return 2 if 'close change' >= 0 and 'volume change' < 0
return 3 if 'close change' < 0 and 'volume change' >= 0
return 4 if 'close change' < 0 and 'volume change' < 0
Args:
close (pd.Series): Series of 'close's
volume (pd.Series): Series of 'volume's
Returns:
pd.Series: New feature generated.
"""
.\pandas-ta\pandas_ta\volume\pvt.py
# -*- coding: utf-8 -*-# 从 pandas_ta.momentum 模块中导入 roc 函数from pandas_ta.momentum import roc
# 从 pandas_ta.utils 模块中导入 get_drift、get_offset、verify_series 函数from pandas_ta.utils import get_drift, get_offset, verify_series
# 定义函数 pvt，计算价格-成交量趋势指标（Price-Volume Trend，PVT）defpvt(close, volume, drift=None, offset=None,**kwargs):"""Indicator: Price-Volume Trend (PVT)"""# 验证参数
close = verify_series(close)# 验证并确保 close 是有效的 Series 类型
volume = verify_series(volume)# 验证并确保 volume 是有效的 Series 类型
drift = get_drift(drift)# 获取漂移参数的值
offset = get_offset(offset)# 获取偏移参数的值# 计算结果# 计算 ROC（收盘价的变化率）并乘以成交量
pv = roc(close=close, length=drift)* volume
# 计算 PVT 的累积值
pvt = pv.cumsum()# 调整偏移if offset !=0:
pvt = pvt.shift(offset)# 将结果向前或向后偏移指定的周期数# 处理填充值if"fillna"in kwargs:
pvt.fillna(kwargs["fillna"], inplace=True)# 使用指定的值填充缺失值if"fill_method"in kwargs:
pvt.fillna(method=kwargs["fill_method"], inplace=True)# 使用指定的填充方法填充缺失值# 命名并分类化结果
pvt.name =f"PVT"# 设置结果 Series 的名称
pvt.category ="volume"# 设置结果 Series 的分类return pvt # 返回 PVT 结果的 Series# 设置函数 pvt 的文档字符串
pvt.__doc__ = \
"""Price-Volume Trend (PVT)
The Price-Volume Trend utilizes the Rate of Change with volume to
and it's cumulative values to determine money flow.
Sources:
https://www.tradingview.com/wiki/Price_Volume_Trend_(PVT)
Calculation:
Default Inputs:
drift=1
ROC = Rate of Change
pv = ROC(close, drift) * volume
PVT = pv.cumsum()
Args:
close (pd.Series): Series of 'close's
volume (pd.Series): Series of 'volume's
drift (int): The diff period. Default: 1
offset (int): How many periods to offset the result. Default: 0
Kwargs:
fillna (value, optional): pd.DataFrame.fillna(value)
fill_method (value, optional): Type of fill method
Returns:
pd.Series: New feature generated.
"""
.\pandas-ta\pandas_ta\volume\vp.py
# -*- coding: utf-8 -*-# 从 numpy 库中导入 array_split 函数from numpy import array_split
# 从 numpy 库中导入 mean 函数from numpy import mean
# 从 pandas 库中导入 cut、concat、DataFrame 函数from pandas import cut, concat, DataFrame
# 从 pandas_ta.utils 模块中导入 signed_series、verify_series 函数from pandas_ta.utils import signed_series, verify_series
defvp(close, volume, width=None,**kwargs):"""Indicator: Volume Profile (VP)"""# 验证参数# 如果宽度参数存在且大于 0，则将其转换为整数类型，否则设为默认值 10
width =int(width)if width and width >0else10# 验证 close 数据序列，确保长度为 width
close = verify_series(close, width)# 验证 volume 数据序列，确保长度为 width
volume = verify_series(volume, width)# 从 kwargs 中弹出 sort_close 参数，默认值为 False
sort_close = kwargs.pop("sort_close",False)# 如果 close 或 volume 为空，则返回 Noneif close isNoneor volume isNone:return# 设置# 生成符号价格序列，即 close 的涨跌情况，用于后续计算正负成交量
signed_price = signed_series(close,1)# 正成交量为 volume 与符号价格序列大于 0 的乘积
pos_volume = volume * signed_price[signed_price >0]
pos_volume.name = volume.name
# 负成交量为 volume 与符号价格序列小于 0 的乘积，乘以 -1
neg_volume =-volume * signed_price[signed_price <0]
neg_volume.name = volume.name
# 合并 close、正成交量、负成交量 到一个 DataFrame 中
vp = concat([close, pos_volume, neg_volume], axis=1)
close_col =f"{vp.columns[0]}"
high_price_col =f"high_{close_col}"
low_price_col =f"low_{close_col}"
mean_price_col =f"mean_{close_col}"
volume_col =f"{vp.columns[1]}"
pos_volume_col =f"pos_{volume_col}"
neg_volume_col =f"neg_{volume_col}"
total_volume_col =f"total_{volume_col}"
vp.columns =[close_col, pos_volume_col, neg_volume_col]# sort_close: 在将数据切分为范围之前，是否根据收盘价进行排序。默认值为 False# 如果为 False，则根据日期索引或时间顺序排序，而不是根据价格if sort_close:# 将 mean_price_col 列设置为 close_col 列的值
vp[mean_price_col]= vp[close_col]# 按照 close_col 列的值进行分组，并计算各范围内的平均价、正成交量、负成交量
vpdf = vp.groupby(cut(vp[close_col], width, include_lowest=True, precision=2)).agg({
mean_price_col: mean,
pos_volume_col:sum,
neg_volume_col:sum,})# 从索引中获取范围的最低价格和最高价格
vpdf[low_price_col]=[x.left for x in vpdf.index]
vpdf[high_price_col]=[x.right for x in vpdf.index]# 重置索引并重新排列列的顺序
vpdf = vpdf.reset_index(drop=True)
vpdf = vpdf[[low_price_col, mean_price_col, high_price_col, pos_volume_col, neg_volume_col]]else:# 将 vp DataFrame 切分为若干子 DataFrame，每个子 DataFrame 包含近似相等数量的数据点
vp_ranges = array_split(vp, width)# 遍历每个子 DataFrame，计算范围内的最低价、平均价、最高价、正成交量、负成交量，并生成生成器对象
result =({
low_price_col: r[close_col].min(),
mean_price_col: r[close_col].mean(),
high_price_col: r[close_col].max(),
pos_volume_col: r[pos_volume_col].sum(),
neg_volume_col: r[neg_volume_col].sum(),}for r in vp_ranges)# 将生成器对象转换为 DataFrame
vpdf = DataFrame(result)# 计算总成交量，并添加到 DataFrame 中
vpdf[total_volume_col]= vpdf[pos_volume_col]+ vpdf[neg_volume_col]# 处理填充值# 如果 kwargs 中包含 fillna 参数，则使用该参数填充 NaN 值if"fillna"in kwargs:
vpdf.fillna(kwargs["fillna"], inplace=True)# 如果 kwargs 中包含 fill_method 参数，则使用该参数填充 NaN 值if"fill_method"in kwargs:
vpdf.fillna(method=kwargs["fill_method"], inplace=True)# 命名和分类
vpdf.name =f"VP_{width}"
vpdf.category ="volume"# 返回结果 DataFramereturn vpdf
# 将函数文档字符串设为指定内容
vp.__doc__ = \
"""Volume Profile (VP)
Calculates the Volume Profile by slicing price into ranges.
Note: Value Area is not calculated.
Sources:
https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:volume_by_price
https://www.tradingview.com/wiki/Volume_Profile
http://www.ranchodinero.com/volume-tpo-essentials/
"""# 访问指定网址以获取相关信息，这是一个网页链接
https://www.tradingtechnologies.com/blog/2013/05/15/volume-at-price/# 计算函数
Calculation:# 默认输入参数：宽度为10
Default Inputs:
width=10# 将 'close'、'pos_volume'、'neg_volume' 三个 Series 按列合并成一个 DataFrame
vp = pd.concat([close, pos_volume, neg_volume], axis=1)# 如果需要按 'close' 排序if sort_close:# 将 'close' 列按照指定宽度切割成不同范围的区间
vp_ranges = cut(vp[close_col], width)# 对于每个区间，计算以下统计量：左边界、平均 'close'、右边界、'pos_volume'、'neg_volume'，结果为一个字典
result =({range_left, mean_close, range_right, pos_volume, neg_volume} foreach rangein vp_ranges
# 如果不需要按 'close' 排序else:# 将 DataFrame 按照指定宽度等分成不同的区间
vp_ranges = np.array_split(vp, width)# 对于每个区间，计算以下统计量：最低 'close'、平均 'close'、最高 'close'、'pos_volume'、'neg_volume'，结果为一个字典
result =({low_close, mean_close, high_close, pos_volume, neg_volume} foreach rangein vp_ranges
# 将结果字典转换成 DataFrame
vpdf = pd.DataFrame(result)# 计算总交易量并添加到 DataFrame 中
vpdf['total_volume']= vpdf['pos_volume']+ vpdf['neg_volume']# 参数说明
Args:# 'close' 的 Series 数据
close (pd.Series): Series of 'close's
# 'volume' 的 Series 数据
volume (pd.Series): Series of 'volume's
# 将价格分布到的区间数，默认为10
width (int): How many ranges to distrubute price into. Default:10# 可选参数说明
Kwargs:# 对于缺失值的填充值，默认为 pd.DataFrame.fillna(value)
fillna (value, optional): pd.DataFrame.fillna(value)# 填充方法的类型，默认为 None
fill_method (value, optional): Type of fill method
# 是否在切割成区间之前按 'close' 进行排序，默认为 False
sort_close (value, optional): Whether to sort by close before splitting
into ranges. Default:False# 返回结果
Returns:# 生成的新特征的 DataFrame
pd.DataFrame: New feature generated.
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