【量化笔记】均线交易策略

简单移动平均数

简单求过去5天的价格平均数

$SM{A}_{t=5}=\frac{p_1+p_2+p_3+p_4+p_5}{5}$

#计算青岛啤酒的5日简单移动平均线
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
TsingTao=pd.read_csv('TsingTao.csv')
TsingTao.index=TsingTao.iloc[:,1]
TsingTao.index=pd.to_datetime(TsingTao.index, format='%Y-%m-%d')
TsingTao=TsingTao.iloc[:,2:]
TsingTao.head(n=3)

	Open	High	Low	Close	Volume
Date
2014-01-02	48.80	48.98	46.90	47.81	2592800
2014-01-03	47.60	48.38	47.01	47.59	1560700
2014-01-06	47.63	47.79	46.62	46.70	1860900

Close=TsingTao.Close

plt.rcParams['font.sans-serif'] = ['SimHei']
plt.plot(Close,'k')
plt.xlabel('date')
plt.ylabel('Close')
plt.title('2014年青岛啤酒股票收盘价时序图')

/Users/yaochenli/anaconda3/lib/python3.7/site-packages/pandas/plotting/_converter.py:129: FutureWarning: Using an implicitly registered datetime converter for a matplotlib plotting method. The converter was registered by pandas on import. Future versions of pandas will require you to explicitly register matplotlib converters.

To register the converters:
	>>> from pandas.plotting import register_matplotlib_converters
	>>> register_matplotlib_converters()
  warnings.warn(msg, FutureWarning)





Text(0.5, 1.0, '2014年青岛啤酒股票收盘价时序图')



/Users/yaochenli/anaconda3/lib/python3.7/site-packages/matplotlib/font_manager.py:1241: UserWarning: findfont: Font family ['sans-serif'] not found. Falling back to DejaVu Sans.
  (prop.get_family(), self.defaultFamily[fontext]))

Sma5=pd.Series(0.0,index=Close.index)

for i in range(4,len(Close)):
    Sma5[i]=np.mean(Close[(i-4):(i+1)])

Sma5.tail()

Date
2015-04-24    46.522
2015-04-27    46.462
2015-04-28    45.936
2015-04-29    45.430
2015-04-30    44.950
dtype: float64

plt.plot(Close[4:],label="Close",color='g')
plt.plot(Sma5[4:],label="Sma5",color='r',linestyle='dashed')
plt.title("青岛啤酒股票价格图")
plt.ylim(35,50)
plt.legend()

<matplotlib.legend.Legend at 0x12242bef0>

封装成函数，包含一个参数表示几期平均数

def smaCal(tsPrice,k):
    import pandas as pd
    Sma=pd.Series(0.0,index=tsPrice.index)
    for i in range(k-1,len(tsPrice)):
        Sma[i]=sum(tsPrice[(i-k+1):(i+1)])/k
    return(Sma)

sma5=smaCal(Close ,5)    
sma5.tail()

Date
2015-04-24    46.522
2015-04-27    46.462
2015-04-28    45.936
2015-04-29    45.430
2015-04-30    44.950
dtype: float64

加权平均移动

$WM{A}_{t=5}=w_1{p}_1+w_2{p}_2+w_3{p}_3+w_4{p}_4+w_5{p}_5$

# 定义权重
b=np.array([1,2,3,4,5])
w=b/sum(b)
w

array([0.06666667, 0.13333333, 0.2       , 0.26666667, 0.33333333])

#计算加权平均移动
Wma5=pd.Series(0.0,index=Close.index)
for i in range(4,len(Close)):
    Wma5[i]=sum(w*Close[(i-4):(i+1)])
Wma5[2:7]

Date
2014-01-06     0.000000
2014-01-07     0.000000
2014-01-08    46.778667
2014-01-09    46