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MyTT_python2.py
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MyTT_python2.py
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import numpy as np; import pandas as pd
#------------------ 0 level：core python2 --------------------------------------------
def RD(N,D=3): return np.round(N,D)
def RET(S,N=1): return np.array(S)[-N]
def ABS(S): return np.abs(S)
def MAX(S1,S2): return np.maximum(S1,S2)
def MIN(S1,S2): return np.minimum(S1,S2)
def MA(S,N):
return pd.rolling_mean(S,N)
def REF(S, N=1):
return pd.Series(S).shift(N).values
def DIFF(S, N=1):
return pd.Series(S).diff(N).values
def STD(S,N):
return pd.rolling_std(S,N,ddof=0)
def IF(S_BOOL,S_TRUE,S_FALSE):
return np.where(S_BOOL, S_TRUE, S_FALSE)
def SUM(S, N):
return pd.rolling_sum(S,N) if N>0 else pd.Series(S).cumsum()
def HHV(S,N):
return pd.rolling_max(S,N)
def LLV(S,N):
return pd.rolling_min(S,N)
def EMA(S,N): # alpha=2/(span+1)
return pd.ewma(S,span=N,adjust=False)
def SMA(S, N, M=1): # alpha=1/(1+com)
return pd.ewma(S,com=((N-M)*1.0)/M,adjust=True)
def AVEDEV(S,N):
return pd.rolling_apply(S,N,lambda x: (np.abs(x - x.mean())).mean())
def SLOPE(S,N,RS=False):
M=pd.Series(S[-N:]); poly = np.polyfit(M.index, M.values,deg=1); Y=np.polyval(poly, M.index);
if RS: return Y[1]-Y[0],Y
return Y[1]-Y[0]
#------------------ 1 level： ----------------------------------
def COUNT(S_BOOL, N): # COUNT(CLOSE>O, N):
return SUM(S_BOOL,N)
def EVERY(S_BOOL, N): # EVERY(CLOSE>O, 5)
R=SUM(S_BOOL, N)
return IF(R==N, True, False)
def LAST(S_BOOL, A, B):
if A<B: A=B
return S_BOOL[-A:-B].sum()==(A-B)
def EXIST(S_BOOL, N=5): # EXIST(CLOSE>3010, N=5)
R=SUM(S_BOOL,N)
return IF(R>0, True ,False)
def FORCAST(S,N): #
K,Y=SLOPE(S,N,RS=True)
return Y[-1]+K
def CROSS(S1,S2): #CROSS(MA(C,5),MA(C,10)) CROSS(MA(C,10),MA(C,5))
CROSS_BOOL=IF(S1>S2, True ,False)
return (COUNT(CROSS_BOOL>0,2)==1)*CROSS_BOOL
#------------------ 2 level ------------------------------
def MACD(CLOSE,SHORT=12,LONG=26,M=9):
DIF = EMA(CLOSE,SHORT)-EMA(CLOSE,LONG);
DEA = EMA(DIF,M); MACD=(DIF-DEA)*2
return RD(DIF),RD(DEA),RD(MACD)
def KDJ(CLOSE,HIGH,LOW, N=9,M1=3,M2=3):
RSV = (CLOSE - LLV(LOW, N)) / (HHV(HIGH, N) - LLV(LOW, N)) * 100
K = EMA(RSV, (M1*2-1)); D = EMA(K,(M2*2-1)); J=K*3-D*2
return K, D, J
def RSI(CLOSE, N=24):
DIF = CLOSE-REF(CLOSE,1)
return RD(SMA(MAX(DIF,0), N) / SMA(ABS(DIF), N) * 100)
def WR(CLOSE, HIGH, LOW, N=10, N1=6):
WR = (HHV(HIGH, N) - CLOSE) / (HHV(HIGH, N) - LLV(LOW, N)) * 100
WR1 = (HHV(HIGH, N1) - CLOSE) / (HHV(HIGH, N1) - LLV(LOW, N1)) * 100
return RD(WR), RD(WR1)
def BIAS(CLOSE,L1=6, L2=12, L3=24):
BIAS1 = (CLOSE - MA(CLOSE, L1)) / MA(CLOSE, L1) * 100
BIAS2 = (CLOSE - MA(CLOSE, L2)) / MA(CLOSE, L2) * 100
BIAS3 = (CLOSE - MA(CLOSE, L3)) / MA(CLOSE, L3) * 100
return RD(BIAS1), RD(BIAS2), RD(BIAS3)
def BOLL(CLOSE,N=20, P=2):
MID = MA(CLOSE, N);
UPPER = MID + STD(CLOSE, N) * P
LOWER = MID - STD(CLOSE, N) * P
return RD(UPPER), RD(MID), RD(LOWER)
def PSY(CLOSE,N=12, M=6):
PSY=COUNT(CLOSE>REF(CLOSE,1),N)/N*100
PSYMA=MA(PSY,M)
return RD(PSY),RD(PSYMA)
def CCI(CLOSE,HIGH,LOW,N=14):
TP=(HIGH+LOW+CLOSE)/3
return (TP-MA(TP,N))/(0.015*AVEDEV(TP,N))
def ATR(CLOSE,HIGH,LOW, N=20): #
TR = MAX(MAX((HIGH - LOW), ABS(REF(CLOSE, 1) - HIGH)), ABS(REF(CLOSE, 1) - LOW))
return MA(TR, N)
def BBI(CLOSE,M1=3,M2=6,M3=12,M4=20): #
return (MA(CLOSE,M1)+MA(CLOSE,M2)+MA(CLOSE,M3)+MA(CLOSE,M4))/4
def DMI(CLOSE,HIGH,LOW,M1=14,M2=6): #
TR = SUM(MAX(MAX(HIGH - LOW, ABS(HIGH - REF(CLOSE, 1))), ABS(LOW - REF(CLOSE, 1))), M1)
HD = HIGH - REF(HIGH, 1); LD = REF(LOW, 1) - LOW
DMP = SUM(IF((HD > 0) & (HD > LD), HD, 0), M1)
DMM = SUM(IF((LD > 0) & (LD > HD), LD, 0), M1)
PDI = DMP * 100 / TR; MDI = DMM * 100 / TR
ADX = MA(ABS(MDI - PDI) / (PDI + MDI) * 100, M2)
ADXR = (ADX + REF(ADX, M2)) / 2
return PDI, MDI, ADX, ADXR
def TAQ(HIGH,LOW,N): #
UP=HHV(HIGH,N); DOWN=LLV(LOW,N); MID=(UP+DOWN)/2
return UP,MID,DOWN
def KTN(CLOSE,HIGH,LOW,N=20,M=10):
MID=EMA((HIGH+LOW+CLOSE)/3,N)
ATRN=ATR(CLOSE,HIGH,LOW,M)
UPPER=MID+2*ATRN; LOWER=MID-2*ATRN
return UPPER,MID,LOWER
def TRIX(CLOSE,M1=12, M2=20): #
TR = EMA(EMA(EMA(CLOSE, M1), M1), M1)
TRIX = (TR - REF(TR, 1)) / REF(TR, 1) * 100
TRMA = MA(TRIX, M2)
return TRIX, TRMA
def VR(CLOSE,VOL,M1=26): #
LC = REF(CLOSE, 1)
return SUM(IF(CLOSE > LC, VOL, 0), M1) / SUM(IF(CLOSE <= LC, VOL, 0), M1) * 100
def EMV(HIGH,LOW,VOL,N=14,M=9): #
VOLUME=MA(VOL,N)/VOL; MID=100*(HIGH+LOW-REF(HIGH+LOW,1))/(HIGH+LOW)
EMV=MA(MID*VOLUME*(HIGH-LOW)/MA(HIGH-LOW,N),N); MAEMV=MA(EMV,M)
return EMV,MAEMV
def DPO(CLOSE,M1=20, M2=10, M3=6): #区间震荡线
DPO = CLOSE - REF(MA(CLOSE, M1), M2); MADPO = MA(DPO, M3)
return DPO, MADPO
def BRAR(OPEN,CLOSE,HIGH,LOW,M1=26): #BRAR-ARBR 情绪指标
AR = SUM(HIGH - OPEN, M1) / SUM(OPEN - LOW, M1) * 100
BR = SUM(MAX(0, HIGH - REF(CLOSE, 1)), M1) / SUM(MAX(0, REF(CLOSE, 1) - LOW), M1) * 100
return AR, BR
def DMA(CLOSE,N1=10,N2=50,M=10): #平行线差指标
DIF=MA(CLOSE,N1)-MA(CLOSE,N2); DIFMA=MA(DIF,M)
return DIF,DIFMA
def MTM(CLOSE,N=12,M=6): #动量指标
MTM=CLOSE-REF(CLOSE,N); MTMMA=MA(MTM,M)
return MTM,MTMMA
def MASS(HIGH,LOW,N1=9,N2=25,M=6): # 梅斯线
MASS=SUM(MA(HIGH-LOW,N1)/MA(MA(HIGH-LOW,N1),N1),N2)
MA_MASS=MA(MASS,M)
return MASS,MA_MASS
def ROC(CLOSE,N=12,M=6): #变动率指标
ROC=100*(CLOSE-REF(CLOSE,N))/REF(CLOSE,N); MAROC=MA(ROC,M)
return ROC,MAROC
def EXPMA(CLOSE,N1=12,N2=50): #EMA指数平均数指标
return EMA(CLOSE,N1),EMA(CLOSE,N2);
def OBV(CLOSE,VOL): #能量潮指标
return SUM(IF(CLOSE>REF(CLOSE,1),VOL,IF(CLOSE<REF(CLOSE,1),-VOL,0)),0)/10000
def MFI(CLOSE,HIGH,LOW,VOL,N=14): #MFI指标是成交量的RSI指标
TYP = (HIGH + LOW + CLOSE)/3
V1=SUM(IF(TYP>REF(TYP,1),TYP*VOL,0),N)/SUM(IF(TYP<REF(TYP,1),TYP*VOL,0),N)
return 100-(100/(1+V1))
def ASI(OPEN,CLOSE,HIGH,LOW,M1=26,M2=10): #振动升降指标
LC=REF(CLOSE,1); AA=ABS(HIGH-LC); BB=ABS(LOW-LC);
CC=ABS(HIGH-REF(LOW,1)); DD=ABS(LC-REF(OPEN,1));
R=IF( (AA>BB) & (AA>CC),AA+BB/2+DD/4,IF( (BB>CC) & (BB>AA),BB+AA/2+DD/4,CC+DD/4));
X=(CLOSE-LC+(CLOSE-OPEN)/2+LC-REF(OPEN,1));
SI=16*X/R*MAX(AA,BB); ASI=SUM(SI,M1); ASIT=MA(ASI,M2);
return ASI,ASIT
#望大家能提交更多指标和函数 https://github.com/mpquant/MyTT