python量化指標計算talib函數功能一覽表

安裝talib庫:pip install talib

  1 # 取個數據驗證一下  2 set_token('')  3 data = history(symbol = 'SHSE.600519',frequency = '1d',start_time = '2015-01-01',end_time = '2019-12-31', \  4                fields = 'open, high, low, close,amount,volume,eob',df = True)  5   6 # 一、重疊研究(overlap studies)  7 # 1.簡單移動平均指標SMA  8 # 參數說明:talib.SMA(a,b)  9 # a:要計算平均數的序列;b:計算平均線的周期。表示計算a的b日移動平均 10 close = data['close'].values 11 SMA = talib.SMA(close,5) 12  13 # 2.布林線BBANDS 14 # 參數說明:talib.BBANDS(close, timeperiod, matype) 15 # close:收盤價;timeperiod:周期;matype:平均方法(bolling線的middle線 = MA,用于設定哪種類型的MA) 16 # MA_Type: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TEMA, 5=TRIMA, 6=KAMA, 7=MAMA, 8=T3 (Default=SMA) 17 upper, middle, lower = talib.BBANDS(close,5,matype = talib.MA_Type.EMA) 18  19 # 3. DEMA 雙移動平均線:DEMA = 2*EMA-EMA(EMA) 20 # 參數說明:talib.DEMA(close, timeperiod = 30) 21 DEMA = talib.DEMA(close, timeperiod = 30) 22  23 # 4. MA 24 # 參數說明:MA(close, timeperiod = 30, matype=0) 25 # close:收盤價;timeperiod:周期;matype:計算平均線方法 26 MA = talib.MA(close, timeperiod = 30, matype = 0) 27  28 # 5. EMA 29 # 參數說明:EMA = talib.EMA(np.array(close), timeperiod=6) 30 # close:收盤價;timeperiod:周期;matype:計算平均線方法 31 EMA = talib.EMA(np.array(close), timeperiod = 6) 32  33 # 6.KAMA:考夫曼的自適應移動平均線 34 # 參數說明:KAMA = talib.KAMA(close, timeperiod = 30) 35 KAMA = talib.KAMA(close, timeperiod = 30) 36  37 # 7. MIDPRICE:階段中點價格 38 # talib.MIDPOINT(close, timeperiod) 39 # 參數說明:close:收盤價;timeperiod:周期; 40 MIDPOINT = talib.MIDPOINT(close, timeperiod=14) 41  42 # 8.SAR:拋物線指標 43 # SAR(high, low, acceleration=0, maximum=0) 44 # 參數說明:high:最高價;low:最低價;acceleration:加速因子;maximum:極點價 45 SAR = talib.SAR(data['high'].values, data['low'].values, acceleration=0, maximum=0) 46  47 # 9.MIDPRICE:階段中點價格(Midpoint Price over period) 48 # talib.MIDPOINT(close, timeperiod=14) 49 # 參數說明:close:收盤價;timeperiod:周期; 50 MIDPOINT = talib.MIDPOINT(close, timeperiod=14) 51  52 # 10. T3:三重移動平均線 53 # talib.T3(close, timeperiod=5, vfactor=0) 54 # 參數說明:close:收盤價;timeperiod:周期;vfactor: va 系數,當va=0時,T3就是三重移動平均線;va=1時,就是DEMA 55 T3 = talib.T3(close, timeperiod = 5, vfactor = 0) 56  57 # 11.TEMA:三重指數移動平均線 58 # talib.TEMA(close, timeperiod = 30) 59 # 參數說明:close:收盤價;timeperiod:周期; 60 TEMA = talib.TEMA(close, timeperiod=30) 61  62 # 12.SAREXT:SAR的拋物面擴展 63 # talib.SAREXT(high_p, low_p, startvalue=0, offsetonreverse=0, accelerationinitlong=0, accelerationlong=0, accelerationmaxlong=0, accelerationinitshort=0, accelerationshort=0, accelerationmaxshort=0) 64 SAREXT = talib.SAREXT(data['high'].values, data['low'].values, startvalue=0, offsetonreverse=0, accelerationinitlong=0, accelerationlong=0, accelerationmaxlong=0, accelerationinitshort=0, accelerationshort=0, accelerationmaxshort=0) 65  66 # 13.WMA:移動加權平均法 67 # talib.WMA(close, timeperiod = 30) 68 # 參數說明:close:收盤價;timeperiod:周期; 69 WMA = talib.WMA(close, timeperiod = 30) 70  71  72 # 二、 波動量指標 73 # 1.ATR:真實波動幅度均值 74 # ATR(high, low, close, timeperiod=14) 75 # 參數說明:high:最高價;low:最低價;close:收盤價,timeperiod:周期 76 ATR = talib.ATR(data['high'].values, data['low'].values, close, timeperiod=14) 77  78 # 2.NATR:歸一化波動幅度均值 79 # NATR(high, low, close, timeperiod=14) 80 # 參數說明:high:最高價;low:最低價;close:收盤價,timeperiod:周期 81 NATR = talib.NATR(data['high'].values, data['low'].values, close, timeperiod=14) 82  83 # 3.TRANGE:真正的范圍 84 # TRANGE(high, low, close) 85 # 參數說明:high:最高價;low:最低價;close:收盤價 86 TRANGE = talib.TRANGE(data['high'].values, data['low'].values, close) 87  88  89 # 三、 量價指標 90 # 1. AD:量價指標 91 # AD(high, low, close, volume) 92 # 參數說明:high:最高價;low:最低價;close:收盤價,volume:成交量 93 AD = talib.AD(data['high'], data['low'], close,data['volume']) 94  95 # 2.ADOSC:震蕩指標 96 # ADOSC(high, low, close, volume, fastperiod=3, slowperiod=10) 97 # 參數說明:high:最高價;low:最低價;close:收盤價,volume:成交量; fastperiod:快周期; slowperiod:慢周期 98 ADOSC = talib.ADOSC(data['high'], data['low'], close,data['volume'], fastperiod=3, slowperiod=10) 99 100 # 3.OBV:能量潮101 # OBV(close, volume)102 # 參數說明:close:收盤價,volume:成交量103 OBV = talib.OBV(close, data['volume'])104 105 # 三、 周期指標106 # 1.HT_DCPERIOD:希爾伯特變換-主導周期107 # HT_DCPERIOD(close)108 # 參數說明:close:收盤價109 HT_DCPERIOD = talib.HT_DCPERIOD(close)110 111 # 2.HT_DCPHASE:希爾伯特變換-主導循環階段112 # HT_DCPHASE(close)113 # 參數說明:close:收盤價114 HT_DCPHASE = talib.HT_DCPHASE(close)115 116 # 3.HT_PHASOR:希爾伯特變換-希爾伯特變換相量分量117 # inphase, quadrature = HT_PHASOR(close)118 # 參數說明:close:收盤價119 HT_PHASOR_inphase,HT_PHASOR_quadrature = talib.HT_PHASOR(close)120 121 # 4.HT_SINE:希爾伯特變換-正弦波122 # sine, leadsine = HT_SINE(close)123 # 參數說明:close:收盤價124 HT_SINE_sine,HT_SINE_leadsine = talib.HT_SINE(close)125 126 # 5.HT_TRENDMODE:希爾伯特變換-趨勢與周期模式127 # integer = HT_TRENDMODE(close)128 # 參數說明:close:收盤價129 HT_TRENDMODE = talib.HT_TRENDMODE(close)130 131 132 # 四、價格變化函數133 # 1. AVGPRICE:平均價格函數134 # real = AVGPRICE(open, high, low, close)135 AVGPRICE = talib.AVGPRICE(data['open'].values, data['high'].values, data['low'].values, close)136 137 # 2. MEDPRICE:中位數價格138 # real = MEDPRICE(high, low)139 # 參數說明:high:最高價;low:最低價;140 MEDPRICE = talib.MEDPRICE(data['high'].values, data['low'].values)141 142 # 3. TYPPRICE :代表性價格143 # real = TYPPRICE(high, low, close)144 # 參數說明:high:最高價;low:最低價;close:收盤價145 TYPPRICE = talib.TYPPRICE(data['high'].values, data['low'].values, close)146 147 # 4. WCLPRICE :加權收盤價148 # real = WCLPRICE(high, low, close)149 # 參數說明:high:最高價;low:最低價;close:收盤價150 WCLPRICE = talib.WCLPRICE(data['high'].values, data['low'].values, close)151 152 # 五、 動量指標153 # 1. ADX:平均趨向指數154 # real = ADX(high, low, close, timeperiod=14)155 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期156 ADX = talib.ADX(data['high'].values, data['low'].values, close, timeperiod=14)157 158 # 2. ADXR:平均趨向指數的趨向指數159 # real = ADXR(high, low, close, timeperiod=14)160 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期161 ADXR = talib.ADXR(data['high'].values, data['low'].values, close, timeperiod=14)162 163 # 3. APO :價格震蕩指數164 # real = APO(close, fastperiod=12, slowperiod=26, matype=0)165 # 參數說明:close:收盤價;fastperiod:快周期; slowperiod:慢周期166 APO = talib.APO(close, fastperiod=12, slowperiod=26, matype=0)167 168 # 4. AROON :阿隆指標169 # aroondown, aroonup = AROON(high, low, timeperiod=14)170 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期171 AROON_aroondown,AROON_aroonup = talib.AROON(data['high'].values, data['low'].values, timeperiod=14)172 173 # 5.AROONOSC :阿隆振蕩174 # real = AROONOSC(high, low, timeperiod=14)175 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期176 AROONOSC = talib.AROONOSC(data['high'].values, data['low'].values, timeperiod=14)177 178 # 6. BOP :均勢指標179 # real = BOP(open, high, low, close)180 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期181 BOP= talib.BOP(data['open'].values, data['high'].values, data['low'].values, close)182 183 # 7. CCI :順勢指標184 # real = CCI(high, low, close, timeperiod=14)185 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期186 CCI = talib.CCI(data['high'].values, data['low'].values,close, timeperiod=14)187 188 # 8. CMO :錢德動量擺動指標189 # real = CMO(close, timeperiod=14)190 # 參數說明:close:收盤價;timeperiod:時間周期191 CMO = talib.CMO(close, timeperiod=14)192 193 # 9. DX :動向指標或趨向指標194 # real = DX(high, low, close, timeperiod=14)195 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期196 DX = talib.DX(data['high'].values, data['low'].values, close, timeperiod=14)197 198 # 10. MACD:平滑異同移動平均線199 # macd, macdsignal, macdhist = MACD(close, fastperiod=12, slowperiod=26, signalperiod=9)200 # 參數說明:high:最高價;low:最低價;close:收盤價;fastperiod:快周期; slowperiod:慢周期201 MACD_macd,MACD_macdsignal,MACD_macdhist = talib.MACD(close, fastperiod=12, slowperiod=26, signalperiod=9)202 203 # 11. MACDEXT :MACD延伸204 # macd, macdsignal, macdhist = MACDEXT(close, fastperiod=12, fastmatype=0, slowperiod=26, slowmatype=0, signalperiod=9, signalmatype=0)205 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期206 MACDEXT_macd,MACDEXT_macdsignal,MACDEXT_macdhist = talib.MACDEXT(close, fastperiod=12, fastmatype=0, slowperiod=26, slowmatype=0, signalperiod=9, signalmatype=0)207 208 # 12. MFI :資金流量指標209 # real = MFI(high, low, close, volume, timeperiod=14)210 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期211 MFI = talib.MFI(data['high'].values, data['low'].values, close, data['volume'], timeperiod=14)212 213 # 13. MINUS_DI:DMI 中的DI指標 負方向指標214 # real = MINUS_DI(high, low, close, timeperiod=14)215 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期216 MINUS_DI = talib.MINUS_DI(data['high'].values, data['low'].values, close, timeperiod=14)217 218 # 14. MINUS_DM:上升動向值219 # real = MINUS_DM(high, low, timeperiod=14)220 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期221 MINUS_DM = talib.MINUS_DM(data['high'].values, data['low'].values, timeperiod=14)222 223 224 # 六、波動率指標225 # 1.MOM: 上升動向值226 # real = MOM(close, timeperiod=10)227 # 參數說明:close:收盤價;timeperiod:時間周期228 MOM = talib.MOM(close, timeperiod=10)229 230 # 2.PLUS_DI231 # real = PLUS_DI(high, low, close, timeperiod=14)232 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期233 PLUS_DI = talib.PLUS_DI(data['high'].values, data['low'].values, close, timeperiod=14)234 235 # 3.PLUS_DM236 # real = PLUS_DM(high, low, timeperiod=14)237 # 參數說明:high:最高價;low:最低價;close:收盤價;timeperiod:時間周期238 PLUS_DM = talib.PLUS_DM(data['high'].values, data['low'].values, timeperiod=14)239 240 # 4. PPO: 價格震蕩百分比指數241 # real = PPO(close, fastperiod=12, slowperiod=26, matype=0)242 # 參數說明:close:收盤價;timeperiod:時間周期,fastperiod:快周期; slowperiod:慢周期243 PPO = talib.PPO(close, fastperiod=12, slowperiod=26, matype=0)244 245 # 5.ROC:變動率指標246 # real = ROC(close, timeperiod=10)247 # 參數說明:close:收盤價;timeperiod:時間周期248 ROC = talib.ROC(close, timeperiod=10)249 250 # 6. ROCP:變動百分比251 # real = ROCP(close, timeperiod=10)252 # 參數說明:close:收盤價;timeperiod:時間周期253 ROCP = talib.ROCP(close, timeperiod=10)254 255 # 7.ROCR :變動百分率256 # real = ROCR(close, timeperiod=10)257 # 參數說明:close:收盤價;timeperiod:時間周期258 ROCR = talib.ROCR(close, timeperiod=10)259 260 # 8. ROCR100 :變動百分率(*100)261 # real = ROCR100(close, timeperiod=10)262 # 參數說明:close:收盤價;timeperiod:時間周期263 ROCR100 = talib.ROCR100(close, timeperiod=10)264 265 # 9. RSI:相對強弱指數266 # real = RSI(close, timeperiod=14)267 # 參數說明:close:收盤價;timeperiod:時間周期268 RSI = talib.RSI(close, timeperiod=14)269 270 # 10.STOCH :隨機指標,俗稱KD271 # slowk, slowd = STOCH(high, low, close, fastk_period=5, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)272 # 參數說明:high:最高價;low:最低價;close:收盤價;fastk_period:N參數, slowk_period:M1參數, slowk_matype:M1類型, slowd_period:M2參數, slowd_matype:M2類型273 # #matype: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TEMA, 5=TRIMA, 6=KAMA, 7=MAMA, 8=T3 (Default=SMA)274 STOCH_slowk,STOCH_slowd = talib.STOCH(data['high'].values, data['low'].values, close, fastk_period=9, slowk_period=3, slowk_matype=1, slowd_period=3, slowd_matype=1)275 276 # 11. STOCHF :快速隨機指標277 # fastk, fastd = STOCHF(high, low, close, fastk_period=5, fastd_period=3, fastd_matype=0)278 STOCHF_fastk,STOCHF_fastd = talib.STOCHF(data['high'].values, data['low'].values, close, fastk_period=5, fastd_period=3, fastd_matype=0)279 280 # 12.STOCHRSI:隨機相對強弱指數281 # fastk, fastd = STOCHRSI(high, low, close, timeperiod=14, fastk_period=5, fastd_period=3, fastd_matype=0)282 STOCHRSI_fastk,STOCHRSI_fastd = talib.STOCHF(data['high'].values, data['low'].values, close, fastk_period = 5, fastd_period = 3, fastd_matype = 0)283 284 # 13.TRIX:1-day Rate-Of-Change (ROC) of a Triple Smooth EMA285 # real = TRIX(close, timeperiod=30)286 TRIX = talib.TRIX(close, timeperiod=30)287 288 # 14.ULTOSC:終極波動指標289 # real = ULTOSC(high, low, close, timeperiod1=7, timeperiod2=14, timeperiod3=28)290 ULTOSC = talib.ULTOSC(data['high'].values, data['low'].values, close, timeperiod1=7, timeperiod2=14, timeperiod3=28)291 292 # 15.WILLR :威廉指標293 # real = WILLR(high, low, close, timeperiod=14)294 WILLR = talib.WILLR(data['high'].values, data['low'].values, close, timeperiod = 14)295 296 297 # 七、Statistic Functions 統計學指標298 # 1. BETA:β系數也稱為貝塔系數299 # real = BETA(high, low, timeperiod=5)300 BETA = talib.BETA(data['high'].values, data['low'].values, timeperiod = 5)301 302 # 2. CORREL :皮爾遜相關系數303 # real = CORREL(high, low, timeperiod=30)304 CORREL = talib.CORREL(data['high'].values, data['low'].values, timeperiod = 30)305 306 # 3.LINEARREG :線性回歸307 # real = LINEARREG(close, timeperiod=14)308 LINEARREG = talib.LINEARREG(close, timeperiod=14)309 310 # 4.LINEARREG_ANGLE :線性回歸的角度311 # real = LINEARREG_ANGLE(close, timeperiod=14)312 LINEARREG_ANGLE = talib.LINEARREG_ANGLE(close, timeperiod=14)313 314 # 5. LINEARREG_INTERCEPT :線性回歸截距315 # real = LINEARREG_INTERCEPT(close, timeperiod=14)316 LINEARREG_INTERCEPT = talib.LINEARREG_INTERCEPT(close, timeperiod=14)317 318 # 6.LINEARREG_SLOPE:線性回歸斜率指標319 # real = LINEARREG_SLOPE(close, timeperiod=14)320 LINEARREG_SLOPE = talib.LINEARREG_SLOPE(close, timeperiod=14)321 322 # 7.STDDEV :標準偏差323 # real = STDDEV(close, timeperiod=5, nbdev=1)324 STDDEV = talib.STDDEV(close, timeperiod=5, nbdev=1)325 326 # 8.TSF:時間序列預測327 # real = TSF(close, timeperiod=14)328 TSF = talib.TSF(close, timeperiod=14)329 330 # 9. VAR:方差331 # real = VAR(close, timeperiod=5, nbdev=1)332 VAR = talib.VAR(close, timeperiod=5, nbdev=1)