python talib(一)

骑猪看日落 2022-05-21 00:13 230阅读 0赞

# -*- coding: utf-8 -*-
    """
    Created on Wed Dec 13 18:08:20 2017
    
    @author: Administrator
    """
    
    from matplotlib.dates import DateFormatter, WeekdayLocator, DayLocator, MONDAY,YEARLY
    from matplotlib.finance import quotes_historical_yahoo_ohlc, candlestick_ohlc
    #import matplotlib
    import tushare as ts
    import pandas as pd
    import matplotlib.pyplot as plt
    from matplotlib.pylab import date2num
    import datetime
    import numpy as np
    from pandas import DataFrame
    from numpy import row_stack,column_stack
    
    import math
    import talib
    
    import numpy as np
    import pandas as pd
    from pandas import Series
    import seaborn as sns
    sns.set_style('white')
    
    import scipy as sp
    import scipy.optimize
    
    import datetime
    import calendar
    
    import matplotlib.pyplot as plt
    from matplotlib.finance import candlestick2_ochl
    
    data=ts.get_hist_data('601857',start='2016-06-15',end='2017-12-12')
    data=data.sort_index(ascending=True)
    
    
    #画图
    def plotKLine(open,close,high,low,tech):
    
        fig = plt.figure(figsize=(30, 15))
        y=len(close)
        date = np.linspace(0,y,y)
        candleAr = []
        ax1 = plt.subplot2grid((10,4),(0,0),rowspan=5,colspan=4)
        candlestick2_ochl(ax1,open,close,high,low,width=1,colorup='r',colordown='g', alpha=0.75)
        ax2 = plt.subplot2grid((10,4),(5,0),rowspan=4,colspan=4,sharex=ax1)
        if 'ATR' in tech.keys():
            ax2.plot(date, tech['ATR'],'-b')
        if 'ad_ATR' in tech.keys():
            ax2.plot(date, tech['ad_ATR'],'-r')
        if 'my_ATR' in tech.keys():
            ax2.plot(date, tech['my_ATR'],'-m')
        if 'short_ATR' in tech.keys():
            ax2.plot(date, tech_1['short_ATR'],'-b')
        if 'long_ATR' in tech.keys():
            ax2.plot(date, tech_1['long_ATR'],'-r')
        if 'close' in tech.keys():
            ax2.plot(date,tech_2['close'],'-b')
        if 'upper' in tech.keys():
            ax2.plot(date,tech_2['upper'],'-r')
        if 'lower' in tech.keys():
            ax2.plot(date,tech_2['lower'],'-r')
    
    #按公式计算ATR        
    def get_myATR(data):
        df = pd.DataFrame()
        df['HL'] = abs(data['high'] - data['low'])
        df['HCL'] = abs(data['high'] - data['preclose'])
        df['CLL'] = abs(data['preclose'] - data['low'])
        df['my_ATR'] = pd.rolling_mean(df.max(axis=1),window=10)
        return df['my_ATR'].values
    
    a = list(data['close'][:-1])
    a.insert(0,0)
    data['preclose']=a
    data = data[data.preclose>0]
    
    tech={}
    open = data['open'].values
    high = data['high'].values
    low = data['low'].values
    close = data['close'].values
    preclose = data['preclose'].values
    tech['ad_ATR']= talib.ATR(high,low,preclose,10)
    tech['ATR'] = talib.ATR(high,low,close,10)
    tech['my_ATR'] =  get_myATR(data)
    
    
    
    plotKLine(open,close,high,low,tech)
    
    
    #ATR指标
    tech_1 = {}
    tech_1['short_ATR'] = talib.ATR(high,low,close,10)
    tech_1['long_ATR'] = talib.ATR(high,low,close,20)
    plotKLine(open,close,high,low,tech_1)
    
    
    #通道突破交易系统
    
    df = pd.DataFrame()
    df['close'] = data['close']
    df['ATR'] = talib.ATR(high,low,close,10)
    
    #df['my_ATR'] = pd.rolling_mean(df.max(axis=1),window=10)
    df['mavg'] = pd.rolling_mean(df.close,window=10)
    df['upper'] = df['mavg'] + 2*df['ATR']
    df['lower'] = df['mavg'] - 2*df['ATR']
    
    tech_2 = {}
    tech_2['close'] = data['close'].values
    tech_2['upper'] = df['upper'].values
    tech_2['lower'] = df['lower'].values
    plotKLine(open,close,high,low,tech_2)

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[70]: /images/20220521/26f1b856cc7f4744ac4d41a4b27c53de.png