-
Notifications
You must be signed in to change notification settings - Fork 21
/
MyTT.py
212 lines (156 loc) · 7.47 KB
/
MyTT.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
import numpy as np; import pandas as pd
#------------------ 0 level：core tools function --------------------------------------------
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.Series(S).rolling(N).mean().values
def REF(S, N=1):
return pd.Series(S).shift(N).values
def DIFF(S, N=1):
return pd.Series(S).diff(N)
def STD(S,N):
return pd.Series(S).rolling(N).std(ddof=0).values
def IF(S_BOOL,S_TRUE,S_FALSE):
return np.where(S_BOOL, S_TRUE, S_FALSE)
def SUM(S, N):
return pd.Series(S).rolling(N).sum().values if N>0 else pd.Series(S).cumsum()
def HHV(S,N):
return pd.Series(S).rolling(N).max().values
def LLV(S,N):
return pd.Series(S).rolling(N).min().values
def EMA(S,N): # alpha=2/(span+1)
return pd.Series(S).ewm(span=N, adjust=False).mean().values
def SMA(S, N, M=1): # alpha=1/(1+com)
return pd.Series(S).ewm(alpha=M/N,adjust=True).mean().values
def AVEDEV(S,N):
return pd.Series(S).rolling(N).apply(lambda x: (np.abs(x - x.mean())).mean()).values
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：(only use 0 level function to implemented） ----------------------------------
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 #LAST(CLOSE>OPEN,5,3)
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 BARSLAST(S_BOOL): #
M=np.argwhere(S_BOOL); # BARSLAST(CLOSE/REF(CLOSE)>=1.1)
return len(S_BOOL)-int(M[-1])-1 if M.size>0 else -1
def FORCAST(S,N):
K,Y=SLOPE(S,N,RS=True)
return Y[-1]+K
def CROSS(S1,S2): #GoldCross 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：Technical Indicators only use 0 level core functions ------------------------------
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 TURTLES(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):
DPO = CLOSE - REF(MA(CLOSE, M1), M2); MADPO = MA(DPO, M3)
return DPO, MADPO
def BRAR(OPEN,CLOSE,HIGH,LOW,M1=26):
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):
DIF=MA(CLOSE,N1)-MA(CLOSE,N2); DIFMA=MA(DIF,M)
return DIF,DIFMA
def MTM(CLOSE,N=12,M=6):
MTM=CLOSE-REF(CLOSE,N); MTMMA=MA(MTM,M)
return MTM,MTMMA
def MASS(HIGH,LOW,N1=9,N2=25,M=6):
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):
ROC=100*(CLOSE-REF(CLOSE,N))/REF(CLOSE,N); MAROC=MA(ROC,M)
return ROC,MAROC
def EXPMA(CLOSE,N1=12,N2=50):
return EMA(CLOSE,N1),EMA(CLOSE,N2);
def OBV(CLOSE,VOL):
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):
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):
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