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MyTT.py
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MyTT.py
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# MyTT 麦语言-通达信-同花顺指标实现 https://github.com/mpquant/MyTT
# V2.1 2021-6-6 新增 BARSLAST函数
# V2.2 2021-6-8 新增 SLOPE,FORCAST线性回归，和回归预测函数
import numpy as np; import pandas as pd
#------------------ 0级：核心工具函数 --------------------------------------------
def RD(N,D=3): return np.round(N,D) #四舍五入取3位小数
def RET(S,N=1): return np.array(S)[-N] #返回序列倒数第N个值,默认返回最后一个
def ABS(S): return np.abs(S) #返回N的绝对值
def MAX(S1,S2): return np.maximum(S1,S2) #序列max
def MIN(S1,S2): return np.minimum(S1,S2) #序列min
def MA(S,N): #求序列的N日平均值，返回序列
return pd.Series(S).rolling(N).mean().values
def REF(S, N=1): #对序列整体下移动N,返回序列(shift后会产生NAN)
return pd.Series(S).shift(N).values
def DIFF(S, N=1): #前一个值减后一个值,前面会产生nan
return pd.Series(S).diff(N) #np.diff(S)直接删除nan，会少一行
def STD(S,N): #求序列的N日标准差，返回序列
return pd.Series(S).rolling(N).std(ddof=0).values
def IF(S_BOOL,S_TRUE,S_FALSE): #序列布尔判断 res=S_TRUE if S_BOOL==True else S_FALSE
return np.where(S_BOOL, S_TRUE, S_FALSE)
def SUM(S, N): #对序列求N天累计和，返回序列
return pd.Series(S).rolling(N).sum().values
def HHV(S,N): # HHV(C, 5) # 最近5天收盘最高价
return pd.Series(S).rolling(N).max().values
def LLV(S,N): # LLV(C, 5) # 最近5天收盘最低价
return pd.Series(S).rolling(N).min().values
def EMA(S,N): #指数移动平均,为了精度 S>4*N EMA至少需要120周期
return pd.Series(S).ewm(span=N, adjust=False).mean().values
def SMA(S, N, M=1): #中国式的SMA,至少需要120周期才精确
K = pd.Series(S).rolling(N).mean() #先求出平均值 (下面如果有不用循环的办法，能提高性能，望告知)
for i in range(N+1, len(S)): K[i] = (M * S[i] + (N -M) * K[i-1]) / N # 因为要取K[i-1]，所以 range(N+1, len(S))
return K
def AVEDEV(S,N): #平均绝对偏差 (序列与其平均值的绝对差的平均值)
avedev=pd.Series(S).rolling(N).apply(lambda x: (np.abs(x - x.mean())).mean())
return avedev.values
def SLOPE(S,N,RS=False): #返S序列N周期回线性回归斜率 (默认只返回斜率,不返回整个直线序列)
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级：应用层函数(通过0级核心函数实现） ----------------------------------
def COUNT(S_BOOL, N): # COUNT(CLOSE>O, N): 最近N天满足S_BOO的天数 True的天数
return SUM(S_BOOL,N)
def EVERY(S_BOOL, N): # EVERY(CLOSE>O, 5) 最近N天是否都是True
R=SUM(S_BOOL, N)
return IF(R==N, True, False)
def LAST(S_BOOL, A, B): #从前A日到前B日一直满足S_BOOL条件
if A<B: A=B #要求A>B 例：LAST(CLOSE>OPEN,5,3) 5天前到3天前是否都收阳线
return S_BOOL[-A:-B].sum()==(A-B) #返回单个布尔值
def EXIST(S_BOOL, N=5): # EXIST(CLOSE>3010, N=5) n日内是否存在一天大于3000点
R=SUM(S_BOOL,N)
return IF(R>0, True ,False)
def BARSLAST(S_BOOL): #上一次条件成立到当前的周期
M=np.argwhere(S_BOOL); # BARSLAST(CLOSE/REF(CLOSE)>=1.1) 上一次涨停到今天的天数
return len(S_BOOL)-int(M[-1])-1 if M.size>0 else -1
def FORCAST(S,N): #返S序列N周期回线性回归后的预测值
K,Y=SLOPE(S,N,RS=True)
return Y[-1]+K
def CROSS(S1,S2): #判断穿越 CROSS(MA(C,5),MA(C,10))
CROSS_BOOL=IF(S1>S2, True ,False)
return COUNT(CROSS_BOOL>0,2)==1 #上穿：昨天0 今天1 下穿：昨天1 今天0
#------------------ 2级：技术指标函数(全部通过0级，1级函数实现） ------------------------------
def MACD(CLOSE,SHORT=12,LONG=26,M=9): # EMA的关系，S取120日，和雪球小数点2位相同
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): # KDJ指标
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): #W&R 威廉指标
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): # BIAS乖离率
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): #BOLL指标，布林带
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): #真实波动N日平均值
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): #BBI多空指标
return (MA(CLOSE,M1)+MA(CLOSE,M2)+MA(CLOSE,M3)+MA(CLOSE,M4))/4
def DMI(CLOSE,HIGH,LOW,M1=14,M2=6): #动向指标：结果和同花顺，通达信完全一致
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): #唐安奇通道交易指标，大道至简，能穿越牛熊
UP=HHV(HIGH,N); DOWN=LLV(LOW,N); MID=(UP+DOWN)/2
return UP,MID,DOWN
def TRIX(CLOSE,M1=12, M2=20): #三重指数平滑平均线
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): #VR容量比率
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): #简易波动指标
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 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
#望大家能提交更多指标和函数 https://github.com/mpquant/MyTT