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talib函数功能一览表Pinned highlighted

四两 发表在策略研究 2020-10-23 15:18:28

策略研究
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talib函数一览表

1.简介

Talib是一款非常强大的技术分析指标计算第三方包,于1999年由Mario Fortier最早上传。由于底层框架是用C语言搭建的,所以python在使用时的帮助文档较少。为了方便使用,参考HuaRongSAO在github上的发布的内容整理出以下文档。
(原文地址:https://github.com/HuaRongSAO/talib-document)

2.安装和导入

一般情况下直接用pip安装Talib会出现各种各样的问题,所以推荐用whl的方式安装。安装流程如下:
0_1603437167590_e4217881-7d91-4f36-bbf0-a8aa8cdf481f-image.png
Whl下载地址:https://www.lfd.uci.edu/~gohlke/pythonlibs/#TA-Lib

3.常用函数归类

(以下文档参考HuaRongSAO在github上的代码,网址为:https://github.com/HuaRongSAO/talib-document)

# 取个数据验证一下
set_token('')
data = history(symbol = 'SHSE.600519',frequency = '1d',start_time = '2015-01-01',end_time = '2019-12-31',fields = 'open, high, low, close,amount,volume,eob',df = True)

# 一、重叠研究(overlap studies)
# 1.简单移动平均指标SMA
# 参数说明:talib.SMA(a,b)
# a:要计算平均数的序列;b:计算平均线的周期。表示计算a的b日移动平均
close = data['close'].values
SMA = talib.SMA(close,5)

# 2.布林线BBANDS
# 参数说明:talib.BBANDS(close, timeperiod, matype)
# close:收盘价;timeperiod:周期;matype:平均方法(bolling线的middle线 = MA,用于设定哪种类型的MA)
# MA_Type: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TEMA, 5=TRIMA, 6=KAMA, 7=MAMA, 8=T3 (Default=SMA)
upper, middle, lower = talib.BBANDS(close,5,matype = talib.MA_Type.EMA)

# 3. DEMA 双移动平均线:DEMA = 2*EMA-EMA(EMA)
# 参数说明:talib.DEMA(close, timeperiod = 30)
DEMA = talib.DEMA(close, timeperiod = 30)

# 4. MA
# 参数说明:MA(close, timeperiod = 30, matype=0)
# close:收盘价;timeperiod:周期;matype:计算平均线方法
MA = talib.MA(close, timeperiod = 30, matype = 0)

# 5. EMA
# 参数说明:EMA = talib.EMA(np.array(close), timeperiod=6)
# close:收盘价;timeperiod:周期;matype:计算平均线方法
EMA = talib.EMA(np.array(close), timeperiod = 6)

# 6.KAMA:考夫曼的自适应移动平均线
# 参数说明:KAMA = talib.KAMA(close, timeperiod = 30)
KAMA = talib.KAMA(close, timeperiod = 30)

# 7. MIDPRICE:阶段中点价格
# talib.MIDPOINT(close, timeperiod)
# 参数说明:close:收盘价;timeperiod:周期;
MIDPOINT = talib.MIDPOINT(close, timeperiod=14)

# 8.SAR:抛物线指标
# SAR(high, low, acceleration=0, maximum=0)
# 参数说明:high:最高价;low:最低价;acceleration:加速因子;maximum:极点价
SAR = talib.SAR(data['high'].values, data['low'].values, acceleration=0, maximum=0)

# 9.MIDPRICE:阶段中点价格(Midpoint Price over period)
# talib.MIDPOINT(close, timeperiod=14)
# 参数说明:close:收盘价;timeperiod:周期;
MIDPOINT = talib.MIDPOINT(close, timeperiod=14)

# 10. T3:三重移动平均线
# talib.T3(close, timeperiod=5, vfactor=0)
# 参数说明:close:收盘价;timeperiod:周期;vfactor: va 系数,当va=0时,T3就是三重移动平均线;va=1时,就是DEMA
T3 = talib.T3(close, timeperiod = 5, vfactor = 0)

# 11.TEMA:三重指数移动平均线
# talib.TEMA(close, timeperiod = 30)
# 参数说明:close:收盘价;timeperiod:周期;
TEMA = talib.TEMA(close, timeperiod=30)

# 12.SAREXT:SAR的抛物面扩展
# talib.SAREXT(high_p, low_p, startvalue=0, offsetonreverse=0, accelerationinitlong=0, accelerationlong=0, accelerationmaxlong=0, accelerationinitshort=0, accelerationshort=0, accelerationmaxshort=0)
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)

# 13.WMA:移动加权平均法
# talib.WMA(close, timeperiod = 30)
# 参数说明:close:收盘价;timeperiod:周期;
WMA = talib.WMA(close, timeperiod = 30)


# 二、 波动量指标
# 1.ATR:真实波动幅度均值
# ATR(high, low, close, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价,timeperiod:周期
ATR = talib.ATR(data['high'].values, data['low'].values, close, timeperiod=14)

# 2.NATR:归一化波动幅度均值
# NATR(high, low, close, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价,timeperiod:周期
NATR = talib.NATR(data['high'].values, data['low'].values, close, timeperiod=14)

# 3.TRANGE:真正的范围
# TRANGE(high, low, close)
# 参数说明:high:最高价;low:最低价;close:收盘价
TRANGE = talib.TRANGE(data['high'].values, data['low'].values, close)


# 三、 量价指标
# 1. AD:量价指标
# AD(high, low, close, volume)
# 参数说明:high:最高价;low:最低价;close:收盘价,volume:成交量
AD = talib.AD(data['high'], data['low'], close,data['volume'])

# 2.ADOSC:震荡指标
# ADOSC(high, low, close, volume, fastperiod=3, slowperiod=10)
# 参数说明:high:最高价;low:最低价;close:收盘价,volume:成交量; fastperiod:快周期; slowperiod:慢周期
ADOSC = talib.ADOSC(data['high'], data['low'], close,data['volume'], fastperiod=3, slowperiod=10)

# 3.OBV:能量潮
# OBV(close, volume)
# 参数说明:close:收盘价,volume:成交量
OBV = talib.OBV(close, data['volume'])

# 三、 周期指标
# 1.HT_DCPERIOD:希尔伯特变换-主导周期
# HT_DCPERIOD(close)
# 参数说明:close:收盘价
HT_DCPERIOD = talib.HT_DCPERIOD(close)

# 2.HT_DCPHASE:希尔伯特变换-主导循环阶段
# HT_DCPHASE(close)
# 参数说明:close:收盘价
HT_DCPHASE = talib.HT_DCPHASE(close)

# 3.HT_PHASOR:希尔伯特变换-希尔伯特变换相量分量
# inphase, quadrature = HT_PHASOR(close)
# 参数说明:close:收盘价
HT_PHASOR_inphase,HT_PHASOR_quadrature = talib.HT_PHASOR(close)

# 4.HT_SINE:希尔伯特变换-正弦波
# sine, leadsine = HT_SINE(close)
# 参数说明:close:收盘价
HT_SINE_sine,HT_SINE_leadsine = talib.HT_SINE(close)

# 5.HT_TRENDMODE:希尔伯特变换-趋势与周期模式
# integer = HT_TRENDMODE(close)
# 参数说明:close:收盘价
HT_TRENDMODE = talib.HT_TRENDMODE(close)


# 四、价格变化函数
# 1. AVGPRICE:平均价格函数
# real = AVGPRICE(open, high, low, close)
AVGPRICE = talib.AVGPRICE(data['open'].values, data['high'].values, data['low'].values, close)

# 2. MEDPRICE:中位数价格
# real = MEDPRICE(high, low)
# 参数说明:high:最高价;low:最低价;
MEDPRICE = talib.MEDPRICE(data['high'].values, data['low'].values)

# 3. TYPPRICE :代表性价格
# real = TYPPRICE(high, low, close)
# 参数说明:high:最高价;low:最低价;close:收盘价
TYPPRICE = talib.TYPPRICE(data['high'].values, data['low'].values, close)

# 4. WCLPRICE :加权收盘价
# real = WCLPRICE(high, low, close)
# 参数说明:high:最高价;low:最低价;close:收盘价
WCLPRICE = talib.WCLPRICE(data['high'].values, data['low'].values, close)

# 五、 动量指标
# 1. ADX:平均趋向指数
# real = ADX(high, low, close, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
ADX = talib.ADX(data['high'].values, data['low'].values, close, timeperiod=14)

# 2. ADXR:平均趋向指数的趋向指数
# real = ADXR(high, low, close, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
ADXR = talib.ADXR(data['high'].values, data['low'].values, close, timeperiod=14)

# 3. APO :价格震荡指数
# real = APO(close, fastperiod=12, slowperiod=26, matype=0)
# 参数说明:close:收盘价;fastperiod:快周期; slowperiod:慢周期
APO = talib.APO(close, fastperiod=12, slowperiod=26, matype=0)

# 4. AROON :阿隆指标
# aroondown, aroonup = AROON(high, low, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
AROON_aroondown,AROON_aroonup = talib.AROON(data['high'].values, data['low'].values, timeperiod=14)

# 5.AROONOSC :阿隆振荡
# real = AROONOSC(high, low, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
AROONOSC = talib.AROONOSC(data['high'].values, data['low'].values, timeperiod=14)

# 6. BOP :均势指标
# real = BOP(open, high, low, close)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
BOP= talib.BOP(data['open'].values, data['high'].values, data['low'].values, close)

# 7. CCI :顺势指标
# real = CCI(high, low, close, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
CCI = talib.CCI(data['high'].values, data['low'].values,close, timeperiod=14)

# 8. CMO :钱德动量摆动指标
# real = CMO(close, timeperiod=14)
# 参数说明:close:收盘价;timeperiod:时间周期
CMO = talib.CMO(close, timeperiod=14)

# 9. DX :动向指标或趋向指标
# real = DX(high, low, close, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
DX = talib.DX(data['high'].values, data['low'].values, close, timeperiod=14)

# 10. MACD:平滑异同移动平均线
# macd, macdsignal, macdhist = MACD(close, fastperiod=12, slowperiod=26, signalperiod=9)
# 参数说明:high:最高价;low:最低价;close:收盘价;fastperiod:快周期; slowperiod:慢周期
MACD_macd,MACD_macdsignal,MACD_macdhist = talib.MACD(close, fastperiod=12, slowperiod=26, signalperiod=9)

# 11. MACDEXT :MACD延伸
# macd, macdsignal, macdhist = MACDEXT(close, fastperiod=12, fastmatype=0, slowperiod=26, slowmatype=0, signalperiod=9, signalmatype=0)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
MACDEXT_macd,MACDEXT_macdsignal,MACDEXT_macdhist = talib.MACDEXT(close, fastperiod=12, fastmatype=0, slowperiod=26, slowmatype=0, signalperiod=9, signalmatype=0)

# 12. MFI :资金流量指标
# real = MFI(high, low, close, volume, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
MFI = talib.MFI(data['high'].values, data['low'].values, close, data['volume'], timeperiod=14)

# 13. MINUS_DI:DMI 中的DI指标 负方向指标
# real = MINUS_DI(high, low, close, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
MINUS_DI = talib.MINUS_DI(data['high'].values, data['low'].values, close, timeperiod=14)

# 14. MINUS_DM:上升动向值
# real = MINUS_DM(high, low, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
MINUS_DM = talib.MINUS_DM(data['high'].values, data['low'].values, timeperiod=14)


# 六、波动率指标
# 1.MOM: 上升动向值
# real = MOM(close, timeperiod=10)
# 参数说明:close:收盘价;timeperiod:时间周期
MOM = talib.MOM(close, timeperiod=10)

# 2.PLUS_DI
# real = PLUS_DI(high, low, close, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
PLUS_DI = talib.PLUS_DI(data['high'].values, data['low'].values, close, timeperiod=14)

# 3.PLUS_DM
# real = PLUS_DM(high, low, timeperiod=14)
# 参数说明:high:最高价;low:最低价;close:收盘价;timeperiod:时间周期
PLUS_DM = talib.PLUS_DM(data['high'].values, data['low'].values, timeperiod=14)

# 4. PPO: 价格震荡百分比指数
# real = PPO(close, fastperiod=12, slowperiod=26, matype=0)
# 参数说明:close:收盘价;timeperiod:时间周期,fastperiod:快周期; slowperiod:慢周期
PPO = talib.PPO(close, fastperiod=12, slowperiod=26, matype=0)

# 5.ROC:变动率指标
# real = ROC(close, timeperiod=10)
# 参数说明:close:收盘价;timeperiod:时间周期
ROC = talib.ROC(close, timeperiod=10)

# 6. ROCP:变动百分比
# real = ROCP(close, timeperiod=10)
# 参数说明:close:收盘价;timeperiod:时间周期
ROCP = talib.ROCP(close, timeperiod=10)

# 7.ROCR :变动百分率
# real = ROCR(close, timeperiod=10)
# 参数说明:close:收盘价;timeperiod:时间周期
ROCR = talib.ROCR(close, timeperiod=10)

# 8. ROCR100 :变动百分率(*100)
# real = ROCR100(close, timeperiod=10)
# 参数说明:close:收盘价;timeperiod:时间周期
ROCR100 = talib.ROCR100(close, timeperiod=10)

# 9. RSI:相对强弱指数
# real = RSI(close, timeperiod=14)
# 参数说明:close:收盘价;timeperiod:时间周期
RSI = talib.RSI(close, timeperiod=14)

# 10.STOCH :随机指标,俗称KD
# slowk, slowd = STOCH(high, low, close, fastk_period=5, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)
# 参数说明:high:最高价;low:最低价;close:收盘价;fastk_period:N参数, slowk_period:M1参数, slowk_matype:M1类型, slowd_period:M2参数, slowd_matype:M2类型
STOCH_slowk,STOCH_slowd = talib.STOCH(data['high'].values, data['low'].values, close, fastk_period=5, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)

# 11. STOCHF :快速随机指标
# fastk, fastd = STOCHF(high, low, close, fastk_period=5, fastd_period=3, fastd_matype=0)
STOCHF_fastk,STOCHF_fastd = talib.STOCHF(data['high'].values, data['low'].values, close, fastk_period=5, fastd_period=3, fastd_matype=0)

# 12.STOCHRSI:随机相对强弱指数
# fastk, fastd = STOCHRSI(high, low, close, timeperiod=14, fastk_period=5, fastd_period=3, fastd_matype=0)
STOCHRSI_fastk,STOCHRSI_fastd = talib.STOCHF(data['high'].values, data['low'].values, close, fastk_period = 5, fastd_period = 3, fastd_matype = 0)

# 13.TRIX:1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
# real = TRIX(close, timeperiod=30)
TRIX = talib.TRIX(close, timeperiod=30)

# 14.ULTOSC:终极波动指标
# real = ULTOSC(high, low, close, timeperiod1=7, timeperiod2=14, timeperiod3=28)
ULTOSC = talib.ULTOSC(data['high'].values, data['low'].values, close, timeperiod1=7, timeperiod2=14, timeperiod3=28)

# 15.WILLR :威廉指标
# real = WILLR(high, low, close, timeperiod=14)
WILLR = talib.WILLR(data['high'].values, data['low'].values, close, timeperiod = 14)


# 七、Statistic Functions 统计学指标
# 1. BETA:β系数也称为贝塔系数
# real = BETA(high, low, timeperiod=5)
BETA = talib.BETA(data['high'].values, data['low'].values, timeperiod = 5)

# 2. CORREL :皮尔逊相关系数
# real = CORREL(high, low, timeperiod=30)
CORREL = talib.CORREL(data['high'].values, data['low'].values, timeperiod = 30)

# 3.LINEARREG :线性回归
# real = LINEARREG(close, timeperiod=14)
LINEARREG = talib.LINEARREG(close, timeperiod=14)

# 4.LINEARREG_ANGLE :线性回归的角度
# real = LINEARREG_ANGLE(close, timeperiod=14)
LINEARREG_ANGLE = talib.LINEARREG_ANGLE(close, timeperiod=14)

# 5. LINEARREG_INTERCEPT :线性回归截距
# real = LINEARREG_INTERCEPT(close, timeperiod=14)
LINEARREG_INTERCEPT = talib.LINEARREG_INTERCEPT(close, timeperiod=14)

# 6.LINEARREG_SLOPE:线性回归斜率指标
# real = LINEARREG_SLOPE(close, timeperiod=14)
LINEARREG_SLOPE = talib.LINEARREG_SLOPE(close, timeperiod=14)

# 7.STDDEV :标准偏差
# real = STDDEV(close, timeperiod=5, nbdev=1)
STDDEV = talib.STDDEV(close, timeperiod=5, nbdev=1)

# 8.TSF:时间序列预测
# real = TSF(close, timeperiod=14)
TSF = talib.TSF(close, timeperiod=14)

# 9. VAR:方差
# real = VAR(close, timeperiod=5, nbdev=1)
VAR = talib.VAR(close, timeperiod=5, nbdev=1)
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