stockstats.py 文件源码

def _get_cci(cls, df, n_days=None):
        """ Commodity Channel Index

        CCI = (Typical Price  -  20-period SMA of TP) / (.015 x Mean Deviation)
        Typical Price (TP) = (High + Low + Close)/3
        TP is also implemented as 'middle'.

        :param df: data
        :param n_days: N days window
        :return: None
        """
        if n_days is None:
            n_days = 14
            column_name = 'cci'
        else:
            n_days = int(n_days)
            column_name = 'cci_{}'.format(n_days)

        tp = df['middle']
        tp_sma = df['middle_{}_sma'.format(n_days)]
        md = df['middle'].rolling(
            min_periods=1, center=False, window=n_days).apply(
            lambda x: np.fabs(x - x.mean()).mean())

        df[column_name] = (tp - tp_sma) / (.015 * md)