data_handler.py 文件源码

def VCI(df, n, rng = 8):
    if n > 7:
        varA = pd.rolling_max(df.high, rng) - pd.rolling_min(df.low, rng)
        varB = varA.shift(rng)
        varC = varA.shift(rng*2)
        varD = varA.shift(rng*3)
        varE = varA.shift(rng*4)
        avg_tr = (varA+varB+varC+varD+varE)/25.0
    else:
        tr = pd.concat([df.high - df.low, abs(df.close - df.close.shift(1))], join='outer', axis=1).max(1)
        avg_tr = pd.rolling_mean(tr, n) * 0.16
    avg_pr = (pd.rolling_mean(df.high, n) + pd.rolling_mean(df.low, n))/2.0
    VO = pd.Series((df.open - avg_pr)/avg_tr, name = 'VCIO')
    VH = pd.Series((df.high - avg_pr)/avg_tr, name = 'VCIH')
    VL = pd.Series((df.low - avg_pr)/avg_tr, name = 'VCIL')
    VC = pd.Series((df.close - avg_pr)/avg_tr, name = 'VCIC')
    return pd.concat([VO, VH, VL, VC], join='outer', axis=1)