KST strategy.py 文件源码

def KST(df, r1, r2, r3, r4, n1, n2, n3, n4, s):
    M = df['Close'].diff(r1)
    N = df['Close'].shift(r1)
    ROC1 = (M/N)*100
    M = df['Close'].diff(r2)
    N = df['Close'].shift(r2)
    ROC2 = (M/N)*100
    M = df['Close'].diff(r3)
    N = df['Close'].shift(r3)
    ROC3 = (M/N)*100
    M = df['Close'].diff(r4)
    N = df['Close'].shift(r4)
    ROC4 = (M/N)*100
    KST = pd.Series(pd.rolling_mean(ROC1, n1) +
                    pd.rolling_mean(ROC2, n2) * 2 +
                    pd.rolling_mean(ROC3, n3) * 3 +
                    pd.rolling_mean(ROC4, n4) * 4, name = 'KST')
    Sig = pd.Series(pd.rolling_mean(KST, s), name='Signal')
    print KST, Sig
    df = df.join(KST)
    df = df.join(Sig)
    return df