data_handler.py 文件源码

def SPBFILTER(df, n1 = 40, n2 = 60, n3 = 0, field = 'close'):
    if n3 == 0:
        n3 = int((n1 + n2)/2)
    a1 = 5.0/n1
    a2 = 5.0/n2
    B = [a1-a2, a2-a1]
    A = [1, (1-a1)+(1-a2), -(1-a1)*(1-a2)]
    PB = pd.Series(signal.lfilter(B, A, df[field]), name = 'SPB_%s_%s' % (n1, n2))
    RMS = pd.Series(pd.rolling_mean(PB*PB, n3)**0.5, name = 'SPBRMS__%s_%s' % (n1, n2))
    return pd.concat([PB, RMS], join='outer', axis=1)