technical.py 文件源码

def ADX(df, n, n_ADX):  
    i = 0  
    UpI = []  
    DoI = []  
    while i + 1 <= df.index[-1]:  
        UpMove = df.get_value(i + 1, 'High') - df.get_value(i, 'High')  
        DoMove = df.get_value(i, 'Low') - df.get_value(i + 1, 'Low')  
        if UpMove > DoMove and UpMove > 0:  
            UpD = UpMove  
        else: UpD = 0  
        UpI.append(UpD)  
        if DoMove > UpMove and DoMove > 0:  
            DoD = DoMove  
        else: DoD = 0  
        DoI.append(DoD)  
        i = i + 1  
    i = 0  
    TR_l = [0]  
    while i < df.index[-1]:  
        TR = max(df.get_value(i + 1, 'High'), df.get_value(i, 'Close')) - min(df.get_value(i + 1, 'Low'), df.get_value(i, 'Close'))  
        TR_l.append(TR)  
        i = i + 1  
    TR_s = pd.Series(TR_l)  
    ATR = pd.Series(pd.ewma(TR_s, span = n, min_periods = n))  
    UpI = pd.Series(UpI)  
    DoI = pd.Series(DoI)  
    PosDI = pd.Series(pd.ewma(UpI, span = n, min_periods = n - 1) / ATR)  
    NegDI = pd.Series(pd.ewma(DoI, span = n, min_periods = n - 1) / ATR)  
    ADX = pd.Series(pd.ewma(abs(PosDI - NegDI) / (PosDI + NegDI), span = n_ADX, min_periods = n_ADX - 1), name = 'ADX_' + str(n) + '_' + str(n_ADX))  
    df = df.join(ADX)  
    return df

#MACD, MACD Signal and MACD difference