data_handler.py 文件源码

def DVO(df, w = [0.5, 0.5, 0, 0], N = 2, s = [0.5, 0.5], M = 252):
    ratio = df.close/(df.high * w[0] + df.low * w[1] + df.open * w[2] + df.close * w[3])
    theta = pd.Series(index = df.index)
    dvo = pd.Series(index = df.index, name='DV%s_%s' % (N, M))
    ss = np.array(list(reversed(s)))
    for idx, d in enumerate(ratio.index):
        if idx >= N-1:
            y = ratio[idx-N+1:idx+1].values
            theta[idx] = np.dot(y, ss)
        if idx >= M+N-2:
            ts = theta[idx-(M-1):idx+1]
            dvo[idx] = stats.percentileofscore(ts.values, theta[idx])
    return dvo