factors_all.py 文件源码

def compute(self, today, assets, out, close):

            sig_lines = []

            for col in close.T:
                # get signal line only
                try:
                    _, signal_line, _ = talib.MACD(col, fastperiod=12,
                                                   slowperiod=26, signalperiod=10)
                    sig_lines.append(signal_line[-1])
                # if error calculating, return NaN
                except:
                    sig_lines.append(np.nan)
            out[:] = sig_lines

    # 20-day Stochastic Oscillator