data_handler.py 文件源码

def atr(df, n = 20):
    new_tr = max(df['high'][-1]-df['low'][-1], abs(df['high'][-1] - df['close'][-2]), abs(df['low'][-1] - df['close'][-2]))
    alpha = 2.0/(n+1)
    df['ATR'+str(n)][-1] = df['ATR'+str(n)][-2] * (1-alpha) + alpha * new_tr

# talib matype: 0=SMA, 1=EMA, 2=WMA, 3=DEMA, 4=TEMA, 5=TRIMA, 6=KAMA, 7=MAMA, 8=T3