stock.py 文件源码

def TDX_ADX(highs, lows, closes):
    """??????ADX, ?????test_adx
    return: np.ndarray
MTR:=EXPMEMA(MAX(MAX(HIGH-LOW,ABS(HIGH-REF(CLOSE,1))),ABS(REF(CLOSE,1)-LOW)),N);
HD :=HIGH-REF(HIGH,1);
LD :=REF(LOW,1)-LOW;
DMP:=EXPMEMA(IF(HD>0&&HD>LD,HD,0),N);
DMM:=EXPMEMA(IF(LD>0&&LD>HD,LD,0),N);
PDI: DMP*100/MTR;
MDI: DMM*100/MTR;
ADX: EXPMEMA(ABS(MDI-PDI)/(MDI+PDI)*100,MM);
ADXR:EXPMEMA(ADX,MM);    
    """
    assert(len(closes)>30)
    highs = np.array(highs)
    lows = np.array(lows)
    closes = np.array(closes)    

    mtr = np.zeros(len(closes))
    for i, v in np.ndenumerate(closes):
        i = i[0]
        if i>0:
            y = closes[i-1]
            mtr[i] = max(max(highs[i]-lows[i], abs(highs[i]-y)), abs(y-lows[i]))
    n = 14
    mm = 6
    mtr = talib.EMA(mtr, n)
    hd = np.zeros(len(highs))
    ld = np.zeros(len(highs))
    for i, v in np.ndenumerate(highs):
        i = i[0]
        if i>0:
            hd[i] = highs[i] - highs[i-1]
            ld[i] = lows[i-1] - lows[i]
            if not (hd[i] > 0 and hd[i]>ld[i]):
                hd[i] = 0
            if not (ld[i]>0 and ld[i]>hd[i]):
                ld[i] = 0

    dmp = talib.EMA(hd, n)
    dmm = talib.EMA(ld, n)
    pdi = dmp * 100 / mtr
    mdi = dmm * 100 / mtr
    adx = np.zeros(len(mdi))
    for i, v in np.ndenumerate(mdi):
        i = i[0]
        adx[i] = abs(mdi[i]-pdi[i]) / (mdi[i]+pdi[i])*100 
    adx = talib.EMA(adx, mm)
    return adx