这是一个Python 金融指数处理库TA-LIB,他是基于 Cython


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    TA-Lib

    简介:

    Talib一直缺乏有效的中文文档,自己又有空闲时间,且在研究量化对冲系统,就发点时间,做一下翻译。
    原文地址: TA-LIB document
    翻译地址:

    这是一个Python 金融指数处理库TA-LIB,他是基于 Cython
    而不是 SWIG。

    TA-Lib is widely used by trading software developers requiring to perform
    technical analysis of financial market data.
    TA-Lib广泛应用与交易软件,和金融市场数据进行技术分析。

    • Includes 150+ indicators such as ADX, MACD, RSI, Stochastic, Bollinger
      Bands, etc.
    • Candlestick pattern recognition
    • Open-source API for C/C++, Java, Perl, Python and 100% Managed .NET
    • 包含了150多个指标,包括:ADX, MACD, RSI, Stochastic, Bollinger Bands, 等.
    • K线形态识别
    • 完全开源,支持 C/C++, Java, Perl, Python and 100% Managed .NET

    安装TA-Lib

    案例(快速开始)

    Similar to TA-Lib, the function interface provides a lightweight wrapper of
    the exposed TA-Lib indicators.
    类似于TA-Lib,函数接口提供了一个暴漏TA-Lib指标的轻量级封装。

    Each function returns an output array and have default values for their
    parameters, unless specified as keyword arguments. Typically, these functions
    will have an initial “lookback” period (a required number of observations
    before an output is generated) set to NaN.
    每个函数都默认需要输入数组,并为它们提供默认值。
    参数,除非指定为关键字参数。通常,这些函数
    会有一个初步的“lookback”时期(观测所需数量
    在生成一个输出之前),设置为“NaN”。

    All of the following examples use the function API:
    所有的API函数的使用,都需引入库文件:

    import numpy
    import talib
    
    close = numpy.random.random(100)
    

    计算收盘价的一个简单移动平均数SMA:

    output = talib.SMA(close)
    

    计算布林线,三指数移动平均:

    from talib import MA_Type
    
    upper, middle, lower = talib.BBANDS(close, matype=MA_Type.T3)
    

    计算收盘价的动量,时间为5:

    output = talib.MOM(close, timeperiod=5)
    

    Abstract API Quick Start 抽象 API 快速入门

    If you’re already familiar with using the function API, you should feel right
    at home using the abstract API. Every function takes the same input, passed
    as a dictionary of Numpy arrays:
    如果您已经熟悉使用函数API,那么您就应该精通使用抽象API。
    每个函数有相同的输入,作为一个字典通过NumPy数组:

    import numpy as np
    # note that all ndarrays must be the same length!
    inputs = {
        'open': np.random.random(100),
        'high': np.random.random(100),
        'low': np.random.random(100),
        'close': np.random.random(100),
        'volume': np.random.random(100)
    }
    

    函数可以直接导入,也可以用名称实例化:

    from talib import abstract
    sma = abstract.SMA
    sma = abstract.Function('sma')
    

    调用函数基本上与函数API相同:

    from talib.abstract import *
    output = SMA(input_arrays, timeperiod=25) # SMA均线价格计算收盘价
    output = SMA(input_arrays, timeperiod=25, price='open') # SMA均线价格计算收盘价
    upper, middle, lower = BBANDS(input_arrays, 20, 2, 2)
    slowk, slowd = STOCH(input_arrays, 5, 3, 0, 3, 0) # uses high, low, close by default
    slowk, slowd = STOCH(input_arrays, 5, 3, 0, 3, 0, prices=['high', 'low', 'open'])
    

    了解更多高级使用TA库 here.

    Supported Indicators 支持的指标

    We can show all the TA functions supported by TA-Lib, either as a list or
    as a dict sorted by group (e.g. “Overlap Studies”, “Momentum Indicators”,
    etc):
    我们可以显示Ta lib的所有TA函数,返回一个 list 或者 dict

    import talib
    
    print talib.get_functions()
    print talib.get_function_groups()
    

    Function Groups

    Overlap Studies

    BBANDS               Bollinger Bands #布林带
    DEMA                 Double Exponential Moving Average #双指数移动平均线
    EMA                  Exponential Moving Average #指数滑动平均
    HT_TRENDLINE         Hilbert Transform - Instantaneous Trendline #希尔伯特变换瞬时趋势
    KAMA                 Kaufman Adaptive Moving Average #卡玛考夫曼自适应移动平均
    MA                   Moving average #均线
    MAMA                 MESA Adaptive Moving Average #自适应移动平均 
    MAVP                 Moving average with variable period #变周期移动平均
    MIDPOINT             MidPoint over period #在周期的中点
    MIDPRICE             Midpoint Price over period #中间时段价格
    SAR                  Parabolic SAR #抛物线转向指标
    SAREXT               Parabolic SAR - Extended #抛物线转向指标 - 扩展
    SMA                  Simple Moving Average# 简单移动平均线
    T3                   Triple Exponential Moving Average (T3)
    TEMA                 Triple Exponential Moving Average
    TRIMA                Triangular Moving Average
    WMA                  Weighted Moving Average#加权移动平均线
    

    Momentum Indicators

    ADX                  Average Directional Movement Index
    ADXR                 Average Directional Movement Index Rating
    APO                  Absolute Price Oscillator
    AROON                Aroon
    AROONOSC             Aroon Oscillator
    BOP                  Balance Of Power
    CCI                  Commodity Channel Index
    CMO                  Chande Momentum Oscillator
    DX                   Directional Movement Index
    MACD                 Moving Average Convergence/Divergence
    MACDEXT              MACD with controllable MA type
    MACDFIX              Moving Average Convergence/Divergence Fix 12/26
    MFI                  Money Flow Index
    MINUS_DI             Minus Directional Indicator
    MINUS_DM             Minus Directional Movement
    MOM                  Momentum
    PLUS_DI              Plus Directional Indicator
    PLUS_DM              Plus Directional Movement
    PPO                  Percentage Price Oscillator
    ROC                  Rate of change : ((price/prevPrice)-1)*100
    ROCP                 Rate of change Percentage: (price-prevPrice)/prevPrice
    ROCR                 Rate of change ratio: (price/prevPrice)
    ROCR100              Rate of change ratio 100 scale: (price/prevPrice)*100
    RSI                  Relative Strength Index
    STOCH                Stochastic
    STOCHF               Stochastic Fast
    STOCHRSI             Stochastic Relative Strength Index
    TRIX                 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
    ULTOSC               Ultimate Oscillator
    WILLR                Williams' %R
    

    Volume Indicators

    AD                   Chaikin A/D Line
    ADOSC                Chaikin A/D Oscillator
    OBV                  On Balance Volume
    

    Volatility Indicators

    ATR                  Average True Range
    NATR                 Normalized Average True Range
    TRANGE               True Range
    

    Price Transform

    AVGPRICE             Average Price
    MEDPRICE             Median Price
    TYPPRICE             Typical Price
    WCLPRICE             Weighted Close Price
    

    Cycle Indicators

    HT_DCPERIOD          Hilbert Transform - Dominant Cycle Period
    HT_DCPHASE           Hilbert Transform - Dominant Cycle Phase
    HT_PHASOR            Hilbert Transform - Phasor Components
    HT_SINE              Hilbert Transform - SineWave
    HT_TRENDMODE         Hilbert Transform - Trend vs Cycle Mode
    

    Pattern Recognition

    CDL2CROWS            Two Crows
    CDL3BLACKCROWS       Three Black Crows
    CDL3INSIDE           Three Inside Up/Down
    CDL3LINESTRIKE       Three-Line Strike
    CDL3OUTSIDE          Three Outside Up/Down
    CDL3STARSINSOUTH     Three Stars In The South
    CDL3WHITESOLDIERS    Three Advancing White Soldiers
    CDLABANDONEDBABY     Abandoned Baby
    CDLADVANCEBLOCK      Advance Block
    CDLBELTHOLD          Belt-hold
    CDLBREAKAWAY         Breakaway
    CDLCLOSINGMARUBOZU   Closing Marubozu
    CDLCONCEALBABYSWALL  Concealing Baby Swallow
    CDLCOUNTERATTACK     Counterattack
    CDLDARKCLOUDCOVER    Dark Cloud Cover
    CDLDOJI              Doji
    CDLDOJISTAR          Doji Star
    CDLDRAGONFLYDOJI     Dragonfly Doji
    CDLENGULFING         Engulfing Pattern
    CDLEVENINGDOJISTAR   Evening Doji Star
    CDLEVENINGSTAR       Evening Star
    CDLGAPSIDESIDEWHITE  Up/Down-gap side-by-side white lines
    CDLGRAVESTONEDOJI    Gravestone Doji
    CDLHAMMER            Hammer
    CDLHANGINGMAN        Hanging Man
    CDLHARAMI            Harami Pattern
    CDLHARAMICROSS       Harami Cross Pattern
    CDLHIGHWAVE          High-Wave Candle
    CDLHIKKAKE           Hikkake Pattern
    CDLHIKKAKEMOD        Modified Hikkake Pattern
    CDLHOMINGPIGEON      Homing Pigeon
    CDLIDENTICAL3CROWS   Identical Three Crows
    CDLINNECK            In-Neck Pattern
    CDLINVERTEDHAMMER    Inverted Hammer
    CDLKICKING           Kicking
    CDLKICKINGBYLENGTH   Kicking - bull/bear determined by the longer marubozu
    CDLLADDERBOTTOM      Ladder Bottom
    CDLLONGLEGGEDDOJI    Long Legged Doji
    CDLLONGLINE          Long Line Candle
    CDLMARUBOZU          Marubozu
    CDLMATCHINGLOW       Matching Low
    CDLMATHOLD           Mat Hold
    CDLMORNINGDOJISTAR   Morning Doji Star
    CDLMORNINGSTAR       Morning Star
    CDLONNECK            On-Neck Pattern
    CDLPIERCING          Piercing Pattern
    CDLRICKSHAWMAN       Rickshaw Man
    CDLRISEFALL3METHODS  Rising/Falling Three Methods
    CDLSEPARATINGLINES   Separating Lines
    CDLSHOOTINGSTAR      Shooting Star
    CDLSHORTLINE         Short Line Candle
    CDLSPINNINGTOP       Spinning Top
    CDLSTALLEDPATTERN    Stalled Pattern
    CDLSTICKSANDWICH     Stick Sandwich
    CDLTAKURI            Takuri (Dragonfly Doji with very long lower shadow)
    CDLTASUKIGAP         Tasuki Gap
    CDLTHRUSTING         Thrusting Pattern
    CDLTRISTAR           Tristar Pattern
    CDLUNIQUE3RIVER      Unique 3 River
    CDLUPSIDEGAP2CROWS   Upside Gap Two Crows
    CDLXSIDEGAP3METHODS  Upside/Downside Gap Three Methods
    

    Statistic Functions

    BETA                 Beta
    CORREL               Pearson's Correlation Coefficient (r)
    LINEARREG            Linear Regression
    LINEARREG_ANGLE      Linear Regression Angle
    LINEARREG_INTERCEPT  Linear Regression Intercept
    LINEARREG_SLOPE      Linear Regression Slope
    STDDEV               Standard Deviation
    TSF                  Time Series Forecast
    VAR                  Variance
    

 








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