介绍
这里用 Python 实现了麦语言，通达信和同花顺中常见的同名指标公式，可以帮助你快速过渡到 PythonGo 中。
开始使用
转换指标库文件下载
使用
先把下载好的 MyTT.py 放在和 ctaTemplate.py 同级的目录下。
现在我们写一个测试指标计算的方法，来简单计算一下 MA
首先在策略中导入我们需要的指标
from MyTT import CROSS, EVERY, MA, RET
然后写一个计算 MA 指标的方法
其中 self.am.close 是收盘价序列，会通过 loadBar 获取得到
def test_ma_indicators(self):
ma5 = MA(self.am.close, 5) # 获取5日均线序列
ma10 = MA(self.am.close, 10) # 获取10日均线序列
self.output(f'合约5日均线 {ma5[-1]}') # 只取最后一个数
self.output(f'合约10日均线 {RET(ma10)}') # RET(ma10) == ma10[-1]
self.output(f'今天5日线是否上穿10日线 {RET(CROSS(ma5, ma10))}')
self.output(f'最近5天收盘价全都大于10日线吗？{EVERY(self.am.close > ma10, 5)}')
最后我们需要在 onStart 里写上 loadBar 来获取合约最近 10 天的 K 线数据，再调用上面我们写好的方法
def onStart(self):
self.loadBar(10)
self.test_ma_indicators()
运行策略后就可以看到输出啦
合约5日均线 4943.4
合约10日均线 4942.4
今天5日线是否上穿10日线 False
最近5天收盘价全都大于10日线吗？[False False ...]
很简单的例子，大家可以举一反三。
源码
上面已提供源码文件下载，这里贴出来只是方便快速预览
以下所有函数如无特别说明，输入参数 S 均为 numpy 序列或者列表 list，N 为整型 int
应用层1级函数完美兼容通达信或同花顺，具体使用方法请参考通达信
# encoding: UTF-8
import numpy as np
import pandas as pd
# ------------------ 0级：核心工具函数 --------------------------------------------
def RD(N, D=3):
return np.round(N, D) # 四舍五入取3位小数
def RET(S, N=1):
return np.array(S)[-N] # 返回序列倒数第N个值,默认返回最后一个
def ABS(S):
return np.abs(S) # 返回N的绝对值
def LN(S):
return np.log(S) # 求底是e的自然对数,
def POW(S, N):
return np.power(S, N) # 求S的N次方
def SQRT(S):
return np.sqrt(S) # 求S的平方根
def MAX(S1, S2):
return np.maximum(S1, S2) # 序列max
def MIN(S1, S2):
return np.minimum(S1, S2) # 序列min
def IF(S, A, B): # 序列布尔判断 return=A if S==True else B
return np.where(S, A, B)
def REF(S, N=1): # 对序列整体下移动N,返回序列(shift后会产生NAN)
return pd.Series(S).shift(N).values
def DIFF(S, N=1): # 前一个值减后一个值,前面会产生nan
return pd.Series(S).diff(N).values # np.diff(S)直接删除nan，会少一行
def STD(S, N): # 求序列的N日标准差，返回序列
return pd.Series(S).rolling(N).std(ddof=0).values
def SUM(S, N): # 对序列求N天累计和，返回序列 N=0对序列所有依次求和
return pd.Series(S).rolling(N).sum().values if N > 0 else pd.Series(S).cumsum().values
def CONST(S): # 返回序列S最后的值组成常量序列
return np.full(len(S), S[-1])
def HHV(S, N): # HHV(C, 5) 最近5天收盘最高价
return pd.Series(S).rolling(N).max().values
def LLV(S, N): # LLV(C, 5) 最近5天收盘最低价
return pd.Series(S).rolling(N).min().values
def HHVBARS(S, N): # 求N周期内S最高值到当前周期数, 返回序列
return pd.Series(S).rolling(N).apply(lambda x: np.argmax(x[::-1]), raw=True).values
def LLVBARS(S, N): # 求N周期内S最低值到当前周期数, 返回序列
return pd.Series(S).rolling(N).apply(lambda x: np.argmin(x[::-1]), raw=True).values
def MA(S, N): # 求序列的N日简单移动平均值，返回序列
return pd.Series(S).rolling(N).mean().values
def EMA(S, N): # 指数移动平均,为了精度 S>4*N EMA至少需要120周期 alpha=2/(span+1)
return pd.Series(S).ewm(span=N, adjust=False).mean().values
def SMA(S, N, M=1): # 中国式的SMA,至少需要120周期才精确 (雪球180周期) alpha=1/(1+com)
return pd.Series(S).ewm(alpha=M/N, adjust=False).mean().values # com=N-M/M
def WMA(S, N): # 通达信S序列的N日加权移动平均 Yn = (1*X1+2*X2+3*X3+...+n*Xn)/(1+2+3+...+Xn)
return pd.Series(S).rolling(N).apply(lambda x: x[::-1].cumsum().sum()*2/N/(N+1), raw=True).values
def DMA(S, A): # 求S的动态移动平均，A作平滑因子,必须 0<A<1 (此为核心函数，非指标）
if isinstance(A, (int, float)):
return pd.Series(S).ewm(alpha=A, adjust=False).mean().values
A = np.array(A)
A[np.isnan(A)] = 1.0
Y = np.zeros(len(S))
Y[0] = S[0]
for i in range(1, len(S)):
Y[i] = A[i]*S[i]+(1-A[i])*Y[i-1] # A支持序列 by jqz1226
return Y
def AVEDEV(S, N): # 平均绝对偏差 (序列与其平均值的绝对差的平均值)
return pd.Series(S).rolling(N).apply(lambda x: (np.abs(x - x.mean())).mean()).values
def SLOPE(S, N): # 返S序列N周期回线性回归斜率
return pd.Series(S).rolling(N).apply(lambda x: np.polyfit(range(N), x, deg=1)[0], raw=True).values
def FORCAST(S, N): # 返回S序列N周期回线性回归后的预测值， jqz1226改进成序列出
return pd.Series(S).rolling(N).apply(lambda x: np.polyval(np.polyfit(range(N), x, deg=1), N-1), raw=True).values
def LAST(S, A, B): # 从前A日到前B日一直满足S_BOOL条件, 要求A>B & A>0 & B>=0
return np.array(pd.Series(S).rolling(A+1).apply(lambda x: np.all(x[::-1][B:]), raw=True), dtype=bool)
# ------------------ 1级：应用层函数(通过0级核心函数实现）使用方法请参考通达信--------------------------------
def COUNT(S, N): # COUNT(CLOSE>O, N): 最近N天满足S_BOO的天数 True的天数
return SUM(S, N)
def EVERY(S, N): # EVERY(CLOSE>O, 5) 最近N天是否都是True
return IF(SUM(S, N) == N, True, False)
def EXIST(S, N): # EXIST(CLOSE>3010, N=5) n日内是否存在一天大于3000点
return IF(SUM(S, N) > 0, True, False)
def FILTER(S, N): # FILTER函数，S满足条件后，将其后N周期内的数据置为0, FILTER(C==H,5)
for i in range(len(S)):
S[i+1:i+1+N] = 0 if S[i] else S[i+1:i+1+N]
return S # 例：FILTER(C==H,5) 涨停后，后5天不再发出信号
def BARSLAST(S): # 上一次条件成立到当前的周期, BARSLAST(C/REF(C,1)>=1.1) 上一次涨停到今天的天数
M = np.concatenate(([0], np.where(S, 1, 0)))
for i in range(1, len(M)):
M[i] = 0 if M[i] else M[i-1]+1
return M[1:]
def BARSLASTCOUNT(S): # 统计连续满足S条件的周期数 by jqz1226
rt = np.zeros(len(S)+1) # BARSLASTCOUNT(CLOSE>OPEN)表示统计连续收阳的周期数
for i in range(len(S)):
rt[i+1] = rt[i]+1 if S[i] else rt[i+1]
return rt[1:]
def BARSSINCEN(S, N): # N周期内第一次S条件成立到现在的周期数,N为常量 by jqz1226
return pd.Series(S).rolling(N).apply(lambda x: N-1-np.argmax(x) if np.argmax(x) or x[0] else 0, raw=True).fillna(0).values.astype(int)
def CROSS(S1, S2): # 判断向上金叉穿越 CROSS(MA(C,5),MA(C,10)) 判断向下死叉穿越 CROSS(MA(C,10),MA(C,5))
# 不使用0级函数,移植方便 by jqz1226
return np.concatenate(([False], np.logical_not((S1 > S2)[:-1]) & (S1 > S2)[1:]))
def LONGCROSS(S1, S2, N): # 两条线维持一定周期后交叉,S1在N周期内都小于S2,本周期从S1下方向上穿过S2时返回1,否则返回0
# N=1时等同于CROSS(S1, S2)
return np.array(np.logical_and(LAST(S1 < S2, N, 1), (S1 > S2)), dtype=bool)
def VALUEWHEN(S, X): # 当S条件成立时,取X的当前值,否则取VALUEWHEN的上个成立时的X值 by jqz1226
return pd.Series(np.where(S, X, np.nan)).ffill().values
def BETWEEN(S, A, B): # S处于A和B之间时为真。 包括 A<S<B 或 A>S>B
return ((A < S) & (S < B)) | ((A > S) & (S > B))
def TOPRANGE(S): # TOPRANGE(HIGH)表示当前最高价是近多少周期内最高价的最大值 by jqz1226
rt = np.zeros(len(S))
for i in range(1, len(S)):
rt[i] = np.argmin(np.flipud(S[:i] < S[i]))
return rt.astype('int')
def LOWRANGE(S): # LOWRANGE(LOW)表示当前最低价是近多少周期内最低价的最小值 by jqz1226
rt = np.zeros(len(S))
for i in range(1, len(S)):
rt[i] = np.argmin(np.flipud(S[:i] > S[i]))
return rt.astype('int')
# ------------------ 2级：技术指标函数(全部通过0级，1级函数实现） ------------------------------
def MACD(CLOSE, SHORT=12, LONG=26, M=9): # EMA的关系，S取120日，和雪球小数点2位相同
DIF = EMA(CLOSE, SHORT)-EMA(CLOSE, LONG)
DEA = EMA(DIF, M)
MACD = (DIF-DEA)*2
return RD(DIF), RD(DEA), RD(MACD)
def KDJ(CLOSE, HIGH, LOW, N=9, M1=3, M2=3): # KDJ指标
RSV = (CLOSE - LLV(LOW, N)) / (HHV(HIGH, N) - LLV(LOW, N)) * 100
K = EMA(RSV, (M1*2-1))
D = EMA(K, (M2*2-1))
J = K*3-D*2
return K, D, J
def RSI(CLOSE, N=24): # RSI指标,和通达信小数点2位相同
DIF = CLOSE-REF(CLOSE, 1)
return RD(SMA(MAX(DIF, 0), N) / SMA(ABS(DIF), N) * 100)
def WR(CLOSE, HIGH, LOW, N=10, N1=6): # W&R 威廉指标
WR = (HHV(HIGH, N) - CLOSE) / (HHV(HIGH, N) - LLV(LOW, N)) * 100
WR1 = (HHV(HIGH, N1) - CLOSE) / (HHV(HIGH, N1) - LLV(LOW, N1)) * 100
return RD(WR), RD(WR1)
def BIAS(CLOSE, L1=6, L2=12, L3=24): # BIAS乖离率
BIAS1 = (CLOSE - MA(CLOSE, L1)) / MA(CLOSE, L1) * 100
BIAS2 = (CLOSE - MA(CLOSE, L2)) / MA(CLOSE, L2) * 100
BIAS3 = (CLOSE - MA(CLOSE, L3)) / MA(CLOSE, L3) * 100
return RD(BIAS1), RD(BIAS2), RD(BIAS3)
def BOLL(CLOSE, N=20, P=2): # BOLL指标，布林带
MID = MA(CLOSE, N)
UPPER = MID + STD(CLOSE, N) * P
LOWER = MID - STD(CLOSE, N) * P
return RD(UPPER), RD(MID), RD(LOWER)
def PSY(CLOSE, N=12, M=6):
PSY = COUNT(CLOSE > REF(CLOSE, 1), N)/N*100
PSYMA = MA(PSY, M)
return RD(PSY), RD(PSYMA)
def CCI(CLOSE, HIGH, LOW, N=14):
TP = (HIGH+LOW+CLOSE)/3
return (TP-MA(TP, N))/(0.015*AVEDEV(TP, N))
def ATR(CLOSE, HIGH, LOW, N=20): # 真实波动N日平均值
TR = MAX(MAX((HIGH - LOW), ABS(REF(CLOSE, 1) - HIGH)),
ABS(REF(CLOSE, 1) - LOW))
return MA(TR, N)
def BBI(CLOSE, M1=3, M2=6, M3=12, M4=20): # BBI多空指标
return (MA(CLOSE, M1) + MA(CLOSE, M2) + MA(CLOSE, M3) + MA(CLOSE, M4)) / 4
def DMI(CLOSE, HIGH, LOW, M1=14, M2=6): # 动向指标：结果和同花顺，通达信完全一致
TR = SUM(MAX(MAX(HIGH - LOW, ABS(HIGH - REF(CLOSE, 1))),
ABS(LOW - REF(CLOSE, 1))), M1)
HD = HIGH - REF(HIGH, 1)
LD = REF(LOW, 1) - LOW
DMP = SUM(IF((HD > 0) & (HD > LD), HD, 0), M1)
DMM = SUM(IF((LD > 0) & (LD > HD), LD, 0), M1)
PDI = DMP * 100 / TR
MDI = DMM * 100 / TR
ADX = MA(ABS(MDI - PDI) / (PDI + MDI) * 100, M2)
ADXR = (ADX + REF(ADX, M2)) / 2
return PDI, MDI, ADX, ADXR
def TAQ(HIGH, LOW, N): # 唐安奇通道(海龟)交易指标，大道至简，能穿越牛熊
UP = HHV(HIGH, N)
DOWN = LLV(LOW, N)
MID = (UP + DOWN) / 2
return UP, MID, DOWN
def KTN(CLOSE, HIGH, LOW, N=20, M=10): # 肯特纳交易通道, N选20日，ATR选10日
MID = EMA((HIGH + LOW + CLOSE) / 3, N)
ATRN = ATR(CLOSE, HIGH, LOW, M)
UPPER = MID+2*ATRN
LOWER = MID-2*ATRN
return UPPER, MID, LOWER
def TRIX(CLOSE, M1=12, M2=20): # 三重指数平滑平均线
TR = EMA(EMA(EMA(CLOSE, M1), M1), M1)
TRIX = (TR - REF(TR, 1)) / REF(TR, 1) * 100
TRMA = MA(TRIX, M2)
return TRIX, TRMA
def VR(CLOSE, VOL, M1=26): # VR容量比率
LC = REF(CLOSE, 1)
return SUM(IF(CLOSE > LC, VOL, 0), M1) / SUM(IF(CLOSE <= LC, VOL, 0), M1) * 100
def EMV(HIGH, LOW, VOL, N=14, M=9): # 简易波动指标
VOLUME = MA(VOL, N) / VOL
MID = 100 * (HIGH + LOW - REF(HIGH + LOW, 1)) / (HIGH + LOW)
EMV = MA(MID * VOLUME * (HIGH - LOW) / MA(HIGH - LOW, N), N)
MAEMV = MA(EMV, M)
return EMV, MAEMV
def DPO(CLOSE, M1=20, M2=10, M3=6): # 区间震荡线
DPO = CLOSE - REF(MA(CLOSE, M1), M2)
MADPO = MA(DPO, M3)
return DPO, MADPO
def BRAR(OPEN, CLOSE, HIGH, LOW, M1=26): # BRAR-ARBR 情绪指标
AR = SUM(HIGH - OPEN, M1) / SUM(OPEN - LOW, M1) * 100
BR = SUM(MAX(0, HIGH - REF(CLOSE, 1)), M1) / \
SUM(MAX(0, REF(CLOSE, 1) - LOW), M1) * 100
return AR, BR
def DFMA(CLOSE, N1=10, N2=50, M=10): # 平行线差指标
DIF = MA(CLOSE, N1) - MA(CLOSE, N2)
DIFMA = MA(DIF, M) # 通达信指标叫DMA 同花顺叫新DMA
return DIF, DIFMA
def MTM(CLOSE, N=12, M=6): # 动量指标
MTM = CLOSE-REF(CLOSE, N)
MTMMA = MA(MTM, M)
return MTM, MTMMA
def MASS(HIGH, LOW, N1=9, N2=25, M=6): # 梅斯线
MASS = SUM(MA(HIGH - LOW, N1) / MA(MA(HIGH - LOW, N1), N1), N2)
MA_MASS = MA(MASS, M)
return MASS, MA_MASS
def ROC(CLOSE, N=12, M=6): # 变动率指标
ROC = 100 * (CLOSE - REF(CLOSE, N)) / REF(CLOSE, N)
MAROC = MA(ROC, M)
return ROC, MAROC
def EXPMA(CLOSE, N1=12, N2=50): # EMA指数平均数指标
return EMA(CLOSE, N1), EMA(CLOSE, N2)
def OBV(CLOSE, VOL): # 能量潮指标
return SUM(IF(CLOSE > REF(CLOSE, 1), VOL, IF(CLOSE < REF(CLOSE, 1), -VOL, 0)), 0)/10000
def MFI(CLOSE, HIGH, LOW, VOL, N=14): # MFI指标是成交量的RSI指标
TYP = (HIGH + LOW + CLOSE)/3
V1 = SUM(IF(TYP > REF(TYP, 1), TYP*VOL, 0), N) / \
SUM(IF(TYP < REF(TYP, 1), TYP*VOL, 0), N)
return 100-(100/(1+V1))
def ASI(OPEN, CLOSE, HIGH, LOW, M1=26, M2=10): # 振动升降指标
LC = REF(CLOSE, 1)
AA = ABS(HIGH-LC)
BB = ABS(LOW-LC)
CC = ABS(HIGH-REF(LOW, 1))
DD = ABS(LC-REF(OPEN, 1))
R = IF((AA > BB) & (AA > CC), AA+BB/2+DD/4,
IF((BB > CC) & (BB > AA), BB+AA/2+DD/4, CC+DD/4))
X = (CLOSE-LC+(CLOSE-OPEN)/2+LC-REF(OPEN, 1))
SI = 16*X/R*MAX(AA, BB)
ASI = SUM(SI, M1)
ASIT = MA(ASI, M2)
return ASI, ASIT
def XSII(CLOSE, HIGH, LOW, N=102, M=7): # 薛斯通道II
AA = MA((2*CLOSE + HIGH + LOW)/4, 5) # 最新版DMA才支持 2021-12-4
TD1 = AA*N/100
TD2 = AA*(200-N) / 100
CC = ABS((2*CLOSE + HIGH + LOW)/4 - MA(CLOSE, 20))/MA(CLOSE, 20)
DD = DMA(CLOSE, CC)
TD3 = (1+M/100)*DD
TD4 = (1-M/100)*DD
return TD1, TD2, TD3, TD4
Tip
本页指标转换算法来源于开源项目：MyTT，无限易和 PythonGo 不对指标计算差异所导致的任何损失负责！