2019/7/17 22:14:12
Category 软件技术 Tag python,量化,talib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
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 numpyimport 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_Typeupper, 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)
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 abstractsma = abstract.SMAsma = 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 defaultslowk, slowd = STOCH(input_arrays, 5, 3, 0, 3, 0, prices=['high', 'low', 'open'])
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()
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
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
AD Chaikin A/D Line ADOSC Chaikin A/D Oscillator OBV On Balance Volume
ATR Average True Range NATR Normalized Average True RangeTRANGE True RangePrice Transform
AVGPRICE Average Price MEDPRICE Median Price TYPPRICE Typical Price WCLPRICE Weighted Close Price
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
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
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