Python talib.ATR屬性代碼示例

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def _getAtrExtreme(cls, highs, lows, closes, atrPeriod=14, slowPeriod=30, fastPeriod=3):
        """
            獲取TTI ATR Exterme通道, which is based on 《Volatility-Based Technical Analysis》
            TTI is 'Trading The Invisible'

            @return: fasts, slows
        """
        # talib 的源碼，它的 ATR 不是 N 日簡單平均，而是類似 EMA 的方法計算的指數平均
        atr = talib.ATR(highs, lows, closes, timeperiod=atrPeriod)

        highsMean = talib.EMA(highs, 5)
        lowsMean = talib.EMA(lows, 5)
        closesMean = talib.EMA(closes, 5)

        atrExtremes = np.where(closes > closesMean,
                               ((highs - highsMean)/closes * 100) * (atr/closes * 100),
                               ((lows - lowsMean)/closes * 100) * (atr/closes * 100)
                               )

        fasts = talib.MA(atrExtremes, fastPeriod)
        slows = talib.EMA(atrExtremes, slowPeriod)

        return fasts, slows, np.std(atrExtremes[-slowPeriod:]) 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def getAtrRatio(df, period=14):
        """
            平均波動率：ATR(14)/MA(14)
        """
        highs = df['high']
        lows = df['low']
        closes = df['close']

        atr = talib.ATR(highs, lows, closes, timeperiod=period)
        ma = talib.MA(closes, timeperiod=period)

        volatility = atr/ma

        s = pd.Series(volatility, index=df.index, name='volatility').dropna()

        return s 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def atr(candles: np.ndarray, period=14, sequential=False) -> Union[float, np.ndarray]:
    """
    ATR - Average True Range

    :param candles: np.ndarray
    :param period: int - default=14
    :param sequential: bool - default=False

    :return: float | np.ndarray
    """
    if not sequential and len(candles) > 240:
        candles = candles[-240:]

    res = talib.ATR(candles[:, 3], candles[:, 4], candles[:, 2], timeperiod=period)

    if sequential:
        return res
    else:
        return None if np.isnan(res[-1]) else res[-1] 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def compute_average_true_ranges(context):
    """
    Compute average true ranges, or N.
    """
    if context.is_debug:
        start_time = time()
        
    rolling_window = 21
    moving_average = 20
    
    for market in context.prices.items:
        context.average_true_range[market] = ATR(
            context.prices[market].high[-rolling_window:],
            context.prices[market].low[-rolling_window:],
            context.prices[market].close[-rolling_window:],
            timeperiod=moving_average
        )[-1]
        
    if context.is_test:
        assert(len(context.average_true_range) > 0)
        
    if context.is_debug:
        time_taken = (time() - start_time) * 1000
        log.debug('Executed in %f ms.' % time_taken)
        assert(time_taken < 1024) 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def GetPrice(self, position_type = MarketTrend.ENTER_LONG):

        if (not self.SeenEnoughData()):
            return 0.0

        high = numpy.array(self._high, dtype=float)
        low = numpy.array(self._low, dtype=float)
        close = numpy.array(self._close, dtype=float)
        ATR = talib.ATR(high, low, close, timeperiod=self.period-1)[-1]
        stop_price = self._close[-1]

        if ( position_type == MarketTrend.ENTER_LONG ):
            stop_price -= 2.0*ATR
        elif ( position_type == MarketTrend.ENTER_SHORT ):
            stop_price += 2.0*ATR
        else:
            stop_price = 0.0

        return stop_price 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def GetPrice(self, position_type = MarketTrend.ENTER_LONG):

        if (not self.SeenEnoughData()):
            return 0.0

        high = numpy.array(self._high, dtype=float)
        low = numpy.array(self._low, dtype=float)
        close = numpy.array(self._close, dtype=float)
        ATR = talib.ATR(high, low, close, timeperiod=self.period-1)[-1]
        takeprofit_price = self._close[-1]

        if ( position_type == MarketTrend.ENTER_LONG ):
            takeprofit_price += 1.0*ATR
        elif ( position_type == MarketTrend.ENTER_SHORT ):
            takeprofit_price -= 1.0*ATR
        else:
            takeprofit_price = 0.0

        return takeprofit_price 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def GetPrice(self, position_type = MarketTrend.ENTER_LONG):

        if (not self.SeenEnoughData()):
            return 0.0

        high = numpy.array(self._high, dtype=float)
        low = numpy.array(self._low, dtype=float)
        close = numpy.array(self._close, dtype=float)
        ATR = talib.ATR(high, low, close, timeperiod=self.period-1)[-1]

        if ( position_type == MarketTrend.ENTER_LONG ):
            stop_price = self.peak_price - 1.1 * ATR
        elif ( position_type == MarketTrend.ENTER_SHORT ):
            stop_price = self.peak_price + 1.1 * ATR
        else:
            stop_price = 0.0

        return stop_price 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def _calc_atr_from_ta(high, low, close, time_period=14):
    """
    使用talib計算atr，即透傳talib.ATR計算結果
    :param high: 最高價格序列，pd.Series或者np.array
    :param low: 最低價格序列，pd.Series或者np.array
    :param close: 收盤價格序列，pd.Series或者np.array
    :param time_period: atr的N值默認值14，int
    :return: atr值序列，np.array對象
    """
    import talib
    if isinstance(high, pd.Series):
        high = high.values
    if isinstance(low, pd.Series):
        low = low.values
    if isinstance(close, pd.Series):
        close = close.values

    atr = talib.ATR(high, low, close, timeperiod=time_period)
    return atr 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def getAtrExtreme(df, atrPeriod=14, emaPeriod=30, stdPeriod=30, atrExtremeFastPeriod=3, dropna=True):
        """
            獲取TTI ATR Exterme通道, which is based on 《Volatility-Based Technical Analysis》
            TTI is 'Trading The Invisible'

            @atrPeriod: ATR N日平均
            @emaPeriod: 移動指數均線周期
            @stdPeriod: ATR Extermes的標準差周期
            @atrExtremeFastPeriod: ATR Extermes快速簡單均線周期

            @return: DF
        """
        highs = df['high'].values
        lows = df['low'].values
        closes = df['close'].values

        # talib 的源碼，它的 ATR 不是 N 日簡單平均，而是類似 EMA 的方法計算的指數平均
        atr = talib.ATR(highs, lows, closes, timeperiod=atrPeriod)

        emaDf = df.ewm(span=emaPeriod).mean()

        atrExtremes = np.where(closes > emaDf['close'].values,
                               ((highs - emaDf['high'].values)/closes * 100) * (atr/closes * 100),
                               ((lows - emaDf['low'].values)/closes * 100) * (atr/closes * 100)
                               )

        atrExtremeSeries = pd.Series(atrExtremes)

        emaAtrExtremes = atrExtremeSeries.ewm(span=emaPeriod).mean().values
        stdAtrExtremes = atrExtremeSeries.rolling(center=False, window=stdPeriod).std().values
        maAtrExtremes = atrExtremeSeries.rolling(center=False, window=atrExtremeFastPeriod).mean().values

        atrExtremeDf = pd.DataFrame(data={'ema': emaAtrExtremes, 'std': stdAtrExtremes, 'ma': maAtrExtremes},
                                    index=df.index
                                    )

        return atrExtremeDf.dropna() if dropna else atrExtremeDf 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def __init__(self, ctaEngine, info, state, strategyParam=None):
        super().__init__(ctaEngine, info, state, strategyParam)

        if strategyParam is None: # 實盤參數
            pass

        else: # 回測參數
            self._atrPeriod = self._strategyParam['ATR周期']
            self._fastPeriod = self._strategyParam['快速周期']
            self._slowPeriod = self._strategyParam['慢速周期']
            self._stdCoef = self._strategyParam['標準差係數']

        self._curInit() 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def prepare(cls, date, dataEngine, info, codes=None, errorDataEngine=None, backTestingContext=None):
        code = DyST_IntraDayT.targetCode

        if backTestingContext is not None:
            atrPeriod = backTestingContext.strategyParam['ATR周期']
            fastPeriod = backTestingContext.strategyParam['快速周期']
            slowPeriod = backTestingContext.strategyParam['慢速周期']
        else:
            atrPeriod = cls.atrPeriod
            fastPeriod = cls.fastPeriod
            slowPeriod = cls.slowPeriod

        barSize = int(DyST_IntraDayT.barMode[3:-1])
        oneDayBarLen = math.ceil(4*60/barSize)
        dayNbr = math.ceil(DyST_IntraDayT.bufSize/oneDayBarLen)

        ticksEngine = dataEngine.ticksEngine

        if not ticksEngine.loadCodeN(code, [date, -dayNbr]):
            return None

        daysDf = ticksEngine.getDaysDataFrame(code)

        tickDf = ticksEngine.getDataFrame(code, adj=True, continuous=True)
        barDf = DyStockDataUtility.getIntraDayBars(tickDf, str(barSize) + 'min')

        highs = barDf['high'].values[-DyST_IntraDayT.bufSize:]
        lows = barDf['low'].values[-DyST_IntraDayT.bufSize:]
        closes = barDf['close'].values[-DyST_IntraDayT.bufSize:]

        fasts, slows, std = DyST_IntraDayT._getAtrExtreme(highs, lows, closes, atrPeriod=atrPeriod, slowPeriod=slowPeriod, fastPeriod=fastPeriod)

        return {'highs': {code: highs}, 'lows': {code: lows}, 'closes': {code: closes}, 'preFast': {code: fasts[-1]}, 'preSlow': {code: slows[-1]}, 'preClose': {code: daysDf.ix[-1, 'close']}} 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def ATR(DataFrame, N=14):
    res = talib.ATR(DataFrame.high.values, DataFrame.low.values, DataFrame.close.values, N)
    return pd.DataFrame({'ATR': res}, index=DataFrame.index) 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def atr(self, sym, frequency, period=14):
        if not self.kbars_ready(sym, frequency):
            return []

        highs = self.high(sym, frequency)
        lows = self.low(sym, frequency)
        closes = self.close(sym, frequency)

        atr_index = ta.ATR(highs, lows, closes, timeperiod=period)
        return atr_index 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def test_indicator_ATR(self):
        n = 5
        result = ATR(df, n)
        isinstance(result, pd.DataFrame)
        
        expected = talib.ATR(df['High'].values, df['Low'].values, df['Close'].values, timeperiod=n)
        
        np.testing.assert_almost_equal(result, expected[1::]) 

# 需要導入模塊: import talib [as 別名]
# 或者: from talib import ATR [as 別名]
def __str__(self):
        return 'ATR(symbol=%s, period=%s)' %(self.symbol, self.period)