-
Notifications
You must be signed in to change notification settings - Fork 557
/
elder.py
126 lines (112 loc) · 5.51 KB
/
elder.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
#!/usr/bin/python
# -*- coding: utf8 -*-
# cp936
#
# The MIT License (MIT)
#
# Copyright (c) 2010-2017 fasiondog
#
# Permission is hereby granted, free of charge, to any person obtaining a copy
# of this software and associated documentation files (the "Software"), to deal
# in the Software without restriction, including without limitation the rights
# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
# copies of the Software, and to permit persons to whom the Software is
# furnished to do so, subject to the following conditions:
#
# The above copyright notice and this permission notice shall be included in all
# copies or substantial portions of the Software.
#
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
# SOFTWARE.
#===============================================================================
# History:
# 1. 20100224, Added by fasiondog
#===============================================================================
"""
绘制亚历山大.艾尔德交易系统图形
参见:《走进我的交易室》(2007年 地震出版社) Alexander Elder
"""
from pylab import plot
from numpy import mean
from hikyuu import QueryByIndex, constant
from hikyuu.indicator import (Indicator, CLOSE, EMA, MACD,
VIGOR, SAFTYLOSS, CVAL, PRICELIST)
from hikyuu.interactive.drawplot import (create_figure,
show_gcf,
ax_draw_macd2,
adjust_axes_show,
ax_set_locator_formatter)
def _find_ema_coefficient(closes, emas, number=66, percent=0.95):
"""计算EMA通道系数。
在《走进我的交易室》中,艾尔德介绍的价格通道为:
通道上轨 = EMA + EMA*通道系数
通道下轨 = EMA - EMA*通道系数
其中一条绘制得恰到好处的通道应能将绝大多数价格包含在内,一般调节通道系数使其能够包含95%的价格
参数:closes:收盘价序列
emas:收盘价对应的EMA序列
number: 以最近多少天的数据来计算,即取最后N天的数据作为计算标准
percent:通道包含多少的价格,如0.95表示通道将包含95%的价格
"""
assert len(closes)==len(emas), "数据长度不等"
assert number>=1, "Number必须大于0"
tmp_closes = closes[-number:]
tmp_emas = emas[-number:]
dev = [abs(tmp_closes[i]-tmp_emas[i]) for i in range(len(tmp_closes))]
sortdev = sorted(dev)
x = int(number*percent)
x = x if len(dev)-1>x else len(dev)-1
ix = dev.index(sortdev[x])
return float(dev[ix])/tmp_emas[ix] if tmp_emas[ix] != 0.0 else 0.0
def _draw_ema_pipe(axes, kdata, ema, n=22, w=0.10):
emas = [i for i in ema]
p = _find_ema_coefficient(list(CLOSE(kdata)), emas, number=66, percent=0.95) if w=='auto' else w
emas_high = [i+i*p for i in emas]
emas_low = [i-i*p for i in emas]
emas_len = len(emas)
PRICELIST(emas).plot(axes=axes, color='b', linestyle='-', label='%s(%s) %.2f'%(ema.name, n, emas[-1]))
PRICELIST(emas_high).plot(axes=axes, color='b', linestyle=':', label='U%s(%.2f%%) %.2f'%(ema.name, p*100, emas_high[-1]))
PRICELIST(emas_low).plot(axes=axes, color='b', linestyle=':', label='L%s(%.2f%%) %.2f'%(ema.name, p*100, emas_low[-1]))
#axes.plot(emas, '-b', label='%s(%s) %.2f'%(ema.name, n, emas[-1]))
#axes.plot(emas_high, ':b', label='U%s(%.2f%%) %.2f'%(ema.name, p*100, emas_high[-1]))
#axes.plot(emas_low, ':b', label='L%s(%.2f%%) %.2f'%(ema.name, p*100, emas_low[-1]))
fy1 = [ i for i in emas_low]
fy2 = [ i for i in emas_high]
axes.fill_between(range(emas_len),fy1,fy2,alpha=0.2, color='y' )
def draw(stock, query=QueryByIndex(-130), ma_n=22, ma_w='auto', vigor_n=13):
"""绘制亚历山大.艾尔德交易系统图形"""
kdata = stock.getKData(query)
close = CLOSE(kdata)
ema = EMA(close, ma_n)
sf = SAFTYLOSS(close, 10, 3, 2.0)
vigor = VIGOR(kdata, vigor_n)
ax1, ax2, ax3 = create_figure(3)
kdata.plot(axes=ax1)
_draw_ema_pipe(ax1,kdata, ema, n=ma_n, w=ma_w)
sf.plot(axes=ax1, color='y', legend_on=True)
#ax1.legend(loc='upper left')
ax_draw_macd2(ax2, ema, kdata)
vigor.plot(axes=ax3, marker='.', color='r', zero_on=True,
legend_on=False, text_on=True)
u = [i for i in vigor if i > 0 and i != constant.null_price]
l = [i for i in vigor if i < 0]
umean = mean(u)
umax = max(u)
lmean = mean(l)
lmin = min(l)
up = int(umax / umean)
lp = int(lmin / lmean)
for i in range(up):
CVAL(close, umean * (i + 1)).plot(axes=ax3, color='r', linestyle='--')
#ax3.hlines(umean * (i + 1),0,len(kdata),color='r',linestyle='--')
for i in range(lp):
CVAL(close, lmean * (i + 1)).plot(axes=ax3, color='g', linestyle='--')
#ax3.hlines(lmean * (i + 1),0,len(kdata),color='g',linestyle='--')
ax1.set_xlim((0, len(kdata)))
ax_set_locator_formatter(ax1, kdata.getDatetimeList(), kdata.getQuery().kType)
adjust_axes_show([ax1, ax2, ax3])
return show_gcf()