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kaufman.py
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kaufman.py
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#!/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
# ===============================================================================
"""
绘制佩里.J.考夫曼（Perry J.Kaufman） 自适应移动平均系统(AMA)
参见：《精明交易者》（2006年 广东经济出版社）
"""
from hikyuu import (
Query, StockManager, AMA, STDEV, CVAL, PRICELIST, EMA, CLOSE, HIGH, LOW, OPEN, KDATA, POS, SG_Single, SG_Cross,
SG_Flex, BUSINESS
)
from .drawplot import (show_gcf, create_figure, ax_set_locator_formatter, adjust_axes_show, ax_draw_macd)
def draw(
stock, query=Query(-130), n=10, filter_n=20, filter_p=0.1, sg_type="CROSS", show_high_low=False, arrow_style=1
):
"""绘制佩里.J.考夫曼（Perry J.Kaufman） 自适应移动平均系统(AMA)"""
kdata = stock.get_kdata(query)
ax1, ax2 = create_figure(2)
kdata.plot(axes=ax1)
cama = AMA(CLOSE(kdata), n=n)
cama.name = "CAMA"
cama.plot(axes=ax1, color='b', legend_on=True, kref=kdata)
hama = AMA(HIGH(kdata), n=n)
hama.name = "HAMA"
hstd = STDEV(hama, n)
lama = AMA(LOW(kdata), n=n)
lama.name = "LAMA"
lstd = STDEV(lama, n)
fy1 = list(lama - lstd)[lstd.discard:]
fy2 = list(hama + hstd)[hstd.discard:]
ax1.fill_between(range(lstd.discard, len(kdata)), fy1, fy2, alpha=0.2, color='y')
if show_high_low:
hama.plot(axes=ax1, color='r', legend_on=True, kref=kdata)
lama.plot(axes=ax1, color='g', legend_on=True, kref=kdata)
if sg_type == 'CROSS':
fast_op = AMA(CLOSE(), n=n)
slow_op = EMA(n=2 * n)(fast_op)
sg = SG_Cross(fast_op, slow_op)
sg.plot(axes=ax1, kdata=kdata)
ind = slow_op(KDATA(kdata))
ind.name = "EMA(CAMA)"
ind.plot(axes=ax1, color='m', legend_on=True, kref=kdata)
elif sg_type == 'SINGLE':
sg = SG_Single(cama, filter_n=filter_n, filter_p=filter_p)
sg.plot(axes=ax1, kdata=kdata)
else:
print("sg_type only in ('CORSS', 'SINGLE')")
cer = PRICELIST(cama, 1)
label = "ER(%s)" % cer[-1]
cer.plot(axes=ax2, color='b', marker='o', label=label, legend_on=False, text_on=True, kref=kdata)
c = CLOSE(kdata)
CVAL(c, 0.8).plot(axes=ax2, color='r', linestyle='--', kref=kdata)
CVAL(c, -0.6).plot(axes=ax2, color='r', linestyle='--', kref=kdata)
CVAL(c, -0.8).plot(axes=ax2, color='r', linestyle='--', kref=kdata)
CVAL(c, 0).plot(axes=ax2, color='k', linestyle='-', kref=kdata)
# ax2.hlines(0.8,0,len(kdata),color='r',linestyle='--')
# ax2.hlines(-0.6,0,len(kdata),color='r',linestyle='--')
# ax2.hlines(-0.8,0,len(kdata),color='r',linestyle='--')
# ax2.hlines(0,0,len(kdata))
ax1.set_xlim((0, len(kdata)))
ax_set_locator_formatter(ax1, kdata.get_datetime_list(), query.ktype)
adjust_axes_show([ax1, ax2])
return show_gcf()
def draw2(
block,
query=Query(-130),
ama1=None,
ama2=None,
n=10,
filter_n=20,
filter_p=0.1,
sg_type='CROSS',
show_high_low=True,
arrow_style=1
):
"""绘制佩里.J.考夫曼（Perry J.Kaufman） 自适应移动平均系统(AMA)"""
if ama1 is None:
ama1 = AMA(CLOSE(), n=10, fast_n=2, slow_n=30)
sm = StockManager.instance()
if block.name == 'SZ':
kdata = sm['sz000001'].get_kdata(query)
elif block.name == 'GEM':
kdata = sm['sz399006'].get_kdata(query)
else:
kdata = sm['sh000001'].get_kdata(query)
ax1, ax2, ax3 = create_figure(3)
kdata.plot(axes=ax1)
cama = AMA(CLOSE(kdata), n=n)
cama.name = "CAMA"
cama.plot(axes=ax1, color='b', legend_on=True, kref=kdata)
hama = AMA(HIGH(kdata), n=n)
hama.name = "HAMA"
hstd = STDEV(hama, n)
lama = AMA(LOW(kdata), n=n)
lama.name = "LAMA"
lstd = STDEV(lama, n)
fy1 = list(lama - lstd)[lstd.discard:]
fy2 = list(hama + hstd)[hstd.discard:]
ax1.fill_between(range(lstd.discard, len(kdata)), fy1, fy2, alpha=0.2, color='y')
if show_high_low:
hama.plot(axes=ax1, color='r', legend_on=True, kref=kdata)
lama.plot(axes=ax1, color='g', legend_on=True, kref=kdata)
if sg_type == 'CROSS':
fast_op = AMA(CLOSE(), n=n)
slow_op = EMA(n=2 * n)(fast_op)
sg = SG_Cross(fast_op, slow_op)
sg.plot(axes=ax1, kdata=kdata)
ind = slow_op(KDATA(kdata))
ind.name = "EMA(CAMA)"
ind.plot(axes=ax1, color='m', legend_on=True, kref=kdata)
elif sg_type == 'SINGLE':
sg = SG_Single(cama, filter_n=filter_n, filter_p=filter_p)
sg.plot(axes=ax1, kdata=kdata)
else:
print("sg_type only in ('CORSS', 'SINGLE')")
a = POS(block, query, SG_Flex(AMA(CLOSE(), n=3), 6))
a.name = "POS(3)"
a.plot(axes=ax2, color='b', marker='.', legend_on=True, kref=kdata)
a = POS(block, query, SG_Flex(AMA(CLOSE(), n=30), 60))
a.name = "POS(30)"
a.plot(axes=ax2, color='g', marker='.', legend_on=True, kref=kdata)
c = CLOSE(kdata)
CVAL(c, 0.8).plot(axes=ax2, color='r', linestyle='--', kref=kdata)
CVAL(c, 0.2).plot(axes=ax2, color='r', linestyle='--', kref=kdata)
if ama1.name == "AMA":
cer = PRICELIST(cama, 1)
label = "ER(%s)" % cer[-1]
cer.plot(axes=ax3, color='b', marker='.', label=label, legend_on=False, text_on=True, kref=kdata)
CVAL(c, 0.8).plot(axes=ax3, color='r', linestyle='--', kref=kdata)
CVAL(c, -0.6).plot(axes=ax3, color='r', linestyle='--', kref=kdata)
CVAL(c, -0.8).plot(axes=ax3, color='r', linestyle='--', kref=kdata)
CVAL(c, 0).plot(axes=ax3, color='k', linestyle='-', kref=kdata)
else:
ax_draw_macd(ax2, kdata)
# ax2.set_ylim(-1, 1)
ax1.set_xlim((0, len(kdata)))
ax_set_locator_formatter(ax1, kdata.get_datetime_list(), query.ktype)
adjust_axes_show([ax1, ax2])
return show_gcf()