量化笔记：金融指数处理库talib介绍与安装

 

talib介绍

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
包含了炒股150+的数据指标：ADX, MACD, RSI, Stochastic, Bollinger Bands, etc.
K线趋势识别
完全开源，支持 C/C++, Java, Perl, Python and 100% Managed .NET

 

Supported Indicators 支持指标

• Overlap Studies 重叠的研究
• Momentum Indicators 动量指标
• Volume Indicators 量指标
• Volatility Indicators 波动性指标
• Price Transform 价格指标
• Cycle Indicators 循环指标
• Pattern Recognition 模式识别
• Statistic Functions 统计功能
• Math Transform 数学变换
• Math Operators 数学运算符

Overlap Studies

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
SMA Simple Moving Average
T3 Triple Exponential Moving Average (T3)
TEMA Triple Exponential Moving Average
TRIMA Triangular Moving Average
WMA Weighted Moving Average

Momentum Indicators

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

Volume Indicators

AD Chaikin A/D Line
ADOSC Chaikin A/D Oscillator
OBV On Balance Volume

 

Volatility Indicators

 

ATR Average True Range
NATR Normalized Average True Range
TRANGE True Range

Price Transform

AVGPRICE Average Price
MEDPRICE Median Price
TYPPRICE Typical Price
WCLPRICE Weighted Close Price

Cycle Indicators

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

Pattern Recognition

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

Statistic Functions

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

 

安装

使用pip安装 PyPI:

 pip install TA-Lib

如果安装发生错误

func.c:256:28: fatal error: ta-lib/ta_libc.h: No such file or directory
compilation terminated.

如果你遇到这样的编译错误，它通常意味着它找不到底层的库，需要安装：

Dependencies 依赖库文件

使用Python的TA库，你需要有安装底层库文件：下载TA-Lib底层库文件

安装底层库文件方法

Mac OS X

brew install ta-lib

Windows

Download ta-lib-0.4.0-msvc.zip
and unzip to C:\ta-lib

Linux

Download ta-lib-0.4.0-src.tar.gz and:

$ untar and cd
$ ./configure --prefix=/usr
$ make
$ sudo make install

If you build TA-Lib using make -jX it will fail but that's OK!
Simply rerun make -jX followed by [sudo] make install.