python talib(一)

# -*- coding: utf-8 -*-
"""
Created on Wed Dec 13 18:08:20 2017

@author: Administrator
"""

from matplotlib.dates import DateFormatter, WeekdayLocator, DayLocator, MONDAY,YEARLY
from matplotlib.finance import quotes_historical_yahoo_ohlc, candlestick_ohlc
#import matplotlib
import tushare as ts
import pandas as pd
import matplotlib.pyplot as plt
from matplotlib.pylab import date2num
import datetime
import numpy as np
from pandas import DataFrame
from numpy import row_stack,column_stack

import math
import talib

import numpy as np
import pandas as pd
from pandas import Series
import seaborn as sns
sns.set_style('white')

import scipy as sp
import scipy.optimize

import datetime
import calendar

import matplotlib.pyplot as plt
from matplotlib.finance import candlestick2_ochl

data=ts.get_hist_data('601857',start='2016-06-15',end='2017-12-12')
data=data.sort_index(ascending=True)


#画图
def plotKLine(open,close,high,low,tech):

    fig = plt.figure(figsize=(30, 15))
    y=len(close)
    date = np.linspace(0,y,y)
    candleAr = []
    ax1 = plt.subplot2grid((10,4),(0,0),rowspan=5,colspan=4)
    candlestick2_ochl(ax1,open,close,high,low,width=1,colorup='r',colordown='g', alpha=0.75)
    ax2 = plt.subplot2grid((10,4),(5,0),rowspan=4,colspan=4,sharex=ax1)
    if 'ATR' in tech.keys():
        ax2.plot(date, tech['ATR'],'-b')
    if 'ad_ATR' in tech.keys():
        ax2.plot(date, tech['ad_ATR'],'-r')
    if 'my_ATR' in tech.keys():
        ax2.plot(date, tech['my_ATR'],'-m')
    if 'short_ATR' in tech.keys():
        ax2.plot(date, tech_1['short_ATR'],'-b')
    if 'long_ATR' in tech.keys():
        ax2.plot(date, tech_1['long_ATR'],'-r')
    if 'close' in tech.keys():
        ax2.plot(date,tech_2['close'],'-b')
    if 'upper' in tech.keys():
        ax2.plot(date,tech_2['upper'],'-r')
    if 'lower' in tech.keys():
        ax2.plot(date,tech_2['lower'],'-r')

#按公式计算ATR        
def get_myATR(data):
    df = pd.DataFrame()
    df['HL'] = abs(data['high'] - data['low'])
    df['HCL'] = abs(data['high'] - data['preclose'])
    df['CLL'] = abs(data['preclose'] - data['low'])
    df['my_ATR'] = pd.rolling_mean(df.max(axis=1),window=10)
    return df['my_ATR'].values

a = list(data['close'][:-1])
a.insert(0,0)
data['preclose']=a
data = data[data.preclose>0]

tech={}
open = data['open'].values
high = data['high'].values
low = data['low'].values
close = data['close'].values
preclose = data['preclose'].values
tech['ad_ATR']= talib.ATR(high,low,preclose,10)
tech['ATR'] = talib.ATR(high,low,close,10)
tech['my_ATR'] =  get_myATR(data)



plotKLine(open,close,high,low,tech)


#ATR指标
tech_1 = {}
tech_1['short_ATR'] = talib.ATR(high,low,close,10)
tech_1['long_ATR'] = talib.ATR(high,low,close,20)
plotKLine(open,close,high,low,tech_1)


#通道突破交易系统

df = pd.DataFrame()
df['close'] = data['close']
df['ATR'] = talib.ATR(high,low,close,10)

#df['my_ATR'] = pd.rolling_mean(df.max(axis=1),window=10)
df['mavg'] = pd.rolling_mean(df.close,window=10)
df['upper'] = df['mavg'] + 2*df['ATR']
df['lower'] = df['mavg'] - 2*df['ATR']

tech_2 = {}
tech_2['close'] = data['close'].values
tech_2['upper'] = df['upper'].values
tech_2['lower'] = df['lower'].values
plotKLine(open,close,high,low,tech_2)