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Technical Analysis Library Cookbook

TA-lib可以帮助程序员分析数据。正像官方网站介绍的那样:

TA-Lib is widely used by trading software developers requiring to perform technical analysis of financial market data.

  • Includes 200 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

但使用过程并不是那么愉快,主要原因是文档不够友善,同时缺少例子。所以决定抛砖引玉,把自己日常使用共享出来,以供参考。 这一系列文章每篇大致有以下几个部分组成:

  • 出处
  • 定义
  • 代码示例
  • 个人见解

为防本人“一本正经的胡说”,我将个人的见解与资料区分开,这样不会影响读者的判断。 在本系列结束之后,我也会分享一些指标组合运用的投资策略和测试结果。

###Function Groups TA-lib定义的方法很多,主要分以下几类:

####Overlap Studies 这是一组趋势追踪指标(trend following indicator),以收盘价为输入,因为输出结果也是一条或多条曲线,可以和价格曲线绘制在一起,所以叫这个名字,中文翻译暂时还没想好。

Name Description
BBANDS Bollinger Bands
DEMA Double Exponential Moving Average
EMA Exponential Moving Average
HT_TRENDLINE Hilbert Transform - Instantaneous Trendline
KAMA Kaufman Adaptive Moving Average
MA Moving average
MAMA MESA Adaptive Moving Average
MAVP Moving average with variable period
MIDPOINT MidPoint over period
MIDPRICE Midpoint Price over period
SAR Parabolic SAR
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

Name Description
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

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

####Volatility Indicators

波动性指标

Name Description
ATR Average True Range
NATR Normalized Average True Range
TRANGE True Range

Price Transform

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

Cycle Indicators

Name Description
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

Name Description
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

Name Description
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

Math Transform

Math Operators

  • 示例语言: Python 3.5 (Anaconda v3) TA-lib提供了各种语言包,用哪种语言做示例其实并不重要。使用Python的原因,主要是因为Pandas,它可以用简单直观的方式操作数据。

  • 市场名称: Coinbase.com 我个人主要是做比特币的量化交易,所以用比特币数据来做例子。比特币交易市场有很多,选择Coinbase主要是基于两点考虑:

    • Coinbase目前是美国唯一合法的比特币交易市场,安全性有保障。在经历了cex.io的倒闭之后,一个合法、受监管的市场才是可以长期投资的理想市场。
    • Coinbase提供的API可以完全重构Order Book,进而提供了高频交易的机会。
  • 历史数据来源: http://api.bitcoincharts.com/v1/csv/
  • 实时数据来源: https://developers.coinbase.com/