TA-Lib

简介：

Talib一直缺乏有效的中文文档，自己又有空闲时间，且在研究量化对冲系统，就发点时间，做一下翻译。 原文地址： TA-LIB document 翻译地址：

这是一个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150多个指标,包括：ADX, MACD, RSI, Stochastic, Bollinger Bands, 等.
  • K线形态识别
  • 完全开源，支持 C/C++, Java, Perl, Python and 100% Managed .NET

安装TA-Lib

案例（快速开始）

Similar to TA-Lib, the function interface provides a lightweight wrapper of the exposed TA-Lib indicators.
类似于TA-Lib，函数接口提供了一个暴露TA-Lib指标的轻量级封装。

Each function returns an output array and have default values for their parameters, unless specified as keyword arguments. Typically, these functions will have an initial “lookback” period (a required number of observations before an output is generated) set to NaN.
每个函数都默认需要输入数组，并为它们提供默认值。 参数，除非指定为关键字参数。通常，这些函数 会有一个初步的“lookback”时期（观测所需数量 在生成一个输出之前），设置为“NaN”。

All of the following examples use the function API:
所有的API函数的使用，都需引入库文件：

  1. import numpy
  2. import talib
  4. close = numpy.random.random(100)

计算收盘价的一个简单移动平均数SMA:

  1. output = talib.SMA(close)

计算布林线，三指数移动平均：

  1. from talib import MA_Type
  3. upper, middle, lower = talib.BBANDS(close, matype=MA_Type.T3)

计算收盘价的动量，时间为5：

  1. output = talib.MOM(close, timeperiod=5)

Abstract API Quick Start 抽象 API 快速入门

If you’re already familiar with using the function API, you should feel right at home using the abstract API. Every function takes the same input, passed as a dictionary of Numpy arrays:
如果您已经熟悉使用函数API，那么您就应该精通使用抽象API。 每个函数有相同的输入，作为一个字典通过NumPy数组：

  1. import numpy as np
  2. # note that all ndarrays must be the same length!
  3. inputs = {
  4.     'open': np.random.random(100),
  5.     'high': np.random.random(100),
  6.     'low': np.random.random(100),
  7.     'close': np.random.random(100),
  8.     'volume': np.random.random(100)
  9. }

函数可以直接导入，也可以用名称实例化：

  1. from talib import abstract
  2. sma = abstract.SMA
  3. sma = abstract.Function('sma')

调用函数基本上与函数API相同：

  1. from talib.abstract import *
  2. output = SMA(input_arrays, timeperiod=25) # SMA均线价格计算收盘价
  3. output = SMA(input_arrays, timeperiod=25, price='open') # SMA均线价格计算收盘价
  4. upper, middle, lower = BBANDS(input_arrays, 20, 2, 2)
  5. slowk, slowd = STOCH(input_arrays, 5, 3, 0, 3, 0) # uses high, low, close by default
  6. slowk, slowd = STOCH(input_arrays, 5, 3, 0, 3, 0, prices=['high', 'low', 'open'])

了解更多高级使用TA库 here.

Supported Indicators 支持的指标

We can show all the TA functions supported by TA-Lib, either as a list or as a dict sorted by group (e.g. “Overlap Studies”, “Momentum Indicators”, etc):
我们可以显示Ta lib的所有TA函数,返回一个 list 或者 dict 

  1. import talib
  3. print talib.get_functions()
  4. print talib.get_function_groups()

Function Groups

Overlap Studies

  1. BBANDS               Bollinger Bands #布林带
  2. DEMA                 Double Exponential Moving Average #双指数移动平均线
  3. EMA                  Exponential Moving Average #指数滑动平均
  4. HT_TRENDLINE         Hilbert Transform - Instantaneous Trendline #希尔伯特变换瞬时趋势
  5. KAMA                 Kaufman Adaptive Moving Average #卡玛考夫曼自适应移动平均
  6. MA                   Moving average #均线
  7. MAMA                 MESA Adaptive Moving Average #自适应移动平均 
  8. MAVP                 Moving average with variable period #变周期移动平均
  9. MIDPOINT             MidPoint over period #在周期的中点
  10. MIDPRICE             Midpoint Price over period #中间时段价格
  11. SAR                  Parabolic SAR #抛物线转向指标
  12. SAREXT               Parabolic SAR - Extended #抛物线转向指标 - 扩展
  13. SMA                  Simple Moving Average# 简单移动平均线
  14. T3                   Triple Exponential Moving Average (T3)
  15. TEMA                 Triple Exponential Moving Average#三次指数移动平均
  16. TRIMA                Triangular Moving Average# 三角形移动平均
  17. WMA                  Weighted Moving Average#加权移动平均线

Momentum Indicators

  1. ADX                  Average Directional Movement Index
  2. ADXR                 Average Directional Movement Index Rating
  3. APO                  Absolute Price Oscillator
  4. AROON                Aroon
  5. AROONOSC             Aroon Oscillator
  6. BOP                  Balance Of Power
  7. CCI                  Commodity Channel Index
  8. CMO                  Chande Momentum Oscillator
  9. DX                   Directional Movement Index
  10. MACD                 Moving Average Convergence/Divergence
  11. MACDEXT              MACD with controllable MA type
  12. MACDFIX              Moving Average Convergence/Divergence Fix 12/26
  13. MFI                  Money Flow Index
  14. MINUS_DI             Minus Directional Indicator
  15. MINUS_DM             Minus Directional Movement
  16. MOM                  Momentum
  17. PLUS_DI              Plus Directional Indicator
  18. PLUS_DM              Plus Directional Movement
  19. PPO                  Percentage Price Oscillator
  20. ROC                  Rate of change : ((price/prevPrice)-1)*100
  21. ROCP                 Rate of change Percentage: (price-prevPrice)/prevPrice
  22. ROCR                 Rate of change ratio: (price/prevPrice)
  23. ROCR100              Rate of change ratio 100 scale: (price/prevPrice)*100
  24. RSI                  Relative Strength Index
  25. STOCH                Stochastic
  26. STOCHF               Stochastic Fast
  27. STOCHRSI             Stochastic Relative Strength Index
  28. TRIX                 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
  29. ULTOSC               Ultimate Oscillator
  30. WILLR                Williams' %R

Volume Indicators

  1. AD                   Chaikin A/D Line
  2. ADOSC                Chaikin A/D Oscillator
  3. OBV                  On Balance Volume

Volatility Indicators

  1. ATR                  Average True Range
  2. NATR                 Normalized Average True Range
  3. TRANGE               True Range

Price Transform

  1. AVGPRICE             Average Price
  2. MEDPRICE             Median Price
  3. TYPPRICE             Typical Price
  4. WCLPRICE             Weighted Close Price

Cycle Indicators

  1. HT_DCPERIOD          Hilbert Transform - Dominant Cycle Period
  2. HT_DCPHASE           Hilbert Transform - Dominant Cycle Phase
  3. HT_PHASOR            Hilbert Transform - Phasor Components
  4. HT_SINE              Hilbert Transform - SineWave
  5. HT_TRENDMODE         Hilbert Transform - Trend vs Cycle Mode

Pattern Recognition

  1. CDL2CROWS            Two Crows
  2. CDL3BLACKCROWS       Three Black Crows
  3. CDL3INSIDE           Three Inside Up/Down
  4. CDL3LINESTRIKE       Three-Line Strike
  5. CDL3OUTSIDE          Three Outside Up/Down
  6. CDL3STARSINSOUTH     Three Stars In The South
  7. CDL3WHITESOLDIERS    Three Advancing White Soldiers
  8. CDLABANDONEDBABY     Abandoned Baby
  9. CDLADVANCEBLOCK      Advance Block
  10. CDLBELTHOLD          Belt-hold
  11. CDLBREAKAWAY         Breakaway
  12. CDLCLOSINGMARUBOZU   Closing Marubozu
  13. CDLCONCEALBABYSWALL  Concealing Baby Swallow
  14. CDLCOUNTERATTACK     Counterattack
  15. CDLDARKCLOUDCOVER    Dark Cloud Cover
  16. CDLDOJI              Doji
  17. CDLDOJISTAR          Doji Star
  18. CDLDRAGONFLYDOJI     Dragonfly Doji
  19. CDLENGULFING         Engulfing Pattern
  20. CDLEVENINGDOJISTAR   Evening Doji Star
  21. CDLEVENINGSTAR       Evening Star
  22. CDLGAPSIDESIDEWHITE  Up/Down-gap side-by-side white lines
  23. CDLGRAVESTONEDOJI    Gravestone Doji
  24. CDLHAMMER            Hammer
  25. CDLHANGINGMAN        Hanging Man
  26. CDLHARAMI            Harami Pattern
  27. CDLHARAMICROSS       Harami Cross Pattern
  28. CDLHIGHWAVE          High-Wave Candle
  29. CDLHIKKAKE           Hikkake Pattern
  30. CDLHIKKAKEMOD        Modified Hikkake Pattern
  31. CDLHOMINGPIGEON      Homing Pigeon
  32. CDLIDENTICAL3CROWS   Identical Three Crows
  33. CDLINNECK            In-Neck Pattern
  34. CDLINVERTEDHAMMER    Inverted Hammer
  35. CDLKICKING           Kicking
  36. CDLKICKINGBYLENGTH   Kicking - bull/bear determined by the longer marubozu
  37. CDLLADDERBOTTOM      Ladder Bottom
  38. CDLLONGLEGGEDDOJI    Long Legged Doji
  39. CDLLONGLINE          Long Line Candle
  40. CDLMARUBOZU          Marubozu
  41. CDLMATCHINGLOW       Matching Low
  42. CDLMATHOLD           Mat Hold
  43. CDLMORNINGDOJISTAR   Morning Doji Star
  44. CDLMORNINGSTAR       Morning Star
  45. CDLONNECK            On-Neck Pattern
  46. CDLPIERCING          Piercing Pattern
  47. CDLRICKSHAWMAN       Rickshaw Man
  48. CDLRISEFALL3METHODS  Rising/Falling Three Methods
  49. CDLSEPARATINGLINES   Separating Lines
  50. CDLSHOOTINGSTAR      Shooting Star
  51. CDLSHORTLINE         Short Line Candle
  52. CDLSPINNINGTOP       Spinning Top
  53. CDLSTALLEDPATTERN    Stalled Pattern
  54. CDLSTICKSANDWICH     Stick Sandwich
  55. CDLTAKURI            Takuri (Dragonfly Doji with very long lower shadow)
  56. CDLTASUKIGAP         Tasuki Gap
  57. CDLTHRUSTING         Thrusting Pattern
  58. CDLTRISTAR           Tristar Pattern
  59. CDLUNIQUE3RIVER      Unique 3 River
  60. CDLUPSIDEGAP2CROWS   Upside Gap Two Crows
  61. CDLXSIDEGAP3METHODS  Upside/Downside Gap Three Methods

Statistic Functions

  1. BETA                 Beta
  2. CORREL               Pearson's Correlation Coefficient (r)
  3. LINEARREG            Linear Regression
  4. LINEARREG_ANGLE      Linear Regression Angle
  5. LINEARREG_INTERCEPT  Linear Regression Intercept
  6. LINEARREG_SLOPE      Linear Regression Slope
  7. STDDEV               Standard Deviation
  8. TSF                  Time Series Forecast
  9. VAR                  Variance

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