TA-Lib
简介：
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
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库，对函数接口进行了一个轻量级的封装，用于公开的ta-lib的指标。
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：
import numpy
import talib
close = numpy.random.random(100)
计算收盘价的一个简单移动平均数SMA:
output = talib.SMA(close)
计算布林线，三指数移动平均：
from talib import MA_Type
upper, middle, lower = talib.BBANDS(close, matype=MA_Type.T3)
计算收盘价的动量，时间为5：
output = talib.MOM(close, timeperiod=5)
Abstract API Quick Start
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：
import numpy as np
# note that all ndarrays must be the same length!
inputs = {
'open': np.random.random(100),
'high': np.random.random(100),
'low': np.random.random(100),
'close': np.random.random(100),
'volume': np.random.random(100)
}
函数可以直接导入，也可以用名称实例化：
from talib import abstract
sma = abstract.SMA
sma = abstract.Function('sma')
调用函数基本上与函数API相同：
from talib.abstract import *
output = SMA(input_arrays, timeperiod=25) # SMA均线价格计算收盘价
output = SMA(input_arrays, timeperiod=25, price='open') # SMA均线价格计算收盘价
upper, middle, lower = BBANDS(input_arrays, 20, 2, 2)
slowk, slowd = STOCH(input_arrays, 5, 3, 0, 3, 0) # uses high, low, close by default
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
import talib
print talib.get_functions()
print talib.get_function_groups()
Function Groups
- 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