TA-Lib

Eric讨论 | 贡献2021年1月22日 (五) 18:23的版本
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TA-Lib(Technical Analysis Library)是一个多平台的技术分析库,多种编程语言的开源API,包括C/C++JavaPerlPython版等。包含200多个技术指标,如ADXMACDRSI布林带等,还支持烛台模式识别。Ta-Lib使用BSD许可,允许将它集成到您自己的开源或商业应用程序中。

TA-Lib的Python版本是使用 SWIG 封装C/C++版本的API,难安装,速度稍慢。开源项目mrjbq7/ta-lib使用CythonNumpy封装TA-Lib的C/C++版,速度比TA-Lib的Python版快,所以在Python中一般使用该版本。

简介

时间轴

安装

使用pip安装

mrjbq7/ta-lib有发布在PyPI上,可以使用pip安装:

pip install TA-Lib

了解更多 >> mrjbq7/ta-lib:安装


故障排除

了解更多 >> mrjbq7/ta-lib:故障排除



函数

Overlap Studies 重叠指标

函数名 描述 代码
MA
Moving average
移动平均线
按照计算方法可分多种,一般指简单移动平均(SMA)。
参数:
matype:默认0(简单移动平均),0=SMA,1=EMA,2=WMA,3=DEMA,4=TEMA,5=TRIMA,6=KAMA,7=MAMA,8=T3
MA(close, timeperiod=30, matype=0)
SMA
Simple Moving Average
简单移动平均 SMA(close, timeperiod=30)
EMA
Exponential Moving Average
指数移动平均
是以指数式递减加权的移动平均。
EMA(close, timeperiod=30)
WMA
Weighted Moving Average
WMA(close, timeperiod=30)
DEMA
Double Exponential Moving Average
DEMA(close, timeperiod=30)
TEMA
Triple Exponential Moving Average
TEMA(close, timeperiod=30)
TRIMA
Triangular Moving Average
TRIMA(close, timeperiod=30)
KAMA
Kaufman Adaptive Moving Average
KAMA(close, timeperiod=30)
MAMA
MESA Adaptive Moving Average
mama, fama = MAMA(close, fastlimit=0, slowlimit=0)
T3
Triple Exponential Moving Average (T3)
T3(close, timeperiod=5, vfactor=0)
BBANDS
Bollinger Bands
upperband, middleband, lowerband = BBANDS(close, timeperiod=5, nbdevup=2, nbdevdn=2, matype=0)
HT_TRENDLINE
Hilbert Transform
HT_TRENDLINE(close)
MAVP
Moving average with variable period
MAVP(close, periods, minperiod=2, maxperiod=30, matype=0)
MIDPOINT
MidPoint over period
MIDPOINT(close, timeperiod=14)
MIDPRICE
Midpoint Price over period
MIDPRICE(high, low, timeperiod=14)
SAR
Parabolic SAR
SAR(high, low, acceleration=0, maximum=0)
SAREXT
Parabolic SAR
SAREXT(high, low, startvalue=0, offsetonreverse=0, accelerationinitlong=0, accelerationlong=0, accelerationmaxlong=0, accelerationinitshort=0, accelerationshort=0, accelerationmaxshort=0)

了解更多 >> mrjbq7/ta-lib 文档:Overlap Studies mrjbq7/ta-lib GitHub: ta-lib/talib/_common.pxi


Momentum Indicator 动量指标

函数名 描述 代码
ADX
Average Directional Movement Index
ADX(high, low, close, timeperiod=14)
ADXR
Average Directional Movement Index Rating
ADXR(high, low, close, timeperiod=14)
APO
Absolute Price Oscillator
APO(close, fastperiod=12, slowperiod=26, matype=0)
AROON
Aroon
oondown, aroonup = AROON(high, low, timeperiod=14)
AROONOSC
Aroon Oscillator
AROONOSC(high, low, timeperiod=14)
BOP
Balance Of Power
BOP(open, high, low, close)
CCI
Commodity Channel Index
CCI(high, low, close, timeperiod=14)
CMO
Chande Momentum Oscillator
CMO(close, timeperiod=14)
DX
Directional Movement Index
DX(high, low, close, timeperiod=14)
MACD
Moving Average Convergence/Divergence
macd, macdsignal, macdhist = MACD(close, fastperiod=12, slowperiod=26, signalperiod=9)
MACDEXT
MACD with controllable MA type
macd, macdsignal, macdhist = MACDEXT(close, fastperiod=12, fastmatype=0, slowperiod=26, slowmatype=0, signalperiod=9, signalmatype=0)
MACDFIX
Moving Average Convergence/Divergence Fix 12/26
macd, macdsignal, macdhist = MACDFIX(close, signalperiod=9)
MFI
Money Flow Index
MFI(high, low, close, volume, timeperiod=14)
MINUS_DI
Minus Directional Indicator
MINUS_DI(high, low, close, timeperiod=14)
MINUS_DM
Minus Directional Movement
MINUS_DM(high, low, timeperiod=14)
MOM
Momentum
MOM(close, timeperiod=10)
PLUS_DI
Plus Directional Indicator
PLUS_DI(high, low, close, timeperiod=14)
PLUS_DM
Plus Directional Movement
PLUS_DM(high, low, timeperiod=14)
PPO
Percentage Price Oscillator
PPO(close, fastperiod=12, slowperiod=26, matype=0)
ROC
Rate of change : ((price/prevPrice)
ROC(close, timeperiod=10)
ROCP
Rate of change Percentage: (price
ROCP(close, timeperiod=10)
ROCR
Rate of change ratio: (price/prevPrice)
ROCR(close, timeperiod=10)
ROCR100
Rate of change ratio 100 scale: (price/prevPrice)*100
ROCR100(close, timeperiod=10)
RSI
Relative Strength Index
RSI(close, timeperiod=14)
STOCH
Stochastic
slowk, slowd = STOCH(high, low, close, fastk_period=5, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)
STOCHF
Stochastic Fast
fastk, fastd = STOCHF(high, low, close, fastk_period=5, fastd_period=3, fastd_matype=0)
STOCHRSI
Stochastic Relative Strength Index
fastk, fastd = STOCHRSI(close, timeperiod=14, fastk_period=5, fastd_period=3, fastd_matype=0)
TRIX
1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
TRIX(close, timeperiod=30)
ULTOSC
Ultimate Oscillator
ULTOSC(high, low, close, timeperiod1=7, timeperiod2=14, timeperiod3=28)
WILLR
Williams' %R
WILLR(high, low, close, timeperiod=14)

了解更多 >> mrjbq7/ta-lib 文档:Momentum Indicator Functions


Volume Indicators

函数名 描述 代码
AD
Chaikin A/D Line
AD(high, low, close, volume)
ADOSC
Chaikin A/D Oscillator
ADOSC(high, low, close, volume, fastperiod=3, slowperiod=10)
OBV
On Balance Volume
OBV(close, volume)

了解更多 >> mrjbq7/ta-lib 文档:Volume Indicators



Volatility Indicators

函数名 描述 代码
ATR
Average True Range
ATR(high, low, close, timeperiod=14)
NATR
Normalized Average True Range
NATR(high, low, close, timeperiod=14)
TRANGE
True Range
TRANGE(high, low, close)

了解更多 >> mrjbq7/ta-lib 文档:Volatility Indicators



Price Transform

函数名 描述 代码
AVGPRICE
Average Price
AVGPRICE(open, high, low, close)
MEDPRICE
Median Price
MEDPRICE(high, low)
TYPPRICE
Typical Price
TYPPRICE(high, low, close)
WCLPRICE
Weighted Close Price
WCLPRICE(high, low, close)

了解更多 >> mrjbq7/ta-lib 文档:Price Transform



Cycle Indicators

函数名 描述 代码
HT_DCPERIOD
Hilbert Transform - Dominant Cycle Period
HT_DCPERIOD(close)
HT_DCPHASE
Hilbert Transform - Dominant Cycle Phase
HT_DCPHASE(close)
HT_PHASOR
Hilbert Transform - Phasor Components
inphase, quadrature = HT_PHASOR(close)
HT_SINE
Hilbert Transform - SineWave
sine, leadsine = HT_SINE(close)
HT_TRENDMODE
Hilbert Transform - Trend vs Cycle Mode
HT_TRENDMODE(close)

了解更多 >> mrjbq7/ta-lib 文档:Cycle Indicators



Pattern Recognition

函数名 描述 代码
CDL2CROWS
Two Crows
CDL2CROWS(open, high, low, close)
CDL3BLACKCROWS
Three Black Crows
CDL3BLACKCROWS(open, high, low, close)
CDL3INSIDE
Three Inside Up/Down
CDL3INSIDE(open, high, low, close)
CDL3LINESTRIKE
Three-Line Strike
CDL3LINESTRIKE(open, high, low, close)
CDL3OUTSIDE
Three Outside Up/Down
CDL3OUTSIDE(open, high, low, close)
CDL3STARSINSOUTH
Three Stars In The South
CDL3STARSINSOUTH(open, high, low, close)
CDL3WHITESOLDIERS
Three Advancing White Soldiers
CDL3WHITESOLDIERS(open, high, low, close)
CDLABANDONEDBABY
Abandoned Baby
CDLABANDONEDBABY(open, high, low, close, penetration=0)
CDLADVANCEBLOCK
Advance Block
CDLADVANCEBLOCK(open, high, low, close)
CDLBELTHOLD
Belt-hold
CDLBELTHOLD(open, high, low, close)
CDLBREAKAWAY
Breakaway
CDLBREAKAWAY(open, high, low, close)
CDLCLOSINGMARUBOZU
Closing Marubozu
CDLCLOSINGMARUBOZU(open, high, low, close)
CDLCONCEALBABYSWALL
Concealing Baby Swallow
CDLCONCEALBABYSWALL(open, high, low, close)
CDLCOUNTERATTACK
Counterattack
CDLCOUNTERATTACK(open, high, low, close)
CDLDARKCLOUDCOVER
Dark Cloud Cover
CDLDARKCLOUDCOVER(open, high, low, close, penetration=0)
CDLDOJI
Doji
CDLDOJI(open, high, low, close)
CDLDOJISTAR
Doji Star
CDLDOJISTAR(open, high, low, close)
CDLDRAGONFLYDOJI
Dragonfly Doji
CDLDRAGONFLYDOJI(open, high, low, close)
CDLENGULFING
Engulfing Pattern
CDLENGULFING(open, high, low, close)
CDLEVENINGDOJISTAR
Evening Doji Star
CDLEVENINGDOJISTAR(open, high, low, close, penetration=0)
CDLEVENINGSTAR
Evening Star
CDLEVENINGSTAR(open, high, low, close, penetration=0)
CDLGAPSIDESIDEWHITE
Up/Down-gap side-by-side white lines
CDLGAPSIDESIDEWHITE(open, high, low, close)
CDLGRAVESTONEDOJI
Gravestone Doji
CDLGRAVESTONEDOJI(open, high, low, close)
CDLHAMMER
Hammer
CDLHAMMER(open, high, low, close)
CDLHANGINGMAN
Hanging Man
CDLHANGINGMAN(open, high, low, close)
CDLHARAMI
Harami Pattern
CDLHARAMI(open, high, low, close)
CDLHARAMICROSS
Harami Cross Pattern
CDLHARAMICROSS(open, high, low, close)
CDLHIGHWAVE
High-Wave Candle
CDLHIGHWAVE(open, high, low, close)
CDLHIKKAKE
Hikkake Pattern
CDLHIKKAKE(open, high, low, close)
CDLHIKKAKEMOD
Modified Hikkake Pattern
CDLHIKKAKEMOD(open, high, low, close)
CDLHOMINGPIGEON
Homing Pigeon
CDLHOMINGPIGEON(open, high, low, close)
CDLIDENTICAL3CROWS
Identical Three Crows
CDLIDENTICAL3CROWS(open, high, low, close)
CDLINNECK
In-Neck Pattern
CDLINNECK(open, high, low, close)
CDLINVERTEDHAMMER
Inverted Hammer
CDLINVERTEDHAMMER(open, high, low, close)
CDLKICKING
Kicking
CDLKICKING(open, high, low, close)
CDLKICKINGBYLENGTH
Kicking - bull/bear determined by the longer marubozu
CDLKICKINGBYLENGTH(open, high, low, close)
CDLLADDERBOTTOM
Ladder Bottom
CDLLADDERBOTTOM(open, high, low, close)
CDLLONGLEGGEDDOJI
Long Legged Doji
CDLLONGLEGGEDDOJI(open, high, low, close)
CDLLONGLINE
Long Line Candle
CDLLONGLINE(open, high, low, close)
CDLMARUBOZU
Marubozu
CDLMARUBOZU(open, high, low, close)
CDLMATCHINGLOW
Matching Low
CDLMATCHINGLOW(open, high, low, close)
CDLMATHOLD
Mat Hold
CDLMATHOLD(open, high, low, close, penetration=0)
CDLMORNINGDOJISTAR
Morning Doji Star
CDLMORNINGDOJISTAR(open, high, low, close, penetration=0)
CDLMORNINGSTAR
Morning Star
CDLMORNINGSTAR(open, high, low, close, penetration=0)
CDLONNECK
On-Neck Pattern
CDLONNECK(open, high, low, close)
CDLPIERCING
Piercing Pattern
CDLPIERCING(open, high, low, close)
CDLRICKSHAWMAN
Rickshaw Man
CDLRICKSHAWMAN(open, high, low, close)
CDLRISEFALL3METHODS
Rising/Falling Three Methods
CDLRISEFALL3METHODS(open, high, low, close)
CDLSEPARATINGLINES
Separating Lines
CDLSEPARATINGLINES(open, high, low, close)
CDLSHOOTINGSTAR
Shooting Star
CDLSHOOTINGSTAR(open, high, low, close)
CDLSHORTLINE
Short Line Candle
CDLSHORTLINE(open, high, low, close)
CDLSPINNINGTOP
Spinning Top
CDLSPINNINGTOP(open, high, low, close)
CDLSTALLEDPATTERN
Stalled Pattern
CDLSTALLEDPATTERN(open, high, low, close)
CDLSTICKSANDWICH
Stick Sandwich
CDLSTICKSANDWICH(open, high, low, close)
CDLTAKURI
Takuri (Dragonfly Doji with very long lower shadow)
CDLTAKURI(open, high, low, close)
CDLTASUKIGAP
Tasuki Gap
CDLTASUKIGAP(open, high, low, close)
CDLTHRUSTING
Thrusting Pattern
CDLTHRUSTING(open, high, low, close)
CDLTRISTAR
Tristar Pattern
CDLTRISTAR(open, high, low, close)
CDLUNIQUE3RIVER
Unique 3 River
CDLUNIQUE3RIVER(open, high, low, close)
CDLUPSIDEGAP2CROWS
Upside Gap Two Crows
CDLUPSIDEGAP2CROWS(open, high, low, close)
CDLXSIDEGAP3METHODS
Upside/Downside Gap Three Methods
CDLXSIDEGAP3METHODS(open, high, low, close)

了解更多 >> mrjbq7/ta-lib 文档:Pattern Recognition



Statistic Functions

函数名 描述 代码
BETA
Beta
BETA(high, low, timeperiod=5)
CORREL
Pearson's Correlation Coefficient (r)
CORREL(high, low, timeperiod=30)
LINEARREG
Linear Regression
LINEARREG(close, timeperiod=14)
LINEARREG_ANGLE
Linear Regression Angle
LINEARREG_ANGLE(close, timeperiod=14)
LINEARREG_INTERCEPT
Linear Regression Intercept
LINEARREG_INTERCEPT(close, timeperiod=14)
LINEARREG_SLOPE
Linear Regression Slope
LINEARREG_SLOPE(close, timeperiod=14)
STDDEV
Standard Deviation
STDDEV(close, timeperiod=5, nbdev=1)
TSF
Time Series Forecast
TSF(close, timeperiod=14)
VAR
Variance
VAR(close, timeperiod=5, nbdev=1)

了解更多 >> mrjbq7/ta-lib 文档:Statistic Functions



Math Transform

函数名 描述 代码
ACOS
Vector Trigonometric ACos
ACOS(close)
ASIN
Vector Trigonometric ASin
ASIN(close)
ATAN
Vector Trigonometric ATan
ATAN(close)
CEIL
Vector Ceil
CEIL(close)
COS
Vector Trigonometric Cos
COS(close)
COSH
Vector Trigonometric Cosh
COSH(close)
EXP
Vector Arithmetic Exp
EXP(close)
FLOOR
Vector Floor
FLOOR(close)
LN
Vector Log Natural
LN(close)
LOG10
Vector Log10
LOG10(close)
SIN
Vector Trigonometric Sin
SIN(close)
SINH
Vector Trigonometric Sinh
SINH(close)
SQRT
Vector Square Root
SQRT(close)
TAN
Vector Trigonometric Tan
TAN(close)
TANH
Vector Trigonometric Tanh
TANH(close)

了解更多 >> mrjbq7/ta-lib 文档:Math Transform



Math Operators

函数名 描述 代码
ADD
Vector Arithmetic Add
ADD(high, low)
DIV
Vector Arithmetic Div
DIV(high, low)
MAX
Highest value over a specified period
MAX(close, timeperiod=30)
MAXINDEX
Index of highest value over a specified period
MAXINDEX(close, timeperiod=30)
MIN
Lowest value over a specified period
MIN(close, timeperiod=30)
MININDEX
Index of lowest value over a specified period
MININDEX(close, timeperiod=30)
MINMAX
Lowest and highest values over a specified period
min, max = MINMAX(close, timeperiod=30)
MINMAXINDEX
Indexes of lowest and highest values over a specified period
minidx, maxidx = MINMAXINDEX(close, timeperiod=30)
MULT
Vector Arithmetic Mult
MULT(high, low)
SUB
Vector Arithmetic Substraction
SUB(high, low)
SUM
Summation
SUM(close, timeperiod=30)

了解更多 >> mrjbq7/ta-lib 文档:Math Operators




资源

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