首先,TqLib安装是相对较繁琐的,我们觉得在天勤量化(TqSdk)内使用技术指标计算函数即可达到同样功能,并且只需简单一行即可导入,如果感兴趣可以点击查看 天勤量化(TqSdk)
TaLib官网:http://ta-lib.org/
一、TaLib简介
TaLib是一个Python金融指数处理库。包含了很多技术分析里的常用参数指标,例如MA、SMA、WMA、MACD、ATR等。
二、TaLib安装
注:TaLib是一个pyhon库,故在安装TaLib前需要安装Python。
1. pip安装
(官方安装教程文档:https://ta-lib.github.io/ta-lib-python/install.html )
- 在命令行下输入命令(在线安装):
pip install Ta-Lib
- (注意:使用pip安装可能会出现这个问题:
error: Microsoft Visual C++ 14.0 is required. Get it with “Microsoft Visual C++ Build Tools”: https://visualstudio.microsoft.com/downloads/
此时就需要手动安装。这个问题在安装其他python第三方包时也可能出现,解决方法与此相同)
2. 手动安装
A. 找到并下载自己需要的对应版本的whl格式文件。
(如:若本机安装是32位的python3.6,则选TA_Lib‑0.4.17‑cp36‑cp36m‑win32.whl下载;
若本机安装的是64位的python2.7,则选择TA_Lib‑0.4.17‑cp27‑cp27m‑win_amd64.whl,其他同理)
下载地址在:
https://www.lfd.uci.edu/~gohlke/pythonlibs/
B. 在命令行中(命令行的打开方式在文章最后的Tips里),进入此whl文件所在的目录,执行命令:
pip install 下载的whl文件名
如:pip install TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl
C. 或不进入所在目录,直接执行命令:
pip install 文件所在的绝对路径+文件名
如:pip install D:\my_packages\ TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl
3. 检测安装成功
在包安装成功后,命令行界面会有“ Successfully installed TA-Lib ”的提示。
也可通过在命令行输入命令“ pip install ta-lib ”进行检测,如果出现“ Requirement already satisfied: ta-lib in …”(”…“为安装此文件的目录),即表示安装成功。
三、TaLib函数介绍
1. 几个指标及其用法演示
注意:talib函数的输入数据需要是Numpy的ndarray 类型,如果数据不是这个类型就需要提前进行类型转换。(“Every function takes the same input, passed as a dictionary of Numpy arrays”)。
在使用tqsdk时,K线及tick序列可以使用to_dataframe()函数将数据序列转化为pandas.DataFrame,即可直接取用其close字段作为talib函数的输入数据了(例如:df_klines=klines.to_dataframe())。
- SMA (简单移动平均线)(参数1:收盘价序列,参数2:时间周期(均线的计算长度 即 几日均线))
real = SMA(close, timeperiod=30)
例:双均线策略中使用SMA的实例:
https://github.com/shinnytech/tqsdk-python/blob/master/tqsdk/demo/doublema.py
- ATR(平均真实波幅)
(参数1:最高价序列,参数2:最低价序列,参数3:收盘价序列,参数4:时间周期)
real = ATR(high, low, close, timeperiod=14)
例:海龟策略中使用ATR的实例:
https://github.com/shinnytech/tqsdk-python/blob/master/tqsdk/demo/turtle.py
- MACD(异同移动平均线)
macd, macdsignal, macdhist = MACD(close, fastperiod=12, slowperiod=26, signalperiod=9)
- BBANDS (布林带)
upperband, middleband, lowerband = BBANDS(close, timeperiod=5, nbdevup=2, nbdevdn=2, matype=0)
2. talib中所有指标函数
A. 按照首字母排序:
官方函数列表:http://ta-lib.org/function.html
B. 按照类型分组(点击超链接进入官方文档查看函数用法):
- Overlap Studies(重叠研究类)
- Momentum Indicators(动量指标类)
- Volume Indicators(成交量指标类)
- Volatility Indicators(波动性指标类)
- Price Transform(价格指标类)
- Cycle Indicators(周期指标类)
- Pattern Recognition(形态识别类)
- Statistic Functions(统计函数类)
- Math Transform(数学变换类)
- Math Operators(数学运算符类)
C. 每组的指标函数:
(可在页面内按 Ctrl+f 键搜索到指标后,点击其所在组别的超链接查看函数的使用方法)
- 重叠研究
BBANDS — Bollinger Bands (布林带)
DEMA — Double Exponential Moving Average (双指数移动平均线)
EMA — Exponential Moving Average (指数移动平均)
HT_TRENDLINE — Hilbert Transform – Instantaneous Trendline
KAMA — Kaufman Adaptive Moving Average
MA — Moving average (移动平均线)
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
MIDPRICE — Midpoint Price over period
SAR — Parabolic SAR
SAREXT — Parabolic SAR – Extended
SMA — Simple Moving Average (简单移动平均线)
T3 — Triple Exponential Moving Average (T3)
TEMA — Triple Exponential Moving Average (三重指数移动平均线)
TRIMA — Triangular Moving Average
WMA — Weighted Moving Average (加权移动平均线) - 动量指标
ADX — Average Directional Movement Index (平均趋向指数)
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 (平滑异同移动平均线)
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 (相对强弱指数)
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
- 成交量指标
AD — Chaikin A/D Line
ADOSC — Chaikin A/D Oscillator
OBV — On Balance Volume - 波动率指标
ATR — Average True Range (平均真实波幅)
NATR — Normalized Average True Range
TRANGE — True Range (真实波幅) - 价格指标
AVGPRICE — Average Price
MEDPRICE — Median Price
TYPPRICE — Typical Price
WCLPRICE — Weighted Close Price - 周期指标
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 - 形态识别
CDL2CROWS — Two Crows (两只乌鸦)
CDL3BLACKCROWS — Three Black Crows (三只乌鸦)
CDL3INSIDE — Three Inside Up/Down (三内部上涨和下跌)
CDL3LINESTRIKE — Three-Line Strike (三线打击)
CDL3OUTSIDE — Three Outside Up/Down (三外部上涨和下跌)
CDL3STARSINSOUTH — Three Stars In The South (南方三星)
CDL3WHITESOLDIERS — Three Advancing White Soldiers (三白兵)
CDLABANDONEDBABY — Abandoned Baby (弃婴形态)
CDLADVANCEBLOCK — Advance Block (前方受阻(大敌当前))
CDLBELTHOLD — Belt-hold (捉腰带线)
CDLBREAKAWAY — Breakaway (脱离)
CDLCLOSINGMARUBOZU — Closing Marubozu (收盘缺影线)
CDLCONCEALBABYSWALL — Concealing Baby Swallow (藏婴吞没)
CDLCOUNTERATTACK — Counterattack (反击线)
CDLDARKCLOUDCOVER — Dark Cloud Cover (乌云压顶)
CDLDOJI — Doji (十字)
CDLDOJISTAR — Doji Star (十字星)
CDLDRAGONFLYDOJI — Dragonfly Doji (蜻蜓十字/T形十字)
CDLENGULFING — Engulfing Pattern (吞噬模式)
CDLEVENINGDOJISTAR — Evening Doji Star (十字暮星)
CDLEVENINGSTAR — Evening Star (暮星)
CDLGAPSIDESIDEWHITE — Up/Down-gap side-by-side white lines (向上/下跳空并列阳线)
CDLGRAVESTONEDOJI — Gravestone Doji (墓碑十字/倒T十字)
CDLHAMMER — Hammer (锤头线)
CDLHANGINGMAN — Hanging Man (上吊线)
CDLHARAMI — Harami Pattern
CDLHARAMICROSS — Harami Cross Pattern
CDLHIGHWAVE — High-Wave Candle
CDLHIKKAKE — Hikkake Pattern (陷阱)
CDLHIKKAKEMOD — Modified Hikkake Pattern
CDLHOMINGPIGEON — Homing Pigeon (家鸽)
CDLIDENTICAL3CROWS — Identical Three Crows
CDLINNECK — In-Neck Pattern
CDLINVERTEDHAMMER — Inverted Hammer
CDLKICKING — Kicking (反冲形态)
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 (相同低价)
CDLMATHOLD — Mat Hold
CDLMORNINGDOJISTAR — Morning Doji Star (十字晨星)
CDLMORNINGSTAR — Morning Star (晨星)
CDLONNECK — On-Neck Pattern
CDLPIERCING — Piercing Pattern (刺透形态)
CDLRICKSHAWMAN — Rickshaw Man
CDLRISEFALL3METHODS — Rising/Falling Three Methods
CDLSEPARATINGLINES — Separating Lines
CDLSHOOTINGSTAR — Shooting Star
CDLSHORTLINE — Short Line Candle
CDLSPINNINGTOP — Spinning Top(纺锤)
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 - 统计函数
BETA — Beta (贝塔系数)
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 - 数学变换
ACOS — Vector Trigonometric ACos
ASIN — Vector Trigonometric ASin
ATAN — Vector Trigonometric ATan
CEIL — Vector Ceil
COS — Vector Trigonometric Cos
COSH — Vector Trigonometric Cosh
EXP — Vector Arithmetic Exp
FLOOR — Vector Floor
LN — Vector Log Natural
LOG10 — Vector Log10
SIN — Vector Trigonometric Sin
SINH — Vector Trigonometric Sinh
SQRT — Vector Square Root
TAN — Vector Trigonometric Tan
TANH — Vector Trigonometric Tanh - 数学运算符
ADD — Vector Arithmetic Add
DIV — Vector Arithmetic Div
MAX — Highest value over a specified period
MAXINDEX — Index of highest value over a specified period
MIN — Lowest value over a specified period
MININDEX — Index of lowest value over a specified period
MINMAX — Lowest and highest values over a specified period
MINMAXINDEX — Indexes of lowest and highest values over a specified period
MULT — Vector Arithmetic Mult
SUB — Vector Arithmetic Substraction
SUM — Summation
四、Tips
命令行打开方式
方法一:按下Win + R 键,弹出运行窗口,输入“cmd”后点击确定。
方法二:在电脑左下角的搜索框搜索“cmd”或“命令提示符”,点击检索结果“命令提示符”。
方法三:打开“开始”,点击“运行”,弹出运行窗口,输入“cmd”后点击确定。
- 运行窗口如图所示:
能看到这里,说明你应该大概率成功安装完成TaLib了,那为何不考虑看看同样开源免费,且功能强大的 天勤量化(TqSdk)呢?