PorterandCursor
2c1232555e
将核心结构、指标与分析拆到 chan/{core,indicators,analysis,pipeline}；
根目录保留兼容 shim；strategies 改为从 chan 包导入；买卖点经 bsp_macd 与 MACD 接合。
Co-authored-by: Cursor <cursoragent@cursor.com>
75 lines
2.6 KiB
Python
75 lines
2.6 KiB
Python
"""从 OHLC DataFrame 计算指标，不触碰缠论结构对象。"""
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from __future__ import annotations
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from typing import Optional
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import talib.abstract as ta
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import pandas as pd
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from .config import IndicatorConfig
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from .store import IndicatorStore
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def _volume_ratio(df: pd.DataFrame, window: int = 10) -> pd.Series:
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vol = df["volume"].astype(float)
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ma = vol.rolling(window=window).mean()
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ratio = vol / ma
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return ratio.fillna(1.0)
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class IndicatorEngine:
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def __init__(self, config: Optional[IndicatorConfig] = None):
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self.config = config or IndicatorConfig()
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def compute(self, df: pd.DataFrame, config: Optional[IndicatorConfig] = None) -> IndicatorStore:
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cfg = config or self.config
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out = df.copy()
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fast, slow, period = cfg.macd_fast, cfg.macd_slow, cfg.macd_signal
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macd = ta.MACD(out, fastperiod=fast, slowperiod=slow, signalperiod=period)
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out["macd"] = macd["macd"]
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out["macdsignal"] = macd["macdsignal"]
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out["macdhist"] = macd["macdhist"]
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for period_n in cfg.ema_periods:
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out[f"ema{period_n}"] = ta.EMA(out, timeperiod=period_n)
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out["rsi"] = ta.RSI(out, timeperiod=cfg.rsi_period)
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out["atr"] = ta.ATR(out, timeperiod=cfg.atr_period)
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out["volume_ratio"] = _volume_ratio(out)
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bb_middle = ta.SMA(out, timeperiod=cfg.bb_middle_sma_period)
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for bb_period, nbup, nbdn, suffix in cfg.bbands:
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bb = ta.BBANDS(
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out,
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timeperiod=bb_period,
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nbdevup=nbup,
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nbdevdn=nbdn,
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matype=0,
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)
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bbp = (out["close"] - bb["lowerband"]) / (bb["upperband"] - bb["lowerband"])
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if suffix == "2633":
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out["bb2633upper"] = bb["upperband"]
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out["bb2633lower"] = bb["lowerband"]
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out["bb2633middle"] = bb["middleband"]
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out["bbp2633"] = bbp
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elif suffix == "365":
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out["bbup365"] = bb["upperband"]
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out["bblow365"] = bb["lowerband"]
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out["bbp365"] = bbp
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elif suffix == "120":
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out["bbup120"] = bb["upperband"]
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out["bblow120"] = bb["lowerband"]
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out["bbp120"] = bbp
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elif suffix == "30":
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out["bbup30"] = bb["upperband"]
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out["bblow30"] = bb["lowerband"]
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out["bbmiddle30"] = bb_middle
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out["bbp30"] = bbp
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elif suffix == "302":
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out["bbup302"] = bb["upperband"]
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out["bblow302"] = bb["lowerband"]
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out["bbp302"] = bbp
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return IndicatorStore(out)
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