PyAlgoTradeではTA-libを売買時に使うことができる

チャートに関しての様々な指標のほとんどは手計算を行っていた時代に考えられたものなので、今どきのコンピュータなら一瞬で答えが出てくる。とはいえ、計算式をプログラムにするときにバグが入り込みやすく、本人の勉強以外ですでにある指標を自作することはあまり得策ではない。
TA-Libはさまざまな指標を計算することができるライブラリで、これを活用することで時間を節約することができる。
TA-Lib
http://ta-lib.org/

組み込みテスト
以下のプログラムが動いたらTA-libが使えるようになっている。 ちなみに、乱数をボリンジャーバンドに当てはめただけなので結果にに意味はない

import numpy
import talib

data=numpy.random.random(100)
upper,middle,lower = talib.BBANDS(data,matype=talib.MA_Type.T3)

print(upper)
print(middle)
print(lower)

TA-Libがサポートしている指標は以下の通り。すいません、半分もわかりません。www

pyalgotrade.talibext.indicator.AD(barDs, count)

Chaikin A/D Line

pyalgotrade.talibext.indicator.ADOSC(barDs, count, fastperiod=-2147483648, slowperiod=-2147483648)

Chaikin A/D Oscillator

pyalgotrade.talibext.indicator.ADX(barDs, count, timeperiod=-2147483648)

Average Directional Movement Index

pyalgotrade.talibext.indicator.ADXR(barDs, count, timeperiod=-2147483648)

Average Directional Movement Index Rating

pyalgotrade.talibext.indicator.APO(ds, count, fastperiod=-2147483648, slowperiod=-2147483648, matype=0)

Absolute Price Oscillator

pyalgotrade.talibext.indicator.AROON(barDs, count, timeperiod=-2147483648)

Aroon

pyalgotrade.talibext.indicator.AROONOSC(barDs, count, timeperiod=-2147483648)

Aroon Oscillator

pyalgotrade.talibext.indicator.ATR(barDs, count, timeperiod=-2147483648)

Average True Range

pyalgotrade.talibext.indicator.AVGPRICE(barDs, count)

Average Price

pyalgotrade.talibext.indicator.BBANDS(ds, count, timeperiod=-2147483648, nbdevup=-4e+37, nbdevdn=-4e+37, matype=0)

Bollinger Bands

pyalgotrade.talibext.indicator.BETA(ds1, ds2, count, timeperiod=-2147483648)

Beta

pyalgotrade.talibext.indicator.BOP(barDs, count)

Balance Of Power

pyalgotrade.talibext.indicator.CCI(barDs, count, timeperiod=-2147483648)

Commodity Channel Index

pyalgotrade.talibext.indicator.CDL2CROWS(barDs, count)

Two Crows

pyalgotrade.talibext.indicator.CDL3BLACKCROWS(barDs, count)

Three Black Crows

pyalgotrade.talibext.indicator.CDL3INSIDE(barDs, count)

Three Inside Up/Down

pyalgotrade.talibext.indicator.CDL3LINESTRIKE(barDs, count)

Three-Line Strike

pyalgotrade.talibext.indicator.CDL3OUTSIDE(barDs, count)

Three Outside Up/Down

pyalgotrade.talibext.indicator.CDL3STARSINSOUTH(barDs, count)

Three Stars In The South

pyalgotrade.talibext.indicator.CDL3WHITESOLDIERS(barDs, count)

Three Advancing White Soldiers

pyalgotrade.talibext.indicator.CDLABANDONEDBABY(barDs, count, penetration=-4e+37)

Abandoned Baby

pyalgotrade.talibext.indicator.CDLADVANCEBLOCK(barDs, count)

Advance Block

pyalgotrade.talibext.indicator.CDLBELTHOLD(barDs, count)

Belt-hold

pyalgotrade.talibext.indicator.CDLBREAKAWAY(barDs, count)

Breakaway

pyalgotrade.talibext.indicator.CDLCLOSINGMARUBOZU(barDs, count)

Closing Marubozu

pyalgotrade.talibext.indicator.CDLCONCEALBABYSWALL(barDs, count)

Concealing Baby Swallow

pyalgotrade.talibext.indicator.CDLCOUNTERATTACK(barDs, count)

Counterattack

pyalgotrade.talibext.indicator.CDLDARKCLOUDCOVER(barDs, count, penetration=-4e+37)

Dark Cloud Cover

pyalgotrade.talibext.indicator.CDLDOJI(barDs, count)

Doji

pyalgotrade.talibext.indicator.CDLDOJISTAR(barDs, count)

Doji Star

pyalgotrade.talibext.indicator.CDLDRAGONFLYDOJI(barDs, count)

Dragonfly Doji

pyalgotrade.talibext.indicator.CDLENGULFING(barDs, count)

Engulfing Pattern

pyalgotrade.talibext.indicator.CDLEVENINGDOJISTAR(barDs, count, penetration=-4e+37)

Evening Doji Star

pyalgotrade.talibext.indicator.CDLEVENINGSTAR(barDs, count, penetration=-4e+37)

Evening Star

pyalgotrade.talibext.indicator.CDLGAPSIDESIDEWHITE(barDs, count)

Up/Down-gap side-by-side white lines

pyalgotrade.talibext.indicator.CDLGRAVESTONEDOJI(barDs, count)

Gravestone Doji

pyalgotrade.talibext.indicator.CDLHAMMER(barDs, count)

Hammer

pyalgotrade.talibext.indicator.CDLHANGINGMAN(barDs, count)

Hanging Man

pyalgotrade.talibext.indicator.CDLHARAMI(barDs, count)

Harami Pattern

pyalgotrade.talibext.indicator.CDLHARAMICROSS(barDs, count)

Harami Cross Pattern

pyalgotrade.talibext.indicator.CDLHIGHWAVE(barDs, count)

High-Wave Candle

pyalgotrade.talibext.indicator.CDLHIKKAKE(barDs, count)

Hikkake Pattern

pyalgotrade.talibext.indicator.CDLHIKKAKEMOD(barDs, count)

Modified Hikkake Pattern

pyalgotrade.talibext.indicator.CDLHOMINGPIGEON(barDs, count)

Homing Pigeon

pyalgotrade.talibext.indicator.CDLIDENTICAL3CROWS(barDs, count)

Identical Three Crows

pyalgotrade.talibext.indicator.CDLINNECK(barDs, count)

In-Neck Pattern

pyalgotrade.talibext.indicator.CDLINVERTEDHAMMER(barDs, count)

Inverted Hammer

pyalgotrade.talibext.indicator.CDLKICKING(barDs, count)

Kicking

pyalgotrade.talibext.indicator.CDLKICKINGBYLENGTH(barDs, count)

Kicking - bull/bear determined by the longer marubozu

pyalgotrade.talibext.indicator.CDLLADDERBOTTOM(barDs, count)

Ladder Bottom

pyalgotrade.talibext.indicator.CDLLONGLEGGEDDOJI(barDs, count)

Long Legged Doji

pyalgotrade.talibext.indicator.CDLLONGLINE(barDs, count)

Long Line Candle

pyalgotrade.talibext.indicator.CDLMARUBOZU(barDs, count)

Marubozu

pyalgotrade.talibext.indicator.CDLMATCHINGLOW(barDs, count)

Matching Low

pyalgotrade.talibext.indicator.CDLMATHOLD(barDs, count, penetration=-4e+37)

Mat Hold

pyalgotrade.talibext.indicator.CDLMORNINGDOJISTAR(barDs, count, penetration=-4e+37)

Morning Doji Star

pyalgotrade.talibext.indicator.CDLMORNINGSTAR(barDs, count, penetration=-4e+37)

Morning Star

pyalgotrade.talibext.indicator.CDLONNECK(barDs, count)

On-Neck Pattern

pyalgotrade.talibext.indicator.CDLPIERCING(barDs, count)

Piercing Pattern

pyalgotrade.talibext.indicator.CDLRICKSHAWMAN(barDs, count)

Rickshaw Man

pyalgotrade.talibext.indicator.CDLRISEFALL3METHODS(barDs, count)

Rising/Falling Three Methods

pyalgotrade.talibext.indicator.CDLSEPARATINGLINES(barDs, count)

Separating Lines

pyalgotrade.talibext.indicator.CDLSHOOTINGSTAR(barDs, count)

Shooting Star

pyalgotrade.talibext.indicator.CDLSHORTLINE(barDs, count)

Short Line Candle

pyalgotrade.talibext.indicator.CDLSPINNINGTOP(barDs, count)

Spinning Top

pyalgotrade.talibext.indicator.CDLSTALLEDPATTERN(barDs, count)

Stalled Pattern

pyalgotrade.talibext.indicator.CDLSTICKSANDWICH(barDs, count)

Stick Sandwich

pyalgotrade.talibext.indicator.CDLTAKURI(barDs, count)

Takuri (Dragonfly Doji with very long lower shadow)

pyalgotrade.talibext.indicator.CDLTASUKIGAP(barDs, count)

Tasuki Gap

pyalgotrade.talibext.indicator.CDLTHRUSTING(barDs, count)

Thrusting Pattern

pyalgotrade.talibext.indicator.CDLTRISTAR(barDs, count)

Tristar Pattern

pyalgotrade.talibext.indicator.CDLUNIQUE3RIVER(barDs, count)

Unique 3 River

pyalgotrade.talibext.indicator.CDLUPSIDEGAP2CROWS(barDs, count)

Upside Gap Two Crows

pyalgotrade.talibext.indicator.CDLXSIDEGAP3METHODS(barDs, count)

Upside/Downside Gap Three Methods

pyalgotrade.talibext.indicator.CMO(ds, count, timeperiod=-2147483648)

Chande Momentum Oscillator

pyalgotrade.talibext.indicator.CORREL(ds1, ds2, count, timeperiod=-2147483648)

Pearson’s Correlation Coefficient (r)

pyalgotrade.talibext.indicator.DEMA(ds, count, timeperiod=-2147483648)

Double Exponential Moving Average

pyalgotrade.talibext.indicator.DX(barDs, count, timeperiod=-2147483648)

Directional Movement Index

pyalgotrade.talibext.indicator.EMA(ds, count, timeperiod=-2147483648)

Exponential Moving Average

pyalgotrade.talibext.indicator.HT_DCPERIOD(ds, count)

Hilbert Transform - Dominant Cycle Period

pyalgotrade.talibext.indicator.HT_DCPHASE(ds, count)

Hilbert Transform - Dominant Cycle Phase

pyalgotrade.talibext.indicator.HT_PHASOR(ds, count)

Hilbert Transform - Phasor Components

pyalgotrade.talibext.indicator.HT_SINE(ds, count)

Hilbert Transform - SineWave

pyalgotrade.talibext.indicator.HT_TRENDLINE(ds, count)

Hilbert Transform - Instantaneous Trendline

pyalgotrade.talibext.indicator.HT_TRENDMODE(ds, count)

Hilbert Transform - Trend vs Cycle Mode

pyalgotrade.talibext.indicator.KAMA(ds, count, timeperiod=-2147483648)

Kaufman Adaptive Moving Average

pyalgotrade.talibext.indicator.LINEARREG(ds, count, timeperiod=-2147483648)

Linear Regression

pyalgotrade.talibext.indicator.LINEARREG_ANGLE(ds, count, timeperiod=-2147483648)

Linear Regression Angle

pyalgotrade.talibext.indicator.LINEARREG_INTERCEPT(ds, count, timeperiod=-2147483648)

Linear Regression Intercept

pyalgotrade.talibext.indicator.LINEARREG_SLOPE(ds, count, timeperiod=-2147483648)

Linear Regression Slope

pyalgotrade.talibext.indicator.MA(ds, count, timeperiod=-2147483648, matype=0)

All Moving Average

pyalgotrade.talibext.indicator.MACD(ds, count, fastperiod=-2147483648, slowperiod=-2147483648,signalperiod=-2147483648)

Moving Average Convergence/Divergence

pyalgotrade.talibext.indicator.MACDEXT(ds, count, fastperiod=-2147483648, fastmatype=0, slowperiod=-2147483648,slowmatype=0, signalperiod=-2147483648, signalmatype=0)

MACD with controllable MA type

pyalgotrade.talibext.indicator.MACDFIX(ds, count, signalperiod=-2147483648)

Moving Average Convergence/Divergence Fix 12/26

pyalgotrade.talibext.indicator.MAMA(ds, count, fastlimit=-4e+37, slowlimit=-4e+37)

MESA Adaptive Moving Average

pyalgotrade.talibext.indicator.MAX(ds, count, timeperiod=-2147483648)

Highest value over a specified period

pyalgotrade.talibext.indicator.MAXINDEX(ds, count, timeperiod=-2147483648)

Index of highest value over a specified period

pyalgotrade.talibext.indicator.MEDPRICE(barDs, count)

Median Price

pyalgotrade.talibext.indicator.MFI(barDs, count, timeperiod=-2147483648)

Money Flow Index

pyalgotrade.talibext.indicator.MIDPOINT(ds, count, timeperiod=-2147483648)

MidPoint over period

pyalgotrade.talibext.indicator.MIDPRICE(barDs, count, timeperiod=-2147483648)

Midpoint Price over period

pyalgotrade.talibext.indicator.MIN(ds, count, timeperiod=-2147483648)

Lowest value over a specified period

pyalgotrade.talibext.indicator.MININDEX(ds, count, timeperiod=-2147483648)

Index of lowest value over a specified period

pyalgotrade.talibext.indicator.MINMAX(ds, count, timeperiod=-2147483648)

Lowest and highest values over a specified period

pyalgotrade.talibext.indicator.MINMAXINDEX(ds, count, timeperiod=-2147483648)

Indexes of lowest and highest values over a specified period

pyalgotrade.talibext.indicator.MINUS_DI(barDs, count, timeperiod=-2147483648)

Minus Directional Indicator

pyalgotrade.talibext.indicator.MINUS_DM(barDs, count, timeperiod=-2147483648)

Minus Directional Movement

pyalgotrade.talibext.indicator.MOM(ds, count, timeperiod=-2147483648)

Momentum

pyalgotrade.talibext.indicator.NATR(barDs, count, timeperiod=-2147483648)

Normalized Average True Range

pyalgotrade.talibext.indicator.OBV(ds1, volumeDs, count)

On Balance Volume

pyalgotrade.talibext.indicator.PLUS_DI(barDs, count, timeperiod=-2147483648)

Plus Directional Indicator

pyalgotrade.talibext.indicator.PLUS_DM(barDs, count, timeperiod=-2147483648)

Plus Directional Movement

pyalgotrade.talibext.indicator.PPO(ds, count, fastperiod=-2147483648, slowperiod=-2147483648, matype=0)

Percentage Price Oscillator

pyalgotrade.talibext.indicator.ROC(ds, count, timeperiod=-2147483648)

Rate of change : ((price/prevPrice)-1)*100

pyalgotrade.talibext.indicator.ROCP(ds, count, timeperiod=-2147483648)

Rate of change Percentage: (price-prevPrice)/prevPrice

pyalgotrade.talibext.indicator.ROCR(ds, count, timeperiod=-2147483648)

Rate of change ratio: (price/prevPrice)

pyalgotrade.talibext.indicator.ROCR100(ds, count, timeperiod=-2147483648)

Rate of change ratio 100 scale: (price/prevPrice)*100

pyalgotrade.talibext.indicator.RSI(ds, count, timeperiod=-2147483648)

Relative Strength Index

pyalgotrade.talibext.indicator.SAR(barDs, count, acceleration=-4e+37, maximum=-4e+37)

Parabolic SAR

pyalgotrade.talibext.indicator.SAREXT(barDs, count, startvalue=-4e+37, offsetonreverse=-4e+37,accelerationinitlong=-4e+37, accelerationlong=-4e+37, accelerationmaxlong=-4e+37, accelerationinitshort=-4e+37,accelerationshort=-4e+37, accelerationmaxshort=-4e+37)

Parabolic SAR - Extended

pyalgotrade.talibext.indicator.SMA(ds, count, timeperiod=-2147483648)

Simple Moving Average

pyalgotrade.talibext.indicator.STDDEV(ds, count, timeperiod=-2147483648, nbdev=-4e+37)

Standard Deviation

pyalgotrade.talibext.indicator.STOCH(barDs, count, fastk_period=-2147483648, slowk_period=-2147483648, slowk_matype=0,slowd_period=-2147483648, slowd_matype=0)

Stochastic

pyalgotrade.talibext.indicator.STOCHF(barDs, count, fastk_period=-2147483648, fastd_period=-2147483648,fastd_matype=0)

Stochastic Fast

pyalgotrade.talibext.indicator.STOCHRSI(ds, count, timeperiod=-2147483648, fastk_period=-2147483648,fastd_period=-2147483648, fastd_matype=0)

Stochastic Relative Strength Index

pyalgotrade.talibext.indicator.SUM(ds, count, timeperiod=-2147483648)

Summation

pyalgotrade.talibext.indicator.T3(ds, count, timeperiod=-2147483648, vfactor=-4e+37)

Triple Exponential Moving Average (T3)

pyalgotrade.talibext.indicator.TEMA(ds, count, timeperiod=-2147483648)

Triple Exponential Moving Average

pyalgotrade.talibext.indicator.TRANGE(barDs, count)

True Range

pyalgotrade.talibext.indicator.TRIMA(ds, count, timeperiod=-2147483648)

Triangular Moving Average

pyalgotrade.talibext.indicator.TRIX(ds, count, timeperiod=-2147483648)

1-day Rate-Of-Change (ROC) of a Triple Smooth EMA

pyalgotrade.talibext.indicator.TSF(ds, count, timeperiod=-2147483648)

Time Series Forecast

pyalgotrade.talibext.indicator.TYPPRICE(barDs, count)

Typical Price

pyalgotrade.talibext.indicator.ULTOSC(barDs, count, timeperiod1=-2147483648, timeperiod2=-2147483648,timeperiod3=-2147483648)

Ultimate Oscillator

pyalgotrade.talibext.indicator.VAR(ds, count, timeperiod=-2147483648, nbdev=-4e+37)

Variance

pyalgotrade.talibext.indicator.WCLPRICE(barDs, count)

Weighted Close Price

pyalgotrade.talibext.indicator.WILLR(barDs, count, timeperiod=-2147483648)

Williams’ %R

pyalgotrade.talibext.indicator.WMA(ds, count, timeperiod=-2147483648)

Weighted Moving Average