wukan1986 / ta_cn Goto Github PK
View Code? Open in Web Editor NEW**版技术指标
License: MIT License
**版技术指标
License: MIT License
用 conda 创建虚拟环境
每支股票 340 条数据
F1=COUNT(L==LLV(L,60),10)>=1;
XH=F1;
遍历执行上面策略大概4000次(类比四千只股)
使用 mytt 的 count 执行了 3.326728343963623s
使用 from ta_cn.tdx import COUNT 的 count 执行了 8.872456312179565s
RANK(SUM(CORR(RANK(VOLUME), RANK(VWAP)), 6), 2)中corr没有Period, 以我的理解应该改为:
RANK(SUM(CORR(RANK(VOLUME), RANK(VWAP), 6), 2))
def alpha_143(CLOSE, **kwargs):
"""Alpha143 CLOSE>DELAY(CLOSE,1)?(CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)*SELF:SELF"""
t1 = DELAY(CLOSE, 1)
t2 = IF(CLOSE > t1, CLOSE / t1 - 1., 1.)
return CUMPROD(t2)
没有看到对于self(上一期结果)的处理
python3 -m venv venv
Traceback (most recent call last):
File "/Users/xxx/code/futudata/main.py", line 46, in <module>
ret = func(**kwargs)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/alphas/alpha191.py", line 622, in alpha_083
t1 = COVIANCE(RANK(HIGH), RANK(VOLUME), 5)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/utils_long.py", line 88, in decorated
s3 = s2.groupby(by=by, group_keys=False).apply(to_pd(dataframe_split(func)), **_kwargs)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/groupby/groupby.py", line 1423, in apply
result = self._python_apply_general(f, self._selected_obj)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/groupby/groupby.py", line 1464, in _python_apply_general
values, mutated = self.grouper.apply(f, data, self.axis)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/groupby/ops.py", line 761, in apply
res = f(group)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/groupby/groupby.py", line 1397, in f
return func(g, *args, **kwargs)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/utils.py", line 14, in decorated
return np_to_pd(func(*args, **kwargs),
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/utils_long.py", line 107, in decorated
return func(*args_input, *args, **kwargs_input, **kwargs)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/statistics.py", line 79, in COVAR
return numpy_rolling_apply([pd_to_np(real0), pd_to_np(real1)],
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/nb.py", line 289, in numpy_rolling_apply
return func1(*arrs, out, window, func2, *args)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/numba/core/dispatcher.py", line 468, in _compile_for_args
error_rewrite(e, 'typing')
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/numba/core/dispatcher.py", line 409, in error_rewrite
raise e.with_traceback(None)
numba.core.errors.TypingError: Failed in nopython mode pipeline (step: nopython frontend)
Failed in nopython mode pipeline (step: nopython frontend)
No implementation of function Function(<function cov at 0x10408ecb0>) found for signature:
>>> cov(readonly array(float64, 1d, A), readonly array(float64, 1d, A))
There are 2 candidate implementations:
- Of which 2 did not match due to:
Overload in function 'np_cov': File: numba/np/arraymath.py: Line 2888.
With argument(s): '(readonly array(float64, 1d, A), readonly array(float64, 1d, A))':
Rejected as the implementation raised a specific error:
TypingError: Failed in nopython mode pipeline (step: nopython frontend)
No implementation of function Function(<function np_cov_impl_inner at 0x148201240>) found for signature:
>>> np_cov_impl_inner(array(float64, 2d, C), Literal[bool](False), none)
There are 2 candidate implementations:
- Of which 2 did not match due to:
Overload in function 'register_jitable.<locals>.wrap.<locals>.ov_wrap': File: numba/core/extending.py: Line 159.
With argument(s): '(array(float64, 2d, C), bool, none)':
Rejected as the implementation raised a specific error:
TypingError: Failed in nopython mode pipeline (step: nopython frontend)
No implementation of function Function(<function dot at 0x103259870>) found for signature:
>>> dot(array(float64, 2d, C), array(float64, 2d, F))
There are 4 candidate implementations:
- Of which 4 did not match due to:
Overload in function '_OverloadWrapper._build.<locals>.ol_generated': File: numba/core/overload_glue.py: Line 131.
With argument(s): '(array(float64, 2d, C), array(float64, 2d, F))':
Rejected as the implementation raised a specific error:
LoweringError: Failed in nopython mode pipeline (step: native lowering)
scipy 0.16+ is required for linear algebra
File "<string>", line 3:
<source missing, REPL/exec in use?>
During: lowering "$8call_function.3 = call $2load_global.0(tmp0, tmp1, func=$2load_global.0, args=[Var(tmp0, <string>:3), Var(tmp1, <string>:3)], kws=(), vararg=None, target=None)" at <string> (3)
raised from /Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/numba/core/errors.py:837
During: resolving callee type: Function(<function dot at 0x103259870>)
During: typing of call at /Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/numba/np/arraymath.py (2739)
File "../../.conda/envs/futudata/lib/python3.10/site-packages/numba/np/arraymath.py", line 2739:
def np_cov_impl_inner(X, bias, ddof):
<source elided>
# calculate result - requires blas
c = np.dot(X, np.conj(X.T))
^
raised from /Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/numba/core/typeinfer.py:1086
During: resolving callee type: Function(<function np_cov_impl_inner at 0x148201240>)
During: typing of call at /Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/numba/np/arraymath.py (2927)
File "../../.conda/envs/futudata/lib/python3.10/site-packages/numba/np/arraymath.py", line 2927:
def np_cov_impl(m, y=None, rowvar=True, bias=False, ddof=None):
<source elided>
else:
return np_cov_impl_inner(X, bias, ddof)
^
raised from /Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/numba/core/typeinfer.py:1086
During: resolving callee type: Function(<function cov at 0x10408ecb0>)
During: typing of call at /Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/nb.py (207)
File "../../.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/nb.py", line 207:
def _cov_nb(arr0, arr1):
<source elided>
"""协方差矩阵"""
return _np.cov(arr0, arr1)[0, 1]
^
During: resolving callee type: type(CPUDispatcher(<function _cov_nb at 0x13709edd0>))
During: typing of call at /Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/nb.py (239)
During: resolving callee type: type(CPUDispatcher(<function _cov_nb at 0x13709edd0>))
During: typing of call at /Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/nb.py (239)
File "../../.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/nb.py", line 239:
def _rolling_func_2_nb(arr0, arr1, out, timeperiod, func, *args):
<source elided>
for i, (a, b) in enumerate(zip(arr0, arr1)):
out[i + timeperiod - 1] = func(a, b, *args)
^
Traceback (most recent call last):
File "/Users/xxx/code/futudata/main.py", line 57, in <module>
ret = l.alpha_075(**kwargs_l)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/ta_cn/alphas/test191.py", line 505, in alpha_075
return COUNT((CLOSE > OPEN) & (BANCHMARKINDEXCLOSE < BANCHMARKINDEXOPEN), 50) / COUNT(
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/ops/common.py", line 70, in new_method
return method(self, other)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/arraylike.py", line 124, in __truediv__
return self._arith_method(other, operator.truediv)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/series.py", line 5639, in _arith_method
return base.IndexOpsMixin._arith_method(self, other, op)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/base.py", line 1295, in _arith_method
result = ops.arithmetic_op(lvalues, rvalues, op)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/ops/array_ops.py", line 220, in arithmetic_op
_bool_arith_check(op, left, right)
File "/Users/xxx/.conda/envs/futudata/lib/python3.10/site-packages/pandas/core/ops/array_ops.py", line 520, in _bool_arith_check
raise NotImplementedError(
NotImplementedError: operator 'truediv' not implemented for bool dtypes
报一下错误
File "D:\06_projects\python\stock_trade\alphas191.py", line 62, in <module> alpha_001 = l.alpha_001(OPEN=OPEN, CLOSE=CLOSE, VOLUME=VOLUME) File "D:\ProgramData\Anaconda3\envs\py38\lib\site-packages\ta_cn\alphas\alpha191.py", line 14, in alpha_001 return (-1 * CORR(RANK(DELTA(LOG(VOLUME), 1)), RANK(((CLOSE - OPEN) / OPEN)), 6)) File "D:\ProgramData\Anaconda3\envs\py38\lib\site-packages\ta_cn\utils_long.py", line 112, in decorated return pd.Series(s3, index=s1.index) File "D:\ProgramData\Anaconda3\envs\py38\lib\site-packages\pandas\core\series.py", line 386, in __init__ if is_empty_data(data) and dtype is None: File "D:\ProgramData\Anaconda3\envs\py38\lib\site-packages\pandas\core\construction.py", line 877, in is_empty_data is_simple_empty = is_list_like_without_dtype and not data File "D:\ProgramData\Anaconda3\envs\py38\lib\site-packages\pandas\core\generic.py", line 1527, in __nonzero__ raise ValueError( ValueError: The truth value of a DataFrame is ambiguous. Use a.empty, a.bool(), a.item(), a.any() or a.all().
而且,dataframe的索引还必须设置asset,不然报错,这是什么原因?难道不能单独求值?
A declarative, efficient, and flexible JavaScript library for building user interfaces.
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
An Open Source Machine Learning Framework for Everyone
The Web framework for perfectionists with deadlines.
A PHP framework for web artisans
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
Some thing interesting about web. New door for the world.
A server is a program made to process requests and deliver data to clients.
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
Some thing interesting about visualization, use data art
Some thing interesting about game, make everyone happy.
We are working to build community through open source technology. NB: members must have two-factor auth.
Open source projects and samples from Microsoft.
Google ❤️ Open Source for everyone.
Alibaba Open Source for everyone
Data-Driven Documents codes.
China tencent open source team.