量化交易----常见指标的python实现01
顺势指标CCICCI中文译名为:随顺市势指标。它属于超买超卖指标中较特殊的一种。波动于广向正值无限大和微向负值无限小之间。本指标专门用以测量股价是否已超出常态分布范围计算公式CCI（N日）=（TP－MA）÷Std÷0.015其中，TP=（最高价+最低价+收盘价）÷3
MA=近N日收盘价的累计之和÷N
Std=近N日数据的标准差# Load the necessary packages and modules
import pandas as pd
import pandas.io.data as web
import matplotlib.pyplot as plt
# Commodity Channel Index
def CCI(data, ndays):
TP = (data['High'] + data['Low'] + data['Close']) / 3
CCI = pd.Series((TP - pd.rolling_mean(TP, ndays)) / (0.015 * pd.rolling_std(TP, ndays)),
name = 'CCI')
data = data.join(CCI)
return data
# Retrieve the Nifty data from Yahoo finance:
data = web.DataReader('^NSEI',data_source='yahoo',start='1/1/2014', end='1/1/2016')
data = pd.DataFrame(data)
# Compute the Commodity Channel Index(CCI) for NIFTY based on the 20-day Moving average
n = 20
NIFTY_CCI = CCI(data, n)
CCI = NIFTY_CCI['CCI']
# Plotting the Price Series chart and the Commodity Channel index below
fig = plt.figure(figsize=(7,5))
ax = fig.add_subplot(2, 1, 1)
ax.set_xticklabels([])
plt.plot(data['Close'],lw=1)
plt.title('NSE Price Chart')
plt.ylabel('Close Price')
plt.grid(True)
bx = fig.add_subplot(2, 1, 2)
plt.plot(CCI,'k',lw=0.75,linestyle='-',label='CCI')
plt.legend(loc=2,prop={'size':9.5})
plt.ylabel('CCI values')
plt.grid(True)
plt.setp(plt.gca().get_xticklabels(), rotation=30)
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