在python中从头开始计算macd

如何解决在python中从头开始计算macd

我从一开始就尝试使用 anaconda 和 spyder 软件计算 macd 值。脚本如下。但是我的值没有给出直方图的正确值。有谁知道为什么？我使用这个公式来计算移动平均线： help entry

脚本：

-- 编码：utf-8 --

创建于 2020 年 11 月 4 日星期三 14:47:40

@author: tor-pc

import numpy as np
import datetime
import time
from binance.client import Client
api_key = 'censored'
secret_key = 'censored'
client = Client(api_key,secret_key) 

symbol= 'ETHUSDT'
quantity= '42'
x=0
t=0
y=0
buyprice=0
BTC=[]
BTC= client.get_historical_klines(symbol=symbol,interval='1d',start_str="1 sep,2020")
ma1=0
sma1=0
weightlast=(2/26+1)
weightrest=1-weightlast
sweightlast=(2/12+1)
sweightrest=1-sweightlast
sigweightlast=(2/9+1)
sigweightrest=1-sweightlast
for i in range(61,36,-1):
    
    ma1=ma1+float(BTC[-i][4])
    x=x+1
    
print(x)

    
ma1=(ma1/25)*weightrest+float(BTC[-35][4])*weightlast

ma2=(ma1*weightrest+float(BTC[-34][4])*weightlast)

ma3=(ma2*weightrest+float(BTC[-33][4])*weightlast)

ma4=(ma3*weightrest+float(BTC[-32][4])*weightlast)

ma5=(ma4*weightrest+float(BTC[-31][4])*weightlast)

ma6=(ma5*weightrest+float(BTC[-30][4])*weightlast)

ma7=(ma6*weightrest+float(BTC[-29][4])*weightlast)

ma8=(ma7*weightrest+float(BTC[-28][4])*weightlast)

ma9=(ma8*weightrest+float(BTC[-27][4])*weightlast)

ma10=(ma9*weightrest+float(BTC[-26][4])*weightlast)

ma11=(ma10*weightrest+float(BTC[-25][4])*weightlast)

ma12=(ma11*weightrest+float(BTC[-24][4])*weightlast)

ma13=(ma12*weightrest+float(BTC[-23][4])*weightlast)

ma14=(ma13*weightrest+float(BTC[-22][4])*weightlast)

ma15=(ma14*weightrest+float(BTC[-21][4])*weightlast)

ma16=(ma15*weightrest+float(BTC[-20][4])*weightlast)

ma17=(ma16*weightrest+float(BTC[-19][4])*weightlast)

ma18=(ma17*weightrest+float(BTC[-18][4])*weightlast)

ma19=(ma18*weightrest+float(BTC[-17][4])*weightlast)

ma20=(ma19*weightrest+float(BTC[-16][4])*weightlast)

ma21=(ma20*weightrest+float(BTC[-15][4])*weightlast)

ma22=(ma21*weightrest+float(BTC[-14][4])*weightlast)

ma23=(ma22*weightrest+float(BTC[-13][4])*weightlast)

ma24=(ma23*weightrest+float(BTC[-12][4])*weightlast)

ma25=(ma24*weightrest+float(BTC[-11][4])*weightlast)

ma26=(ma25*weightrest+float(BTC[-10][4])*weightlast)

ma27=(ma26*weightrest+float(BTC[-9][4])*weightlast)

ma28=(ma27*weightrest+float(BTC[-8][4])*weightlast)

ma29=(ma28*weightrest+float(BTC[-7][4])*weightlast)

ma30=(ma29*weightrest+float(BTC[-6][4])*weightlast)

ma31=(ma30*weightrest+float(BTC[-5][4])*weightlast)

ma32=(ma31*weightrest+float(BTC[-4][4])*weightlast)

ma33=(ma32*weightrest+float(BTC[-3][4])*weightlast)

ma34=(ma33*weightrest+float(BTC[-2][4])*weightlast)

ma35=(ma34*weightrest+float(BTC[-1][4])*weightlast)

for i in range(61,50,-1):
    
    sma1=sma1+float(BTC[-i][4])
    y=y+1
print(y)   

sma1=(sma1/11)*sweightrest+float(BTC[-49][4])*sweightlast 

sma2=sma1*sweightrest+float(BTC[-48][4])*sweightlast 

sma3=sma2*sweightrest+float(BTC[-47][4])*sweightlast

sma4=sma3*sweightrest+float(BTC[-46][4])*sweightlast

sma5=sma4*sweightrest+float(BTC[-45][4])*sweightlast

sma6=sma5*sweightrest+float(BTC[-44][4])*sweightlast

sma7=sma6*sweightrest+float(BTC[-43][4])*sweightlast

sma8=sma7*sweightrest+float(BTC[-42][4])*sweightlast

sma9=sma8*sweightrest+float(BTC[-41][4])*sweightlast

sma10=sma9*sweightrest+float(BTC[-40][4])*sweightlast

sma11=sma10*sweightrest+float(BTC[-39][4])*sweightlast

sma12=sma11*sweightrest+float(BTC[-38][4])*sweightlast

sma13=sma12*sweightrest+float(BTC[-37][4])*sweightlast

sma14=sma13*sweightrest+float(BTC[-36][4])*sweightlast

sma15=sma14*sweightrest+float(BTC[-35][4])*sweightlast

sma16=sma15*sweightrest+float(BTC[-34][4])*sweightlast

sma17=sma16*sweightrest+float(BTC[-33][4])*sweightlast

sma18=sma17*sweightrest+float(BTC[-32][4])*sweightlast

sma19=sma18*sweightrest+float(BTC[-31][4])*sweightlast

sma20=sma19*sweightrest+float(BTC[-30][4])*sweightlast

sma21=sma20*sweightrest+float(BTC[-29][4])*sweightlast

sma22=sma21*sweightrest+float(BTC[-28][4])*sweightlast

sma23=sma22*sweightrest+float(BTC[-27][4])*sweightlast

sma24=sma23*sweightrest+float(BTC[-26][4])*sweightlast

sma25=sma24*sweightrest+float(BTC[-25][4])*sweightlast

sma26=sma25*sweightrest+float(BTC[-24][4])*sweightlast

sma27=sma26*sweightrest+float(BTC[-23][4])*sweightlast

sma28=sma27*sweightrest+float(BTC[-22][4])*sweightlast

sma29=sma28*sweightrest+float(BTC[-21][4])*sweightlast

sma30=sma29*sweightrest+float(BTC[-20][4])*sweightlast

sma31=sma30*sweightrest+float(BTC[-19][4])*sweightlast

sma32=sma31*sweightrest+float(BTC[-18][4])*sweightlast

sma33=sma32*sweightrest+float(BTC[-17][4])*sweightlast

sma34=sma33*sweightrest+float(BTC[-16][4])*sweightlast

sma35=sma34*sweightrest+float(BTC[-15][4])*sweightlast

sma36=sma35*sweightrest+float(BTC[-14][4])*sweightlast

sma37=sma36*sweightrest+float(BTC[-13][4])*sweightlast

sma38=sma37*sweightrest+float(BTC[-12][4])*sweightlast

sma39=sma38*sweightrest+float(BTC[-11][4])*sweightlast

sma40=sma39*sweightrest+float(BTC[-10][4])*sweightlast

sma41=sma40*sweightrest+float(BTC[-9][4])*sweightlast

sma42=sma41*sweightrest+float(BTC[-8][4])*sweightlast

sma43=sma42*sweightrest+float(BTC[-7][4])*sweightlast

sma44=sma43*sweightrest+float(BTC[-6][4])*sweightlast

sma45=sma44*sweightrest+float(BTC[-5][4])*sweightlast

sma46=sma45*sweightrest+float(BTC[-4][4])*sweightlast

sma47=sma46*sweightrest+float(BTC[-3][4])*sweightlast

sma48=sma47*sweightrest+float(BTC[-2][4])*sweightlast

sma49=sma48*sweightrest+float(BTC[-1][4])*sweightlast


macd=sma49-ma35

sig91=(sma32 -ma18+sma33-ma19+sma34-ma20+sma35-ma21+sma36-ma22+sma37-ma23+sma38-ma24+sma39-ma25+sma40-ma26)/9

signal1=sig91*sigweightrest+(sma41-ma27)*sigweightlast

signal2=signal1*sigweightrest+(sma42-ma28)*sigweightlast

signal3=signal2*sigweightrest+(sma43-ma29)*sigweightlast

signal4=signal3*sigweightrest+(sma44-ma30)*sigweightlast

signal5=signal4*sigweightrest+(sma45-ma31)*sigweightlast

signal6=signal5*sigweightrest+(sma46-ma32)*sigweightlast

signal7=signal6*sigweightrest+(sma47-ma33)*sigweightlast

signal8=signal7*sigweightrest+(sma48-ma34)*sigweightlast

signal9=signal8*sigweightrest+(sma49-ma35)*sigweightlast


hist=macd-signal9

print(hist)
print(float(BTC[-1][4]))

解决方法

看一下 peerchemist/finta 中计算 MACD 的实现：

def MACD(
    cls,ohlc: DataFrame,period_fast: int = 12,period_slow: int = 26,signal: int = 9,column: str = "close",adjust: bool = True,) -> DataFrame:
    """
    MACD,MACD Signal and MACD difference.
    The MACD Line oscillates above and below the zero line,which is also known as the centerline.
    These crossovers signal that the 12-day EMA has crossed the 26-day EMA. The direction,of course,depends on the direction of the moving average cross.
    Positive MACD indicates that the 12-day EMA is above the 26-day EMA. Positive values increase as the shorter EMA diverges further from the longer EMA.
    This means upside momentum is increasing. Negative MACD values indicates that the 12-day EMA is below the 26-day EMA.
    Negative values increase as the shorter EMA diverges further below the longer EMA. This means downside momentum is increasing.
    Signal line crossovers are the most common MACD signals. The signal line is a 9-day EMA of the MACD Line.
    As a moving average of the indicator,it trails the MACD and makes it easier to spot MACD turns.
    A bullish crossover occurs when the MACD turns up and crosses above the signal line.
    A bearish crossover occurs when the MACD turns down and crosses below the signal line.
    """

    EMA_fast = pd.Series(
        ohlc[column].ewm(ignore_na=False,span=period_fast,adjust=adjust).mean(),name="EMA_fast",)
    EMA_slow = pd.Series(
        ohlc[column].ewm(ignore_na=False,span=period_slow,name="EMA_slow",)
    MACD = pd.Series(EMA_fast - EMA_slow,name="MACD")
    MACD_signal = pd.Series(
        MACD.ewm(ignore_na=False,span=signal,name="SIGNAL"
    )

    return pd.concat([MACD,MACD_signal],axis=1)

他使用了 pandas 中的 exponential weighted (EW) 函数。也许这对你有帮助。