計(jì)算布林帶

# coding: utf-8
# 作者：Wizard <github.com/wizardforcel>

import numpy as np
from matplotlib import pyplot as plt
import sys

# 獲取數(shù)據(jù)
# 因?yàn)闆]找到數(shù)據(jù)源，所以直接隨機(jī)生成了
series = np.random.rand(100) * 10 + 10
ser_len = len(series)

# 獲取窗口大小，默認(rèn)為 5
win_sz = 5 if len(sys.argv) < 2 else sys.argv[1]
print u'窗口大小: ', win_sz

# 計(jì)算權(quán)重，sma_weight 為簡(jiǎn)單滑動(dòng)
# ema_weight 為指數(shù)滑動(dòng)
sma_weight = np.ones(win_sz).astype(float) / win_sz
ema_weight = np.exp(np.linspace(-1, 0, win_sz))
ema_weight /= ema_weight.sum()


# 手動(dòng)計(jì)算簡(jiǎn)單/指數(shù)滑動(dòng)平均，以及滑動(dòng)標(biāo)準(zhǔn)差
# 滑動(dòng)平均就是當(dāng)天和前 N - 1 天的（加權(quán)）均值
# 其中 N 是窗口大小，標(biāo)準(zhǔn)差與之類似
sma = []
ema = []
mstd = []

for i in xrange(win_sz - 1, ser_len):
    
    ser_range = series[i - (win_sz - 1): i + 1]
    avg = (ser_range * sma_weight).sum()
    sma.append(avg)
    avg = (ser_range * ema_weight).sum()
    ema.append(avg)
    
    std = ser_range.std()
    mstd.append(std)
    
sma = np.asarray(sma)
mstd = np.asarray(mstd)

# 上布林帶是簡(jiǎn)單滑動(dòng)均值加上兩個(gè)滑動(dòng)標(biāo)準(zhǔn)差
# 下布林帶是簡(jiǎn)單滑動(dòng)均值減去兩個(gè)滑動(dòng)標(biāo)準(zhǔn)差
upper = sma + 2 * mstd
lower = sma - 2 * mstd

# 要注意橫軸從 N - 1 開始
ser_slice = series[win_sz - 1:]
x = np.arange(win_sz - 1, ser_len)
print 'x: ', x[:5]

# 繪制函數(shù)
plt.plot(x, ser_slice, 'b', label='series')
print u'序列: ', ser_slice[:5]
plt.plot(x, sma, 'g', label='sma')
print u'簡(jiǎn)單滑動(dòng)均值: ', sma[:5]
plt.plot(x, ema, 'r', label='ema')
print u'指數(shù)滑動(dòng)均值: ', ema[:5]

plt.plot(x, upper, 'grey', label='upper bolling')
plt.plot(x, lower, 'grey', label='lower bolling')

plt.legend()
plt.show()