MACD平滑异同移动平均线方法
最后更新于：2022-04-01 21:53:16
# MACD平滑异同移动平均线方法
> 来源：https://uqer.io/community/share/55a4e581f9f06c6dd0e17efa
策略思路：
MACD（Moving Average Convergence and Divergence)是Geral Appel 于1979年提出的，利用收盘价的短期（常用为12日）指数移动平均线与长期（常用为26日）指数移动平均线之间的聚合与分离状况，对买进、卖出时机作出研判的技术指标。
公式算法:
+ 短期EMA： 短期（例如12日）的收盘价指数移动平均值（Exponential Moving Average）
+ 长期EMA： 长期（例如26日）的收盘价指数移动平均值（Exponential Moving Average）
+ DIF线： （Difference）短期EMA和长期EMA的离差值
+ DEA线： （Difference Exponential Average）DIF线的M日指数平滑移动平均线
+ MACD线： DIF线与DEA线的差
参数：SHORT(短期)、LONG(长期)、M天数，一般为12、26、9。指数加权平滑系数为：
+ 短期EMA平滑系数： 2/(SHORT+1)
+ 长期EMA平滑系数： 2/(LONG+1)
+ DEA线平滑系数： 2/(M+1)
策略实现：
+ DIF从下而上穿过DEA，买进；
+ 相反，如DIF从上往下穿过DEA，卖出。
```py
import pandas as pd
start = datetime(2013, 1, 1)
end = datetime(2015, 7, 13)
benchmark = 'HS300'
#universe = ['601398.XSHG', '600028.XSHG', '601988.XSHG', '600036.XSHG', '600030.XSHG',
#'601318.XSHG', '600000.XSHG', '600019.XSHG', '600519.XSHG', '601166.XSHG']
universe = set_universe('SH50')
capital_base = 200000
refresh_rate = 1
window = 1
initMACD = -10000.0
histMACD = pd.DataFrame(initMACD, index = universe, columns = ['preShortEMA', 'preLongEMA', 'preDIF', 'preDEA'])
shortWin = 26 # 短期EMA平滑天数
longWin = 52 # 长期EMA平滑天数
macdWin = 15 # DEA线平滑天数
longest_history = window
def initialize(account):
account.amount = 10000
account.universe = universe
account.days = 0
def handle_data(account):
account.days = account.days+1
for stk in account.universe:
all_close_prices = account.get_attribute_history('closePrice', 1)
prices = all_close_prices[stk]
if prices is None:
continue
preShortEMA = histMACD.at[stk, 'preShortEMA']
preLongEMA = histMACD.at[stk, 'preLongEMA']
preDIF = histMACD.at[stk, 'preDIF']
preDEA = histMACD.at[stk, 'preDEA']
if preShortEMA == initMACD or preLongEMA == initMACD:
histMACD.at[stk, 'preShortEMA'] = prices[-1]
histMACD.at[stk, 'preLongEMA'] = prices[-1]
histMACD.at[stk, 'preDIF'] = 0
histMACD.at[stk, 'preDEA'] = 0
return
shortEMA = preShortEMA*1.0*(shortWin-1)/(shortWin+1) + prices[-1]*2.0/(shortWin+1)
longEMA = preLongEMA*1.0*(longWin-1)/(longWin+1) + prices[-1]*2.0/(longWin+1)
DIF = shortEMA - longEMA
DEA = preDEA*1.0*(macdWin-1)/(macdWin+1) + DIF*2.0/(macdWin+1)
histMACD.at[stk, 'preShortEMA'] = shortEMA
histMACD.at[stk, 'preLongEMA'] = longEMA
histMACD.at[stk, 'preDIF'] = DIF
histMACD.at[stk, 'preDEA'] = DEA
if account.days > longWin and account.days%1 == 0:
#if DIF > 0 and DEA > 0 and preDIF > preDEA and DIF < DEA:
if preDIF > preDEA and DIF < DEA:
order_to(stk, 0)
#if DIF < 0 and DEA < 0 and preDIF < preDEA and DIF > DEA:
if preDIF < preDEA and DIF > DEA:
amount = account.amount/prices[-1]
order_to(stk, amount)
```
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