4.8 EMV • EMV 技术指标的构建及应用

最后更新于:2022-04-01 21:53:33

# 4.8 EMV • EMV 技术指标的构建及应用 简易波动指标(EMV),是为数不多的考虑价量关系的技术指标。它刻画了股价在下跌的过程当中,由于买气不断的萎靡退缩,致使成交量逐渐的减少,EMV 数值也因而尾随下降,直到股价下跌至某一个合理支撑区,捡便宜货的买单促使成交量再度活跃,EMV 数值于是作相对反应向上攀升,当EMV 数值由负值向上趋近于零时,表示部分信心坚定的资金,成功的扭转了股价的跌势,行情不断反转上扬,并且形成另一次的买进讯号。 计算方法: 第一步 ![](https://docs.gechiui.com/gc-content/uploads/sites/kancloud/2016-07-30_579cbb03557c0.jpg) 这里`TH` 为当天最高价,`TL` 为当天最低价,`YH `为前日最高价,`YL` 为前日最低价。`MID > 0`意味着今天的平均价高于昨天的平均价。 第二步 ![](https://docs.gechiui.com/gc-content/uploads/sites/kancloud/2016-07-30_579cbb0367e70.jpg) 其中`VOL`代表交易量,`H`、`L`代表同一天的最高价与最低价 第三步 ![](https://docs.gechiui.com/gc-content/uploads/sites/kancloud/2016-07-30_579cbb037b8ad.jpg) 第四步 `EMV = EM`的N日简单移动平均 第五步 `MAEMV = EMV`的M日简单移动平均 ```py def emv(stk_list,current_date,N=14): cal = Calendar('China.SSE') period = '-' + str(N+1) + 'B' begin_date = cal.advanceDate(current_date,period,BizDayConvention.Unadjusted) end_date = cal.advanceDate(current_date,'-1B',BizDayConvention.Unadjusted) eq_emv = {} eq_mid = {} eq_bro = {} eq_Market = DataAPI.MktEqudAdjGet(secID=stk_list,beginDate=begin_date.strftime('%Y%m%d'),endDate=end_date.strftime('%Y%m%d'),field=['secID','highestPrice','lowestPrice','turnoverVol'],pandas="1") avaiable_list = eq_Market['secID'].drop_duplicates().tolist() eq_Market.set_index('secID',inplace=True) for stk in avaiable_list: if len(eq_Market.ix[stk]) == (N+1): eq_mid[stk] = (np.array(eq_Market.ix[stk]['highestPrice'][1:] + eq_Market.ix[stk]['lowestPrice'][1:]) - np.array(eq_Market.ix[stk]['highestPrice'][:-1] + eq_Market.ix[stk]['lowestPrice'][:-1]))/2 eq_bro[stk] = np.array(eq_Market.ix[stk]['turnoverVol'][1:])/np.array(eq_Market.ix[stk]['highestPrice'][1:] + eq_Market.ix[stk]['lowestPrice'][1:]) eq_emv[stk] = np.mean(eq_mid[stk]/eq_bro[stk]) return eq_emv ``` ```py def maemv(stk_list,current_date,N=14): cal = Calendar('China.SSE') period = '-' + str(N+1) + 'B' end_date = cal.advanceDate(current_date,'-1B',BizDayConvention.Unadjusted) start_date = cal.advanceDate(current_date,period,BizDayConvention.Unadjusted) timeSeries = cal.bizDatesList(start_date, end_date) eq_maemv = {} #初始化eq_maemv字典 eq_emv = emv(stk_list,end_date,N) for stk in eq_emv: eq_maemv[stk] = 0 #仅调用N次emv函数 for i in xrange(len(timeSeries)): eq_emv = emv(stk_list,timeSeries[i],N) for stk in eq_emv: eq_maemv[stk] = eq_maemv[stk] + eq_emv[stk] for stk in eq_maemv: eq_maemv[stk] = eq_maemv[stk]/N return eq_maemv ``` ## `EMV`指标基本用法 `EMV` 在0 以下表示弱势,在0 以上表示强势;`EMV` 由负转正应买进,由正转负应卖出。 ```py import numpy as np import pandas as pd from CAL.PyCAL import * start = '2012-08-01' # 回测起始时间 end = '2015-08-01' # 回测结束时间 benchmark = 'HS300' # 策略参考标准 universe = set_universe('HS300') # 证券池,支持股票和基金 capital_base = 1000000 # 起始资金 freq = 'd' # 策略类型,'d'表示日间策略使用日线回测,'m'表示日内策略使用分钟线回测 refresh_rate = 10 # 调仓频率,表示执行handle_data的时间间隔,若freq = 'd'时间间隔的单位为交易日,若freq = 'm'时间间隔为分钟 cal = Calendar('China.SSE') def initialize(account): # 初始化虚拟账户状态 pass def handle_data(account): # 每个交易日的买入卖出指令 eq_emv = emv(account.universe,account.current_date,N=14) buylist = [] for stk in eq_emv: if eq_emv[stk] > 0: buylist.append(stk) for stk in account.valid_secpos: if stk not in eq_emv or eq_emv[stk] <= 0: order_to(stk,0) else: if stk not in buylist[:]: buylist.append(stk) for stk in buylist: order_to(stk,account.referencePortfolioValue/account.referencePrice[stk]/len(buylist)) ``` ![](https://docs.gechiui.com/gc-content/uploads/sites/kancloud/2016-07-30_579cbb038d98a.jpg) ## `EMV`结合`MAEMV`使用 `EMV `上穿`MAEMV` 则买入,`EMV` 下穿`MAEMV` 则卖出。 ```py import numpy as np import pandas as pd from CAL.PyCAL import * start = '2012-08-01' # 回测起始时间 end = '2015-08-01' # 回测结束时间 benchmark = 'HS300' # 策略参考标准 universe = set_universe('HS300') # 证券池,支持股票和基金 capital_base = 1000000 # 起始资金 freq = 'd' # 策略类型,'d'表示日间策略使用日线回测,'m'表示日内策略使用分钟线回测 refresh_rate = 10 # 调仓频率,表示执行handle_data的时间间隔,若freq = 'd'时间间隔的单位为交易日,若freq = 'm'时间间隔为分钟 cal = Calendar('China.SSE') def initialize(account): # 初始化虚拟账户状态 pass def handle_data(account): # 每个交易日的买入卖出指令 eq_emv = emv(account.universe,account.current_date,14) eq_maemv = maemv(account.universe,account.current_date,14) buylist = [] for stk in eq_emv: try: if eq_emv[stk] > eq_maemv[stk]: buylist.append(stk) except: pass for stk in account.valid_secpos: if stk not in eq_emv or stk not in eq_maemv or eq_emv[stk] <= eq_maemv[stk]: order_to(stk,0) else: if stk not in buylist[:]: buylist.append(stk) for stk in buylist: order_to(stk,account.referencePortfolioValue/account.referencePrice[stk]/len(buylist)) ``` ![](https://docs.gechiui.com/gc-content/uploads/sites/kancloud/2016-07-30_579cbb03a69b4.jpg)
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