一、阿隆指标Aroon简介
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AR：计算自股价达到近期最高价以来的周期数，周期数随着时间递增，直到股价创新高。
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AD：计算自股价达到近期最低价以来的周期数，周期数随着时间递增，直到股价创新低。
二、交易信号的生成
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买入信号：当AR线从下向上穿越AD线，且AR值高于AD值时，视为买入信号。
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卖出信号：当AD线从上向下穿越AR线，且AD值高于AR值时，视为卖出信号。
三、Aroon阿隆指标策略量化实战
import pandas as pdimport numpy as npdef calculate_aroon(df, n=14): high_diff = (df['High'] - df['High'].shift(1)) > 0 low_diff = (df['Low'] - df['Low'].shift(1)) < 0 df['AroonUp'] = (n / (high_diff.cumsum() + n)) df['AroonDown'] = (n / (low_diff.cumsum() + n)) df['AR'] = 100 * (1 - df['AroonUp']) df['AD'] = 100 * (1 - df['AroonDown']) return df['AR'], df['AD']def generate_signals(df, ar, ad): df['Signal'] = 0 df['Signal'][ar > ad] = 1 # 买入信号 df['Signal'][ad > ar] = -1 # 卖出信号 return df['Signal']# 假设df是包含股票最高价和最低价的DataFramear, ad = calculate_aroon(df)signals = generate_signals(df, ar, ad)# 绘制Aroon指标和交易信号import matplotlib.pyplot as pltplt.figure(figsize=(14, 7))plt.plot(df['Close'], label='Close Price', alpha=0.5)plt.plot(ar, label='Aroon Up', color='green')plt.plot(ad, label='Aroon Down', color='red')plt.plot(df[signals == 1].index, df['Close'][signals == 1], '^', markersize=10, color='green', label='Buy Signal')plt.plot(df[signals == -1].index, df['Close'][signals == -1], 'v', markersize=10, color='red', label='Sell Signal')plt.legend()plt.show()
策略回测
四、结语
发布者：股市刺客，转载请注明出处：https://www.95sca.cn/archives/106020
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