705 lines
34 KiB
Markdown
705 lines
34 KiB
Markdown
# Wickra 指标速查手册（Python API）
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> **用途**：AI 写量化指标时，直接查这里复用，不用手搓。
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> **安装**：`pip install wickra`（零第三方依赖，不需要 numpy）
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> **版本**：0.9.9 | **指标总数**：514
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## 通用调用模式
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```python
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import wickra as ta
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# ── Streaming（实时逐 tick，O(1)）──────────────────────
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ind = ta.RSI(14) # 构造：参数在此时固定
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value = ind.update(price) # 返回 None（warmup）或 float
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ind.is_ready() # 是否已过 warmup
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ind.warmup_period() # warmup 需要多少根 K 线
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ind.reset() # 重置到初始状态
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# ── Batch（历史回测，等价于循环 update）────────────────
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values = ta.RSI(14).batch(close) # 返回 array.array('d')，warmup 位为 NaN
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# numpy 零拷贝：np.asarray(values)
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# ── 输入类型 ──────────────────────────────────────────
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# f64 指标：update(price: float) → batch(close)
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# Candle 指标：update(candle) → batch(high, low, close[, volume])
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# candle 可以是 dict 或 tuple：
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# {"open":o, "high":h, "low":l, "close":c, "volume":v}
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# (o, h, l, c, v, timestamp)
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# ── 多输出指标 ────────────────────────────────────────
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# batch 返回 Matrix（shape 属性 + [i,j] 访问）
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# update 返回 tuple，如 MACD → (macd, signal, histogram)
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```
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---
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## 1. 趋势指标（Trend）— 20 个
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| 指标 | 构造 | 输入类型 | 输出 | 用途 |
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|---|---|---|---|---|
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| `SMA` | `SMA(period)` | f64 | float | 简单移动平均 |
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| `EMA` | `EMA(period)` | f64 | float | 指数移动平均（最常用） |
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| `WMA` | `WMA(period)` | f64 | float | 加权移动平均 |
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| `DEMA` | `DEMA(period)` | f64 | float | 双指数移动平均 |
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| `TEMA` | `TEMA(period)` | f64 | float | 三指数移动平均 |
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| `HMA` | `HMA(period)` | f64 | float | Hull 移动平均（低延迟） |
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| `KAMA` | `KAMA(er_period=10, fast=2, slow=30)` | f64 | float | Kaufman 自适应移动平均 |
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| `SMMA` | `SMMA(period)` | f64 | float | 平滑移动平均 |
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| `TRIMA` | `TRIMA(period)` | f64 | float | 三角移动平均 |
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| `ZLEMA` | `ZLEMA(period)` | f64 | float | 零滞后 EMA |
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| `T3` | `T3(period, v=0.7)` | f64 | float | Tillson T3 移动平均 |
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| `VWMA` | `VWMA(period)` | Candle | float | 成交量加权移动平均 |
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| `ALMA` | `ALMA(period, ...)` | f64 | float | Arnaud Legoux 移动平均 |
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| `McGinleyDynamic` | `McGinleyDynamic(period)` | f64 | float | McGinley 动态平均 |
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| `FRAMA` | `FRAMA(period, ...)` | f64 | float | 分形自适应移动平均 |
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| `VIDYA` | `VIDYA(period, ...)` | f64 | float | 变异指数动态平均 |
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| `JMA` | `JMA(period, ...)` | f64 | float | Jurik 移动平均（超低延迟） |
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| `Alligator` | `Alligator(...)` | f64 | (jaw,teeth,lips) | Bill Williams 鳄鱼指标 |
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| `EVWMA` | `EVWMA(period)` | Candle | float | 弹性成交量加权移动平均 |
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| `TDMovingAverage` | `TDMovingAverage(...)` | Candle | float | DeMark 移动平均 |
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**QuantDinger 对应**：
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```python
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# QuantDinger: df["close"].ewm(span=14, adjust=False).mean()
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# Wickra: ta.EMA(14).batch(close)
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# 或流式: ema = ta.EMA(14); ema.update(price)
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```
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---
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## 2. 动量指标（Momentum）— 40+ 个
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| 指标 | 构造 | 输入类型 | 输出 | 用途 |
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|---|---|---|---|---|
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| `RSI` | `RSI(period=14)` | f64 | float | 相对强弱指数 |
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| `AnchoredRSI` | `AnchoredRSI(period=14)` | f64 | float | 锚定 RSI |
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| `MACD` | `MACD(fast=12, slow=26, signal=9)` | f64 | (macd,signal,hist) | MACD |
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| `MACDFIX` | `MACDFIX(...)` | f64 | tuple | 修正 MACD |
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| `MACDEXT` | `MACDEXT(...)` | f64 | tuple | 扩展 MACD |
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| `Stochastic` | `Stochastic(k_period=14, d_period=3)` | Candle | (k,d) | 随机指标 K&D |
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| `CCI` | `CCI(period=20)` | Candle | float | 商品通道指数 |
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| `ROC` | `ROC(period=10)` | f64 | float | 变化率 |
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| `WilliamsR` | `WilliamsR(period=14)` | Candle | float | 威廉 %R |
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| `ADX` | `ADX(period=14)` | Candle | (plus_di,minus_di,adx) | 平均方向指数 |
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| `ADXR` | `ADXR(period=14)` | Candle | tuple | ADX 评级 |
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| `PLUS_DM` / `MINUS_DM` | `(period=14)` | Candle | float | 正/负方向运动 |
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| `MFI` | `MFI(period=14)` | Candle | float | 资金流量指数 |
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| `TRIX` | `TRIX(period=30)` | f64 | float | 三重指数平滑 |
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| `AwesomeOscillator` | `AwesomeOscillator(fast=5, slow=34)` | Candle | float | 动量振荡器 |
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| `Aroon` | `Aroon(period=14)` | Candle | (up,down) | Aroon 上下 |
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| `AroonOscillator` | `AroonOscillator(period=14)` | Candle | float | Aroon 振荡器 |
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| `MOM` | `MOM(period=10)` | f64 | float | 动量 |
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| `CMO` | `CMO(period=14)` | f64 | float | 钱德动量振荡器 |
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| `TSI` | `TSI(long=25, short=13)` | f64 | float | 真实强度指数 |
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| `PMO` | `PMO(smoothing1=35, smoothing2=20)` | f64 | float | 价格动量振荡器 |
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| `TII` | `TII(period, ...)` | f64 | float | 趋势强度指数 |
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| `KST` | `KST(...)` | f64 | tuple | 确知确定指标 |
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| `StochRSI` | `StochRSI(rsi_period=14, stoch_period=14)` | f64 | float | 随机 RSI |
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| `UltimateOscillator` | `UltimateOscillator(short=7, mid=14, long=28)` | Candle | float | 终极振荡器 |
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| `RVI` | `RVI(period=14)` | Candle | tuple | 相对活力指数 |
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| `PGO` | `PGO(period=14)` | f64 | float | 漂移振荡器 |
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| `SMI` | `SMI(period, ...)` | f64 | float | 随机动量指数 |
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| `LaguerreRSI` | `LaguerreRSI(...)` | f64 | float | 拉格朗日 RSI |
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| `ConnorsRSI` | `ConnorsRSI(...)` | f64 | float | Connors RSI |
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| `Inertia` | `Inertia(period, ...)` | f64 | float | 惯性指标 |
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| `APO` | `APO(fast=12, slow=26)` | f64 | float | 绝对价格振荡器 |
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| `PPO` | `PPO(fast=12, slow=26)` | f64 | float | 百分比价格振荡器 |
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| `DPO` | `DPO(period=20)` | f64 | float | 去趋势价格振荡器 |
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| `CFO` | `CFO(period, ...)` | f64 | float | 变化力振荡器 |
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| `Coppock` | `Coppock(roc_long=14, roc_short=11, wma_period=10)` | f64 | float | Coppock 曲线 |
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| `ZeroLagMACD` | `ZeroLagMACD(...)` | f64 | tuple | 零滞后 MACD |
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| `ElderImpulse` | `ElderImpulse(...)` | Candle | tuple | Elder 脉冲系统 |
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| `STC` | `STC(...)` | f64 | tuple | Schaff 趋势周期 |
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| `Vortex` | `Vortex(period=14)` | Candle | (plus,minus) | 涡流指标 |
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| `RWI` | `RWI(period, ...)` | Candle | tuple | 随机游走指数 |
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| `WaveTrend` | `WaveTrend(...)` | Candle | (wt1,wt2) | 波浪趋势 |
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| `MassIndex` | `MassIndex(ema_period=9, sum_period=25)` | Candle | float | 质量指数 |
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| `AcceleratorOscillator` | `AcceleratorOscillator(...)` | Candle | float | 加速振荡器 |
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| `BalanceOfPower` | `BalanceOfPower()` | Candle | float | 力量平衡 |
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| `ChoppinessIndex` | `ChoppinessIndex(period=14)` | Candle | float | 砍伐指数 |
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| `VerticalHorizontalFilter` | `VerticalHorizontalFilter(period=28)` | f64 | float | 垂直水平过滤 |
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| `FisherRSI` | `FisherRSI(...)` | f64 | float | Fisher RSI |
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| `RSX` | `RSX(period, ...)` | f64 | float | RSX（平滑 RSI） |
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| `RMI` | `RMI(period, ...)` | f64 | float | 相对动量指数 |
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| `StochasticCCI` | `StochasticCCI(...)` | Candle | float | 随机 CCI |
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| `DynamicMomentumIndex` | `DynamicMomentumIndex(...)` | Candle | float | 动态动量指数 |
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| `DerivativeOscillator` | `DerivativeOscillator(...)` | f64 | float | 导数振荡器 |
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| `ElderRay` | `ElderRay(period, ...)` | Candle | tuple | Elder Ray |
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| `QQE` | `QQE(period, ...)` | f64 | tuple | 量化定性估计 |
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| `DisparityIndex` | `DisparityIndex(period, ...)` | f64 | float | 差异指数 |
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---
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## 3. 波动率指标（Volatility）— 25+ 个
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| 指标 | 构造 | 输入类型 | 输出 | 用途 |
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|---|---|---|---|---|
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| `BollingerBands` | `BollingerBands(period=20, multiplier=2.0)` | f64 | (upper,mid,lower,stddev) | 布林带 |
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| `BollingerBandwidth` | `BollingerBandwidth(period=20, multiplier=2.0)` | f64 | float | 布林带宽度 |
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| `PercentB` | `PercentB(period=20, multiplier=2.0)` | f64 | float | %B 指标 |
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| `ATR` | `ATR(period=14)` | Candle | float | 平均真实范围 |
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| `NATR` | `NATR(period=14)` | Candle | float | 归一化 ATR |
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| `TrueRange` | `TrueRange()` | Candle | float | 真实范围 |
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| `Keltner` | `Keltner(ema_period=20, atr_period=10, multiplier=2.0)` | Candle | (upper,mid,lower) | Keltner 通道 |
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| `Donchian` | `Donchian(period=20)` | Candle | (upper,mid,lower) | 唐奇安通道 |
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| `PSAR` | `PSAR(af_start=0.02, af_step=0.02, af_max=0.20)` | Candle | float | 抛物线 SAR |
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| `SAREXT` | `SAREXT(...)` | Candle | float | 扩展 SAR |
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| `StdDev` | `StdDev(period=20)` | f64 | float | 标准差 |
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| `Variance` | `Variance(period, ...)` | f64 | float | 方差 |
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| `UlcerIndex` | `UlcerIndex(period=14)` | f64 | float | 溃疡指数 |
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| `HistoricalVolatility` | `HistoricalVolatility(period=20, trading_periods=252)` | f64 | float | 历史波动率 |
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| `ChaikinVolatility` | `ChaikinVolatility(ema_period=10, roc_period=10)` | Candle | float | 蔡金波动率 |
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| `RVIVolatility` | `RVIVolatility(period, ...)` | Candle | float | RVI 波动率 |
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| `ParkinsonVolatility` | `ParkinsonVolatility(period, ...)` | Candle | float | Parkinson 波动率 |
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| `GarmanKlassVolatility` | `GarmanKlassVolatility(period, ...)` | Candle | float | Garman-Klass 波动率 |
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| `RogersSatchellVolatility` | `RogersSatchellVolatility(period, ...)` | Candle | float | Rogers-Satchell 波动率 |
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| `YangZhangVolatility` | `YangZhangVolatility(period, ...)` | Candle | float | Yang-Zhang 波动率 |
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| `Garch11` | `Garch11(...)` | f64 | float | GARCH(1,1) |
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| `EwmaVolatility` | `EwmaVolatility(...)` | f64 | float | EWMA 波动率 |
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| `VolatilityCone` | `VolatilityCone(period, ...)` | Candle | tuple | 波动率锥 |
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| `VolatilityRatio` | `VolatilityRatio(period, ...)` | Candle | float | 波动率比 |
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| `VolatilityOfVolatility` | `VolatilityOfVolatility(period, ...)` | f64 | float | 波动率的波动率 |
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| `BipowerVariation` | `BipowerVariation(period, ...)` | f64 | float | 双幂变差 |
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| `RealizedVolatility` | `RealizedVolatility(period, ...)` | f64 | float | 已实现波动率 |
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---
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## 4. 追踪止损（Trailing Stops）— 15 个
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| 指标 | 构造 | 输入类型 | 输出 | 用途 |
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| `SuperTrend` | `SuperTrend(atr_period=10, multiplier=3.0)` | Candle | (value,direction) | SuperTrend |
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| `ChandelierExit` | `ChandelierExit(period=22, multiplier=3.0)` | Candle | (long_stop,short_stop) | 吊灯退出 |
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| `ChandeKrollStop` | `ChandeKrollStop(atr_period=10, atr_mult=1.0, stop_period=9)` | Candle | (stop_long,stop_short) | Chande-Kroll 止损 |
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| `AtrTrailingStop` | `AtrTrailingStop(atr_period=14, multiplier=3.0)` | Candle | float | ATR 追踪止损 |
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| `AtrRatchet` | `AtrRatchet(...)` | Candle | tuple | ATR 棘轮止损 |
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| `ElderSafeZone` | `ElderSafeZone(...)` | Candle | tuple | Elder 安全区止损 |
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| `DonchianStop` | `DonchianStop(period, ...)` | Candle | tuple | 唐奇安止损 |
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| `HiLoActivator` | `HiLoActivator(period, ...)` | Candle | tuple | 高低激活器 |
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| `VoltyStop` | `VoltyStop(...)` | Candle | tuple | 波动率止损 |
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| `YoyoExit` | `YoyoExit(...)` | Candle | tuple | Yoyo 退出 |
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| `ModifiedMaStop` | `ModifiedMaStop(...)` | Candle | tuple | 修正 MA 止损 |
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| `Nrtr` | `Nrtr(...)` | Candle | tuple | NRTR 止损 |
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| `PercentageTrailingStop` | `PercentageTrailingStop(...)` | Candle | tuple | 百分比追踪止损 |
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| `StepTrailingStop` | `StepTrailingStop(...)` | f64 | float | 阶梯追踪止损 |
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| `RenkoTrailingStop` | `RenkoTrailingStop(...)` | f64 | float | Renko 追踪止损 |
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| `KaseDevStop` | `KaseDevStop(...)` | Candle | tuple | Kase 偏差止损 |
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---
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## 5. 成交量指标（Volume）— 25+ 个
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| 指标 | 构造 | 输入类型 | 输出 | 用途 |
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|---|---|---|---|---|
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| `OBV` | `OBV()` | Candle | float | 能量潮 |
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| `VWAP` | `VWAP()` | Candle | float | 成交量加权平均价 |
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| `RollingVWAP` | `RollingVWAP(period)` | Candle | float | 滚动 VWAP |
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| `AnchoredVWAP` | `AnchoredVWAP(...)` | Candle | float | 锚定 VWAP |
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| `ADL` | `ADL()` | Candle | float | 累积/派发线 |
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| `ChaikinMoneyFlow` | `ChaikinMoneyFlow(period=20)` | Candle | float | 蔡金资金流 |
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| `ChaikinOscillator` | `ChaikinOscillator(fast=3, slow=10)` | Candle | float | 蔡金振荡器 |
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| `ForceIndex` | `ForceIndex(period=13)` | Candle | float | 力量指数 |
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| `VolumePriceTrend` | `VolumePriceTrend()` | Candle | float | 成交量价格趋势 |
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| `VolumeRsi` | `VolumeRsi(period, ...)` | Candle | float | 成交量 RSI |
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| `VolumeOscillator` | `VolumeOscillator(...)` | Candle | float | 成交量振荡器 |
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| `VolumeWeightedMacd` | `VolumeWeightedMacd(...)` | Candle | tuple | 成交量加权 MACD |
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| `BetterVolume` | `BetterVolume(...)` | Candle | tuple | Better Volume |
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| `IntradayIntensity` | `IntradayIntensity(...)` | Candle | float | 日内强度 |
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| `TradeVolumeIndex` | `TradeVolumeIndex(...)` | Candle | float | 交易量指数 |
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| `TwiggsMoneyFlow` | `TwiggsMoneyFlow(period, ...)` | Candle | float | Twiggs 资金流 |
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| `KVO` | `KVO(...)` | Candle | float | Klinger 成交量振荡器 |
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| `NVI` / `PVI` | `NVI()` / `PVI()` | Candle | float | 负/正成交量指数 |
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| `ADOSC` | `ADOSC(...)` | Candle | float | AD 振荡器 |
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| `DemandIndex` | `DemandIndex(...)` | Candle | float | 需求指数 |
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| `TSV` | `TSV(period, ...)` | Candle | float | 时间分割成交量 |
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| `VZO` | `VZO(period, ...)` | Candle | float | 成交量区域振荡器 |
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| `MarketFacilitationIndex` | `MarketFacilitationIndex()` | Candle | float | 市场便利指数 |
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| `EaseOfMovement` | `EaseOfMovement(period=14, divisor=1e8)` | Candle | float | 简易波动指标 |
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| `Wad` | `Wad()` | Candle | float | Williams AD |
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---
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## 6. 统计指标（Statistics）— 30+ 个
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| 指标 | 构造 | 输入类型 | 输出 | 用途 |
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|---|---|---|---|---|
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| `LinearRegression` | `LinearRegression(period=14)` | f64 | float | 线性回归 |
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| `LinRegSlope` | `LinRegSlope(period=14)` | f64 | float | 线性回归斜率 |
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| `LinRegAngle` | `LinRegAngle(period=14)` | f64 | float | 线性回归角度 |
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| `ZScore` | `ZScore(period=20)` | f64 | float | Z 分数 |
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| `Variance` | `Variance(period, ...)` | f64 | float | 方差 |
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| `CoefficientOfVariation` | `CoefficientOfVariation(period, ...)` | f64 | float | 变异系数 |
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| `Skewness` | `Skewness(period, ...)` | f64 | float | 偏度 |
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| `Kurtosis` | `Kurtosis(period, ...)` | f64 | float | 峰度 |
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| `StandardError` | `StandardError(period, ...)` | f64 | float | 标准误差 |
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| `DetrendedStdDev` | `DetrendedStdDev(period, ...)` | f64 | float | 去趋势标准差 |
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| `RSquared` | `RSquared(period, ...)` | f64 | float | R² |
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| `Autocorrelation` | `Autocorrelation(period, ...)` | f64 | float | 自相关 |
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| `MedianAbsoluteDeviation` | `MedianAbsoluteDeviation(period, ...)` | f64 | float | 中位数绝对偏差 |
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| `HurstExponent` | `HurstExponent(period, ...)` | f64 | float | Hurst 指数 |
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| `PearsonCorrelation` | `PearsonCorrelation(period, ...)` | tuple | float | 皮尔逊相关 |
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| `SpearmanCorrelation` | `SpearmanCorrelation(period, ...)` | tuple | float | 斯皮尔曼相关 |
|
||
| `Beta` | `Beta(period, ...)` | tuple | float | Beta 系数 |
|
||
| `PairwiseBeta` | `PairwiseBeta(period, ...)` | tuple | float | 配对 Beta |
|
||
| `Cointegration` | `Cointegration(period, ...)` | tuple | tuple | 协整 |
|
||
| `RollingCovariance` | `RollingCovariance(period, ...)` | tuple | float | 滚动协方差 |
|
||
| `RollingCorrelation` | `RollingCorrelation(period, ...)` | tuple | float | 滚动相关 |
|
||
| `KendallTau` | `KendallTau(period, ...)` | tuple | float | Kendall τ |
|
||
| `GrangerCausality` | `GrangerCausality(period, ...)` | tuple | tuple | 格兰杰因果 |
|
||
| `VarianceRatio` | `VarianceRatio(period, ...)` | tuple | tuple | 方差比 |
|
||
| `BetaNeutralSpread` | `BetaNeutralSpread(period, ...)` | tuple | float | Beta 中性价差 |
|
||
| `KalmanHedgeRatio` | `KalmanHedgeRatio(...)` | tuple | tuple | Kalman 对冲比 |
|
||
| `TypicalPrice` | `TypicalPrice()` | Candle | float | 典型价格 (H+L+C)/3 |
|
||
| `MedianPrice` | `MedianPrice()` | Candle | float | 中位价格 (H+L)/2 |
|
||
| `WeightedClose` | `WeightedClose()` | Candle | float | 加权收盘 (H+L+2C)/4 |
|
||
| `RollingQuantile` | `RollingQuantile(period, ...)` | f64 | float | 滚动分位数 |
|
||
| `RollingPercentileRank` | `RollingPercentileRank(period, ...)` | f64 | float | 滚动百分位排名 |
|
||
| `RollingIqr` | `RollingIqr(period, ...)` | f64 | float | 滚动四分位距 |
|
||
| `JarqueBera` | `JarqueBera(period, ...)` | f64 | float | Jarque-Bera 检验 |
|
||
|
||
---
|
||
|
||
## 7. Ehlers / 周期指标（Cycle）— 18 个
|
||
|
||
| 指标 | 构造 | 用途 |
|
||
|---|---|---|
|
||
| `SuperSmoother` | `SuperSmoother(period, ...)` | Ehlers 超级平滑器 |
|
||
| `FisherTransform` | `FisherTransform(period, ...)` | Fisher 变换 |
|
||
| `InverseFisherTransform` | `InverseFisherTransform(...)` | 逆 Fisher 变换 |
|
||
| `Decycler` | `Decycler(period, ...)` | 去周期器 |
|
||
| `DecyclerOscillator` | `DecyclerOscillator(period, ...)` | 去周期振荡器 |
|
||
| `RoofingFilter` | `RoofingFilter(...)` | 屋顶滤波器 |
|
||
| `CenterOfGravity` | `CenterOfGravity(period, ...)` | 重心 |
|
||
| `CyberneticCycle` | `CyberneticCycle(period, ...)` | 控制论周期 |
|
||
| `InstantaneousTrendline` | `InstantaneousTrendline(...)` | 瞬时趋势线 |
|
||
| `EhlersStochastic` | `EhlersStochastic(...)` | Ehlers 随机指标 |
|
||
| `EmpiricalModeDecomposition` | `EmpiricalModeDecomposition(...)` | 经验模态分解 |
|
||
| `HilbertDominantCycle` | `HilbertDominantCycle(...)` | Hilbert 主周期 |
|
||
| `HT_DCPHASE` | `HT_DCPHASE(...)` | Hilbert DC 相位 |
|
||
| `HT_PHASOR` | `HT_PHASOR(...)` | Hilbert 相量 |
|
||
| `HT_TRENDMODE` | `HT_TRENDMODE(...)` | Hilbert 趋势模式 |
|
||
| `AdaptiveCycle` | `AdaptiveCycle(...)` | 自适应周期 |
|
||
| `SineWave` | `SineWave(...)` | 正弦波指标 |
|
||
| `MAMA` / `FAMA` | `MAMA(...)` / `FAMA(...)` | MESA 自适应移动平均 |
|
||
|
||
---
|
||
|
||
## 8. 带状 & 通道指标（Bands & Channels）— 15 个
|
||
|
||
| 指标 | 构造 | 输出 | 用途 |
|
||
|---|---|---|---|
|
||
| `ProjectionBands` | `ProjectionBands(period, ...)` | (upper,lower) | 投影带 |
|
||
| `MedianChannel` | `MedianChannel(period, ...)` | tuple | 中位数通道 |
|
||
| `BomarBands` | `BomarBands(period, ...)` | tuple | Bomar 带 |
|
||
| `QuartileBands` | `QuartileBands(period, ...)` | tuple | 四分位带 |
|
||
| `MaEnvelope` | `MaEnvelope(period, ...)` | tuple | 移动平均包络 |
|
||
| `AccelerationBands` | `AccelerationBands(period, ...)` | tuple | 加速度带 |
|
||
| `StarcBands` | `StarcBands(period, ...)` | tuple | STARC 带 |
|
||
| `AtrBands` | `AtrBands(period, ...)` | tuple | ATR 带 |
|
||
| `HurstChannel` | `HurstChannel(period, ...)` | tuple | Hurst 通道 |
|
||
| `LinRegChannel` | `LinRegChannel(period, ...)` | tuple | 线性回归通道 |
|
||
| `StandardErrorBands` | `StandardErrorBands(period, ...)` | tuple | 标准误差带 |
|
||
| `DoubleBollinger` | `DoubleBollinger(period, ...)` | tuple | 双布林带 |
|
||
| `TtmSqueeze` | `TtmSqueeze(period, ...)` | tuple | TTM 挤压 |
|
||
| `FractalChaosBands` | `FractalChaosBands(period, ...)` | tuple | 分形混沌带 |
|
||
| `VwapStdDevBands` | `VwapStdDevBands(period, ...)` | tuple | VWAP 标准差带 |
|
||
|
||
---
|
||
|
||
## 9. 枢轴 & 支撑阻力（Pivots & S/R）— 12 个
|
||
|
||
| 指标 | 构造 | 用途 |
|
||
|---|---|---|
|
||
| `ClassicPivots` | `ClassicPivots()` | 经典枢轴点 |
|
||
| `FibonacciPivots` | `FibonacciPivots()` | 斐波那契枢轴 |
|
||
| `Camarilla` | `Camarilla()` | Camarilla 枢轴 |
|
||
| `WoodiePivots` | `WoodiePivots()` | Woodie 枢轴 |
|
||
| `DemarkPivots` | `DemarkPivots()` | DeMark 枢轴 |
|
||
| `CentralPivotRange` | `CentralPivotRange(period, ...)` | 中央枢轴范围 |
|
||
| `PivotReversal` | `PivotReversal(...)` | 枢轴反转 |
|
||
| `VolumeWeightedSr` | `VolumeWeightedSr(period, ...)` | 成交量加权支撑阻力 |
|
||
| `AndrewsPitchfork` | `AndrewsPitchfork(...)` | Andrews 干草叉 |
|
||
| `MurreyMathLines` | `MurreyMathLines(...)` | Murrey 数学线 |
|
||
| `WilliamsFractals` | `WilliamsFractals(period, ...)` | Williams 分形 |
|
||
| `ZigZag` | `ZigZag(threshold, ...)` | Z 字形 |
|
||
|
||
---
|
||
|
||
## 10. DeMark 序列 — 17 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `TDSetup` | TD Setup 计数 |
|
||
| `TDSequential` | TD Sequential |
|
||
| `TDCountdown` | TD Countdown |
|
||
| `TDCombo` | TD Combo |
|
||
| `TDDeMarker` | DeMarker 振荡器 |
|
||
| `TDREI` | Range Expansion Index |
|
||
| `TDPressure` | TD Pressure |
|
||
| `TDDwave` | TD D-Wave |
|
||
| `TDTrap` | TD Trap |
|
||
| `TDPropulsion` | TD Propulsion |
|
||
| `TDClopwin` | TD Clopwin |
|
||
| `TDClop` | TD Clop |
|
||
| `TDCamouflage` | TD Camouflage |
|
||
| `TDLines` | TD Lines |
|
||
| `TDRangeProjection` | TD Range Projection |
|
||
| `TDDifferential` | TD Differential |
|
||
| `TDOpen` / `TDRiskLevel` | TD Open / Risk Level |
|
||
|
||
---
|
||
|
||
## 11. K线形态（Candlestick Patterns）— 60+ 个
|
||
|
||
**所有 K 线形态指标输入类型为 Candle，输出为 float（0/1 或形态强度值）。**
|
||
|
||
| 分类 | 指标 |
|
||
|---|---|
|
||
| **单根 K 线** | `Doji`, `DragonflyDoji`, `GravestoneDoji`, `LongLeggedDoji`, `RickshawMan`, `DojiStar`, `Hammer`, `InvertedHammer`, `HangingMan`, `ShootingStar`, `SpinningTop`, `Marubozu`, `ClosingMarubozu`, `OpeningMarubozu`, `HighWave`, `BeltHold`, `LongLine`, `ShortLine`, `Takuri` |
|
||
| **看涨反转** | `MorningDojiStar`, `MorningEveningStar`(含看跌), `AbandonedBaby`, `PiercingDarkCloud`(含看跌), `ThreeSoldiersOrCrows`(含看跌), `ThreeInside`, `ThreeOutside`, `Engulfing`, `Harami`, `HaramiCross`, `Counterattack`, `Kicking`, `KickingByLength`, `LadderBottom`, `MatchingLow` |
|
||
| **看跌反转** | `EveningDojiStar`, `AdvanceBlock`, `Breakaway`, `TwoCrows`, `UpsideGapTwoCrows`, `IdenticalThreeCrows`, `ConcealingBabySwallow`, `DumplingTop`, `FryPanBottom` |
|
||
| **持续形态** | `RisingThreeMethods`, `FallingThreeMethods`, `UpsideGapThreeMethods`, `DownsideGapThreeMethods`, `MatHold`, `StalledPattern`, `StickSandwich`, `GapSideBySideWhite`, `SeparatingLines`, `TasukiGap` |
|
||
| **其他** | `Hikkake`, `HikkakeModified`, `HomingPigeon`, `OnNeck`, `InNeck`, `Thrusting`, `ThreeLineStrike`, `ThreeStarsInSouth`, `TowerTopBottom`, `Tristar`, `Tweezer`, `UniqueThreeRiver`, `NewPriceLines` |
|
||
|
||
---
|
||
|
||
## 12. 图表形态（Chart Patterns）— 8 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `CupAndHandle` | 杯柄形态 |
|
||
| `RectangleRange` | 矩形整理 |
|
||
| `FlagPennant` | 旗形/三角旗 |
|
||
| `Wedge` | 楔形 |
|
||
| `Triangle` | 三角形 |
|
||
| `HeadAndShoulders` | 头肩顶/底 |
|
||
| `TripleTopBottom` | 三重顶/底 |
|
||
| `DoubleTopBottom` | 双顶/双底 |
|
||
|
||
---
|
||
|
||
## 13. 谐波形态（Harmonic Patterns）— 8 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `Gartley` | Gartley 蝙蝶 |
|
||
| `Bat` | Bat 蝙蝶 |
|
||
| `Butterfly` | Butterfly 蝶蝶 |
|
||
| `Crab` | Crab 蝶蝶 |
|
||
| `Shark` | Shark 趶蝶 |
|
||
| `Cypher` | Cypher 趶蝶 |
|
||
| `ThreeDrives` | 三驱形态 |
|
||
| `Abcd` | AB=CD 形态 |
|
||
|
||
---
|
||
|
||
## 14. 斐波那契（Fibonacci）— 10 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `FibRetracement` | 斐波那契回撤 |
|
||
| `FibExtension` | 斐波那契扩展 |
|
||
| `FibProjection` | 斐波那契投射 |
|
||
| `FibFan` | 斐波那契扇形 |
|
||
| `FibArcs` | 斐波那契弧线 |
|
||
| `FibChannel` | 斐波那契通道 |
|
||
| `FibTimeZones` | 斐波那契时间区间 |
|
||
| `FibConfluence` | 斐波那契汇合区 |
|
||
| `GoldenPocket` | 黄金口袋（0.618-0.786 区间） |
|
||
| `AutoFib` | 自动斐波那契 |
|
||
|
||
---
|
||
|
||
## 15. 微结构指标（Microstructure）— 15 个
|
||
|
||
### 订单簿
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `OrderFlowImbalance` | 订单流不平衡 |
|
||
| `OrderBookImbalanceTop1` | 最优档订单簿不平衡 |
|
||
| `OrderBookImbalanceTopN` | 前 N 档订单簿不平衡 |
|
||
| `OrderBookImbalanceFull` | 全档订单簿不平衡 |
|
||
| `Microprice` | 微价格 |
|
||
| `QuotedSpread` | 报价价差 |
|
||
| `DepthSlope` | 深度斜率 |
|
||
|
||
### 交易流
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `Pin` | PIN 指标（知情交易概率） |
|
||
| `TradeSignAutocorrelation` | 交易符号自相关 |
|
||
| `RollMeasure` | Roll 价差估计 |
|
||
| `AmihudIlliquidity` | Amihud 非流动性 |
|
||
| `Vpin` | VPIN |
|
||
| `SignedVolume` | 符号成交量 |
|
||
| `CumulativeVolumeDelta` | 累积成交量差 |
|
||
| `TradeImbalance` | 交易不平衡 |
|
||
|
||
### 价格冲击
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `HasbrouckInformationShare` | Hasbrouck 信息份额 |
|
||
| `EffectiveSpread` | 有效价差 |
|
||
| `RealizedSpread` | 已实现价差 |
|
||
| `KylesLambda` | Kyle's λ |
|
||
|
||
### Footprint
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `Footprint` | 足印图 |
|
||
|
||
---
|
||
|
||
## 16. 衍生品指标（Derivatives）— 16 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `FundingRate` | 资金费率 |
|
||
| `FundingRateMean` | 资金费率均值 |
|
||
| `FundingRateZScore` | 资金费率 Z 分数 |
|
||
| `FundingBasis` | 资金费率基差 |
|
||
| `FundingImpliedApr` | 资金费率隐含年化 |
|
||
| `OpenInterestDelta` | 持仓量变化 |
|
||
| `OpenInterestMomentum` | 持仓量动量 |
|
||
| `OIPriceDivergence` | 持仓量-价格背离 |
|
||
| `OIWeighted` | 持仓量加权 |
|
||
| `OiToVolumeRatio` | 持仓量/成交量比 |
|
||
| `EstimatedLeverageRatio` | 估计杠杆比 |
|
||
| `PerpetualPremiumIndex` | 永续溢价指数 |
|
||
| `LongShortRatio` | 多空比 |
|
||
| `TakerBuySellRatio` | 主动买卖比 |
|
||
| `TermStructureBasis` | 期限结构基差 |
|
||
| `CalendarSpread` | 日历价差 |
|
||
| `LiquidationFeatures` | 爆仓特征 |
|
||
|
||
---
|
||
|
||
## 17. 市场广度（Market Breadth）— 15 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `AdvanceDecline` | 腾落指数 |
|
||
| `AdvanceDeclineRatio` | 腾落比 |
|
||
| `AdVolumeLine` | AD 成交量线 |
|
||
| `AbsoluteBreadthIndex` | 绝对广度指数 |
|
||
| `CumulativeVolumeIndex` | 累积成交量指数 |
|
||
| `BullishPercentIndex` | 看多百分比指数 |
|
||
| `UpDownVolumeRatio` | 涨跌成交量比 |
|
||
| `PercentAboveMa` | 均线上方百分比 |
|
||
| `HighLowIndex` | 新高新低指数 |
|
||
| `NewHighsNewLows` | 新高新低 |
|
||
| `BreadthThrust` | 广度推力 |
|
||
| `Trin` | ARMS TRIN |
|
||
| `McClellanOscillator` | 麦克莱恩振荡器 |
|
||
| `McClellanSummationIndex` | 麦克莱恩总和指数 |
|
||
| `TickIndex` | Tick 指数 |
|
||
|
||
---
|
||
|
||
## 18. 风险 / 绩效指标（Risk / Performance）— 17 个
|
||
|
||
| 指标 | 构造 | 输入类型 | 用途 |
|
||
|---|---|---|---|
|
||
| `SharpeRatio` | `SharpeRatio(period, ...)` | f64 | Sharpe 比 |
|
||
| `SortinoRatio` | `SortinoRatio(period, ...)` | f64 | Sortino 比 |
|
||
| `CalmarRatio` | `CalmarRatio(period, ...)` | f64 | Calmar 比 |
|
||
| `OmegaRatio` | `OmegaRatio(period, ...)` | f64 | Omega 比 |
|
||
| `TreynorRatio` | `TreynorRatio(period, ...)` | f64 | Treynor 比 |
|
||
| `InformationRatio` | `InformationRatio(period, ...)` | f64 | 信息比 |
|
||
| `Alpha` | `Alpha(period, ...)` | f64 | Alpha |
|
||
| `MaxDrawdown` | `MaxDrawdown(period, ...)` | f64 | 最大回撤 |
|
||
| `AverageDrawdown` | `AverageDrawdown(period, ...)` | f64 | 平均回撤 |
|
||
| `DrawdownDuration` | `DrawdownDuration(period, ...)` | f64 | 回撤持续期 |
|
||
| `PainIndex` | `PainIndex(period, ...)` | f64 | 痛苦指数 |
|
||
| `ValueAtRisk` | `ValueAtRisk(period, ...)` | f64 | VaR |
|
||
| `ConditionalValueAtRisk` | `ConditionalValueAtRisk(period, ...)` | f64 | CVaR |
|
||
| `ProfitFactor` | `ProfitFactor(period, ...)` | f64 | 盈利因子 |
|
||
| `GainLossRatio` | `GainLossRatio(period, ...)` | f64 | 盈亏比 |
|
||
| `RecoveryFactor` | `RecoveryFactor(period, ...)` | f64 | 恢复因子 |
|
||
| `KellyCriterion` | `KellyCriterion(period, ...)` | f64 | Kelly 准则 |
|
||
|
||
---
|
||
|
||
## 19. 季节性 & 时段（Seasonality & Session）— 11 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `SessionVwap` | 时段 VWAP |
|
||
| `SessionHighLow` | 时段高低 |
|
||
| `SessionRange` | 时段范围 |
|
||
| `AverageDailyRange` | 平均日范围 |
|
||
| `OvernightGap` | 隔夜缺口 |
|
||
| `OvernightIntradayReturn` | 隔夜/日内收益 |
|
||
| `TurnOfMonth` | 月末效应 |
|
||
| `SeasonalZScore` | 季节性 Z 分数 |
|
||
| `TimeOfDayReturnProfile` | 时点收益轮廓 |
|
||
| `DayOfWeekProfile` | 星期轮廓 |
|
||
| `IntradayVolatilityProfile` | 日内波动率轮廓 |
|
||
| `VolumeByTimeProfile` | 时段成交量轮廓 |
|
||
|
||
---
|
||
|
||
## 20. Ichimoku & 替代图表 — 7 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `Ichimoku` | 一目均衡表 |
|
||
| `HeikinAshi` | 平均 K 线 |
|
||
| `SmoothedHeikinAshi` | 平滑平均 K 线 |
|
||
| `HeikinAshiOscillator` | 平均 K 线振荡器 |
|
||
| `ThreeLineBreak` | 三线反转 |
|
||
| `Equivolume` | 等量图 |
|
||
| `CandleVolume` | K 线成交量 |
|
||
|
||
---
|
||
|
||
## 21. 市场轮廓（Market Profile）— 10 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `CompositeProfile` | 复合轮廓 |
|
||
| `VolumeProfile` | 成交量轮廓 |
|
||
| `TpoProfile` | TPO 轮廓 |
|
||
| `HighLowVolumeNodes` | 高低成交量节点 |
|
||
| `ProfileShape` | 轮廓形状 |
|
||
| `SinglePrints` | 单次打印 |
|
||
| `NakedPoc` | 裸 POC |
|
||
| `ValueArea` | 价值区域 |
|
||
| `InitialBalance` | 初始平衡 |
|
||
| `OpeningRange` | 开盘范围 |
|
||
|
||
---
|
||
|
||
## 22. 替代 K 线（Alt-Chart Bars）— 10 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `DollarBars` | 美元柱 |
|
||
| `VolumeBars` | 成交量柱 |
|
||
| `TickBars` | Tick 柱 |
|
||
| `RangeBars` | 范围柱 |
|
||
| `RenkoBars` | Renko 砖 |
|
||
| `KagiBars` | 钓鱼线 |
|
||
| `PointAndFigureBars` | 点数图 |
|
||
| `ThreeLineBreakBars` | 三线反转柱 |
|
||
| `RunBars` | Run 柱 |
|
||
| `ImbalanceBars` | 不平衡柱 |
|
||
|
||
---
|
||
|
||
## 23. 杂项 / 特殊指标 — 40+ 个
|
||
|
||
| 指标 | 用途 |
|
||
|---|---|
|
||
| `M2Measure` | M2 度量 |
|
||
| `UpsidePotentialRatio` | 上行潜力比 |
|
||
| `GainToPainRatio` | 盈亏痛苦比 |
|
||
| `CommonSenseRatio` | 常识比 |
|
||
| `KRatio` | K 比 |
|
||
| `TailRatio` | 尾比 |
|
||
| `MartinRatio` | Martin 比 |
|
||
| `BurkeRatio` | Burke 比 |
|
||
| `SterlingRatio` | Sterling 比 |
|
||
| `AUTOCORRPGRAM` | 自相关周期图 |
|
||
| `EVENBETTERSINE` | Even Better Sine |
|
||
| `BANDPASS` | 带通滤波器 |
|
||
| `ADAPTIVECCI` | 自适应 CCI |
|
||
| `ADAPTIVERSI` | 自适应 RSI |
|
||
| `UNIVERSALOSC` | 通用振荡器 |
|
||
| `CTI` | CTI 指标 |
|
||
| `TRENDFLEX` | TrendFlex |
|
||
| `REFLEX` | Reflex 指标 |
|
||
| `HIGHPASS` | 高通滤波器 |
|
||
| `SAMPLEENT` | 样本熵 |
|
||
| `SHANNONENT` | Shannon 熵 |
|
||
| `ROLLINGMINMAX` | 滚动最小最大 |
|
||
| `JARQUEBERA` | Jarque-Bera 检验 |
|
||
| `TimeBasedStop` | 时间止损 |
|
||
| `ProjectionOscillator` | 投影振荡器 |
|
||
| `HoltWinters` | Holt-Winters 预测 |
|
||
| `GD` | Generalized DEMA |
|
||
| `AdaptiveLaguerre` | 自适应 Laguerre |
|
||
| `MedianMA` | 中位数移动平均 |
|
||
| `EHMA` | Ehlers 移动平均 |
|
||
| `GMA` | 几何移动平均 |
|
||
| `SWMA` | Sine 加权移动平均 |
|
||
| `Expectancy` | 期望值 |
|
||
| `WinRate` | 胜率 |
|
||
| `RegimeLabel` | 市场体制标签 |
|
||
| `JumpIndicator` | 跳跃指示器 |
|
||
| `TrendLabel` | 趋势标签 |
|
||
| `HighLowRange` | 高低范围 |
|
||
| `WickRatio` | 烛芯比 |
|
||
| `BodySizePct` | 实体大小百分比 |
|
||
| `CloseVsOpen` | 收盘vs开盘 |
|
||
| `RealizedVolatility` | 已实现波动率 |
|
||
| `LogReturn` | 对数收益率 |
|
||
| `TSF` | 时间序列预测 |
|
||
| `LINEARREG_INTERCEPT` | 线性回归截距 |
|
||
| `ROCR100` / `ROCR` / `ROCP` | 变化率（各种变体） |
|
||
| `AVGPRICE` | 平均价格 |
|
||
| `MIDPOINT` / `MIDPRICE` | 中点/中价 |
|
||
| `DX` | 方向指数 |
|
||
| `MINUS_DI` / `PLUS_DI` | 负/正方向指数 |
|
||
| `WAVE_PM` | Wave PM |
|
||
| `POLARIZED_FRACTAL_EFFICIENCY` | 极化分形效率 |
|
||
| `TREND_STRENGTH_INDEX` | 趋势强度指数 |
|
||
| `TTM_TREND` | TTM 趋势 |
|
||
| `IMI` | Intraday Momentum Index |
|
||
| `Pgo` | Pretty Good Oscillator |
|
||
| `Qstick` | QStick |
|
||
| `GatorOscillator` | 鳄鱼振荡器 |
|
||
| `KasePermissionStochastic` | Kase 许可随机 |
|
||
| `TsfOscillator` | TSF 振荡器 |
|
||
| `PpoHistogram` / `MacdHistogram` | PPO/MACD 柱状图 |
|
||
|
||
---
|
||
|
||
## 24. 数据层工具（Data Layer）— 5 个
|
||
|
||
| 工具 | 用途 |
|
||
|---|---|
|
||
| `CandleReader` | 读取 OHLCV CSV（验证头部，容忍 BOM） |
|
||
| `Resampler` | K 线重采样（1m → 5m/15m/1h/1d 等） |
|
||
| `TickAggregator` | Tick → K 线聚合 |
|
||
| `BinanceFeed` | Binance 实时 WebSocket 数据 |
|
||
| `fetch_binance_klines` | 获取 Binance 历史 K 线 |
|
||
|
||
---
|
||
|
||
## QuantDinger 快速映射表
|
||
|
||
写 QuantDinger 指标时，用这张表找 Wickra 等价物：
|
||
|
||
| QuantDinger (pandas) | Wickra (Python) | 备注 |
|
||
|---|---|---|
|
||
| `df["close"].ewm(span=N, adjust=False).mean()` | `ta.EMA(N).batch(close)` | batch 返回 array，np.asarray 零拷贝 |
|
||
| `df["close"].rolling(N).mean()` | `ta.SMA(N).batch(close)` | |
|
||
| `df["close"].rolling(N).std()` | `ta.StdDev(N).batch(close)` | |
|
||
| `df["close"].pct_change(N)` | `ta.ROC(N).batch(close)` | ROC 是百分比变化率 |
|
||
| `df["close"].rolling(N).apply(np.median)` | `ta.RollingQuantile(N, 0.5).batch(close)` | |
|
||
| `talib.RSI(df["close"], timeperiod=14)` | `ta.RSI(14).batch(close)` | |
|
||
| `talib.MACD(df["close"], 12, 26, 9)` | `ta.MACD(12, 26, 9).batch(close)` | 返回 (n,3) Matrix |
|
||
| `talib.BBANDS(df["close"], 20, 2, 2)` | `ta.BollingerBands(20, 2.0).batch(close)` | 返回 (n,4) Matrix |
|
||
| `talib.ATR(df["high"], df["low"], df["close"], 14)` | `ta.ATR(14).batch(high, low, close)` | |
|
||
| `talib.ADX(df["high"], df["low"], df["close"], 14)` | `ta.ADX(14).batch(high, low, close)` | 返回 (n,3) |
|
||
| `talib.STOCH(...)` | `ta.Stochastic(14, 3).batch(high, low, close)` | 返回 (n,2) |
|
||
| `talib.CCI(...)` | `ta.CCI(20).batch(high, low, close)` | |
|
||
| `talib.OBV(df["close"], df["volume"])` | `ta.OBV().batch(close, volume)` | |
|
||
| `talib.SAR(...)` | `ta.PSAR(0.02, 0.02, 0.2).batch(high, low, close)` | |
|
||
|
||
---
|
||
|
||
## 查找指标 Rust 源码
|
||
|
||
每个指标的 Rust 实现在 `crates/wickra-core/src/indicators/` 下，文件名 = 指标名的 snake_case：
|
||
|
||
```
|
||
ta.RSI → crates/wickra-core/src/indicators/rsi.rs
|
||
ta.MACD → crates/wickra-core/src/indicators/macd.rs
|
||
ta.BollingerBands → crates/wickra-core/src/indicators/bollinger.rs
|
||
ta.SuperTrend → crates/wickra-core/src/indicators/super_trend.rs
|
||
```
|
||
|
||
Python 绑定在 `bindings/python/src/lib.rs`，类型签名在 `bindings/python/python/wickra/__init__.pyi`。 |