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Differences in Indicators

1. EMA alike indicators

1.1 EMA

  1. EMA(CLOSE, 10), talib.set_compatibility(0) is the default, and is equivalent toEXPMEMA
    • The first not nan value starts as talib.SMA(CLOSE, 10)
  2. EMA(CLOSE, 10), talib.set_compatibility(1)
    • The first not nan value starts as CLOSE

Since the logic of EMA calculation has changed in TA-Lib's compatibility mode 0, it is complex and inefficient to implement it using expressions.

We only implement compatibility mode 1. It just so happens that the Chinese stock software only implements compatibility mode 1. You can compare the full data with TA-Lib for unit testing.

Indicators affected by EMA include MACD, DEMA, TEMA, TRIX, T3, etc.

1.2 Chinese Version of SMA(X, N, M)

In essence, it is RMA compatibility mode 0, that is, the first valid value is the moving average. And then the difference is alpha

  1. SMA(X, N, M) = X.ema_mean(alpha=M/N)
  2. RMA(X, N) = X.ema_mean(alpha=1/N) = SMA(X, N, 1)
  3. EMA(x, N) = X.ema_mean(alpha=2/(N+1)) = X.ema_mean(span=N)

Refer to: ewm_mean

In this case, we use RMA compatibility mode 1. There exists error in switching between the two modes. So please provide enough length of data. The data in the later part can be used for unit testing.

Indicators affected by SMA include ATR, RSI, etc.

1.3 Moving Sum

Some indicators including ADX require the first value as a SUM rather than SMA. We will implement them later by ema_mean(alpha=1/N)

2. MAX/MIN

  1. In package wq, max_/min_ are cross-sectional operators, ts_max/ts_min are time series indicators
  2. In talib, MAX/MIN are time series indicators, without cross-sectional operators.
  3. In ta, to mimic talib, MAX/MIN are time series indicators, without cross-sectional operators.
  4. In tdx, MAX/MIN are cross-sectional operators, HHV/LLV are time series indicators.

指标区别

1. EMA系列

1.1 EMA指标

  1. EMA(CLOSE, 10)，talib.set_compatibility(0)，此为默认设置，等价于EXPMEMA
    • 第一个有效值为talib.SMA(CLOSE, 10)
  2. EMA(CLOSE, 10)，talib.set_compatibility(1)
    • 第一个有效值为CLOSE

由于TA-Lib的兼容模式0在EMA计算时逻辑发生了变动，用表达式实现起来复杂、计算效率低。 所以本库只实现兼容模式1。正好国内股票软件其实也只实现了兼容模式1。可以全量数据与TA-Lib进行单元测试比较

因EMA受影响的指标有MACD, DEMA, TEMA, TRIX, T3等。

1.2 中国版SMA(X, N, M)

本质上是国外的RMA 兼容模式0，即第一个有效值为移动平均，然后就是alpha区别

  1. SMA(X, N, M) = X.ema_mean(alpha=M/N)
  2. RMA(X, N) = X.ema_mean(alpha=1/N) = SMA(X, N, 1)
  3. EMA(x, N) = X.ema_mean(alpha=2/(N+1)) = X.ema_mean(span=N)

换算关系可参考: ewm_mean

遇到这种情况，本项目还是用RMA 兼容模式1来代替，数据误差由大到小，所以请预先提供一定长度的数据。后面一段的数据可以单元测试

受影响的的指标有ATR, RSI等

1.3 移动求和

ADX等一类的指标第一个有效值算法为SUM，而不是SMA，之后使用ema_mean(alpha=1/N)。此类暂不实现

2. MAX/MIN等指标

  1. 在wq中，max_/min_横向算子，ts_max/ts_min时序指标
  2. 在talib中, MAX/MIN时序指标，没有横向算子
  3. 在ta中，由于要模仿talib，所以有MAX/MIN时序指标，也没有横向算子
  4. 在tdx中，MAX/MIN横向算子，HHV/LLV时序指标