python - 查找两个股票时间序列的交点

Question

背景

我试图找到两个系列的交点。在这个库存示例中，我想找到 SMA20 和 SMA50 的交点。简单移动平均线(SMA)通常用作股票指标，结合交叉点和其他策略将有助于做出决策。下面是代码示例。

代码

您可以使用 jupyter 运行以下命令。

import pandas as pd
import matplotlib.pyplot as plt

%matplotlib inline

datafile = 'output_XAG_D1_20200101_to_20200601.csv'
#This creates a dataframe from the CSV file:
data = pd.read_csv(datafile, index_col = 'Date')

#This selects the 'Adj Close' column
close = data['BidClose']
#This converts the date strings in the index into pandas datetime format:
close.index = pd.to_datetime(close.index)
close

sma20 = close.rolling(window=20).mean()
sma50 = close.rolling(window=50).mean()

priceSma_df = pd.DataFrame({
      'BidClose' : close,
      'SMA 20' : sma20,
      'SMA 50' : sma50
     })

priceSma_df.plot()
plt.show()

示例数据

这是示例中使用的数据文件 output_XAG_D1_20200101_to_20200601.csv

Date,BidOpen,BidHigh,BidLow,BidClose,AskOpen,AskHigh,AskLow,AskClose,Volume
01.01.2020 22:00:00,1520.15,1531.26,1518.35,1527.78,1520.65,1531.75,1518.73,1531.73,205667
01.02.2020 22:00:00,1527.78,1553.43,1526.72,1551.06,1531.73,1553.77,1528.17,1551.53,457713
01.05.2020 22:00:00,1551.06,1588.16,1551.06,1564.4,1551.53,1590.51,1551.53,1568.32,540496
01.06.2020 22:00:00,1564.4,1577.18,1555.2,1571.62,1568.32,1577.59,1555.54,1575.56,466430
01.07.2020 22:00:00,1571.62,1611.27,1552.13,1554.79,1575.56,1611.74,1552.48,1558.72,987671
01.08.2020 22:00:00,1554.79,1561.24,1540.08,1549.78,1558.72,1561.58,1540.5,1553.73,473799
01.09.2020 22:00:00,1549.78,1563.0,1545.62,1562.44,1553.73,1563.41,1545.96,1562.95,362002
01.12.2020 22:00:00,1562.44,1562.44,1545.38,1545.46,1562.95,1563.06,1546.71,1549.25,280809
01.13.2020 22:00:00,1545.46,1548.77,1535.78,1545.1,1549.25,1549.25,1536.19,1548.87,378200
01.14.2020 22:00:00,1545.1,1558.04,1543.79,1554.89,1548.87,1558.83,1546.31,1558.75,309719
01.15.2020 22:00:00,1554.89,1557.98,1547.91,1551.18,1558.75,1558.75,1548.24,1554.91,253944
01.16.2020 22:00:00,1551.18,1561.12,1549.28,1556.68,1554.91,1561.55,1549.59,1557.15,239186
01.19.2020 22:00:00,1556.68,1562.69,1556.25,1560.77,1557.15,1562.97,1556.61,1561.17,92020
01.20.2020 22:00:00,1560.77,1568.49,1546.21,1556.8,1561.17,1568.87,1546.56,1558.5,364753
01.21.2020 22:00:00,1556.8,1559.18,1550.07,1558.59,1558.5,1559.47,1550.42,1559.31,238468
01.22.2020 22:00:00,1558.59,1567.83,1551.8,1562.45,1559.31,1568.16,1552.11,1564.17,365518
01.23.2020 22:00:00,1562.45,1575.77,1556.44,1570.39,1564.17,1576.12,1556.76,1570.87,368529
01.26.2020 22:00:00,1570.39,1588.41,1570.39,1580.51,1570.87,1588.97,1570.87,1582.33,510524
01.27.2020 22:00:00,1580.51,1582.93,1565.31,1567.15,1582.33,1583.3,1565.79,1570.62,384205
01.28.2020 22:00:00,1567.15,1577.93,1563.27,1576.7,1570.62,1578.22,1563.61,1577.25,328766
01.29.2020 22:00:00,1576.7,1585.87,1572.19,1573.23,1577.25,1586.18,1572.44,1575.33,522371
01.30.2020 22:00:00,1573.23,1589.98,1570.82,1589.75,1575.33,1590.37,1571.14,1590.31,482710
02.02.2020 22:00:00,1589.75,1593.09,1568.65,1575.62,1590.31,1595.82,1569.85,1578.35,488585
02.03.2020 22:00:00,1575.62,1579.56,1548.95,1552.55,1578.35,1579.87,1549.31,1556.4,393037
02.04.2020 22:00:00,1552.55,1562.3,1547.34,1554.62,1556.4,1562.64,1547.72,1556.42,473172
02.05.2020 22:00:00,1554.62,1568.14,1552.39,1565.08,1556.42,1568.51,1552.73,1567.0,365580
02.06.2020 22:00:00,1565.08,1574.02,1559.82,1570.11,1567.0,1574.33,1560.7,1570.55,424269
02.09.2020 22:00:00,1570.11,1576.9,1567.9,1571.05,1570.55,1577.25,1568.21,1573.34,326606
02.10.2020 22:00:00,1571.05,1573.92,1561.92,1566.12,1573.34,1574.27,1562.24,1568.12,310037
02.11.2020 22:00:00,1566.12,1570.39,1561.45,1564.26,1568.12,1570.71,1561.91,1567.02,269032
02.12.2020 22:00:00,1564.26,1578.24,1564.26,1574.5,1567.02,1578.52,1565.81,1576.63,368438
02.13.2020 22:00:00,1574.5,1584.87,1572.44,1584.49,1576.63,1585.29,1573.28,1584.91,250788
02.16.2020 22:00:00,1584.49,1584.49,1578.7,1580.79,1584.91,1584.91,1579.06,1581.31,101499
02.17.2020 22:00:00,1580.79,1604.97,1580.79,1601.06,1581.31,1605.33,1581.31,1603.08,321542
02.18.2020 22:00:00,1601.06,1612.83,1599.41,1611.27,1603.08,1613.4,1599.77,1613.34,357488
02.19.2020 22:00:00,1611.27,1623.62,1603.74,1618.48,1613.34,1623.98,1604.12,1621.27,535148
02.20.2020 22:00:00,1618.48,1649.26,1618.48,1643.42,1621.27,1649.52,1619.19,1643.87,590262
02.23.2020 22:00:00,1643.42,1689.22,1643.42,1658.62,1643.87,1689.55,1643.87,1659.07,1016570
02.24.2020 22:00:00,1658.62,1660.76,1624.9,1633.19,1659.07,1661.52,1625.5,1636.23,1222774
02.25.2020 22:00:00,1633.19,1654.88,1624.74,1640.4,1636.23,1655.23,1625.11,1642.59,1004692
02.26.2020 22:00:00,1640.4,1660.3,1635.15,1643.99,1642.59,1660.6,1635.6,1646.42,1084115
02.27.2020 22:00:00,1643.99,1649.39,1562.74,1584.95,1646.42,1649.84,1563.22,1585.58,1174015
03.01.2020 22:00:00,1584.95,1610.94,1575.29,1586.55,1585.58,1611.26,1575.88,1590.33,1115889
03.02.2020 22:00:00,1586.55,1649.16,1586.55,1640.19,1590.33,1649.6,1589.43,1644.16,889364
03.03.2020 22:00:00,1640.19,1652.81,1631.73,1635.95,1644.16,1653.51,1632.1,1639.05,589438
03.04.2020 22:00:00,1635.95,1674.51,1634.91,1669.36,1639.05,1674.9,1635.3,1672.83,643444
03.05.2020 22:00:00,1669.36,1692.1,1641.61,1673.89,1672.83,1692.65,1642.75,1674.46,1005737
03.08.2020 21:00:00,1673.89,1703.19,1656.98,1678.31,1674.46,1703.52,1657.88,1679.2,910166
03.09.2020 21:00:00,1678.31,1680.43,1641.37,1648.71,1679.2,1681.18,1641.94,1649.75,943377
03.10.2020 21:00:00,1648.71,1671.15,1632.9,1634.42,1649.75,1671.56,1633.31,1637.07,793816
03.11.2020 21:00:00,1634.42,1650.28,1560.5,1578.29,1637.07,1650.8,1560.92,1580.01,1009172
03.12.2020 21:00:00,1578.29,1597.85,1504.34,1528.99,1580.01,1598.36,1505.14,1530.09,1052940
03.15.2020 21:00:00,1528.99,1575.2,1451.08,1509.12,1530.09,1576.05,1451.49,1512.94,1196812
03.16.2020 21:00:00,1509.12,1553.91,1465.4,1528.57,1512.94,1554.21,1466.1,1529.43,1079729
03.17.2020 21:00:00,1528.57,1545.93,1472.49,1485.85,1529.43,1546.74,1472.99,1486.75,976857
03.18.2020 21:00:00,1485.85,1500.68,1463.49,1471.89,1486.75,1501.6,1464.64,1474.16,833803
03.19.2020 21:00:00,1471.89,1516.07,1454.46,1497.01,1474.16,1516.57,1455.93,1497.82,721471
03.22.2020 21:00:00,1497.01,1560.86,1482.21,1551.45,1497.82,1561.65,1483.22,1553.09,707830
03.23.2020 21:00:00,1551.45,1631.23,1551.45,1621.05,1553.09,1638.75,1553.09,1631.35,164862
03.24.2020 21:00:00,1621.05,1636.23,1588.82,1615.77,1631.35,1650.03,1601.29,1618.47,205272
03.25.2020 21:00:00,1615.77,1642.96,1587.7,1628.31,1618.47,1649.81,1599.87,1633.29,152804
03.26.2020 21:00:00,1628.31,1630.48,1606.76,1617.5,1633.29,1638.48,1616.9,1622.8,307278
03.29.2020 21:00:00,1617.5,1631.48,1602.51,1620.91,1622.8,1643.86,1612.55,1623.77,291653
03.30.2020 21:00:00,1620.91,1626.55,1573.37,1574.9,1623.77,1627.31,1575.24,1579.1,371507
03.31.2020 21:00:00,1574.9,1600.41,1560.13,1590.13,1579.1,1603.42,1570.75,1592.43,412780
04.01.2020 21:00:00,1590.13,1619.76,1582.42,1612.07,1592.43,1621.1,1583.37,1614.49,704652
04.02.2020 21:00:00,1612.07,1625.21,1605.39,1618.63,1614.49,1626.83,1607.69,1621.37,409490
04.05.2020 21:00:00,1618.63,1668.35,1608.59,1657.77,1621.37,1670.98,1609.7,1663.43,381690
04.06.2020 21:00:00,1657.77,1671.95,1641.84,1644.84,1663.43,1677.53,1643.4,1650.46,286313
04.07.2020 21:00:00,1644.84,1656.39,1640.1,1644.06,1650.46,1657.43,1643.46,1646.66,219464
04.08.2020 21:00:00,1644.06,1689.66,1643.05,1682.16,1646.66,1691.13,1644.83,1686.74,300111
04.12.2020 21:00:00,1682.16,1722.25,1677.35,1709.16,1686.74,1725.48,1680.49,1718.28,280905
04.13.2020 21:00:00,1709.16,1747.04,1708.56,1726.18,1718.28,1748.88,1709.36,1729.72,435098
04.14.2020 21:00:00,1726.18,1730.53,1706.67,1714.35,1729.72,1732.97,1708.95,1717.25,419065
04.15.2020 21:00:00,1714.35,1738.65,1707.83,1715.99,1717.25,1740.35,1708.93,1720.09,615105
04.16.2020 21:00:00,1715.99,1718.46,1677.16,1683.2,1720.09,1720.09,1680.55,1684.97,587875
04.19.2020 21:00:00,1683.2,1702.49,1671.1,1694.71,1684.97,1703.46,1672.02,1697.29,412116
04.20.2020 21:00:00,1694.71,1697.66,1659.42,1683.4,1697.29,1698.44,1662.3,1686.58,502893
04.21.2020 21:00:00,1683.4,1718.21,1679.61,1713.67,1686.58,1719.19,1680.71,1716.91,647622
04.22.2020 21:00:00,1713.67,1738.59,1706.93,1729.89,1716.91,1739.47,1707.72,1731.83,751833
04.23.2020 21:00:00,1729.89,1736.31,1710.56,1726.74,1731.83,1736.98,1711.03,1727.71,608827
04.26.2020 21:00:00,1726.74,1727.55,1705.99,1713.36,1727.71,1728.55,1706.72,1715.29,698217
04.27.2020 21:00:00,1713.36,1716.52,1691.41,1707.66,1715.29,1718.02,1692.51,1710.22,749906
04.28.2020 21:00:00,1707.66,1717.42,1697.65,1711.58,1710.22,1718.57,1698.4,1715.42,630720
04.29.2020 21:00:00,1711.58,1721.94,1681.36,1684.97,1715.42,1722.79,1681.91,1687.92,631609
04.30.2020 21:00:00,1684.97,1705.87,1669.62,1699.92,1687.92,1706.33,1670.81,1701.66,764742
05.03.2020 21:00:00,1699.92,1714.75,1691.46,1700.42,1701.66,1715.83,1692.96,1702.17,355859
05.04.2020 21:00:00,1700.42,1711.64,1688.55,1703.04,1702.17,1712.55,1690.42,1706.71,415576
05.05.2020 21:00:00,1703.04,1708.1,1681.6,1685.18,1706.71,1708.71,1682.33,1688.33,346814
05.06.2020 21:00:00,1685.18,1721.95,1683.59,1715.17,1688.33,1722.53,1684.8,1716.91,379103
05.07.2020 21:00:00,1715.17,1723.54,1701.49,1704.06,1716.91,1724.42,1702.1,1705.25,409225
05.10.2020 21:00:00,1704.06,1712.02,1691.75,1696.68,1705.25,1713.03,1692.45,1697.58,438010
05.11.2020 21:00:00,1696.68,1710.94,1693.56,1701.46,1697.58,1711.31,1693.92,1703.32,369988
05.12.2020 21:00:00,1701.46,1718.11,1698.86,1716.09,1703.32,1718.69,1699.4,1718.63,518107
05.13.2020 21:00:00,1716.09,1736.16,1710.79,1727.71,1718.63,1736.55,1711.33,1731.38,447401
05.14.2020 21:00:00,1727.71,1751.56,1727.71,1743.94,1731.38,1752.1,1728.89,1744.96,561909
05.17.2020 21:00:00,1743.94,1765.3,1727.4,1731.73,1744.96,1765.92,1728.08,1732.99,495628
05.18.2020 21:00:00,1731.73,1747.76,1725.05,1743.52,1732.99,1748.24,1726.29,1746.9,596250
05.19.2020 21:00:00,1743.52,1753.8,1742.04,1747.22,1746.9,1754.28,1742.62,1748.48,497960
05.20.2020 21:00:00,1747.22,1748.7,1717.14,1726.56,1748.48,1751.18,1717.39,1727.82,557122
05.21.2020 21:00:00,1726.56,1740.06,1723.33,1735.67,1727.82,1740.7,1724.41,1736.73,336867
05.24.2020 21:00:00,1735.67,1735.67,1721.61,1727.88,1736.73,1736.73,1721.83,1730.25,164650
05.25.2020 21:00:00,1727.88,1735.39,1708.48,1710.1,1730.25,1735.99,1709.34,1712.21,404914
05.26.2020 21:00:00,1710.1,1715.93,1693.57,1708.36,1712.21,1716.3,1694.04,1709.85,436519
05.27.2020 21:00:00,1708.36,1727.42,1703.41,1717.28,1709.85,1727.93,1705.85,1721.0,416306
05.28.2020 21:00:00,1717.28,1737.58,1712.55,1731.2,1721.0,1738.26,1713.24,1732.07,399698
05.31.2020 21:00:00,1731.2,1744.51,1726.98,1738.73,1732.07,1745.11,1727.93,1742.56,365219

问题

这是此代码的结果，我正在寻找方法来找到 SMA20(黄色)和 SMA50(绿色)线的交点，从而能够在这些线交叉时收到警报。

解决方案

打印出相对于每个系列从上方或下方穿过的交叉点指示。

import numpy as np

g20=sma20.values
g50=sma50.values
# np.sign(...) return -1, 0 or 1
# np.diff(...) return value difference for (n-1) - n, to obtain intersections
# np.argwhere(...) remove zeros, preserves turning points only
idx20 = np.argwhere(np.diff(np.sign(g20 - g50))).flatten()

priceSma_df.plot()
plt.scatter(close.index[idx20], sma50[idx20], color='red')
plt.show()

Answer 1

import numpy as np

f=close.values
g20=sma20.values
g50=sma50.values
idx20 = np.argwhere(np.diff(np.sign(f - g20))).flatten()
idx50 = np.argwhere(np.diff(np.sign(f - g50))).flatten()

priceSma_df = pd.DataFrame({
  'BidClose' : close,
  'SMA 20' : sma20,
  'SMA 50' : sma50
 })


priceSma_df.plot()
plt.scatter(close.index[idx20], sma20[idx20], color='orange')
plt.scatter(close.index[idx50], sma50[idx50], color='green')
plt.show()