问我的python交易机器人计算MACD错误吗？
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Stack Overflow用户

提问于 2020-12-12 13:49:36

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我的python交易机器人计算出MACD在开始时非常高，然后开始逐渐下降，无论什么股票或股票实际上是如何移动的。

Here is the matplotlib chart of the MACD and Signal Line (All stocks/crytocurrency's plots look very similar)

我尝试调整span值，但无济于事。这发生在我使用的任何股票/加密货币上。此代码基于计算机科学的MACD交易教程，但适用于实时交易，而不是为过去的数据和日志等内容生成图表。(另外，我还是个编程新手，所以请试着用简单的术语解释一下是怎么回事)这是代码：

    def algorithm(self, df):
    '''
    Generates MACD

    '''

    # Set the date(first column) to be the index of the dataframe
    df = df.set_index(df[self.time_stamp_index])
    # print(df.head())

    # Visually show the stock price
    if self.do_plotting == True:
        # print('Plotting Data')
        plt1 = px.line(df, x=self.time_stamp_index,
                       y=self.close_price_index)

    # Calculate the MACD and signal line indicators

    # Calculate the Short term EWM(for 10 minutes)
    ShortEMA = df[self.close_price_index].ewm(
        span=self.short_span, adjust=False).mean()

    # Calculate the long term exponential moving avg (1 hour)
    LongEMA = df[self.close_price_index].ewm(
        span=self.long_span, adjust=False).mean()

    # Calculate the MACD line
    MACD = ShortEMA - LongEMA

    # Calculate signal line
    signal = MACD.ewm(span=self.signal_span, adjust=False).mean()

    # Add signal line and MACD line to dataframe
    df['MACD'] = MACD
    df['Signal Line'] = signal

    # Plot the chart with the lines
    if self.do_plotting == True:
        plt2 = px.line(df, x=self.time_stamp_index, y=[
            'MACD', 'Signal Line', self.close_price_index],
            title=f'{self.symbol} STOCK DATA')
        plt2.show()

    # DEBUG
    if df['MACD'][len(df) - 1] > df['Signal Line'][len(df) - 1]:
        print('[DEBUG]: BUY SIGNAL')

    elif df['MACD'][len(df) - 1] < df['Signal Line'][len(df) - 1]:
        print('[DEBUG]: SELL SIGNAL')

    # send vals to self. so that it can be accessed from the log function.
    self.macd = df['MACD'][len(df) - 1]
    self.signal_line = df['Signal Line'][len(df) - 1]

    Buy = []
    Sell = []

    current_hold_flag = self.symbol in current_stocks

    for i in range(len(df)):
        if df['MACD'][i] > df['Signal Line'][i]:
            Sell.append(None)
            if current_hold_flag == False:
                Buy.append(df[self.close_price_index][i])
                self.flag = 1
            else:
                Buy.append(None)
        elif df['MACD'][i] < df['Signal Line'][i]:
            Buy.append(None)
            if current_hold_flag == True:
                Sell.append(df[self.close_price_index][i])
                self.flag = 0
            else:
                Sell.append(None)
        else:
            Buy.append(None)
            Sell.append(None)

    buy_sell = (Buy, Sell)

    df['Buy_Signal_Price'] = buy_sell[0]
    df['Sell Signal_Price'] = buy_sell[1] 

    if Buy[-1] != None:                             # If last trade was a buy
        self.buy_or_sell = 'buy'
        self.buy(Buy[-1])
    elif Sell[-1] != None:                          # If last trade was a sell
        self.buy_or_sell = 'sell'
        self.sell(Sell[-1])
    elif Buy[-1] == None and Sell[-1] == None:      # If no trade happened
        self.buy_or_sell = 'no trade' 
        print(f'{self.log_time}Did not trade')
        if len(current_stocks) > 0:
            print(
                f'{self.log_time}Currently holding: {",".join(current_stocks)}')
        else:

            print(f'{self.log_time}Not holding any stocks currently')
    else:
        print('ERROR')
        r = input()
        exit()