4.K线图以及常用技术指标的Matlab实现

 本次主要讲解用Matlab来实现K线图以及常用的技术指标。

        相关前导帖子浏览：

<基于Matlab的量化投资>系列帖子目录

http://www.matlabsky.com/thread-28536-1-1.html

 

1.前言-基于Matlab的量化投资
http://www.matlabsky.com/thread-28489-1-1.html

2.从一个例子说起-基于Matlab的量化投资
http://www.matlabsky.com/thread-28490-1-1.html

3.关于BackTesting中一些细节的思考-基于Matlab的量化投资
http://www.matlabsky.com/thread-28573-1-1.html

 

Matlab的Bar图中Bar颜色灵活设置的一点总结【by faruto】

http://www.matlabsky.com/thread-24447-1-1.html

[原创]坐标轴刻度标签旋转升级版

http://www.matlabsky.com/thread-23524-1-1.html

 

========================

本次测试Demo使用数据，IF在20120104的主力数据-1分钟线。数据形式：

K线图实现：

局部：

该K线图实现与matlab自带的candle的K线图实现的区别是
matlab的candle生成的K线图阴线阳线的颜色是一样的，不能灵活设置。该K线图可以灵活设置阴线阳线的颜色。

实现测试脚本代码：

[code]

%% K线图Matlab实现Demo

% by LiYang/faruto

%Email:[e-mail]

% 2012/8/4

scrsz =get(0,'ScreenSize');

figure('Position',[1 1 scrsz(3)*4/5scrsz(4)]);

 

subplot(3,1,[1 2]);

OHLC = F(:,3:6);

cndlV2(OHLC,0,'r','b','k');

xlim([1,length( OHLC )]);

 

   % % Tick Label Set

   XTick = [];

   XTickLabel = [];

   

   XTick = [XTick; 1];

   str = [num2str(F(1,1)),'-',num2str(F(1,2))];

   XTickLabel{numel(XTickLabel)+1, 1} = str;

 

   ind = find(F(:,2) == 1000, 1);

   if ~isempty(ind)

       XTick = [XTick; ind ];

       str = [num2str(F(ind, 1)),'-',num2str(F(ind, 2))];

       XTickLabel{numel(XTickLabel)+1, 1} = str;

   end   

   

   ind = find(F(:,2) == 1130, 1);

   if ~isempty(ind)

       XTick = [XTick; ind ];

       str = [num2str(F(ind, 1)),'-',num2str(F(ind, 2))];

       XTickLabel{numel(XTickLabel)+1, 1} = str;

   end

   

   ind = find(F(:,2) == 1400, 1);

   if ~isempty(ind)

       XTick = [XTick; ind ];

       str = [num2str(F(ind, 1)),'-',num2str(F(ind, 2))];

       XTickLabel{numel(XTickLabel)+1, 1} = str;

   end   

   

   ind = length(F(:,1));

   XTick = [XTick; ind ];

   str = [num2str(F(ind, 1)),'-',num2str(F(ind, 2))];

   XTickLabel{numel(XTickLabel)+1, 1} = str;

   

   set(gca,'XTick', XTick);

   set(gca,'XTickLabel', XTickLabel);

   TickLabelRotate(gca, 'x', 30, 'right');

   

title('K线图Matlab实现Demo', 'FontWeight','Bold','FontSize', 15);

 

subplot(313);

bar( F(:,7) );

xlim([1,length( OHLC )]);

title('成交量', 'FontWeight','Bold', 'FontSize',15);

   

   set(gca,'XTick', XTick);

   set(gca,'XTickLabel', XTickLabel);

   TickLabelRotate(gca, 'x', 30, 'right');

[/code]

 

K线图函数代码（只需开高低收，即可画出K线图）

[code]

functioncndlV2(varargin)

% See if we have [OHLC] orseperate vectors and retrieve our

% required variables (Feelfree to make this code more pretty ;-)

isMat =size(varargin{1},2);

indexShift = 0;

useDate = 0;

 

if isMat == 4,

   O = varargin{1}(:,1);

   H = varargin{1}(:,2);

   L = varargin{1}(:,3);

   C = varargin{1}(:,4);

else

   O = varargin{1};

   H = varargin{2};

   L = varargin{3};

   C = varargin{4};

   indexShift = 3;

end

if nargin+isMat< 7,

   colorDown = 'k';

   colorUp = 'w';

   colorLine = 'k';

else

   colorUp = varargin{3+indexShift};

   colorDown = varargin{4+indexShift};

   colorLine = varargin{5+indexShift};

end

if nargin+isMat< 6,

   date = (1:length(O))';

else

   if varargin{2+indexShift} ~= 0

       date = varargin{2+indexShift};

       useDate = 1;

   else

       date = (1:length(O))';

   end

end

 

% w = Width of body, changemultiplier to draw body thicker or thinner

% the 'min' ensures noerrors on weekends ('time gap Fri. Mon.' >wanted

% spacing)

w=.3*min([(date(2)-date(1))(date(3)-date(2))]);

%%%%%%%%%%%Find up and downdays%%%%%%%%%%%%%%%%%%%

d=C-O;

l=length(d);

hold on

%%%%%%%%draw line from Lowto High%%%%%%%%%%%%%%%%%

for i=1:l

  line([date(i) date(i)],[L(i) H(i)],'Color',colorLine)

end

%%%%%%%%%%draw white (oruser defined) body (down day)%%%%%%%%%%%%%%%%%

n=find(d<0);

for i=1:length(n)

   x=[date(n(i))-w date(n(i))-w date(n(i))+w date(n(i))+wdate(n(i))-w];

   y=[O(n(i)) C(n(i)) C(n(i)) O(n(i)) O(n(i))];

   fill(x,y,colorDown)

end

%%%%%%%%%%draw black (oruser defined) body(up day)%%%%%%%%%%%%%%%%%%%

n=find(d>=0);

for i=1:length(n)

   x=[date(n(i))-w date(n(i))-w date(n(i))+w date(n(i))+wdate(n(i))-w];

   y=[O(n(i)) C(n(i)) C(n(i)) O(n(i)) O(n(i))];

   fill(x,y,colorUp)

end

 

if (nargin+isMat> 5) &&useDate,

%    tlabel('x');

   dynamicDateTicks

end

 

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

hold off

[/code]

 

常见技术指标

1）MA（移动平均）

2）MACD（指数平滑异同移动平均线）

MACD 的计算：

（1）计算短期（S日）指数移动平均线和长期（L日）指数移动平均线EMA1、EMA2。

（2）计算离差值DIF=EMA1-EMA2。

（3）计算DIF的N日指数移动平均线，即DEA。

（4）计算MACD=2*(DIF-DEA)。

3）DMA（平均线差指标）

DMA的计算：

（1）计算短期（S日）移动均线和长期（L日）移动均线MA1、MA2。

（2）计算平均线差DMA=MA1-MA2。

（3）计算DMA的M日移动平均线，即AMA。

4）TRIX（三重指数平滑移动平均指标）

TRIX的计算：

（1）计算N日的指数移动平均线EMA。

（2）对上述EMA再进行两次N 日指数移动平均后得到TR。

（3）计算TRIX=(TR-昨日TR)/昨日TR*100。

（4）计算TRIX的M日简单移动平均MATRIX。

 

实现Demo

实现测试脚本代码：

[code]

%% 常见技术指标Matlab实现

% byLiYang/faruto

%Email:[e-mail]

% 2012/8/4

%% MA

S = 5;

L = 20;

[SMA, LMA] = movavg(Data, S,L);

SMA(1:S-1) = NaN;

LMA(1:L-1) = NaN;

 

scrsz =get(0,'ScreenSize');

figure('Position',[1 1scrsz(3)*4/5 scrsz(4)]);

 

subplot(221);

OHLC = F(:,3:6);

cndlV2(OHLC,0,'r','b','k');

xlim([1,length( OHLC)]);

   set(gca,'XTick', XTick);

   set(gca,'XTickLabel', XTickLabel);

   TickLabelRotate(gca, 'x', 30, 'right');

 

hold on;

H1 =plot(SMA,'g','LineWidth',1.5);

H2 =plot(LMA,'r','LineWidth',1.5);

title('常见技术指标SMA(简单移动平均线)Matlab实现Demo', 'FontWeight','Bold', 'FontSize',15);

M ={'MA5';'MA20'};

legend([H1,H2],M);

 

%% MACD

S = 12;

L = 26;

EMA1 = EMA(Data,S);

EMA2 = EMA(Data,L);

DIFF = EMA1-EMA2;

M = 10;

DEA = EMA(DIFF,M);

MACD =2*(DIFF-DEA);

 

subplot(222);

MACD_p = MACD;

MACD_n = MACD;

MACD_p(MACD_p<0) = 0;

MACD_n(MACD_n>0) = 0;

bar(MACD_p,'r','EdgeColor','r');

hold on;

bar(MACD_n,'b','EdgeColor','b');

plot(DIFF,'k','LineWidth',1.5);

 

plot(DEA,'g','LineWidth',1.5);

 

xlim([1,length( OHLC)]);

   set(gca,'XTick', XTick);

   set(gca,'XTickLabel', XTickLabel);

   TickLabelRotate(gca, 'x', 30, 'right');

title('常见技术指标MACD(指数平滑异同移动平均线)Matlab实现Demo', 'FontWeight','Bold', 'FontSize',15);

 

%% DMA

S = 5;

L = 20;

[MA1, MA2] = movavg(Data, S,L);

MA1(1:S-1) = NaN;

MA2(1:L-1) = NaN;

DMA = MA1-MA2;

M = 5;

AMA = movavg(DMA, M,M);

AMA(1:M-1) = NaN;

 

subplot(223);

 

hold on;

plot(DMA,'k','LineWidth',1.5);

plot(AMA,'r','LineWidth',1.5);

title('常见技术指标DMA(平均线差指标)Matlab实现Demo', 'FontWeight','Bold', 'FontSize',15);

legend('DMA','AMA');

xlim([1,length( OHLC)]);

   set(gca,'XTick', XTick);

   set(gca,'XTickLabel', XTickLabel);

   TickLabelRotate(gca, 'x', 30, 'right');

%% TRIX

N = 2;

ema = EMA(Data,N);

M = 20;

TR = EMA( EMA(ema,N) ,N);

TRIX = (TR(2:end)-TR(1:end-1) )./TR(1:end-1)*100;

TRIX = [NaN;TRIX];

MATRIX = movavg(TRIX, M,M);

 

subplot(224);

 

hold on;

plot(TRIX,'k','LineWidth',1.5);

plot(MATRIX,'r','LineWidth',1.5);

title('常见技术指标TRIX(三重指数平滑移动平均指标)Matlab实现Demo', 'FontWeight','Bold', 'FontSize',15);

legend('TRIX','MATRIX');

xlim([1,length( OHLC)]);

   set(gca,'XTick', XTick);

   set(gca,'XTickLabel', XTickLabel);

   TickLabelRotate(gca, 'x', 30, 'right');

[/code]