この記事では、過去に研究したbot理論として、多くの人が使うであろう「TA-Lib」で使えそうなものを紹介してみます。
個人的な備忘録であるため誤謬・誤植などあるかもしれませんが、ご了承ください。
主な引用元
とりあえず参考となる文書はgithubのドキュメントです。
ただし英語のドキュメントであり、少しでも使いやすくするために日本語のリストにしてみます。と言っても日本語に該当するものがなさそうなものも多いですが...
scikit-learningで回帰モデルを使うときにも、ある程度は意味がわかった方が検証しやすいはず。シグナル・トレーディング指標など使えそうなものを掲載しています。
Overlap Studies
| BBANDS | ボリンジャーバンド |
| DEMA | 2重指数移動平均 |
| EMA | 指数移動平均 |
| HT_TRENDLINE | Hilbert Transform - Instantaneous Trendline |
| KAMA | Kaufman Adaptive 移動平均 |
| MA | 移動平均 |
| MAMA | MESA Adaptive 移動平均 |
| MAVP | 移動平均 with variable period |
| MIDPOINT | 期間中の中間点 |
| MIDPRICE | 期間中の半値 |
| SAR | パラボリック SAR |
| SAREXT | パラボリック SAR - Extended |
| SMA | 単純 移動平均 |
| T3 | 3重指数移動平均 (T3) |
| TEMA | 3重指数移動平均 |
| TRIMA | Triangular 移動平均 |
| WMA | 加重移動平均 |
Momentum Indicators
| ADX | Average Directional Movement Index |
| ADXR | Average Directional Movement Index Rating |
| APO | Absolute Price オシレーター |
| AROON | Aroon |
| AROONOSC | Aroon オシレーター |
| BOP | Balance Of Power |
| CCI | Commodity Channel Index |
| CMO | Chande モメンタム オシレーター |
| DX | Directional Movement Index |
| MACD | Moving Average Convergence/Divergence |
| MACDEXT | MACD with controllable MA type |
| MACDFIX | Moving Average Convergence/Divergence Fix 12/26 |
| MFI | Money Flow Index |
| MINUS_DI | DI- |
| MINUS_DM | DM- |
| MOM | モメンタム |
| PLUS_DI | DI+ |
| PLUS_DM | DM+ |
| PPO | Percentage Price オシレーター |
| ROC | Rate of change ((price/prevPrice)-1)*100 |
| ROCP | Rate of change Percentage (price-prevPrice)/prevPrice |
| ROCR | Rate of change ratio (price/prevPrice) |
| ROCR100 | Rate of change ratio 100 scale (price/prevPrice)*100 |
| RSI | Relative Strength Index |
| STOCH | Stochastic |
| STOCHF | Stochastic Fast |
| STOCHRSI | Stochastic Relative Strength Index |
| TRIX | 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA |
| ULTOSC | Ultimate オシレーター |
| WILLR | ウィリアムズ%R |
Volume Indicators
| AD | Chaikin A/D Line |
| ADOSC | Chaikin A/D Oscillator |
| OBV | On Balance Volume |
Volatility Indicators
| ATR | Average True Range |
| NATR | Normalized Average True Range |
| TRANGE | True Range |
Price Transform
| AVGPRICE | Average Price |
| MEDPRICE | Median Price |
| TYPPRICE | Typical Price |
| WCLPRICE | Weighted Close Price |
Cycle Indicators
| HT_DCPERIOD | Hilbert Transform - Dominant Cycle Period |
| HT_DCPHASE | Hilbert Transform - Dominant Cycle Phase |
| HT_PHASOR | Hilbert Transform - Phasor Components |
| HT_SINE | Hilbert Transform - SineWave |
| HT_TRENDMODE | Hilbert Transform - Trend vs Cycle Mode |
Pattern Recognition
| CDL2CROWS | Two Crows |
| CDL3BLACKCROWS | Three Black Crows |
| CDL3INSIDE | Three Inside Up/Down |
| CDL3LINESTRIKE | Three-Line Strike |
| CDL3OUTSIDE | Three Outside Up/Down |
| CDL3STARSINSOUTH | Three Stars In The South |
| CDL3WHITESOLDIERS | Three Advancing White Soldiers |
| CDLABANDONEDBABY | Abandoned Baby |
| CDLADVANCEBLOCK | Advance Block |
| CDLBELTHOLD | Belt-hold |
| CDLBREAKAWAY | Breakaway |
| CDLCLOSINGMARUBOZU | Closing Marubozu |
| CDLCONCEALBABYSWALL | Concealing Baby Swallow |
| CDLCOUNTERATTACK | Counterattack |
| CDLDARKCLOUDCOVER | Dark Cloud Cover |
| CDLDOJI | Doji |
| CDLDOJISTAR | Doji Star |
| CDLDRAGONFLYDOJI | Dragonfly Doji |
| CDLENGULFING | Engulfing Pattern |
| CDLEVENINGDOJISTAR | Evening Doji Star |
| CDLEVENINGSTAR | Evening Star |
| CDLGAPSIDESIDEWHITE | Up/Down-gap side-by-side white lines |
| CDLGRAVESTONEDOJI | Gravestone Doji |
| CDLHAMMER | Hammer |
| CDLHANGINGMAN | Hanging Man |
| CDLHARAMI | Harami Pattern |
| CDLHARAMICROSS | Harami Cross Pattern |
| CDLHIGHWAVE | High-Wave Candle |
| CDLHIKKAKE | Hikkake Pattern |
| CDLHIKKAKEMOD | Modified Hikkake Pattern |
| CDLHOMINGPIGEON | Homing Pigeon |
| CDLIDENTICAL3CROWS | Identical Three Crows |
| CDLINNECK | In-Neck Pattern |
| CDLINVERTEDHAMMER | Inverted Hammer |
| CDLKICKING | Kicking |
| CDLKICKINGBYLENGTH | Kicking - bull/bear determined by the longer marubozu |
| CDLLADDERBOTTOM | Ladder Bottom |
| CDLLONGLEGGEDDOJI | Long Legged Doji |
| CDLLONGLINE | Long Line Candle |
| CDLMARUBOZU | Marubozu |
| CDLMATCHINGLOW | Matching Low |
| CDLMATHOLD | Mat Hold |
| CDLMORNINGDOJISTAR | Morning Doji Star |
| CDLMORNINGSTAR | Morning Star |
| CDLONNECK | On-Neck Pattern |
| CDLPIERCING | Piercing Pattern |
| CDLRICKSHAWMAN | Rickshaw Man |
| CDLRISEFALL3METHODS | Rising/Falling Three Methods |
| CDLSEPARATINGLINES | Separating Lines |
| CDLSHOOTINGSTAR | Shooting Star |
| CDLSHORTLINE | Short Line Candle |
| CDLSPINNINGTOP | Spinning Top |
| CDLSTALLEDPATTERN | Stalled Pattern |
| CDLSTICKSANDWICH | Stick Sandwich |
| CDLTAKURI | Takuri (Dragonfly Doji with very long lower shadow) |
| CDLTASUKIGAP | Tasuki Gap |
| CDLTHRUSTING | Thrusting Pattern |
| CDLTRISTAR | Tristar Pattern |
| CDLUNIQUE3RIVER | Unique 3 River |
| CDLUPSIDEGAP2CROWS | Upside Gap Two Crows |
| CDLXSIDEGAP3METHODS | Upside/Downside Gap Three Methods |
Statistic Functions
| BETA | Beta |
| CORREL | Pearson's Correlation Coefficient (r) |
| LINEARREG | Linear Regression |
| LINEARREG_ANGLE | Linear Regression Angle |
| LINEARREG_INTERCEPT | Linear Regression Intercept |
| LINEARREG_SLOPE | Linear Regression Slope |
| STDDEV | Standard Deviation |
| TSF | Time Series Forecast |
| VAR | Variance |
