Technical Indicators.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 124,
   "id": "7bb431eb-05f8-4587-b028-478905387eb2",
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np\n",
    "import FinanceDataReader as fdr\n",
    "import ta\n",
    "\n",
    "df = fdr.DataReader('005930','2004-11-16', '2024-08-16')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 125,
   "id": "38df800e-75dd-4182-91b7-fa69576428da",
   "metadata": {},
   "outputs": [],
   "source": [
    "# 볼린저밴드\n",
    "bb = ta.volatility.BollingerBands(close=df['Close'], window=20, fillna=False)\n",
    "df['PB'] = bb.bollinger_pband()\n",
    "df['BandWidth'] = bb.bollinger_wband()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 126,
   "id": "371c6102-877a-4c3e-be75-d8a544df4ab6",
   "metadata": {},
   "outputs": [],
   "source": [
    "# DMI, ADX\n",
    "# dmi = ta.trend.ADXIndicator(high=df['High'], low=df['Low'], close=df['Close'], window=14, fillna=False)\n",
    "# df['PDI'],df['MDI'],df['ADX'] = dmi.adx_pos(),dmi.adx_neg(),dmi.adx()\n",
    "\n",
    "pdiff, ndiff = df['High'].diff(1), df['Low'].diff(1)\n",
    "pdm = pd.Series(np.where((pdiff > 0) & (pdiff > -ndiff), pdiff, 0), index=df.index)\n",
    "ndm = pd.Series(np.where((-ndiff > 0) & (-ndiff > pdiff), -ndiff, 0), index=df.index)\n",
    "\n",
    "tr = pd.DataFrame()\n",
    "tr['1'] = df['High'] - df['Low']\n",
    "tr['2'] = (df['High'] - df['Close'].shift(-1)).abs()\n",
    "tr['3'] = (df['Low'] - df['Close'].shift(-1)).abs()\n",
    "tr = tr.max(axis = 1)\n",
    "\n",
    "def sum_index(df,nums):\n",
    "    sum = pd.Series(np.nan, index=df.index)\n",
    "    sum.iloc[13] = nums[0:14].sum()\n",
    "    for i in range(14,len(df)):\n",
    "        sum.iloc[i] = sum.iloc[i-1] - sum.iloc[i-1]/14 + nums.iloc[i]\n",
    "    return sum\n",
    "\n",
    "pdmn, ndmn, trn = sum_index(df,pdm), sum_index(df,ndm), sum_index(df,tr)\n",
    "\n",
    "df['PDI'], df['MDI'] = pdmn/trn*100, ndmn/trn*100\n",
    "dx = ((df['PDI']-df['MDI']).abs()) / (df['PDI']+df['MDI']) * 100\n",
    "\n",
    "adx = pd.Series(np.nan, index=df.index)\n",
    "adx.iloc[26] = dx[13:27].mean()\n",
    "for i in range(27,len(df)):\n",
    "    adx.iloc[i] = (adx.iloc[i-1]*13 + dx.iloc[i])/14\n",
    "\n",
    "df['ADX'] = adx"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 127,
   "id": "2374bd54-40f7-42f0-b388-9d607249d006",
   "metadata": {},
   "outputs": [],
   "source": [
    "# WMA (가중이동평균)\n",
    "df['CWMA'] = ta.trend.WMAIndicator(close=df['Close'], window=5, fillna=False).wma()\n",
    "df['VWMA'] = ta.trend.WMAIndicator(close=df['Volume'], window=5, fillna=False).wma()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 128,
   "id": "297cd8b9-b884-40f0-af09-2677feddf20e",
   "metadata": {},
   "outputs": [],
   "source": [
    "# MACD\n",
    "df['MACD'] = ta.trend.macd(close=df['Close'], window_slow=26, window_fast=12, fillna=False)\n",
    "df['MACD_sig'] = ta.trend.macd_signal(close=df['Close'], window_slow=26, window_fast=12, window_sign=9, fillna=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 129,
   "id": "7873b18e-85e8-448f-8fef-f47d0c9b6256",
   "metadata": {},
   "outputs": [],
   "source": [
    "# RSI\n",
    "df['RSI'] = ta.momentum.rsi(close=df['Close'], window=14, fillna=False)\n",
    "df['RSI_sig'] = df['RSI'].rolling(9).mean()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 130,
   "id": "16203679-7a1a-4ecd-9f81-d6f9d4a58095",
   "metadata": {},
   "outputs": [],
   "source": [
    "# STOCHASTIC FAST\n",
    "df['%K'] = ta.momentum.stoch(high=df['High'], low=df['Low'], close=df['Close'], window=14, smooth_window=3, fillna=False)\n",
    "df['%D'] = ta.momentum.stoch_signal(high=df['High'], low=df['Low'], close=df['Close'], window=14, smooth_window=3, fillna=False)\n",
    "\n",
    "# STOCAHSTIC SLOW (FAST와 SLOW 둘 중 하나를 반영해야 함)\n",
    "# df['Slow_%K'] = df['%D']\n",
    "# df['Slow_%D'] = df['Slow_%K'].rolling(3).mean()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 134,
   "id": "cadb27d6-878f-4530-a232-e0455d704818",
   "metadata": {},
   "outputs": [
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Open</th>\n",
       "      <th>High</th>\n",
       "      <th>Low</th>\n",
       "      <th>Close</th>\n",
       "      <th>Volume</th>\n",
       "      <th>Change</th>\n",
       "      <th>PB</th>\n",
       "      <th>BandWidth</th>\n",
       "      <th>PDI</th>\n",
       "      <th>MDI</th>\n",
       "      <th>ADX</th>\n",
       "      <th>CWMA</th>\n",
       "      <th>VWMA</th>\n",
       "      <th>MACD</th>\n",
       "      <th>MACD_sig</th>\n",
       "      <th>RSI</th>\n",
       "      <th>RSI_sig</th>\n",
       "      <th>%K</th>\n",
       "      <th>%D</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
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       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2024-08-09</th>\n",
       "      <td>75700</td>\n",
       "      <td>75800</td>\n",
       "      <td>74200</td>\n",
       "      <td>74700</td>\n",
       "      <td>16388222</td>\n",
       "      <td>0.017711</td>\n",
       "      <td>0.185381</td>\n",
       "      <td>24.377061</td>\n",
       "      <td>19.726125</td>\n",
       "      <td>32.691508</td>\n",
       "      <td>24.093548</td>\n",
       "      <td>73840.000000</td>\n",
       "      <td>2.952870e+07</td>\n",
       "      <td>-2338.746968</td>\n",
       "      <td>-1241.965020</td>\n",
       "      <td>38.460203</td>\n",
       "      <td>39.574546</td>\n",
       "      <td>28.301887</td>\n",
       "      <td>25.576520</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-08-12</th>\n",
       "      <td>75200</td>\n",
       "      <td>75900</td>\n",
       "      <td>74800</td>\n",
       "      <td>75500</td>\n",
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       "      <td>31.675436</td>\n",
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       "      <td>74560.000000</td>\n",
       "      <td>2.084730e+07</td>\n",
       "      <td>-2319.645728</td>\n",
       "      <td>-1457.501162</td>\n",
       "      <td>40.593091</td>\n",
       "      <td>39.303713</td>\n",
       "      <td>33.333333</td>\n",
       "      <td>27.253669</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-08-13</th>\n",
       "      <td>76500</td>\n",
       "      <td>76600</td>\n",
       "      <td>75500</td>\n",
       "      <td>76100</td>\n",
       "      <td>10716261</td>\n",
       "      <td>0.007947</td>\n",
       "      <td>0.303029</td>\n",
       "      <td>23.327003</td>\n",
       "      <td>20.267308</td>\n",
       "      <td>30.347132</td>\n",
       "      <td>23.798841</td>\n",
       "      <td>75206.666667</td>\n",
       "      <td>1.544286e+07</td>\n",
       "      <td>-2230.382412</td>\n",
       "      <td>-1612.077412</td>\n",
       "      <td>42.210815</td>\n",
       "      <td>38.084487</td>\n",
       "      <td>37.106918</td>\n",
       "      <td>32.914046</td>\n",
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       "    <tr>\n",
       "      <th>2024-08-14</th>\n",
       "      <td>77400</td>\n",
       "      <td>77800</td>\n",
       "      <td>77000</td>\n",
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       "      <td>22.183752</td>\n",
       "      <td>21.617454</td>\n",
       "      <td>27.969496</td>\n",
       "      <td>23.013918</td>\n",
       "      <td>75980.000000</td>\n",
       "      <td>1.332032e+07</td>\n",
       "      <td>-2047.280015</td>\n",
       "      <td>-1699.117932</td>\n",
       "      <td>45.159286</td>\n",
       "      <td>37.490015</td>\n",
       "      <td>44.025157</td>\n",
       "      <td>38.155136</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-08-16</th>\n",
       "      <td>79400</td>\n",
       "      <td>80200</td>\n",
       "      <td>78700</td>\n",
       "      <td>80200</td>\n",
       "      <td>20804476</td>\n",
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       "      <td>0.576927</td>\n",
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       "      <td>26.882344</td>\n",
       "      <td>26.905371</td>\n",
       "      <td>21.373124</td>\n",
       "      <td>77586.666667</td>\n",
       "      <td>1.501484e+07</td>\n",
       "      <td>-1641.176655</td>\n",
       "      <td>-1687.529677</td>\n",
       "      <td>52.306297</td>\n",
       "      <td>38.764603</td>\n",
       "      <td>62.893082</td>\n",
       "      <td>48.008386</td>\n",
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      "text/plain": [
       "             Open   High    Low  Close    Volume    Change        PB  \\\n",
       "Date                                                                   \n",
       "2024-08-09  75700  75800  74200  74700  16388222  0.017711  0.185381   \n",
       "2024-08-12  75200  75900  74800  75500   9839259  0.010710  0.251606   \n",
       "2024-08-13  76500  76600  75500  76100  10716261  0.007947  0.303029   \n",
       "2024-08-14  77400  77800  77000  77200  13246168  0.014455  0.381179   \n",
       "2024-08-16  79400  80200  78700  80200  20804476  0.038860  0.576927   \n",
       "\n",
       "            BandWidth        PDI        MDI        ADX          CWMA  \\\n",
       "Date                                                                   \n",
       "2024-08-09  24.377061  19.726125  32.691508  24.093548  73840.000000   \n",
       "2024-08-12  24.276895  19.352107  31.675436  24.097605  74560.000000   \n",
       "2024-08-13  23.327003  20.267308  30.347132  23.798841  75206.666667   \n",
       "2024-08-14  22.183752  21.617454  27.969496  23.013918  75980.000000   \n",
       "2024-08-16  20.497977  26.882344  26.905371  21.373124  77586.666667   \n",
       "\n",
       "                    VWMA         MACD     MACD_sig        RSI    RSI_sig  \\\n",
       "Date                                                                       \n",
       "2024-08-09  2.952870e+07 -2338.746968 -1241.965020  38.460203  39.574546   \n",
       "2024-08-12  2.084730e+07 -2319.645728 -1457.501162  40.593091  39.303713   \n",
       "2024-08-13  1.544286e+07 -2230.382412 -1612.077412  42.210815  38.084487   \n",
       "2024-08-14  1.332032e+07 -2047.280015 -1699.117932  45.159286  37.490015   \n",
       "2024-08-16  1.501484e+07 -1641.176655 -1687.529677  52.306297  38.764603   \n",
       "\n",
       "                   %K         %D  \n",
       "Date                              \n",
       "2024-08-09  28.301887  25.576520  \n",
       "2024-08-12  33.333333  27.253669  \n",
       "2024-08-13  37.106918  32.914046  \n",
       "2024-08-14  44.025157  38.155136  \n",
       "2024-08-16  62.893082  48.008386  "
      ]
     },
     "execution_count": 134,
     "metadata": {},
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    }
   ],
   "source": [
    "df = df[33:]; df.tail()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 132,
   "id": "9cf5e294-8156-4eb9-aee8-9e76e5c5f288",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(4851, 19)"
      ]
     },
     "execution_count": 132,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "df.shape"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 133,
   "id": "7c772ba3-4caf-4283-8c8d-3bf3fd550242",
   "metadata": {},
   "outputs": [],
   "source": [
    "df.to_csv('stock.csv',encoding='utf-8-sig')"
   ]
  }
 ],
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