feat(engine): 添加数据服务层与技术指标库

- data/service.py: 数据拉取服务,从 TimescaleDB 读取 K 线/Ticker 等行情数据
- indicators/momentum.py: 动量类指标(RSI/MACD/Stochastic 等)
- indicators/trend.py: 趋势类指标(EMA/SMA/ADX/SuperTrend 等)
- indicators/volatility.py: 波动率指标(Bollinger/ATR/Keltner 等)
- indicators/volume.py: 成交量指标(OBV/VWAP/MFI 等)
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Rekey
2026-06-12 10:26:45 +08:00
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"""
动量指标 — RSI、Stochastic
所有函数返回与输入等长的 list[float],不足周期位置填 0.0。
"""
def rsi(data: list[float], period: int = 14) -> list[float]:
"""相对强弱指数 (RSI)
使用 Wilder 平滑算法,Wilder's RSI = 100 - [100 / (1 + avg_gain / avg_loss)]
Args:
data: 价格序列
period: 周期(默认 14
Returns:
与 data 等长的 RSI 序列 [0, 100],前 period 位置为 0
"""
n = len(data)
result = [0.0] * n
if n < period + 1:
return result
# 计算价格变化
changes = [data[i] - data[i - 1] for i in range(1, n)]
# 初始平均涨幅和跌幅(Simple average of first `period` changes
gains = [max(c, 0) for c in changes[:period]]
losses = [abs(min(c, 0)) for c in changes[:period]]
avg_gain = sum(gains) / period
avg_loss = sum(losses) / period
# 计算第一个 RSI
if avg_loss == 0:
result[period] = 100.0
else:
rs = avg_gain / avg_loss
result[period] = 100.0 - (100.0 / (1.0 + rs))
# Wilder 平滑后续值
for i in range(period, n - 1):
change = changes[i]
gain = max(change, 0.0)
loss = abs(min(change, 0.0))
avg_gain = (avg_gain * (period - 1) + gain) / period
avg_loss = (avg_loss * (period - 1) + loss) / period
if avg_loss == 0:
result[i + 1] = 100.0
else:
rs = avg_gain / avg_loss
result[i + 1] = 100.0 - (100.0 / (1.0 + rs))
return result
def stoch(
high: list[float],
low: list[float],
close: list[float],
k_period: int = 14,
k_smooth: int = 3,
d_smooth: int = 3,
):
"""Stochastic 指标 (KDJ 中的 K/D)
%K = 100 * (close - lowest_low) / (highest_high - lowest_low)
%K_smoothed = SMA(%K, k_smooth)
%D = SMA(%K_smoothed, d_smooth)
Args:
high: 最高价序列
low: 最低价序列
close: 收盘价序列
k_period: %K 窗口
k_smooth: %K 平滑周期
d_smooth: %D 平滑周期
Returns:
(k_values, d_values) 两个等长序列,范围 [0, 100]
"""
n = len(close)
k_raw = [0.0] * n
k_values = [0.0] * n
d_values = [0.0] * n
if n < k_period:
return k_values, d_values
# 计算原始 %K
for i in range(k_period - 1, n):
highest = max(high[i - k_period + 1 : i + 1])
lowest = min(low[i - k_period + 1 : i + 1])
if highest != lowest:
k_raw[i] = 100.0 * (close[i] - lowest) / (highest - lowest)
else:
k_raw[i] = 50.0
# 平滑 %K
from .trend import sma as _sma
k_smoothed = _sma(k_raw, k_smooth)
d_smoothed = _sma(k_smoothed, d_smooth)
return k_smoothed, d_smoothed
def stoch_k(
high: list[float],
low: list[float],
close: list[float],
k_period: int = 14,
k_smooth: int = 3,
) -> list[float]:
"""Stochastic %K"""
k, _ = stoch(high, low, close, k_period, k_smooth)
return k
def stoch_d(
high: list[float],
low: list[float],
close: list[float],
k_period: int = 14,
k_smooth: int = 3,
d_smooth: int = 3,
) -> list[float]:
"""Stochastic %D"""
_, d = stoch(high, low, close, k_period, k_smooth, d_smooth)
return d