TA-Lib在有限数据帧上的奇怪行为

Question

这个TA-Lib代码

df = pd.read_csv('RTS-MINUTES15.csv', header=None, 
names=['index', 'OPEN', 'HIGH', 'LOW', 'CLOSE', 'VOL'], 
index_col=0, skiprows = 1, nrows = 15)    
df['HAMMER'] = talib.CDLHAMMER(df['OPEN'], df['HIGH'], df['LOW'], df['CLOSE'])
print(df)

为

OPEN      HIGH       LOW     CLOSE    VOL  HAMMER
index
2020-10-23 10:00:00  115090.0  115180.0  114720.0  114890.0  25100       0
2020-10-23 10:15:00  114890.0  115140.0  114600.0  115120.0  20920       0
2020-10-23 10:30:00  115120.0  115690.0  115120.0  115670.0  30587       0
2020-10-23 10:45:00  115670.0  115750.0  115510.0  115690.0  16208       0
2020-10-23 11:00:00  115700.0  115960.0  115540.0  115950.0  22705       0
2020-10-23 11:15:00  115950.0  116270.0  115900.0  116250.0  24552       0
2020-10-23 11:30:00  116250.0  116350.0  116080.0  116240.0  14682       0
2020-10-23 11:45:00  116240.0  116290.0  115960.0  116030.0  10856       0
2020-10-23 12:00:00  116030.0  116120.0  115950.0  116080.0   5965       0
2020-10-23 12:15:00  116070.0  116420.0  116060.0  116230.0  12657       0
2020-10-23 12:30:00  116230.0  116340.0  116160.0  116170.0   6673       0
2020-10-23 12:45:00  116170.0  116270.0  116120.0  116190.0   6299       0
2020-10-23 13:00:00  116200.0  116390.0  116190.0  116220.0   9088       0
**2020-10-23 13:15:00  116240.0  116260.0  116070.0  116180.0   8626     100**
2020-10-23 13:30:00  116180.0  116240.0  116060.0  116110.0   5722       0

代码运行正常，HAMMER = 100 in row "2020-10-23 13:15:00">

但是如果我这样做了"skiprows=5"而不是"skiprows=1"TA-Lib找不到HAMMER:

df = pd.read_csv('RTS-MINUTES15.csv', header=None, 
names=['index', 'OPEN', 'HIGH', 'LOW', 'CLOSE', 'VOL'], 
index_col=0, skiprows = 5, nrows = 15)    

结果

OPEN      HIGH       LOW     CLOSE    VOL  HAMMER
index
2020-10-23 11:00:00  115700.0  115960.0  115540.0  115950.0  22705       0
2020-10-23 11:15:00  115950.0  116270.0  115900.0  116250.0  24552       0
2020-10-23 11:30:00  116250.0  116350.0  116080.0  116240.0  14682       0
2020-10-23 11:45:00  116240.0  116290.0  115960.0  116030.0  10856       0
2020-10-23 12:00:00  116030.0  116120.0  115950.0  116080.0   5965       0
2020-10-23 12:15:00  116070.0  116420.0  116060.0  116230.0  12657       0
2020-10-23 12:30:00  116230.0  116340.0  116160.0  116170.0   6673       0
2020-10-23 12:45:00  116170.0  116270.0  116120.0  116190.0   6299       0
2020-10-23 13:00:00  116200.0  116390.0  116190.0  116220.0   9088       0
**2020-10-23 13:15:00  116240.0  116260.0  116070.0  116180.0   8626       0**
2020-10-23 13:30:00  116180.0  116240.0  116060.0  116110.0   5722       0
2020-10-23 13:45:00  116110.0  116160.0  116000.0  116070.0   7500       0
2020-10-23 14:00:00  116050.0  116150.0  115990.0  116040.0   3929       0
2020-10-23 14:15:00  116030.0  116040.0  115700.0  115780.0  14745       0
2020-10-23 14:30:00  115780.0  116090.0  115750.0  116080.0  10776       0

实验我发现它发现HAMMER如果"skiproww";在1-4之间

为什么?

注:原始数据在这里

Answer 1

这是因为CDLHAMMER试图检测蜡烛是否有一个短的实体。它的定义被硬编码为real body is short when it's shorter than the average of the 10 previous candles' real bodies。因此，它无法检测到前10行中的任何内容，并且通过跳过行，您将感兴趣的行移动到离数据集开头太近的地方。