MACD函数返回不正确的值

问题描述

我正在尝试使用PHP 交易程序功能(可作为PECL扩展使用) )，以计算各种证券的移动平均收敛/偏离(MACD).但是，返回的值似乎与我的计算结果不符.

I am trying to use PHPs trader functions (available as a PECL extension) to calculate the moving average convergence/divergence (MACD) of various securities. However, the values returned do not seem to match my calculations.

请考虑以下股票收盘价:

Consider the following array of close prices for a stock:

$close = array (
  0 => 459.99,
  1 => 448.85,
  2 => 446.06,
  3 => 450.81,
  4 => 442.8,
  5 => 448.97,
  6 => 444.57,
  7 => 441.4,
  8 => 430.47,
  9 => 420.05,
  10 => 431.14,
  11 => 425.66,
  12 => 430.58,
  13 => 431.72,
  14 => 437.87,
  15 => 428.43,
  16 => 428.35,
  17 => 432.5,
  18 => 443.66,
  19 => 455.72,
  20 => 454.49,
  21 => 452.08,
  22 => 452.73,
  23 => 461.91,
  24 => 463.58,
  25 => 461.14,
  26 => 452.08,
  27 => 442.66,
  28 => 428.91,
  29 => 429.79,
  30 => 431.99,
  31 => 427.72,
  32 => 423.2,
  33 => 426.21,
  34 => 426.98,
  35 => 435.69,
  36 => 434.33,
  37 => 429.8,
  38 => 419.85,
  39 => 426.24,
  40 => 402.8,
  41 => 392.05,
  42 => 390.53,
  43 => 398.67,
  44 => 406.13,
  45 => 405.46,
  46 => 408.38,
  47 => 417.2,
  48 => 430.12,
  49 => 442.78,
  50 => 439.29,
  51 => 445.52,
  52 => 449.98,
  53 => 460.71,
  54 => 458.66,
  55 => 463.84,
  56 => 456.77,
  57 => 452.97,
  58 => 454.74,
  59 => 443.86,
  60 => 428.85,
  61 => 434.58,
  62 => 433.26,
  63 => 442.93,
  64 => 439.66,
  65 => 441.35,
);

基于这些数字，MACD，信号线和MACD直方图应显示为:

Based on these numbers, the MACD, signal line, and MACD histogram should come out to:

// MACD
Array
(
    [0] => 8.275269504
    [1] => 7.703378381
    [2] => 6.416074757
    [3] => 4.237519783
    [4] => 2.552583325
    [5] => 1.37888572
    [6] => 0.102981491
    [7] => -1.258401953
    [8] => -2.07055819
    [9] => -2.621842328
    [10] => -2.32906674
    [11] => -2.181632115
    [12] => -2.402626273
    [13] => -3.342121681
    [14] => -3.530363136
    [15] => -5.507471249
    [16] => -7.851274229
    [17] => -9.719367455
    [18] => -10.42286651
    [19] => -10.26016216
    [20] => -10.06920961
    [21] => -9.571919612
    [22] => -8.369633492
    [23] => -6.301635724
    [24] => -3.599681509
    [25] => -1.720148361
    [26] => 0.269003232
    [27] => 2.180173247
    [28] => 4.508637809
    [29] => 6.118020154
    [30] => 7.722430594
    [31] => 8.327453809
    [32] => 8.403441185
    [33] => 8.508406323
    [34] => 7.625761844
    [35] => 5.649949083
    [36] => 4.494654765
    [37] => 3.432989362
    [38] => 3.333473854
    [39] => 2.956662856
    [40] => 2.762561216
)

// Signal line
Array
(
    [0] => 3.037525869
    [1] => 1.905652229
    [2] => 1.058708435
    [3] => 0.410640325
    [4] => -0.152012994
    [5] => -0.790034732
    [6] => -1.338100413
    [7] => -2.17197458
    [8] => -3.30783451
    [9] => -4.590141099
    [10] => -5.756686181
    [11] => -6.657381376
    [12] => -7.339747023
    [13] => -7.786181541
    [14] => -7.902871931
    [15] => -7.58262469
    [16] => -6.786036054
    [17] => -5.772858515
    [18] => -4.564486166
    [19] => -3.215554283
    [20] => -1.670715865
    [21] => -0.112968661
    [22] => 1.45411119
    [23] => 2.828779714
    [24] => 3.943712008
    [25] => 4.856650871
    [26] => 5.410473066
    [27] => 5.458368269
    [28] => 5.265625568
    [29] => 4.899098327
    [30] => 4.585973432
    [31] => 4.260111317
    [32] => 3.960601297
)

// MACD histogram
Array
(
    [0] => -5.108084059
    [1] => -4.527494558
    [2] => -3.387775176
    [3] => -2.59227244
    [4] => -2.250613279
    [5] => -2.55208695
    [6] => -2.192262723
    [7] => -3.335496669
    [8] => -4.543439719
    [9] => -5.129226357
    [10] => -4.666180327
    [11] => -3.602780783
    [12] => -2.729462587
    [13] => -1.785738071
    [14] => -0.466761561
    [15] => 1.280988966
    [16] => 3.186354544
    [17] => 4.052710154
    [18] => 4.833489398
    [19] => 5.39572753
    [20] => 6.179353673
    [21] => 6.230988815
    [22] => 6.268319404
    [23] => 5.498674095
    [24] => 4.459729177
    [25] => 3.651755452
    [26] => 2.215288778
    [27] => 0.191580814
    [28] => -0.770970803
    [29] => -1.466108965
    [30] => -1.252499579
    [31] => -1.303448461
    [32] => -1.198040081
)

以上数据是在excel上计算得出的，是正确的MACD.我必须在PHP中计算MACD的简短脚本是:

The above data was calculated on excel and is the correct MACD. The short script I have to calculate the MACD in PHP is:

<?php
// The array $close is the same as it is in the above example, omitted here for brevity.
$macd = trader_macd($close, 12, 26);
var_dump($macd);
?>

但是，var_dump($macd)打印:

array(3) {
  [0]=>
  array(40) {
    [24]=>
    float(0)
    [25]=>
    float(4.415)
    [26]=>
    float(4.437)
    [27]=>
    float(3.652)
    [28]=>
    float(1.899)
    [29]=>
    float(0.574)
    [30]=>
    float(-0.295)
    [31]=>
    float(-1.314)
    [32]=>
    float(-2.457)
    [33]=>
    float(-3.085)
    [34]=>
    float(-3.48)
    [35]=>
    float(-3.055)
    [36]=>
    float(-2.796)
    [37]=>
    float(-2.923)
    [38]=>
    float(-3.782)
    [39]=>
    float(-3.903)
    [40]=>
    float(-5.822)
    [41]=>
    float(-8.118)
    [42]=>
    float(-9.945)
    [43]=>
    float(-10.614)
    [44]=>
    float(-10.422)
    [45]=>
    float(-10.206)
    [46]=>
    float(-9.688)
    [47]=>
    float(-8.467)
    [48]=>
    float(-6.384)
    [49]=>
    float(-3.67)
    [50]=>
    float(-1.779)
    [51]=>
    float(0.219)
    [52]=>
    float(2.138)
    [53]=>
    float(4.473)
    [54]=>
    float(6.088)
    [55]=>
    float(7.697)
    [56]=>
    float(8.306)
    [57]=>
    float(8.385)
    [58]=>
    float(8.493)
    [59]=>
    float(7.613)
    [60]=>
    float(5.639)
    [61]=>
    float(4.485)
    [62]=>
    float(3.425)
    [63]=>
    float(3.327)
  }
  [1]=>
  array(40) {
    [24]=>
    float(4.437)
    [25]=>
    float(3.652)
    [26]=>
    float(1.899)
    [27]=>
    float(0.574)
    [28]=>
    float(-0.295)
    [29]=>
    float(-1.314)
    [30]=>
    float(-2.457)
    [31]=>
    float(-3.085)
    [32]=>
    float(-3.48)
    [33]=>
    float(-3.055)
    [34]=>
    float(-2.796)
    [35]=>
    float(-2.923)
    [36]=>
    float(-3.782)
    [37]=>
    float(-3.903)
    [38]=>
    float(-5.822)
    [39]=>
    float(-8.118)
    [40]=>
    float(-9.945)
    [41]=>
    float(-10.614)
    [42]=>
    float(-10.422)
    [43]=>
    float(-10.206)
    [44]=>
    float(-9.688)
    [45]=>
    float(-8.467)
    [46]=>
    float(-6.384)
    [47]=>
    float(-3.67)
    [48]=>
    float(-1.779)
    [49]=>
    float(0.219)
    [50]=>
    float(2.138)
    [51]=>
    float(4.473)
    [52]=>
    float(6.088)
    [53]=>
    float(7.697)
    [54]=>
    float(8.306)
    [55]=>
    float(8.385)
    [56]=>
    float(8.493)
    [57]=>
    float(7.613)
    [58]=>
    float(5.639)
    [59]=>
    float(4.485)
    [60]=>
    float(3.425)
    [61]=>
    float(3.327)
    [62]=>
    float(2.951)
    [63]=>
    float(2.758)
  }
  [2]=>
  array(40) {
    [24]=>
    float(-4.437)
    [25]=>
    float(0.763)
    [26]=>
    float(2.538)
    [27]=>
    float(3.079)
    [28]=>
    float(2.194)
    [29]=>
    float(1.888)
    [30]=>
    float(2.162)
    [31]=>
    float(1.771)
    [32]=>
    float(1.023)
    [33]=>
    float(-0.03)
    [34]=>
    float(-0.684)
    [35]=>
    float(-0.133)
    [36]=>
    float(0.986)
    [37]=>
    float(0.98)
    [38]=>
    float(2.04)
    [39]=>
    float(4.215)
    [40]=>
    float(4.122)
    [41]=>
    float(2.496)
    [42]=>
    float(0.477)
    [43]=>
    float(-0.408)
    [44]=>
    float(-0.734)
    [45]=>
    float(-1.738)
    [46]=>
    float(-3.303)
    [47]=>
    float(-4.798)
    [48]=>
    float(-4.605)
    [49]=>
    float(-3.889)
    [50]=>
    float(-3.917)
    [51]=>
    float(-4.254)
    [52]=>
    float(-3.95)
    [53]=>
    float(-3.224)
    [54]=>
    float(-2.218)
    [55]=>
    float(-0.688)
    [56]=>
    float(-0.187)
    [57]=>
    float(0.772)
    [58]=>
    float(2.854)
    [59]=>
    float(3.127)
    [60]=>
    float(2.214)
    [61]=>
    float(1.159)
    [62]=>
    float(0.474)
    [63]=>
    float(0.569)
  }
}

如上所述，PHP返回一个包含3个数组的数组. 文档几乎没有提示每个数组是什么，仅说明了MACD功能

As is above, PHP returns an array containing 3 arrays. The documentation gives little hint as to what each array is, stating only that the MACD function

用户提供的注释(尽管其中有一个注释得分-1)表示第一个数组(索引0)是MACD值，第二个数组(索引1)是信号值，最后一个数组(索引2)是散度值.

A user contributed note (albeit one that has a score of -1) adds that the first array (index 0) is the MACD values, the second array (index 1) is the signal values, and the last array (index 2) is the divergence values.

即使用户的注释为true，返回的数组也不符合我的计算(我知道是正确的).为什么trader_macd()返回错误的值/我在做什么错?

Even if the users note is true, the returned arrays do not match my calculations (which I know to be correct). Why is trader_macd() returning incorrect values/what am I doing wrong?

交易者函数的PHP文档仅包含每个函数的参数列表.附带说明一下，在哪里可以找到有关该交易员扩展程序的更多详细文档?这不是我第一次遇到扩展中的功能.

PHPs documentation of the trader functions contains little more than an argument list of each function. As a side note, is there anywhere I can get more detailed documentation for the trader extension? This is not the first time I have had trouble with a function in the extension.

推荐答案

我不了解PHP，但是我可以从C/C ++角度解释ta-lib行为.我已经用您的数据集调试了它的MACD.如果您为数据调用ta-lib的C函数ta_macd()，则会得到关注.

I don't know PHP, but I can explain ta-lib behavior from C/C++ perspective. I've debugged its MACD with your dataset. If you call ta-lib's C function ta_macd() for your data you'll get following.

macd     signal    hist
-3.08486 0.869685 -3.95455
-3.4801 -0.000272319 -3.47983
-3.05529 -0.611275 -2.44401
-2.79613 -1.04825 -1.74788
-2.92258 -1.42311 -1.49947
-3.78208 -1.89491 -1.88718
-3.90264 -2.29645 -1.60619
-5.82247 -3.00166 -2.82082
-8.11782 -4.02489 -4.09293
-9.9449 -5.20889 -4.73601
-10.6137 -6.28985 -4.32385
-10.4216 -7.11621 -3.30543
-10.2058 -7.73414 -2.47171
-9.68753 -8.12482 -1.56272
-8.46746 -8.19335 -0.274115
-6.38441 -7.83156 1.44715
-3.66972 -6.99919 3.32947
-1.77941 -5.95524 4.17582
0.218855 -4.72042 4.93927
2.13774 -3.34879 5.48653
4.47273 -1.78448 6.25722
6.08764 -0.210058 6.2977
7.69672 1.3713 6.32543
8.3057 2.75818 5.54752
8.38504 3.88355 4.50149
8.49283 4.80541 3.68743
7.61258 5.36684 2.24574
5.6388 5.42123 0.217565
4.48522 5.23403 -0.748811
3.42501 4.87223 -1.44722
3.32672 4.56312 -1.23641
2.95095 4.24069 -1.28974
2.75772 3.9441 -1.18637

它与您的以下excel文件不匹配:

It doesn't match your excel file bcs of following:

1. TA-Lib计算26天EMA，其中第一个EMA结果是初始26天周期的平均值.这是默认行为(非Metastock).
2. TA-lib计算12天EMA，其中第一个EMA结果是初始12天周期的平均值.但是它调整为可以得到第一个26天EMA的一天.因此，它使用15-26天来计算平均值，这是12天EMA的第一个值.这是与Excel的主要区别.只需将公式=AVERAGE(B19:B30)放在单元格C30中，excel结果将与C函数结果匹配.
3. 然后，TA-lib使用9天(默认信号周期)EMA超过其在步骤2和3上获得的值来计算信号\历史值.它仅返回同时具有MACD，信号和历史的天数的结果.换句话说，它不会返回前8个MACD值.如果您在Excel的第2步中进行了建议的更改，您会看到C ++函数的结果将与范围E38-G70相匹配.

1. TA-Lib calculates 26-day EMA where first EMA result is average of initial 26-days period. This is a default behavior (non-Metastock).
2. TA-lib calculates 12-day EMA where first EMA result is average of initial 12-days period. But it adjusted to a day where first 26-day EMA could be got. So it uses days 15-26 to calculate average that is first value for 12-day EMA. That's a main difference with your Excel. Just put formula =AVERAGE(B19:B30) in cell C30 and the excel results will match with C function results.
3. Then TA-lib calculates signal\hist values using 9-day (default signal period) EMA over values it got on steps 2 and 3. And it returns results only for days what have both MACD, signal and hist. In other words it doesn't return first 8 MACD values. If you made the change proposed on step 2 in your Excel you'll see that the C++ function results will match with range E38-G70.

好吧，据我所知，这就是TA-Lib的工作方式.但是，如果将我的结果与PHP函数的结果进行比较，就会发现它们也不匹配.但是您会注意到，我的MACD等于您的第一个数组中的值，从

Well, that's how TA-Lib works as far as I can see. But if you compare my results with your PHP function results you'll find that they doesn't match too. But you can notice that my MACDs are equal to values in your 1st array starting from

[33]=>
    float(-3.085)

如果将PHP结果与Excel(已更新)进行比较，您会发现1st数组的第一个元素等于E30-E37.这是TA-Lib省略的前8个MACD，因为它们没有对应的信号\历史值.bcs signal是使用9天EMA计算的.这也意味着:

And if you compare PHP results with Excel (updated) you'll find that first elements of 1st array are equal to E30-E37. These are first 8 MACDs that TA-Libs omits as they don't have corresponding signal\hist values bcs signal is calculated with 9-days EMA. It also means following:

1. 交易者函数作者不使用香草ta-lib.也许他们已经用PHP重写了TA_MACD函数逻辑，或者分叉了ta-lib或使用了我不知道的非常旧的版本.因为ta-lib只是不返回它们返回的MACD值(尽管它会计算它们).
2. 我不了解他们的结果数组格式，或者我不了解他们如何计算信号\历史值(第一个bcs数组是可以解释的).

我建议您查看PHP函数源代码.我找不到如果要仔细检查ta-lib中MACD的香草C实现，请参考以下页面: macd ， ema .

I would recommend looking inside PHP function source code. I couldn't find it.If you want to doublecheck vanilla C implementation of MACD in ta-lib, you shall refer to following pages: macd, ema.

这篇关于MACD函数返回不正确的值的文章就介绍到这了，希望我们推荐的答案对大家有所帮助，也希望大家多多支持！