90%筹码集中度(CR90)是衡量流通筹码在价格区间集中程度的指标,公式如下:
CR90 = (P90_HIGH - P90_LOW) / (P100_HIGH - P100_LOW) ×100%
其中:
1. P90_HIGH/P90_LOW:通过流通股本累计90%的筹码对应的价格区间上下限(需按成交量加权排序)
2. P100_HIGH/P100_LOW:全部筹码的价格区间上下限
Python实现源码(基于Tushare数据):
```python
import pandas as pd
def cr90(stock_code, date):
# 获取历史分笔数据
df = pro.bars(ts_code=stock_code, adj='qfq', start_date=date, end_date=date)
# 计算成交量加权价格分布
df['amount'] = df['close'] * df['vol']
price_dist = df.groupby('close')['vol'].sum()
total_vol = price_dist.sum()
# 计算90%区间
sorted_dist = price_dist.sort_index()
cum_vol = sorted_dist.cumsum()
p90_low = sorted_dist[cum_vol <= total_vol*0.05].index[-1]
p90_high = sorted_dist[cum_vol >= total_vol*0.95].index[0]
# 计算全区间
p100_low = sorted_dist.index.min()
p100_high = sorted_dist.index.max()
return (p90_high - p90_low) / (p100_high - p100_low) * 100
```
使用要点:
1. 需先安装tushare(pip install tushare)
2. 调用前需设置token:pro = ts.pro_api('你的token')
3. 数值越低代表筹码越集中,通常<15%视为高度集中
以上内容来自网络,仅供参考,如需专业人工服务请点击头像查看加V咨询。
发布于17小时前 盘锦