python - 如何在 Python 中平滑数据？

Question

我正在使用 Python 来检测 OHLC 数据的一些模式。我的问题是我拥有的数据非常嘈杂（我正在使用来自 Open/High/Low/Close 数据集的 Open 数据），它经常导致我得到不正确或弱的结果。

有什么方法可以“平滑”这些数据，或者减少噪音，以改善我的结果？我可以使用哪些算法或库来完成这项任务？

这是我的数据示例，它是一个普通数组：

DataPoints = [6903.79, 6838.04, 6868.57, 6621.25, 7101.99, 7026.78, 7248.6, 7121.4, 6828.98, 6841.36, 7125.12, 7483.96, 7505.0, 7539.03, 7693.1, 7773.51, 7738.58, 8778.58, 8620.0, 8825.67, 8972.58, 8894.15, 8871.92, 9021.36, 9143.4, 9986.3, 9800.02, 9539.1, 8722.77, 8562.04, 8810.99, 9309.35, 9791.97, 9315.96, 9380.81, 9681.11, 9733.93, 9775.13, 9511.43, 9067.51, 9170.0, 9179.01, 8718.14, 8900.35, 8841.0, 9204.07, 9575.87, 9426.6, 9697.72, 9448.27, 10202.71, 9518.02, 9666.32, 9788.14, 9621.17, 9666.85, 9746.99, 9782.0, 9772.44, 9885.22, 9278.88, 9464.96, 9473.34, 9342.1, 9426.05, 9526.97, 9465.13, 9386.32, 9310.23, 9358.95, 9294.69, 9685.69, 9624.33, 9298.33, 9249.49, 9162.21, 9012.0, 9116.16, 9192.93, 9138.08, 9231.99, 9086.54, 9057.79, 9135.0, 9069.41, 9342.47, 9257.4, 9436.06, 9232.42, 9288.34, 9234.02, 9303.31, 9242.61, 9255.85, 9197.6, 9133.72, 9154.31, 9170.3, 9208.99, 9160.78, 9390.0, 9518.16, 9603.27, 9538.1, 9700.42, 9931.54, 11029.96, 10906.27, 11100.52, 11099.79, 11335.46, 11801.17, 11071.36, 11219.68, 11191.99, 11744.91, 11762.47, 11594.36, 11761.02, 11681.69, 11892.9, 11392.09, 11564.34, 11779.77, 11760.55, 11852.4, 11910.99, 12281.15, 11945.1, 11754.38]

plt.plot(DataPoints)

标签： pythonpython-3.xpandasnumpy

Answer 1

如果您可以绘制它，请使用移动平均/滚动平均值并确定适合您数据的窗口大小。

from scipy.ndimage.filters import uniform_filter1d

data = [6903.79, 6838.04, 6868.57, 6621.25, 7101.99, 7026.78, 7248.6, 7121.4, 6828.98, 6841.36, 7125.12, 7483.96, 7505.0, 7539.03, 7693.1, 7773.51, 7738.58, 8778.58, 8620.0, 8825.67, 8972.58, 8894.15, 8871.92, 9021.36, 9143.4, 9986.3, 9800.02, 9539.1, 8722.77, 8562.04, 8810.99, 9309.35, 9791.97, 9315.96, 9380.81, 9681.11, 9733.93, 9775.13, 9511.43, 9067.51, 9170.0, 9179.01, 8718.14, 8900.35, 8841.0, 9204.07, 9575.87, 9426.6, 9697.72, 9448.27, 10202.71, 9518.02, 9666.32, 9788.14, 9621.17, 9666.85, 9746.99, 9782.0, 9772.44, 9885.22, 9278.88, 9464.96, 9473.34, 9342.1, 9426.05, 9526.97, 9465.13, 9386.32, 9310.23, 9358.95, 9294.69, 9685.69, 9624.33, 9298.33, 9249.49, 9162.21, 9012.0, 9116.16, 9192.93, 9138.08, 9231.99, 9086.54, 9057.79, 9135.0, 9069.41, 9342.47, 9257.4, 9436.06, 9232.42, 9288.34, 9234.02, 9303.31, 9242.61, 9255.85, 9197.6, 9133.72, 9154.31, 9170.3, 9208.99, 9160.78, 9390.0, 9518.16, 9603.27, 9538.1, 9700.42, 9931.54, 11029.96, 10906.27, 11100.52, 11099.79, 11335.46, 11801.17, 11071.36, 11219.68, 11191.99, 11744.91, 11762.47, 11594.36, 11761.02, 11681.69, 11892.9, 11392.09, 11564.34, 11779.77, 11760.55, 11852.4, 11910.99, 12281.15, 11945.1, 11754.38]

plt.figure(figsize=(15,15))
plt.plot(data)
for i in range(3, 100, 10):
  y = uniform_filter1d(data, size=i)
  plt.plot(y, '--', label=f"{i}")

plt.legend()

输出：