moreIndicators.py 文件源码

def RSI(df, n):  
    i = 0  
    UpI = [0]  
    DoI = [0]  
    while i + 1 <= df.index[-1]:  
        UpMove = df.get_value(i + 1, 'High') - df.get_value(i, 'High')  
        DoMove = df.get_value(i, 'Low') - df.get_value(i + 1, 'Low')  
        if UpMove > DoMove and UpMove > 0:  
            UpD = UpMove  
        else: UpD = 0  
        UpI.append(UpD)  
        if DoMove > UpMove and DoMove > 0:  
            DoD = DoMove  
        else: DoD = 0  
        DoI.append(DoD)  
        i = i + 1  
    UpI = pd.Series(UpI)  
    DoI = pd.Series(DoI)  
    PosDI = pd.Series(pd.ewma(UpI, span = n, min_periods = n - 1))  
    NegDI = pd.Series(pd.ewma(DoI, span = n, min_periods = n - 1))  
    RSI = pd.Series(PosDI / (PosDI + NegDI), name = 'RSI_' + str(n))  
    df = df.join(RSI)  
    return df

#True Strength Index