own_tech.py 文件源码

python
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项目:Multiple-factor-risk-model 作者: icezerowjj 项目源码 文件源码
def getRSI(close):
    '''
    calculate RSI value
    :param DataFrame close: close price
    :return: DataFrame RSI: RSI value
    '''
    n = 3
    # calculate increment of close price of two succeeding days
    close_increment = close.diff()
    close_increment.dropna(inplace=True)
    close_increment.index = range(close_increment.shape[0])
    close_pos = close_increment.copy()
    close_pos[close_pos < 0] = 0
    close_abs = np.abs(close_increment)
    sum_pos = pd.rolling_sum(close_pos, n)
    sum_pos.dropna(inplace=True)
    sum_pos.index = range(sum_pos.shape[0])
    sum_abs = pd.rolling_sum(close_abs, n)
    sum_abs.dropna(inplace=True)
    sum_abs.index = range(sum_abs.shape[0])
    RSI = sum_pos / sum_abs
    RSI.replace([np.nan, np.inf,-np.inf], 0, inplace=True)
    return RSI
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