python - 从 Pandas 数据帧计算 RSI

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Relative Strength Index in python pandas

(11 个回答)


12 个月前关闭。




我从外汇市场获得了一个具有值(value)的 df，我正在尝试将 df 中每一行的 RSI、相对强度指数 (10) 放入数据框中。

df.head()
Out[3]:
        Date      Time     Open     High      Low    Close  Volume  OpenInt
0 2016-09-16  00:05:00  0.75183  0.75186  0.75160  0.75161       0        0
1 2016-09-16  00:10:00  0.75156  0.75156  0.75145  0.75149       0        0
2 2016-09-16  00:15:00  0.75156  0.75166  0.75152  0.75165       0        0
3 2016-09-16  00:20:00  0.75164  0.75165  0.75150  0.75156       0        0
4 2016-09-16  00:25:00  0.75156  0.75174  0.75153  0.75156       0        0

RSI 是一个指标，告诉您产品何时超卖或超买； RSI = 100 - 100/(1 + RS) 其中 RS 是给定时间范围内上行周期的平均增益/给定时间范围内下行周期的平均损失。就我而言，时间范围是 10。

df.change = df.Open - df.Close # find out if there is a gain or a loss

df.gain = df.change [df.change > 0] #column of gain

df.loss = df.change [df.change < 0]# column of loss

df.again = df.gain.rolling(center=False,window=10) #find the average gain in the last 10 periods

df.aloss = df.loss.rolling(center=False,window=10) #find the average loss in the last 10 periods

现在是麻烦开始的地方；我需要得到 RS:

df.rs = df.again/df.aloss

TypeErrorTraceback (most recent call last)
<ipython-input-13-2886bcd78f42> in <module>()
----> 1 df.rs = df.again/df.aloss

TypeError: unsupported operand type(s) for /: 'Rolling' and 'Rolling'

编辑

df.gain.head(6)
Out[31]:
0    0.00022
1    0.00007
3    0.00008
5    0.00002
7    0.00003
8    0.00002

df.loss.head(6)
Out[32]:
2    -0.00009
6    -0.00019
9    -0.00013
14   -0.00002
15   -0.00011
20   -0.00008
dtype: float64

最佳答案

delta = df.Close.diff()
window = 15
up_days = delta.copy()
up_days[delta<=0]=0.0
down_days = abs(delta.copy())
down_days[delta>0]=0.0
RS_up = up_days.rolling(window).mean()
RS_down = down_days.rolling(window).mean()
rsi= 100-100/(1+RS_up/RS_down)

关于python - 从 Pandas 数据帧计算 RSI，我们在Stack Overflow上找到一个类似的问题：https://stackoverflow.com/questions/39702156/