[tech-spec] RSI
- From: BBands <BBands@xxxxxxxxxxxxxxxxxx>
- To: "'tech-spec@xxxxxxxxxxxxx'" <tech-spec@xxxxxxxxxxxxx>
- Date: Fri, 15 Oct 2004 10:03:19 -0700
Here is the snippet of Python code from Crusher that calcs RSI. I believe it
does so correctly. I coded this because it thought it was useful and indeed
I do use it and find it to be of value. A xy plot of returns versus
indicator values reveals nothing. If simple answers were sufficient...
Have a nice weekend.
--jab
def rsi(self):
"""RSI"""
# checked 2004-10-15, OK
self.rsi = []
length = config['indconsts.rsi']
up = dn = 0.0
# find the first value
for line in range(0, length):
if self.close[length - line] > self.close[length - line - 1]:
up += self.close[length - line] - self.close[length - line -
1]
if self.close[length - line] < self.close[length - line - 1]:
dn += self.close[length - line - 1] - self.close[length -
line]
# pad the runup with 0
if line < (length - 1):
self.rsi.append(0.0)
up = up / length
dn = dn / length
try:
self.rsi.append(100 - 100 / (1 + up / dn))
except ZeroDivisionError:
self.rsi.append(0.0)
# use Wilder's average technique to find the remaining values
for line in range(length, len(self.date)):
if self.close[line] > self.close[line - 1]:
up = ((self.close[line] - self.close[line - 1]) + up *
(length - 1)) / length
else:
up = up / length * (length - 1)
if self.close[line] < self.close[line - 1]:
dn = ((self.close[line - 1] - self.close[line]) + dn *
(length - 1)) / length
else:
dn = dn / length * (length - 1)
try:
self.rsi.append(100 - 100 / (1 + up / dn))
except ZeroDivisionError:
self.rsi.append(0.0)
if config['general.debug'] == 1:
for line in range(len(self.date)):
print '%4d %10s %8.2f %8.2f' % (line, self.date[line],
self.close[line], self.rsi[line])
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