def calculate_timeseries_ts(self, ts):
if self.period > len(ts):
return Timeseries([],[], TimeseriesType.INDICATOR, TechnicalIndicator.RSI)
if ts.ts_type == TimeseriesType.PRICE:
abs_returns = ts.calculate_returns(TimeseriesSubType.ABSOLUTE)
elif ts.ts_type == TimeseriesType.RETURNS:
abs_returns = ts
vals_np = np.array(abs_returns.values)
up_vals_np = vals_np.clip(min = 0)
dn_vals_np = vals_np.clip(max = 0)
up_sum = up_vals_np[self.period - 1:]
dn_sum = -dn_vals_np[self.period - 1:]
for ii in range(1, self.period):
up_sum = up_sum + up_vals_np[self.period - 1 - ii: -ii]
dn_sum = dn_sum - dn_vals_np[self.period - 1 - ii: -ii]
rsi_vals = []
for ii in range(len(up_sum)):
rsi_vals.append(100.0 - (100.0 / (1.0 + up_sum[ii]/dn_sum[ii])) if dn_sum[ii] > 0 else 0)
return Timeseries(abs_returns.dates[self.period - 1:], rsi_vals,
TimeseriesType.INDICATOR, TechnicalIndicator.RSI)
def calculate_timeseries_df(self, df, date_col_name = DATE_COL_NAME,
price_col_name = PRICE_COL_NAME):
dates = df[date_col_name].tolist()
prices = df[price_col_name].tolist()
ts = Timeseries(dates, prices, TimeseriesType.PRICE, TimeseriesSubType.ABSOLUTE)
return self.calculate_timeseries_ts(ts)
def calculate_current_ts(self, ts):
fast = ts.calculate_moving_average_truncate(TimeseriesSubType.EXPONENTIAL,
self.short_days, -self.signal_days)
slow = ts.calculate_moving_average_truncate(TimeseriesSubType.EXPONENTIAL,
self.long_days, -self.signal_days)
macd = Timeseries.linearly_combine(fast, 1.0, slow, -1.0)
if len(macd) == 0:
return (np.NaN, np.NaN)
signal = macd.calculate_single_moving_average(TimeseriesSubType.EXPONENTIAL,
self.signal_days)
return (macd.values[-1], signal)
def calculate_timeseries_ts(self, ts):
fast = ts.calculate_moving_average(TimeseriesSubType.EXPONENTIAL,
self.short_days)
slow = ts.calculate_moving_average(TimeseriesSubType.EXPONENTIAL,
self.long_days)
macd = Timeseries.linearly_combine(fast, 1.0, slow, -1.0)
signal = macd.calculate_moving_average(TimeseriesSubType.EXPONENTIAL,
self.signal_days)
macd = macd.create_truncate(len(signal))
if macd != None:
macd.set_indicator_type(TechnicalIndicator.MACD)
if signal != None:
signal.set_indicator_type(TechnicalIndicator.MACD)
return (macd, signal)