def exponential_spread_volatility(x: pd.Series,
beta: float = 0.75) -> pd.Series:
"""
Exponentially weighted spread volatility
:param x: time series of prices
:param beta: how much to weigh the previous price in the time series, thus controlling how much importance we
place on the (more distant) past. Must be between 0 (inclusive) and 1 (exclusive)
:return: date-based time series of exponential spread volatility of the input series
**Usage**
Exponentially weights the daily differences of the input series, calculates the annualized standard deviation
**Examples**
Generate price series and compute exponentially weighted standard deviation of returns
>>> prices = generate_series(100)
>>> exponential_volatility(prices, 0.9)
The above is equivalent to
>>> annualize(exponential_std(diff(prices, 1), 0.9))
**See also**
:func:`volatility` :func:`exponential_std` :func:`exponential_volatility`
"""
return annualize(exponential_std(diff(x, 1), beta))
def process(self):
a_data = self.children_data.get('a')
if isinstance(a_data, ProcessorResult):
if a_data.success:
result = diff(a_data.data, self.obs)
self.value = ProcessorResult(True, result)
else:
self.value = ProcessorResult(False, "DiffProcessor does not have 'a' series values yet")
else:
self.value = ProcessorResult(False, "DiffProcessor does not have 'a' series yet")
def relative_strength_index(x: pd.Series,
w: Union[Window, int, str] = 14) -> pd.DataFrame:
"""
Relative Strength Index
:param x: time series of prices
:param w: Window or int: size of window and ramp up to use. e.g. Window(22, 10) where 22 is the window size
and 10 the ramp up value. If w is a string, it should be a relative date like '1m', '1d', etc.
Window size defaults to length of series.
:return: date-based time series of RSI
**Usage**
The RSI computes momentum as the ratio of higher closes to lower closes: stocks which have had more or stronger
positive changes have a higher RSI than stocks which have had more or stronger negative changes.
See `RSI <https://en.wikipedia.org/wiki/Relative_strength_index>`_ for more information
**Examples**
Compute relative strength index over a :math:`14` day window:
>>> prices = generate_series(100)
>>> relative_strength_index(prices, 14)
**See also**
:func:`moving_average` :func:`std` :func:`smoothed_moving_average`
"""
w = normalize_window(x, w)
one_period_change = diff(x, 1)[1:]
gains = one_period_change.copy()
losses = one_period_change.copy()
gains[gains < 0] = 0
losses[losses > 0] = 0
losses[losses < 0] *= -1
moving_avg_gains = smoothed_moving_average(gains, w)
moving_avg_losses = smoothed_moving_average(losses, w)
rsi_len = len(moving_avg_gains)
rsi = moving_avg_gains.copy()
rsi *= 0
for index in range(0, rsi_len):
if moving_avg_losses[index] == 0:
rsi[index] = 100
else:
relative_strength = moving_avg_gains[index] / moving_avg_losses[
index]
rsi[index] = 100 - (100 / (1 + relative_strength))
return rsi
def rsi(x: pd.Series, w: Union[Window, int] = Window(None, 0)) -> pd.Series:
"""
The relative strength index of X over a window.
:param x: time series
:param w: Window or int: size of window and ramp up to use. e.g. Window(22, 10) where 22 is the window size
and 10 the ramp up value. Window size defaults to length of series.
:return: time series of relative strength index
**Usage**
Compute the `relative strength index <https://en.wikipedia.org/wiki/Relative_strength_index>`_
:math:`RSI_t = 100 - 100 / ( 1 + RS_t )`
where :math:`RS_t` is the ratio of exponentially smoothed gains to exponentially smoothed losses over specified
window. See `smoothed or modified moving average
<https://en.wikipedia.org/wiki/Moving_average#Modified_moving_average>`_ for more details
**Examples**
>>> series = generate_series(100)
>>> rsi(series)
**See also**
:func:`diff`
"""
w = normalize_window(x, w)
if not isinstance(w.w, int):
raise MqValueError('window length must be an integer to calculate RSI')
delta = diff(x)
up, down = delta.copy(), delta.copy()
up[up < 0] = 0
down[down > 0] = 0
ma_up = up.ewm(alpha=1 / w.w, adjust=False).mean()
ma_down = abs_(down.ewm(alpha=1 / w.w, adjust=False).mean())
rs = ma_up / ma_down
rsi = 100 - 100 / (1 + rs)
rsi[ma_down == 0] = 100
return apply_ramp(rsi, w)