From 109ee36338046d48e5079f347dca93d4492a1bda Mon Sep 17 00:00:00 2001
From: Denis Tereshkin <denis@kasan.ws>
Date: Tue, 20 Mar 2018 21:18:26 +0700
Subject: [PATCH] Basic indicators: rsi and ema

---
 examples/multiple_assets.py        |  2 +-
 src/naiback/indicators/__init__.py |  0
 src/naiback/indicators/ema.py      | 21 +++++++++++++++++++++
 src/naiback/indicators/rsi.py      | 20 ++++++++++++++++++++
 tests/test_ema.py                  | 25 +++++++++++++++++++++++++
 tests/test_rsi.py                  | 14 ++++++++++++++
 6 files changed, 81 insertions(+), 1 deletion(-)
 create mode 100644 src/naiback/indicators/__init__.py
 create mode 100644 src/naiback/indicators/ema.py
 create mode 100644 src/naiback/indicators/rsi.py
 create mode 100644 tests/test_ema.py
 create mode 100644 tests/test_rsi.py

diff --git a/examples/multiple_assets.py b/examples/multiple_assets.py
index 8058eed..a8bd1e2 100644
--- a/examples/multiple_assets.py
+++ b/examples/multiple_assets.py
@@ -1,6 +1,6 @@
 
 from naiback.strategy import Strategy
-from naiback.data.feeds import FinamCSVFeed
+from naiback.data.feeds import GenericCSVFeed
 from naiback.indicators import SMA, RSI
 
 class MyStrategy(Strategy):
diff --git a/src/naiback/indicators/__init__.py b/src/naiback/indicators/__init__.py
new file mode 100644
index 0000000..e69de29
diff --git a/src/naiback/indicators/ema.py b/src/naiback/indicators/ema.py
new file mode 100644
index 0000000..691b36f
--- /dev/null
+++ b/src/naiback/indicators/ema.py
@@ -0,0 +1,21 @@
+
+def _update(v, d, alpha):
+    return v * (1 - alpha) + d * alpha
+
+def EMA(data, period, alpha=None):
+    if alpha is None:
+        alpha = 2. / (period + 1)
+    result = []
+    v = None
+    for d in data:
+        if d is None:
+            result.append(None)
+        elif v is None:
+            result.append(None)
+            v = d
+        else:
+            v = _update(v, d, alpha)
+            result.append(v)
+    return result
+
+
diff --git a/src/naiback/indicators/rsi.py b/src/naiback/indicators/rsi.py
new file mode 100644
index 0000000..3027b7d
--- /dev/null
+++ b/src/naiback/indicators/rsi.py
@@ -0,0 +1,20 @@
+
+from naiback.indicators.ema import EMA
+
+def _calc_rsi(g, l):
+    if g is None or l is None:
+        return None
+    if l == 0:
+        return 100
+    return 100 - 100 / (1 + g / l)
+
+def RSI(data, period):
+    diffs = [0]
+    prevd = data[0]
+    for d in data[1:]:
+        diffs.append(d - prevd)
+        prevd = d
+
+    gains = EMA([max(x, 0) for x in diffs], period, 1. / period)
+    losses = EMA([-min(x, 0) for x in diffs], period, 1. / period)
+    return [_calc_rsi(g, l) for (g, l) in zip(gains, losses)]
diff --git a/tests/test_ema.py b/tests/test_ema.py
new file mode 100644
index 0000000..215a861
--- /dev/null
+++ b/tests/test_ema.py
@@ -0,0 +1,25 @@
+
+import pytest
+import datetime
+
+from naiback.indicators.ema import EMA
+
+def test_ema_1():
+    data = [1, 1, 1]
+    ema = EMA(data, 1)
+
+    assert(ema == [None, 1, 1])
+
+def test_ema_2():
+    data = [1, 3, 5]
+    ema = EMA(data, 3)
+
+    assert(ema == [None, 2, 3.5])
+
+def test_ema_3():
+    data = [252.12, 253.97, 253.73, 255.06, 255.14, 256.71, 256.15, 258.51, 255.24, 252.63]
+    ema = EMA(data, 3)
+
+    assert(abs(ema[-1] - 254.43) < 0.01)
+    assert(len(ema) == len(data))
+
diff --git a/tests/test_rsi.py b/tests/test_rsi.py
new file mode 100644
index 0000000..41c29c8
--- /dev/null
+++ b/tests/test_rsi.py
@@ -0,0 +1,14 @@
+
+import pytest
+import datetime
+
+from naiback.indicators.rsi import RSI
+
+def test_rsi_1():
+    data = [252.12, 253.97, 253.73, 255.06, 255.14, 256.71, 256.15, 258.51, 255.24, 252.63, 253.82, 254.16, 253.99, 254.47,
+            255.93, 255, 253.21, 251.03]
+    rsi = RSI(data, 3)
+
+    assert(abs(rsi[-1] - 14.7) < 0.1)
+    assert(len(rsi) == len(data))
+