Basic indicators: rsi and ema

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):

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
+
+

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)]

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))
+

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))
+