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jsrimr/RSI.py

Created September 6, 2019 04:52
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RSI.py
def fnRSI(m_Df, m_N=15):
m_Df = m_Df.c
U = np.where(m_Df.diff(1) > 0, m_Df.diff(1), 0)
D = np.where(m_Df.diff(1) < 0, m_Df.diff(1) *(-1), 0)
AU = pd.DataFrame(U).rolling( window=m_N, min_periods=m_N).mean()
AD = pd.DataFrame(D).rolling( window=m_N, min_periods=m_N).mean()
RSI = AU.div(AD+AU)[0].mean()
return RSI
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