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Trading using Python — Relative Strength Index (RSI)
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| # data: dictionary { 'dd/mm/yyy': price, 'dd/mm/yyyy': price, ... } | |
| def relativeStrengthIndex(data, num): | |
| if not isinstance(data, dict): | |
| raise Exception('Dictionary input expected') | |
| if not isinstance(num, int): | |
| raise Exception('Integer input expected') | |
| if num < 7 or num > 21: | |
| raise Exception('Unusual numeric input detected') | |
| if (num > len(data)): | |
| raise Exception('Insufficient data for calculation') | |
| data_keys=list(data.keys()) | |
| data_list=list(data.values()) | |
| result = {} | |
| last_price = -1 | |
| gains_losses_list = [] | |
| for x in range(len(data_list)): | |
| if (last_price != -1): | |
| diff = round((data_list[x] - last_price), 2) | |
| if (diff > 0): | |
| gains_losses = [ data_list[x], diff, 0 ] | |
| elif (diff < 0): | |
| gains_losses = [ data_list[x], 0, abs(diff) ] | |
| else: | |
| gains_losses = [ data_list[x], 0, 0 ] | |
| gains_losses_list.append(gains_losses) | |
| sum_gains = 0 | |
| sum_losses = 0 | |
| avg_gains = 0 | |
| avg_losses = 0 | |
| if (x == num): | |
| series = gains_losses_list[-num::] | |
| for y in series: | |
| sum_gains += y[1] | |
| sum_losses += y[2] | |
| avg_gains = sum_gains / num | |
| avg_losses = sum_losses / num | |
| rs = avg_gains / avg_losses | |
| rsi = 100 - (100 / (1 + rs)) | |
| last_gain_avg = avg_gains | |
| last_loss_avg = avg_losses | |
| result[data_keys[x]] = round(rsi, 2) | |
| if (x > num): | |
| current_list = gains_losses_list[-1::] | |
| current_gain = current_list[0][1] | |
| current_loss = current_list[0][2] | |
| current_gains_avg = (last_gain_avg * (num - 1) + current_gain) / num | |
| current_losses_avg = (last_loss_avg * (num - 1) + current_loss) / num | |
| rs = current_gains_avg / current_losses_avg | |
| rsi = 100 - (100 / (1 + rs)) | |
| last_gain_avg = current_gains_avg | |
| last_loss_avg = current_losses_avg | |
| result[data_keys[x]] = round(rsi, 2) | |
| last_price = data_list[x] | |
| return result | |
| data = cbpGetHistoricRates('BTC-GBP', 86400) | |
| rsi14 = relativeStrengthIndex(data, 14) | |
| print (rsi14) |
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