Cyril Mouchel mouchh
mouchh
/ stochrsi.py
Last active
July 31, 2021 18:11
Compute RSI stochastic from OHLC dataframe which give the same value as Trading View Stoch RSI(3, 3, 14, 14, close)
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| # I was not able to retrieve same results as Trading View with talib STOCHRSI function... | |
| # I may misuse talib params but I found it easier to rewrite the computation, following Trading View doc | |
| # https://www.tradingview.com/support/solutions/43000502333-stochastic-rsi-stoch-rsi/ | |
| # watchout on your params ;) | |
| rsi = ta.RSI(dataframe) | |
| stochrsi = 100 * (rsi - rsi.rolling(14).min()) / (rsi.rolling(14).max() - rsi.rolling(14).min()) | |
| dataframe['stochrsi_fastk'] = stochrsi.rolling(3).mean() | |
| dataframe['stochrsi_fastd'] = dataframe['stochrsi_fastk'].rolling(3).mean() |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
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| # I was not able to retrieve same results as Trading View with talib STOCH function... | |
| # I may misuse talib params but I found it easier to rewrite the computation, following Trading View doc | |
| # https://www.tradingview.com/support/solutions/43000502332-stochastic-stoch/ | |
| # watchout on your params ;) | |
| stoch = 100 * (dataframe['close'] - dataframe['low'].rolling(14).min()) / (dataframe['high'].rolling(14).max() - dataframe['low'].rolling(14).min()) | |
| dataframe['stoch_slowk'] = ta.SMA(stoch, 5) | |
| dataframe['stoch_slowd'] = ta.SMA(dataframe['stoch_slowk'], 3) |