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ultragtx/RSI_and_StochRSI.py

Forked from so1tsuda/RSI_and_StochRSI.py
Created November 17, 2018 18:30
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Functions that calculate RSI and StochRSI which give the same value as Trading View. I wrote these functions as RSI and StochRSI functions from TA-Lib give different values as TV.
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RSI_and_StochRSI.py
# calculating RSI (gives the same values as TradingView)
# https://stackoverflow.com/questions/20526414/relative-strength-index-in-python-pandas
def RSI(series, period=14):
delta = series.diff().dropna()
ups = delta * 0
downs = ups.copy()
ups[delta > 0] = delta[delta > 0]
downs[delta < 0] = -delta[delta < 0]
ups[ups.index[period-1]] = np.mean( ups[:period] ) #first value is sum of avg gains
ups = ups.drop(ups.index[:(period-1)])
downs[downs.index[period-1]] = np.mean( downs[:period] ) #first value is sum of avg losses
downs = downs.drop(downs.index[:(period-1)])
rs = ups.ewm(com=period-1,min_periods=0,adjust=False,ignore_na=False).mean() / \
downs.ewm(com=period-1,min_periods=0,adjust=False,ignore_na=False).mean()
return 100 - 100 / (1 + rs)
# calculating Stoch RSI (gives the same values as TradingView)
# https://www.tradingview.com/wiki/Stochastic_RSI_(STOCH_RSI)
def StochRSI(series, period=14, smoothK=3, smoothD=3):
# Calculate RSI
delta = series.diff().dropna()
ups = delta * 0
downs = ups.copy()
ups[delta > 0] = delta[delta > 0]
downs[delta < 0] = -delta[delta < 0]
ups[ups.index[period-1]] = np.mean( ups[:period] ) #first value is sum of avg gains
ups = ups.drop(ups.index[:(period-1)])
downs[downs.index[period-1]] = np.mean( downs[:period] ) #first value is sum of avg losses
downs = downs.drop(downs.index[:(period-1)])
rs = ups.ewm(com=period-1,min_periods=0,adjust=False,ignore_na=False).mean() / \
downs.ewm(com=period-1,min_periods=0,adjust=False,ignore_na=False).mean()
rsi = 100 - 100 / (1 + rs)
# Calculate StochRSI
stochrsi = (rsi - rsi.rolling(period).min()) / (rsi.rolling(period).max() - rsi.rolling(period).min())
stochrsi_K = stochrsi.rolling(smoothK).mean()
stochrsi_D = stochrsi_K.rolling(smoothD).mean()
return stochrsi, stochrsi_K, stochrsi_D
# calculating Stoch RSI
# -- Same as the above function but uses EMA, not SMA
def StochRSI_EMA(series, period=14, smoothK=3, smoothD=3):
# Calculate RSI
delta = series.diff().dropna()
ups = delta * 0
downs = ups.copy()
ups[delta > 0] = delta[delta > 0]
downs[delta < 0] = -delta[delta < 0]
ups[ups.index[period-1]] = np.mean( ups[:period] ) #first value is sum of avg gains
ups = ups.drop(ups.index[:(period-1)])
downs[downs.index[period-1]] = np.mean( downs[:period] ) #first value is sum of avg losses
downs = downs.drop(downs.index[:(period-1)])
rs = ups.ewm(com=period-1,min_periods=0,adjust=False,ignore_na=False).mean() / \
downs.ewm(com=period-1,min_periods=0,adjust=False,ignore_na=False).mean()
rsi = 100 - 100 / (1 + rs)
# Calculate StochRSI
stochrsi = (rsi - rsi.rolling(period).min()) / (rsi.rolling(period).max() - rsi.rolling(period).min())
stochrsi_K = stochrsi.ewm(span=smoothK).mean()
stochrsi_D = stochrsi_K.ewm(span=smoothD).mean()
return stochrsi, stochrsi_K, stochrsi_D
@JustinLindsayChapman
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This is how I am calling the function
'r, t_1, t_2 = StochRSI(numpy.array(chistory[sym]))'
Where chistory contains the closing prices from the 1m chart for whatever ticker symbol is being iterated.
the I will put the .diff().dropna() line back in and run a breakpoint to see if I can get some more info.

@JustinLindsayChapman
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JustinLindsayChapman commented Jun 10, 2021 •
edited
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Further everything I have read about dropna() says it is a pandas function, pandas is built on numpy but the functions are specific to pandas

@JustinLindsayChapman
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This works for that line of code

'r, t_1, t_2 = StochRSI(pd.DataFrame(numpy.array(chistory[sym])))' also works as a pd.Series()

@JustinLindsayChapman
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The numbers jump all over the shop. Check this out.
image

@JustinLindsayChapman
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Here are the settings for the chart I am comparing it to.
image

@justmeonthegit
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Did you remove from input: all rows with timestamps who do not have any olhvc value ?

@JustinLindsayChapman
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Yes, I am giving only the closing values for the last 120 periods (minutes in this case) I then append the current value every time the function is called.
This is a screenshot of the data that is being fed to the stochastic rsi function.
image

@abdrakhmanovi
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What should we pass in the series? The OHLC data or just open data?

You need to pass closing series (OHLC 'Close')

@iarri
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iarri commented Feb 23, 2022

I was getting "NaN" as the output when passing in a list of numbers into the StochRSI function until I added the 'min_periods=0' argument to the 'rolling' functions at the bottom. Did anyone else have this problem?

@cryptoliciousdev
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after careful review of ku and binance api candle data i noticed trading view close values , for btc, are 100 to 200 off from both exchange API candle closes vs what TV charts say for the same UTC candles close price....manipulation to give edge against us and make the indicators relying on close values wrong or make the charts give basic traders the wrong idea? ...

@aldefrawy
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You are awesome , this the only code that i had found similar to Trading view.
Thanks

@aldefrawy
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aldefrawy commented May 26, 2024 via email

@aldefrawy
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aldefrawy commented May 26, 2024 via email

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