Module backtrader.indicators.rsi

Expand source code 
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

from . import Indicator, Max, MovAv
from . import DivZeroByZero


class UpDay(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the RSI

    Records days which have been "up", i.e.: the close price has been
    higher than the day before.

    Formula:
      - upday = max(close - close_prev, 0)

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    lines = ('upday',)
    params = (('period', 1),)

    def __init__(self):
        self.lines.upday = Max(self.data - self.data(-self.p.period), 0.0)
        super(UpDay, self).__init__()


class DownDay(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the RSI

    Records days which have been "down", i.e.: the close price has been
    lower than the day before.

    Formula:
      - downday = max(close_prev - close, 0)

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    lines = ('downday',)
    params = (('period', 1),)

    def __init__(self):
        self.lines.downday = Max(self.data(-self.p.period) - self.data, 0.0)
        super(DownDay, self).__init__()


class UpDayBool(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the RSI

    Records days which have been "up", i.e.: the close price has been
    higher than the day before.

    Note:
      - This version returns a bool rather than the difference

    Formula:
      - upday = close > close_prev

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    lines = ('upday',)
    params = (('period', 1),)

    def __init__(self):
        self.lines.upday = self.data > self.data(-self.p.period)
        super(UpDayBool, self).__init__()


class DownDayBool(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the RSI

    Records days which have been "down", i.e.: the close price has been
    lower than the day before.

    Note:
      - This version returns a bool rather than the difference

    Formula:
      - downday = close_prev > close

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    lines = ('downday',)
    params = (('period', 1),)

    def __init__(self):
        self.lines.downday = self.data(-self.p.period) > self.data
        super(DownDayBool, self).__init__()


class RelativeStrengthIndex(Indicator):
    '''Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"*.

    It measures momentum by calculating the ration of higher closes and
    lower closes after having been smoothed by an average, normalizing
    the result between 0 and 100

    Formula:
      - up = upday(data)
      - down = downday(data)
      - maup = movingaverage(up, period)
      - madown = movingaverage(down, period)
      - rs = maup / madown
      - rsi = 100 - 100 / (1 + rs)

    The moving average used is the one originally defined by Wilder,
    the SmoothedMovingAverage

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index

    Notes:
      - ``safediv`` (default: False) If this parameter is True the division
        rs = maup / madown will be checked for the special cases in which a
        ``0 / 0`` or ``x / 0`` division will happen

      - ``safehigh`` (default: 100.0) will be used as RSI value for the
        ``x / 0`` case

      - ``safelow``  (default: 50.0) will be used as RSI value for the
        ``0 / 0`` case
    '''
    alias = ('RSI', 'RSI_SMMA', 'RSI_Wilder',)

    lines = ('rsi',)
    params = (
        ('period', 14),
        ('movav', MovAv.Smoothed),
        ('upperband', 70.0),
        ('lowerband', 30.0),
        ('safediv', False),
        ('safehigh', 100.0),
        ('safelow', 50.0),
        ('lookback', 1),
    )

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        plabels += [self.p.lookback] * self.p.notdefault('lookback')
        return plabels

    def _plotinit(self):
        self.plotinfo.plotyhlines = [self.p.upperband, self.p.lowerband]

    def __init__(self):
        upday = UpDay(self.data, period=self.p.lookback)
        downday = DownDay(self.data, period=self.p.lookback)
        maup = self.p.movav(upday, period=self.p.period)
        madown = self.p.movav(downday, period=self.p.period)
        if not self.p.safediv:
            rs = maup / madown
        else:
            highrs = self._rscalc(self.p.safehigh)
            lowrs = self._rscalc(self.p.safelow)
            rs = DivZeroByZero(maup, madown, highrs, lowrs)

        self.lines.rsi = 100.0 - 100.0 / (1.0 + rs)
        super(RelativeStrengthIndex, self).__init__()

    def _rscalc(self, rsi):
        try:
            rs = (-100.0 / (rsi - 100.0)) - 1.0
        except ZeroDivisionError:
            return float('inf')

        return rs


class RSI_Safe(RSI):
    '''
    Subclass of RSI which changes parameers ``safediv`` to ``True`` as the
    default value

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    params = (('safediv', True),)


class RSI_SMA(RSI):
    '''
    Uses a SimpleMovingAverage as described in Wikipedia and other soures

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    alias = ('RSI_Cutler',)

    params = (('movav', MovAv.Simple),)


class RSI_EMA(RSI):
    '''
    Uses an ExponentialMovingAverage as described in Wikipedia

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    params = (('movav', MovAv.Exponential),)

Classes

class DownDay

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems" for the RSI

Records days which have been "down", i.e.: the close price has been lower than the day before.

Formula

  • downday = max(close_prev - close, 0)

See

Expand source code 
class DownDay(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the RSI

    Records days which have been "down", i.e.: the close price has been
    lower than the day before.

    Formula:
      - downday = max(close_prev - close, 0)

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    lines = ('downday',)
    params = (('period', 1),)

    def __init__(self):
        self.lines.downday = Max(self.data(-self.p.period) - self.data, 0.0)
        super(DownDay, self).__init__()

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class DownDayBool

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems" for the RSI

Records days which have been "down", i.e.: the close price has been lower than the day before.

Note

  • This version returns a bool rather than the difference

Formula

  • downday = close_prev > close

See

Expand source code 
class DownDayBool(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the RSI

    Records days which have been "down", i.e.: the close price has been
    lower than the day before.

    Note:
      - This version returns a bool rather than the difference

    Formula:
      - downday = close_prev > close

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    lines = ('downday',)
    params = (('period', 1),)

    def __init__(self):
        self.lines.downday = self.data(-self.p.period) > self.data
        super(DownDayBool, self).__init__()

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class RSI

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems".

It measures momentum by calculating the ration of higher closes and lower closes after having been smoothed by an average, normalizing the result between 0 and 100

Formula

  • up = upday(data)
  • down = downday(data)
  • maup = movingaverage(up, period)
  • madown = movingaverage(down, period)
  • rs = maup / madown
  • rsi = 100 - 100 / (1 + rs)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See

Notes

  • safediv (default: False) If this parameter is True the division rs = maup / madown will be checked for the special cases in which a 0 / 0 or x / 0 division will happen

  • safehigh (default: 100.0) will be used as RSI value for the x / 0 case

  • safelow (default: 50.0) will be used as RSI value for the 0 / 0 case

Ancestors

Subclasses

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class RSI_Cutler

Uses a SimpleMovingAverage as described in Wikipedia and other soures

See

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class RSI_EMA

Uses an ExponentialMovingAverage as described in Wikipedia

See

Expand source code 
class RSI_EMA(RSI):
    '''
    Uses an ExponentialMovingAverage as described in Wikipedia

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    params = (('movav', MovAv.Exponential),)

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class RSI_SMA

Uses a SimpleMovingAverage as described in Wikipedia and other soures

See

Expand source code 
class RSI_SMA(RSI):
    '''
    Uses a SimpleMovingAverage as described in Wikipedia and other soures

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    alias = ('RSI_Cutler',)

    params = (('movav', MovAv.Simple),)

Ancestors

Subclasses

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class RSI_SMMA

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems".

It measures momentum by calculating the ration of higher closes and lower closes after having been smoothed by an average, normalizing the result between 0 and 100

Formula

  • up = upday(data)
  • down = downday(data)
  • maup = movingaverage(up, period)
  • madown = movingaverage(down, period)
  • rs = maup / madown
  • rsi = 100 - 100 / (1 + rs)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See

Notes

  • safediv (default: False) If this parameter is True the division rs = maup / madown will be checked for the special cases in which a 0 / 0 or x / 0 division will happen

  • safehigh (default: 100.0) will be used as RSI value for the x / 0 case

  • safelow (default: 50.0) will be used as RSI value for the 0 / 0 case

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class RSI_Safe

Subclass of RSI which changes parameers safediv to True as the default value

See

Expand source code 
class RSI_Safe(RSI):
    '''
    Subclass of RSI which changes parameers ``safediv`` to ``True`` as the
    default value

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    params = (('safediv', True),)

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class RSI_Wilder

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems".

It measures momentum by calculating the ration of higher closes and lower closes after having been smoothed by an average, normalizing the result between 0 and 100

Formula

  • up = upday(data)
  • down = downday(data)
  • maup = movingaverage(up, period)
  • madown = movingaverage(down, period)
  • rs = maup / madown
  • rsi = 100 - 100 / (1 + rs)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See

Notes

  • safediv (default: False) If this parameter is True the division rs = maup / madown will be checked for the special cases in which a 0 / 0 or x / 0 division will happen

  • safehigh (default: 100.0) will be used as RSI value for the x / 0 case

  • safelow (default: 50.0) will be used as RSI value for the 0 / 0 case

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class RelativeStrengthIndex

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems".

It measures momentum by calculating the ration of higher closes and lower closes after having been smoothed by an average, normalizing the result between 0 and 100

Formula

  • up = upday(data)
  • down = downday(data)
  • maup = movingaverage(up, period)
  • madown = movingaverage(down, period)
  • rs = maup / madown
  • rsi = 100 - 100 / (1 + rs)

The moving average used is the one originally defined by Wilder, the SmoothedMovingAverage

See

Notes

  • safediv (default: False) If this parameter is True the division rs = maup / madown will be checked for the special cases in which a 0 / 0 or x / 0 division will happen

  • safehigh (default: 100.0) will be used as RSI value for the x / 0 case

  • safelow (default: 50.0) will be used as RSI value for the 0 / 0 case

Expand source code 
class RelativeStrengthIndex(Indicator):
    '''Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"*.

    It measures momentum by calculating the ration of higher closes and
    lower closes after having been smoothed by an average, normalizing
    the result between 0 and 100

    Formula:
      - up = upday(data)
      - down = downday(data)
      - maup = movingaverage(up, period)
      - madown = movingaverage(down, period)
      - rs = maup / madown
      - rsi = 100 - 100 / (1 + rs)

    The moving average used is the one originally defined by Wilder,
    the SmoothedMovingAverage

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index

    Notes:
      - ``safediv`` (default: False) If this parameter is True the division
        rs = maup / madown will be checked for the special cases in which a
        ``0 / 0`` or ``x / 0`` division will happen

      - ``safehigh`` (default: 100.0) will be used as RSI value for the
        ``x / 0`` case

      - ``safelow``  (default: 50.0) will be used as RSI value for the
        ``0 / 0`` case
    '''
    alias = ('RSI', 'RSI_SMMA', 'RSI_Wilder',)

    lines = ('rsi',)
    params = (
        ('period', 14),
        ('movav', MovAv.Smoothed),
        ('upperband', 70.0),
        ('lowerband', 30.0),
        ('safediv', False),
        ('safehigh', 100.0),
        ('safelow', 50.0),
        ('lookback', 1),
    )

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        plabels += [self.p.lookback] * self.p.notdefault('lookback')
        return plabels

    def _plotinit(self):
        self.plotinfo.plotyhlines = [self.p.upperband, self.p.lowerband]

    def __init__(self):
        upday = UpDay(self.data, period=self.p.lookback)
        downday = DownDay(self.data, period=self.p.lookback)
        maup = self.p.movav(upday, period=self.p.period)
        madown = self.p.movav(downday, period=self.p.period)
        if not self.p.safediv:
            rs = maup / madown
        else:
            highrs = self._rscalc(self.p.safehigh)
            lowrs = self._rscalc(self.p.safelow)
            rs = DivZeroByZero(maup, madown, highrs, lowrs)

        self.lines.rsi = 100.0 - 100.0 / (1.0 + rs)
        super(RelativeStrengthIndex, self).__init__()

    def _rscalc(self, rsi):
        try:
            rs = (-100.0 / (rsi - 100.0)) - 1.0
        except ZeroDivisionError:
            return float('inf')

        return rs

Ancestors

Subclasses

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class UpDay

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems" for the RSI

Records days which have been "up", i.e.: the close price has been higher than the day before.

Formula

  • upday = max(close - close_prev, 0)

See

Expand source code 
class UpDay(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the RSI

    Records days which have been "up", i.e.: the close price has been
    higher than the day before.

    Formula:
      - upday = max(close - close_prev, 0)

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    lines = ('upday',)
    params = (('period', 1),)

    def __init__(self):
        self.lines.upday = Max(self.data - self.data(-self.p.period), 0.0)
        super(UpDay, self).__init__()

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class UpDayBool

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems" for the RSI

Records days which have been "up", i.e.: the close price has been higher than the day before.

Note

  • This version returns a bool rather than the difference

Formula

  • upday = close > close_prev

See

Expand source code 
class UpDayBool(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the RSI

    Records days which have been "up", i.e.: the close price has been
    higher than the day before.

    Note:
      - This version returns a bool rather than the difference

    Formula:
      - upday = close > close_prev

    See:
      - http://en.wikipedia.org/wiki/Relative_strength_index
    '''
    lines = ('upday',)
    params = (('period', 1),)

    def __init__(self):
        self.lines.upday = self.data > self.data(-self.p.period)
        super(UpDayBool, self).__init__()

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members