最近在學(xué)習(xí)量化交易，需要自己實(shí)現(xiàn)RSI指標(biāo)，參考了TA-LIB的實(shí)現(xiàn)方式。
RSI英文全稱：Relative Strength Index
RSI中文名稱：相對(duì)強(qiáng)弱指數(shù)
是衡量?jī)r(jià)格波動(dòng)的一個(gè)重要指標(biāo)。

計(jì)算公式

UP_AVG = UP_AMOUNT/PERIODS (周期內(nèi)上漲數(shù)量平均)
DOWN_AVG = DOWN_AMOUNT/PERIODS（周期內(nèi)下跌數(shù)量平均）
RS = UP_AVG/DOWN_AVG（相對(duì)平均）
RSI  = 100 - 100 / (1 + RS)  （相對(duì)強(qiáng)弱指數(shù)）

快速計(jì)算公式

利用前一個(gè)UP_AVG, DOWN_AVG快速計(jì)算當(dāng)前UP_AVG, DOWN_AVG

UP_AVG = (UP_AVG_PREV * (PERIODS - 1) + UP) / PERIODS
DOWN_AVG = (UP_AVG_PREV * (PERIODS - 1) + DOWN) / PERIODS
RS = UP_AVG/DOWN_AVG
RSI  = 100 - 100 / (1 + RS)  

Python代碼實(shí)現(xiàn)

def RSI(t, periods=10):
    length = len(t)
    rsies = [np.nan]*length
    #數(shù)據(jù)長(zhǎng)度不超過(guò)周期，無(wú)法計(jì)算；
    if length <= periods:
        return rsies
    #用于快速計(jì)算；
    up_avg = 0
    down_avg = 0

    #首先計(jì)算第一個(gè)RSI，用前periods+1個(gè)數(shù)據(jù)，構(gòu)成periods個(gè)價(jià)差序列;
    first_t = t[:periods+1]
    for i in range(1, len(first_t)):
        #價(jià)格上漲;
        if first_t[i] >= first_t[i-1]:
            up_avg += first_t[i] - first_t[i-1]
        #價(jià)格下跌;
        else:
            down_avg += first_t[i-1] - first_t[i]
    up_avg = up_avg / periods
    down_avg = down_avg / periods
    rs = up_avg / down_avg
    rsies[periods] = 100 - 100/(1+rs)

    #后面的將使用快速計(jì)算；
    for j in range(periods+1, length):
        up = 0
        down = 0
        if t[j] >= t[j-1]:
            up = t[j] - t[j-1]
            down = 0
        else:
            up = 0
            down = t[j-1] - t[j]
        #類似移動(dòng)平均的計(jì)算公式;
        up_avg = (up_avg*(periods - 1) + up)/periods
        down_avg = (down_avg*(periods - 1) + down)/periods
        rs = up_avg/down_avg
        rsies[j] = 100 - 100/(1+rs)
    return rsies