Relative Strength Index in python pandas

Question

I am new to pandas. What is the best way to calculate the relative strength part in the RSI indicator in pandas? So far I got the following:

from pylab impor         


        

Answer 1

dUp= delta[delta > 0]
dDown= delta[delta < 0]

also you need something like:

RolUp = RolUp.reindex_like(delta, method='ffill')
RolDown = RolDown.reindex_like(delta, method='ffill')

otherwise RS = RolUp / RolDown will not do what you desire

Edit: seems this is a more accurate way of RS calculation:

# dUp= delta[delta > 0]
# dDown= delta[delta < 0]

# dUp = dUp.reindex_like(delta, fill_value=0)
# dDown = dDown.reindex_like(delta, fill_value=0)

dUp, dDown = delta.copy(), delta.copy()
dUp[dUp < 0] = 0
dDown[dDown > 0] = 0

RolUp = pd.rolling_mean(dUp, n)
RolDown = pd.rolling_mean(dDown, n).abs()

RS = RolUp / RolDown