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

You can use rolling_apply in combination with a subfunction to make a clean function like this:

def rsi(price, n=14):
    ''' rsi indicator '''
    gain = (price-price.shift(1)).fillna(0) # calculate price gain with previous day, first row nan is filled with 0

    def rsiCalc(p):
        # subfunction for calculating rsi for one lookback period
        avgGain = p[p>0].sum()/n
        avgLoss = -p[p<0].sum()/n 
        rs = avgGain/avgLoss
        return 100 - 100/(1+rs)

    # run for all periods with rolling_apply
    return pd.rolling_apply(gain,n,rsiCalc)