如何在 Python 中实现 RSI Divergence [英] How to implement RSI Divergence in Python

问题描述

我想知道是否有任何涵盖 RSI-Divergence(快速和慢速 RSI 之间的区别)的 Python 库或有关如何实现其算法的任何指导在 Python 中.

已提出问题:以编程方式检测 RSI 背离.答案之一建议 quantconnect forum 用于 Python 版本，但它不包括任何内容.

我找不到它的数学公式，但我找到了 RSI- pine-script 的分歧，如下所示，但我无法将其转换为 Python，因为它无法使用 tradingview.

<块引用>

study(title="RSI Divergence", shorttitle="RSI Divergence")src_fast = close, len_fast = input(5, minval=1, title=长度快速 RSI")src_slow = 关闭，len_slow = 输入(14，minval=1，title=长度慢 RSI")up_fast = rma(max(change(src_fast), 0), len_fast)down_fast = rma(-min(change(src_fast), 0), len_fast)rsi_fast = down_fast == 0 ?100 : up_fast == 0 ?0 : 100 - (100/(1 + up_fast/down_fast))up_slow = rma(max(change(src_slow), 0), len_slow)down_slow = rma(-min(change(src_slow), 0), len_slow)rsi_slow = down_slow == 0 ?100 : up_slow == 0 ?0 : 100 - (100/(1 + up_slow/down_slow))背离 = rsi_fast - rsi_slowplotdiv = plot(divergence, color = divergence > 0 ?lime:red, linewidth = 2)带 = hline(0)

解决方案

我在下一个链接中找到了这个:反向测试RSI分歧外汇策略

该帖子的作者使用指数移动平均线进行 RSI 计算，使用这段代码:

'''假设您有一个从 Metatrader 5 历史数据下载的 Pandas OHLC 数据框.'''# 获取与上一步的价格差异数据 = pd.DataFrame(Data)delta = Data.iloc[:, 3].diff()delta = delta[1:]# 使正收益(向上)和负收益(向下)系列向上，向下 = delta.copy(), delta.copy()向上[向上<0] = 0向下[向下>0] = 0roll_up = pd.stats.moments.ewma(向上，回顾)roll_down = pd.stats.moments.ewma(down.abs(), 回顾)# 计算SMAroll_up = roll_up[回顾:]roll_down = roll_down[回顾:]Data = Data.iloc[lookback + 1:,].values# 根据SMA计算RSIRS = roll_up/roll_downRSI = (100.0 - (100.0/(1.0 + RS)))RSI = np.array(RSI)RSI = np.reshape(RSI, (-1, 1))数据 = np.concatenate((Data, RSI), 轴 = 1)

此时我们有一个包含 OHLC 数据的数组和一个包含 RSI 的第五列.然后添加了接下来的两列:

1. 第 6 列:数据[:, 5] 将用于看涨背​​离，值为 0 或 1(开始买入).
2. 第 7 列:数据 [:, 6] 将用于看跌背离，值为 0 或 -1(开始做空).

使用这个变量:

lower_barrier = 30上屏障 = 70宽度 = 10

代码如下:

# 看涨背离对于范围内的 i(len(Data)):尝试:如果数据 [i, 4] <下屏障:对于范围内(i + 1，i + 宽度):如果数据 [a, 4] >下屏障:对于范围内的 r(a + 1, a + 宽度):如果数据 [r, 4] 下屏障:数据[s + 1, 5] = 1休息别的:继续别的:继续别的:继续别的:继续除了索引错误:经过# 看跌背离对于范围内的 i(len(Data)):尝试:如果数据[i, 4] >上屏障:对于范围内(i + 1，i + 宽度):如果数据 [a, 4] <上屏障:对于范围内的 r(a + 1, a + 宽度):如果数据[r，4]＞upper_barrier 和 \数据[r，4]＜数据[i，4]和数据[r，3]＞数据[i, 3]:对于范围内的 s(r + 1, r + 宽度):如果数据 [s, 4] <上屏障:数据[s + 1, 6] = -1休息别的:继续别的:继续别的:继续别的:继续除了索引错误:经过

I was wondering is there any Python library that covers RSI-Divergence (difference between a fast and a slow RSI) or any guidence about how can I implement its algorithm in Python.

Already asked question: Programmatically detect RSI divergence. One of the answer suggests quantconnect forum for the Python version but it does not cover anything.

I was not able to find its mathematical formula but I was able to find the RSI-Divergence in pine-script, as below, but I was not able to convert it into Python since its not possible to debug pine-script using tradingview.

study(title="RSI Divergence", shorttitle="RSI Divergence")
src_fast = close, len_fast = input(5, minval=1, title="Length Fast RSI")
src_slow = close, len_slow = input(14,minval=1, title="Length Slow RSI")
up_fast = rma(max(change(src_fast), 0), len_fast)
down_fast = rma(-min(change(src_fast), 0), len_fast)
rsi_fast = down_fast == 0 ? 100 : up_fast == 0 ? 0 : 100 - (100 / (1 + up_fast / down_fast))
up_slow = rma(max(change(src_slow), 0), len_slow)
down_slow = rma(-min(change(src_slow), 0), len_slow)
rsi_slow = down_slow == 0 ? 100 : up_slow == 0 ? 0 : 100 - (100 / (1 + up_slow / down_slow))
divergence = rsi_fast - rsi_slow
plotdiv = plot(divergence, color = divergence > 0 ? lime:red, linewidth = 2)
band = hline(0)

解决方案

I found this on the next link: Back Testing RSI Divergence Strategy on FX

The author of the post used the exponential moving average for RSI calculation, using this piece of code:

'''
Assuming you have a pandas OHLC Dataframe downloaded from Metatrader 5 historical data. 
'''
# Get the difference in price from previous step
Data = pd.DataFrame(Data)
delta = Data.iloc[:, 3].diff()
delta = delta[1:]

# Make the positive gains (up) and negative gains (down) Series
up, down = delta.copy(), delta.copy()
up[up < 0] = 0
down[down > 0] = 0
roll_up = pd.stats.moments.ewma(up, lookback)
roll_down = pd.stats.moments.ewma(down.abs(), lookback)

# Calculate the SMA
roll_up = roll_up[lookback:]
roll_down = roll_down[lookback:]
Data = Data.iloc[lookback + 1:,].values

# Calculate the RSI based on SMA
RS = roll_up / roll_down
RSI = (100.0 - (100.0 / (1.0 + RS)))
RSI = np.array(RSI)
RSI = np.reshape(RSI, (-1, 1))

Data = np.concatenate((Data, RSI), axis = 1)

At this point we have an array with OHLC data and a fifth column that has the RSI in it. Then added the next two columns:

1. Column 6: Data[:, 5] will be for the bullish divergences and will have values of 0 or 1 (initiate buy).
2. Column 7: Data[:, 6] will be for the bearish divergences and will have values of 0 or -1 (initiate short).

using this variables:

lower_barrier = 30
upper_barrier = 70
width = 10

Here is the code:

# Bullish Divergence
for i in range(len(Data)):
   try:
       if Data[i, 4] < lower_barrier:
           for a in range(i + 1, i + width):
               if Data[a, 4] > lower_barrier:
                    for r in range(a + 1, a + width):
                       if Data[r, 4] < lower_barrier and \
                        Data[r, 4] > Data[i, 4] and Data[r, 3] < Data[i, 3]:
                            for s in range(r + 1, r + width): 
                                if Data[s, 4] > lower_barrier:
                                    Data[s + 1, 5] = 1
                                    break
                                else:
                                    continue
                        else:
                            continue
                    else:
                        continue
                else:
                    continue
  except IndexError:
        pass

# Bearish Divergence
for i in range(len(Data)):
   try:
       if Data[i, 4] > upper_barrier:
           for a in range(i + 1, i + width): 
               if Data[a, 4] < upper_barrier:
                   for r in range(a + 1, a + width):
                       if Data[r, 4] > upper_barrier and \
                       Data[r, 4] < Data[i, 4] and Data[r, 3] > Data[i, 3]:
                           for s in range(r + 1, r + width):
                               if Data[s, 4] < upper_barrier:
                                   Data[s + 1, 6] = -1
                                   break
                               else:
                                   continue
                       else:
                           continue
                   else:
                       continue
               else:
                   continue
   except IndexError:
       pass

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