drift/utils/technical_indicators.py

import pandas as pd
import numpy as np


def STOK(close, low, high, n):
    STOK = (
        (close - low.rolling(n).min()) / (high.rolling(n).max() - low.rolling(n).min())
    ) * 100
    return STOK


def STOD(close, low, high, n):
    STOK = (
        (close - low.rolling(n).min()) / (high.rolling(n).max() - low.rolling(n).min())
    ) * 100
    STOD = STOK.rolling(3).mean()
    return STOD


def RSI(series, period):
    delta = series.diff().dropna()
    u = delta * 0
    d = u.copy()
    u[delta > 0] = delta[delta > 0]
    d[delta < 0] = -delta[delta < 0]
    u[u.index[period - 1]] = np.mean(
        u[:period]
    )  # first value is sum of avg gains u = u.drop(u.index[:(period-1)])
    d[d.index[period - 1]] = np.mean(
        d[:period]
    )  # first value is sum of avg losses d = d.drop(d.index[:(period-1)])
    rs = (
        u.ewm(com=period - 1, adjust=False).mean()
        / d.ewm(com=period - 1, adjust=False).mean()
    )
    return 100 - 100 / (1 + rs)


def ROC(df, n):
    M = df.diff(n - 1)
    N = df.shift(n - 1)
    ROC = pd.Series(((M / N) * 100), name="ROC_" + str(n))
    return ROC