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