feat(Data): added new derived features + asset pairs for crypto tickers (#6)

utils/technical_indicators.py

@@ -0,0 +1,29 @@
+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