Trading using Python — Relative Strength Index (RSI)

relativeStrengthIndex.py

# data: dictionary { 'dd/mm/yyy': price, 'dd/mm/yyyy': price, ... }


def relativeStrengthIndex(data, num):
    if not isinstance(data, dict):
        raise Exception('Dictionary input expected')

    if not isinstance(num, int):
        raise Exception('Integer input expected')

    if num < 7 or num > 21:
        raise Exception('Unusual numeric input detected')

    if (num > len(data)):
        raise Exception('Insufficient data for calculation')    
    
    data_keys=list(data.keys())
    data_list=list(data.values())
    result = {}
    last_price = -1
    gains_losses_list = []
    for x in range(len(data_list)):
        if (last_price != -1):
            diff = round((data_list[x] - last_price), 2)
            
            if (diff > 0):
                gains_losses = [ data_list[x], diff, 0 ]
            elif (diff < 0):
                gains_losses = [ data_list[x], 0, abs(diff) ]
            else:
                gains_losses = [ data_list[x], 0, 0 ]
            
            gains_losses_list.append(gains_losses)
            
        sum_gains = 0
        sum_losses = 0
        avg_gains = 0
        avg_losses = 0 
        if (x == num):
            series = gains_losses_list[-num::]
        
            for y in series:
                sum_gains += y[1]
                sum_losses += y[2]
            avg_gains = sum_gains / num
            avg_losses = sum_losses / num
            rs = avg_gains / avg_losses
            rsi = 100 - (100 / (1 + rs))
            last_gain_avg = avg_gains
            last_loss_avg = avg_losses
            result[data_keys[x]] = round(rsi, 2)
            
        if (x > num):
            current_list = gains_losses_list[-1::]
            current_gain = current_list[0][1]
            current_loss = current_list[0][2]
            current_gains_avg = (last_gain_avg * (num - 1) + current_gain) / num
            current_losses_avg = (last_loss_avg * (num - 1) + current_loss) / num
            rs = current_gains_avg / current_losses_avg
            rsi = 100 - (100 / (1 + rs))
            last_gain_avg = current_gains_avg
            last_loss_avg = current_losses_avg
            result[data_keys[x]] = round(rsi, 2)    
      
        last_price = data_list[x]
        
    return result
  
data = cbpGetHistoricRates('BTC-GBP', 86400)
rsi14 = relativeStrengthIndex(data, 14)


print (rsi14)