gs_quant.timeseries.technicals.relative_strength_index

relative_strength_index(x, w=14)[source]

Relative Strength Index

Parameters:

  • x (Series) – time series of prices

  • w (Union[Window, int, str]) – Window or int: size of window and ramp up to use. e.g. Window(22, 10) where 22 is the window size and 10 the ramp up value. If w is a string, it should be a relative date like ‘1m’, ‘1d’, etc. Window size defaults to length of series.

Return type:

DataFrame

Returns:

date-based time series of RSI

Usage

The RSI computes momentum as the ratio of higher closes to lower closes: stocks which have had more or stronger positive changes have a higher RSI than stocks which have had more or stronger negative changes.

See RSI for more information

Examples

Compute relative strength index over a \(14\) day window:

>>> prices = generate_series(100)
>>> relative_strength_index(prices, 14)

See also

moving_average() std() smoothed_moving_average()