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TA-Lib / ta-lib-python

Python wrapper for TA-Lib (http://ta-lib.org/).
http://ta-lib.github.io/ta-lib-python
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RSI calculation bug? #637

Open jencijanos opened 5 months ago

jencijanos commented 5 months ago

found a problem in the calculations RSI. df['RSI_14_close'] = RSI(df, timeperiod=14) give me

date,open,high,low,close,RSI_14_close
2024-01-21 00:30:00,1.324e-05,1.331e-05,1.323e-05,1.327e-05,
2024-01-21 00:45:00,1.327e-05,1.33e-05,1.326e-05,1.327e-05,
2024-01-21 01:00:00,1.327e-05,1.33e-05,1.317e-05,1.324e-05,
2024-01-21 01:15:00,1.323e-05,1.325e-05,1.323e-05,1.325e-05,
2024-01-21 01:30:00,1.324e-05,1.325e-05,1.321e-05,1.325e-05,
2024-01-21 01:45:00,1.324e-05,1.327e-05,1.324e-05,1.327e-05,
2024-01-21 02:00:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05,
2024-01-21 02:15:00,1.326e-05,1.327e-05,1.325e-05,1.327e-05,
2024-01-21 02:30:00,1.327e-05,1.328e-05,1.325e-05,1.327e-05,
2024-01-21 02:45:00,1.327e-05,1.327e-05,1.324e-05,1.326e-05,
2024-01-21 03:00:00,1.326e-05,1.327e-05,1.324e-05,1.327e-05,
2024-01-21 03:15:00,1.326e-05,1.329e-05,1.326e-05,1.328e-05,
2024-01-21 03:30:00,1.329e-05,1.329e-05,1.327e-05,1.328e-05,
2024-01-21 03:45:00,1.328e-05,1.33e-05,1.327e-05,1.33e-05,
2024-01-21 04:00:00,1.33e-05,1.33e-05,1.328e-05,1.33e-05,0.0
2024-01-21 04:15:00,1.33e-05,1.331e-05,1.33e-05,1.33e-05,0.0
2024-01-21 04:30:00,1.33e-05,1.33e-05,1.328e-05,1.328e-05,0.0
2024-01-21 04:45:00,1.329e-05,1.329e-05,1.326e-05,1.329e-05,0.0
2024-01-21 05:00:00,1.329e-05,1.329e-05,1.327e-05,1.327e-05,48.02516157768909
2024-01-21 05:15:00,1.328e-05,1.329e-05,1.327e-05,1.328e-05,51.66093531184409
2024-01-21 05:30:00,1.329e-05,1.329e-05,1.327e-05,1.329e-05,55.0473756916628
2024-01-21 05:45:00,1.328e-05,1.33e-05,1.327e-05,1.33e-05,58.20090420105429
2024-01-21 06:00:00,1.329e-05,1.33e-05,1.327e-05,1.328e-05,50.56124249753458
2024-01-21 06:15:00,1.328e-05,1.33e-05,1.327e-05,1.329e-05,53.82491650741884
2024-01-21 06:30:00,1.329e-05,1.329e-05,1.326e-05,1.326e-05,44.36323416932482
2024-01-21 06:45:00,1.326e-05,1.327e-05,1.326e-05,1.327e-05,47.66567506367998
2024-01-21 07:00:00,1.327e-05,1.328e-05,1.326e-05,1.328e-05,50.81004942611891
2024-01-21 07:15:00,1.327e-05,1.328e-05,1.325e-05,1.326e-05,44.98820062387063
2024-01-21 07:30:00,1.326e-05,1.328e-05,1.325e-05,1.328e-05,51.030740499714675
2024-01-21 07:45:00,1.327e-05,1.327e-05,1.325e-05,1.326e-05,45.63282909230429
2024-01-21 08:00:00,1.325e-05,1.326e-05,1.324e-05,1.324e-05,40.966190717700854
2024-01-21 08:15:00,1.325e-05,1.326e-05,1.324e-05,1.325e-05,44.0472689820242
2024-01-21 08:30:00,1.324e-05,1.326e-05,1.324e-05,1.325e-05,44.0472689820242
2024-01-21 08:45:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05,47.24078857317984
2024-01-21 09:00:00,1.326e-05,1.327e-05,1.324e-05,1.325e-05,44.50524180500565
2024-01-21 09:15:00,1.324e-05,1.325e-05,1.324e-05,1.324e-05,41.89277478880581
2024-01-21 09:30:00,1.325e-05,1.325e-05,1.323e-05,1.323e-05,39.40195609170993
2024-01-21 09:45:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,43.048589907178076
2024-01-21 10:00:00,1.323e-05,1.324e-05,1.322e-05,1.324e-05,43.048589907178076
2024-01-21 10:15:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,43.048589907178076
2024-01-21 10:30:00,1.323e-05,1.325e-05,1.323e-05,1.324e-05,0.0
2024-01-21 10:45:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,0.0
2024-01-21 11:00:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,0.0
2024-01-21 11:15:00,1.324e-05,1.326e-05,1.323e-05,1.325e-05,0.0
2024-01-21 11:30:00,1.325e-05,1.326e-05,1.324e-05,1.326e-05,0.0
2024-01-21 11:45:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05,0.0
2024-01-21 12:00:00,1.326e-05,1.327e-05,1.325e-05,1.325e-05,0.0
2024-01-21 12:15:00,1.326e-05,1.326e-05,1.324e-05,1.324e-05,0.0
2024-01-21 12:30:00,1.325e-05,1.325e-05,1.322e-05,1.323e-05,0.0
2024-01-21 12:45:00,1.324e-05,1.325e-05,1.322e-05,1.324e-05,0.0

zero in last 10 line.

same input data calculated using pandas-ta give "other" result

...
2024-01-21 08:00:00,1.325e-05,1.326e-05,1.324e-05,1.324e-05,40.18228008822393
2024-01-21 08:15:00,1.325e-05,1.326e-05,1.324e-05,1.325e-05,43.557040811558295
2024-01-21 08:30:00,1.324e-05,1.326e-05,1.324e-05,1.325e-05,43.557040811558295
2024-01-21 08:45:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05,47.02334768897121
2024-01-21 09:00:00,1.326e-05,1.327e-05,1.324e-05,1.325e-05,44.10630620385045
2024-01-21 09:15:00,1.324e-05,1.325e-05,1.324e-05,1.324e-05,41.34427175267467
2024-01-21 09:30:00,1.325e-05,1.325e-05,1.323e-05,1.323e-05,38.73219915753848
2024-01-21 09:45:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,42.63521193429178
2024-01-21 10:00:00,1.323e-05,1.324e-05,1.322e-05,1.324e-05,42.635211934291775
2024-01-21 10:15:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,42.635211934291775
2024-01-21 10:30:00,1.323e-05,1.325e-05,1.323e-05,1.324e-05,42.635211934291775
2024-01-21 10:45:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,42.635211934291775
2024-01-21 11:00:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,42.63521193429178
2024-01-21 11:15:00,1.324e-05,1.326e-05,1.323e-05,1.325e-05,47.820530475251424
2024-01-21 11:30:00,1.325e-05,1.326e-05,1.324e-05,1.326e-05,52.44935913524291
2024-01-21 11:45:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05,52.449359135242915
2024-01-21 12:00:00,1.326e-05,1.327e-05,1.325e-05,1.325e-05,47.55662274186611
2024-01-21 12:15:00,1.326e-05,1.326e-05,1.324e-05,1.324e-05,43.215193045925396
2024-01-21 12:30:00,1.325e-05,1.325e-05,1.322e-05,1.323e-05,39.34691942233122
2024-01-21 12:45:00,1.324e-05,1.325e-05,1.322e-05,1.324e-05,44.679657715934646
2024-01-21 13:00:00,1.324e-05,1.325e-05,1.324e-05,1.325e-05,49.464611017551896

macos monterey Python 3.11.1 ta-lib 0.4.0

python modules: Cython==3.0.8 numpy==1.26.3 pandas==2.1.4 pycparser==2.21 requests==2.31.0 scipy==1.11.4 TA-Lib==0.4.28

pytest passed witout any error

mrjbq7 commented 5 months ago

Are your prices very close to zero? There is some discussion on this issue #157:https://github.com/TA-Lib/ta-lib-python/issues/157On Jan 21, 2024, at 4:35 AM, jencijanos @.***> wrote: found a problem in the calculations RSI. df['RSI_14_close'] = RSI(df, timeperiod=14) give me date,open,high,low,close,RSI_14_close 2024-01-21 00:30:00,1.324e-05,1.331e-05,1.323e-05,1.327e-05, 2024-01-21 00:45:00,1.327e-05,1.33e-05,1.326e-05,1.327e-05, 2024-01-21 01:00:00,1.327e-05,1.33e-05,1.317e-05,1.324e-05, 2024-01-21 01:15:00,1.323e-05,1.325e-05,1.323e-05,1.325e-05, 2024-01-21 01:30:00,1.324e-05,1.325e-05,1.321e-05,1.325e-05, 2024-01-21 01:45:00,1.324e-05,1.327e-05,1.324e-05,1.327e-05, 2024-01-21 02:00:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05, 2024-01-21 02:15:00,1.326e-05,1.327e-05,1.325e-05,1.327e-05, 2024-01-21 02:30:00,1.327e-05,1.328e-05,1.325e-05,1.327e-05, 2024-01-21 02:45:00,1.327e-05,1.327e-05,1.324e-05,1.326e-05, 2024-01-21 03:00:00,1.326e-05,1.327e-05,1.324e-05,1.327e-05, 2024-01-21 03:15:00,1.326e-05,1.329e-05,1.326e-05,1.328e-05, 2024-01-21 03:30:00,1.329e-05,1.329e-05,1.327e-05,1.328e-05, 2024-01-21 03:45:00,1.328e-05,1.33e-05,1.327e-05,1.33e-05, 2024-01-21 04:00:00,1.33e-05,1.33e-05,1.328e-05,1.33e-05,0.0 2024-01-21 04:15:00,1.33e-05,1.331e-05,1.33e-05,1.33e-05,0.0 2024-01-21 04:30:00,1.33e-05,1.33e-05,1.328e-05,1.328e-05,0.0 2024-01-21 04:45:00,1.329e-05,1.329e-05,1.326e-05,1.329e-05,0.0 2024-01-21 05:00:00,1.329e-05,1.329e-05,1.327e-05,1.327e-05,48.02516157768909 2024-01-21 05:15:00,1.328e-05,1.329e-05,1.327e-05,1.328e-05,51.66093531184409 2024-01-21 05:30:00,1.329e-05,1.329e-05,1.327e-05,1.329e-05,55.0473756916628 2024-01-21 05:45:00,1.328e-05,1.33e-05,1.327e-05,1.33e-05,58.20090420105429 2024-01-21 06:00:00,1.329e-05,1.33e-05,1.327e-05,1.328e-05,50.56124249753458 2024-01-21 06:15:00,1.328e-05,1.33e-05,1.327e-05,1.329e-05,53.82491650741884 2024-01-21 06:30:00,1.329e-05,1.329e-05,1.326e-05,1.326e-05,44.36323416932482 2024-01-21 06:45:00,1.326e-05,1.327e-05,1.326e-05,1.327e-05,47.66567506367998 2024-01-21 07:00:00,1.327e-05,1.328e-05,1.326e-05,1.328e-05,50.81004942611891 2024-01-21 07:15:00,1.327e-05,1.328e-05,1.325e-05,1.326e-05,44.98820062387063 2024-01-21 07:30:00,1.326e-05,1.328e-05,1.325e-05,1.328e-05,51.030740499714675 2024-01-21 07:45:00,1.327e-05,1.327e-05,1.325e-05,1.326e-05,45.63282909230429 2024-01-21 08:00:00,1.325e-05,1.326e-05,1.324e-05,1.324e-05,40.966190717700854 2024-01-21 08:15:00,1.325e-05,1.326e-05,1.324e-05,1.325e-05,44.0472689820242 2024-01-21 08:30:00,1.324e-05,1.326e-05,1.324e-05,1.325e-05,44.0472689820242 2024-01-21 08:45:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05,47.24078857317984 2024-01-21 09:00:00,1.326e-05,1.327e-05,1.324e-05,1.325e-05,44.50524180500565 2024-01-21 09:15:00,1.324e-05,1.325e-05,1.324e-05,1.324e-05,41.89277478880581 2024-01-21 09:30:00,1.325e-05,1.325e-05,1.323e-05,1.323e-05,39.40195609170993 2024-01-21 09:45:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,43.048589907178076 2024-01-21 10:00:00,1.323e-05,1.324e-05,1.322e-05,1.324e-05,43.048589907178076 2024-01-21 10:15:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,43.048589907178076 2024-01-21 10:30:00,1.323e-05,1.325e-05,1.323e-05,1.324e-05,0.0 2024-01-21 10:45:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,0.0 2024-01-21 11:00:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,0.0 2024-01-21 11:15:00,1.324e-05,1.326e-05,1.323e-05,1.325e-05,0.0 2024-01-21 11:30:00,1.325e-05,1.326e-05,1.324e-05,1.326e-05,0.0 2024-01-21 11:45:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05,0.0 2024-01-21 12:00:00,1.326e-05,1.327e-05,1.325e-05,1.325e-05,0.0 2024-01-21 12:15:00,1.326e-05,1.326e-05,1.324e-05,1.324e-05,0.0 2024-01-21 12:30:00,1.325e-05,1.325e-05,1.322e-05,1.323e-05,0.0 2024-01-21 12:45:00,1.324e-05,1.325e-05,1.322e-05,1.324e-05,0.0

zero in last 10 line. same input data calculated using pandas-ta give "other" result ... 2024-01-21 08:00:00,1.325e-05,1.326e-05,1.324e-05,1.324e-05,40.18228008822393 2024-01-21 08:15:00,1.325e-05,1.326e-05,1.324e-05,1.325e-05,43.557040811558295 2024-01-21 08:30:00,1.324e-05,1.326e-05,1.324e-05,1.325e-05,43.557040811558295 2024-01-21 08:45:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05,47.02334768897121 2024-01-21 09:00:00,1.326e-05,1.327e-05,1.324e-05,1.325e-05,44.10630620385045 2024-01-21 09:15:00,1.324e-05,1.325e-05,1.324e-05,1.324e-05,41.34427175267467 2024-01-21 09:30:00,1.325e-05,1.325e-05,1.323e-05,1.323e-05,38.73219915753848 2024-01-21 09:45:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,42.63521193429178 2024-01-21 10:00:00,1.323e-05,1.324e-05,1.322e-05,1.324e-05,42.635211934291775 2024-01-21 10:15:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,42.635211934291775 2024-01-21 10:30:00,1.323e-05,1.325e-05,1.323e-05,1.324e-05,42.635211934291775 2024-01-21 10:45:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,42.635211934291775 2024-01-21 11:00:00,1.324e-05,1.325e-05,1.323e-05,1.324e-05,42.63521193429178 2024-01-21 11:15:00,1.324e-05,1.326e-05,1.323e-05,1.325e-05,47.820530475251424 2024-01-21 11:30:00,1.325e-05,1.326e-05,1.324e-05,1.326e-05,52.44935913524291 2024-01-21 11:45:00,1.326e-05,1.327e-05,1.325e-05,1.326e-05,52.449359135242915 2024-01-21 12:00:00,1.326e-05,1.327e-05,1.325e-05,1.325e-05,47.55662274186611 2024-01-21 12:15:00,1.326e-05,1.326e-05,1.324e-05,1.324e-05,43.215193045925396 2024-01-21 12:30:00,1.325e-05,1.325e-05,1.322e-05,1.323e-05,39.34691942233122 2024-01-21 12:45:00,1.324e-05,1.325e-05,1.322e-05,1.324e-05,44.679657715934646 2024-01-21 13:00:00,1.324e-05,1.325e-05,1.324e-05,1.325e-05,49.464611017551896

macos monterey Python 3.11.1 ta-lib 0.4.0 python modules: Cython==3.0.8 numpy==1.26.3 pandas==2.1.4 pycparser==2.21 requests==2.31.0 scipy==1.11.4 TA-Lib==0.4.28 pytest passed witout any error

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jencijanos commented 5 months ago

@mrjbq7 thanks for the quick response, and your link to issue #157. This "feature" make unusable implementation of TAlib in python for me... or is there some universal solution?

mrjbq7 commented 5 months ago

You can multiply your prices by 10000 and then calculate rsiYou can patch your talib the way the issue suggestsOr suggest another approach On Jan 21, 2024, at 8:15 AM, jencijanos @.***> wrote: @mrjbq7 thanks for the quick response, and your link to issue #157. This "feature" make unusable implementation of TAlib in python for me... or is there some universal solution?

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