Simon
73d191b43a
- 新增 finance/tests/ 6 个测试套件（agents/backtest/dao_upsert/factors/features/fundamental_lookahead） - 数据层: data_manager / dao 优化，新增 upsert 逻辑 - 因子层: 基本面因子抽象定位 _mapping、ROE/PE/PB 重构 - 回测层: vectorbt/engine 大改动（251 行），report 增强 - ML 层: features/backtest_integration 特征工程与回测优化 - CLI: agent_cli 重构 - config/settings 扩充配置项
36 lines
1.2 KiB
Python
36 lines
1.2 KiB
Python
"""
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RSI 相对强弱因子。
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"""
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import numpy as np
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import pandas as pd
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from factors.base import BaseFactor
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class RSIFactor(BaseFactor):
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"""Wilder's RSI = 100 - 100 / (1 + RS), RS = avg_gain / avg_loss"""
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category = "technical"
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def __init__(self, period: int = 14):
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self.period = period
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self.name = f"rsi_{period}"
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def calculate(self, df: pd.DataFrame) -> pd.Series:
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delta = df["close"].diff()
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gain = delta.clip(lower=0)
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loss = (-delta).clip(lower=0)
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avg_gain = gain.ewm(span=self.period, min_periods=self.period).mean()
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avg_loss = loss.ewm(span=self.period, min_periods=self.period).mean()
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# 标准 Wilder RSI：avg_loss==0 时 RSI 应 = 100，而非 NaN。
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# 用 where 显式处理除零，避免 replace(0, nan) 把上涨趋势判为缺失。
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rs = avg_gain / avg_loss.where(avg_loss != 0, np.nan)
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rsi = 100 - 100 / (1 + rs)
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# 上涨且无下跌的高位情形补 100（无 prior-loss 的窗口仍留 NaN 由上游填充）
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rsi = rsi.where(avg_loss != 0, 100.0)
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return rsi
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def get_required_columns(self) -> list[str]:
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return ["close"]
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