Initial commit of RSI indicator

indicators/rsi.py

@@ -0,0 +1,18 @@
+from numpy import where
+from pandas import DataFrame, Series
+
+def rsi(data: DataFrame, period: int = 2) -> Series:
+    """
+    Calculate the RSI and return it as a Series.
+    """
+    delta = data['Close'].diff().fillna(0)
+    gain = where(delta > 0, delta, 0)
+    loss = where(delta < 0, -delta, 0)
+
+    alpha = 1 / period
+    avg_gain = Series(gain).ewm(alpha = alpha, adjust = False).mean()
+    avg_loss = Series(loss).ewm(alpha = alpha, adjust = False).mean()
+
+    rs = avg_gain / avg_loss
+    rs = rs.fillna(0)
+    return 100 - (100 / (1 + rs))