finmlkit.feature.core.momentum module

finmlkit.feature.core.momentum.roc(price: ndarray[tuple[int, ...], dtype[_ScalarType_co]], period: int) → ndarray[tuple[int, ...], dtype[_ScalarType_co]][source]

Calculate the Rate of Change (ROC) feature.

Parameters:

  • price – np.array, an array of prices.

  • period – int, the period over which to calculate ROC.

Returns:

np.array, ROC values.

finmlkit.feature.core.momentum.rsi_wilder(close: ndarray[tuple[int, ...], dtype[float64]], window: int) → ndarray[tuple[int, ...], dtype[float64]][source]

Calculate the Relative Strength Index (RSI) using Wilder’s smoothing method. :param close: A one-dimensional numpy array of closing prices. :param window: The number of periods to use for the RSI calculation, default is 14. :return: A one-dimensional numpy array of RSI values, same length as close.

finmlkit.feature.core.momentum.stoch_k(close: ndarray[tuple[int, ...], dtype[float64]], low: ndarray[tuple[int, ...], dtype[float64]], high: ndarray[tuple[int, ...], dtype[float64]], length: int) → ndarray[tuple[int, ...], dtype[float64]][source]

Calculate the Stochastic Oscillator %K value.

Parameters:

  • close – A one-dimensional numpy array of closing prices

  • low – A one-dimensional numpy array of low prices

  • high – A one-dimensional numpy array of high prices

  • length – The lookback period for the stochastic calculation

Returns:

A one-dimensional numpy array of %K values, same length as input arrays