BUG: RSI wasn't even close to working.

Fixed and added tests.

tests/pipeline/test_factor.py

@@ -1,10 +1,15 @@
 """
 Tests for Factor terms.
 """
-from numpy import array, eye, nan, ones
+from nose_parameterized import parameterized
+
+from numpy import arange, array, empty, eye, nan, ones, datetime64
+from numpy.random import randn, seed
+
 from zipline.errors import UnknownRankMethod
 from zipline.pipeline import Factor, Filter, TermGraph
-from zipline.utils.test_utils import check_arrays
+from zipline.pipeline.factors import RSI
+from zipline.utils.test_utils import check_allclose, check_arrays
 
 from .base import BasePipelineTestCase
 
@@ -190,3 +195,30 @@ class FactorTestCase(BasePipelineTestCase):
         )
         for method in results:
             check_arrays(expected[method], results[method])
+
+    @parameterized.expand([
+        # Test cases computed by doing:
+        # from numpy.random import seed, randn
+        # from talib import RSI
+        # seed(seed_value)
+        # data = abs(randn(15, 3))
+        # expected = [RSI(data[:, i])[-1] for i in range(3)]
+        (100, array([41.032913785966, 51.553585468393, 51.022005016446])),
+        (101, array([43.506969935466, 46.145367530182, 50.57407044197])),
+        (102, array([46.610102205934, 47.646892444315, 52.13182788538])),
+    ])
+    def test_rsi(self, seed_value, expected):
+
+        rsi = RSI()
+
+        today = datetime64(1, 'ns')
+        assets = arange(3)
+        out = empty((3,), dtype=float)
+
+        seed(seed_value)  # Seed so we get deterministic results.
+        test_data = abs(randn(15, 3))
+
+        out = empty((3,), dtype=float)
+        rsi.compute(today, assets, out, test_data)
+
+        check_allclose(expected, out)

zipline/pipeline/factors/technical.py

@@ -9,6 +9,7 @@ from bottleneck import (
     nansum,
 )
 from numpy import (
+    abs,
     clip,
     diff,
     fmax,
@@ -30,19 +31,19 @@ class RSI(CustomFactor, SingleInputMixin):
 
     **Default Inputs**: [USEquityPricing.close]
 
-    **Default Window Length**: 14
+    **Default Window Length**: 15
     """
-    window_length = 14
+    window_length = 15
     inputs = (USEquityPricing.close,)
 
     def compute(self, today, assets, out, closes):
-        diffs = diff(closes)
+        diffs = diff(closes, axis=0)
         ups = nanmean(clip(diffs, 0, inf), axis=0)
-        downs = nanmean(clip(diffs, -inf, 0), axis=0)
+        downs = abs(nanmean(clip(diffs, -inf, 0), axis=0))
         return evaluate(
             "100 - (100 / (1 + (ups / downs)))",
-            locals_dict={'ups': ups, 'downs': downs},
-            globals_dict={},
+            local_dict={'ups': ups, 'downs': downs},
+            global_dict={},
             out=out,
         )
 

zipline/utils/test_utils.py

@@ -4,7 +4,7 @@ from itertools import (
 )
 from logbook import FileHandler
 from mock import patch
-from numpy.testing import assert_array_equal
+from numpy.testing import assert_allclose, assert_array_equal
 import operator
 from zipline.finance.blotter import ORDER_STATUS
 from zipline.utils import security_list
@@ -310,18 +310,37 @@ def make_simple_asset_info(assets, start_date, end_date, symbols=None):
     )
 
 
-def check_arrays(left, right, err_msg='', verbose=True):
+def check_allclose(actual,
+                   desired,
+                   rtol=1e-07,
+                   atol=0,
+                   err_msg='',
+                   verbose=True):
     """
-    Wrapper around np.assert_array_equal that also verifies that inputs are
-    ndarrays.
+    Wrapper around np.testing.assert_allclose that also verifies that inputs
+    are ndarrays.
+
+    See Also
+    --------
+    np.assert_allclose
+    """
+    if type(actual) != type(desired):
+        raise AssertionError("%s != %s" % (type(actual), type(desired)))
+    return assert_allclose(actual, desired, err_msg=err_msg, verbose=True)
+
+
+def check_arrays(x, y, err_msg='', verbose=True):
+    """
+    Wrapper around np.testing.assert_array_equal that also verifies that inputs
+    are ndarrays.
 
     See Also
     --------
     np.assert_array_equal
     """
-    if type(left) != type(right):
-        raise AssertionError("%s != %s" % (type(left), type(right)))
-    return assert_array_equal(left, right, err_msg=err_msg, verbose=True)
+    if type(x) != type(y):
+        raise AssertionError("%s != %s" % (type(x), type(y)))
+    return assert_array_equal(x, y, err_msg=err_msg, verbose=True)
 
 
 class UnexpectedAttributeAccess(Exception):