package indicator import ( "math" "time" "github.com/c9s/bbgo/pkg/types" ) /* rsi implements Relative Strength Index (RSI) https://www.investopedia.com/terms/r/rsi.asp */ //go:generate callbackgen -type RSI type RSI struct { types.IntervalWindow Values types.Float64Slice Prices types.Float64Slice PreviousAvgLoss float64 PreviousAvgGain float64 EndTime time.Time UpdateCallbacks []func(value float64) } func (inc *RSI) Update(kline types.KLine, priceF KLinePriceMapper) { price := priceF(kline) inc.Prices.Push(price) if len(inc.Prices) < inc.Window+1 { return } var avgGain float64 var avgLoss float64 if len(inc.Prices) == inc.Window+1 { priceDifferences := inc.Prices.Diff() avgGain = priceDifferences.PositiveValuesOrZero().Abs().Sum() / float64(inc.Window) avgLoss = priceDifferences.NegativeValuesOrZero().Abs().Sum() / float64(inc.Window) } else { difference := price - inc.Prices[len(inc.Prices)-2] currentGain := math.Max(difference, 0) currentLoss := -math.Min(difference, 0) avgGain = (inc.PreviousAvgGain*13 + currentGain) / float64(inc.Window) avgLoss = (inc.PreviousAvgLoss*13 + currentLoss) / float64(inc.Window) } rs := avgGain / avgLoss rsi := 100 - (100 / (1 + rs)) inc.Values.Push(rsi) inc.PreviousAvgGain = avgGain inc.PreviousAvgLoss = avgLoss } func (inc *RSI) Last() float64 { if len(inc.Values) == 0 { return 0.0 } return inc.Values[len(inc.Values)-1] } func (inc *RSI) Index(i int) float64 { length := len(inc.Values) if length <= 0 || length-i-1 < 0 { return 0.0 } return inc.Values[length-i-1] } func (inc *RSI) Length() int { return len(inc.Values) } var _ types.Series = &RSI{} func (inc *RSI) calculateAndUpdate(kLines []types.KLine) { var priceF = KLineClosePriceMapper for _, k := range kLines { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { continue } inc.Update(k, priceF) } inc.EmitUpdate(inc.Last()) inc.EndTime = kLines[len(kLines)-1].EndTime.Time() } func (inc *RSI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.calculateAndUpdate(window) } func (inc *RSI) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) }