package indicator import ( "math" "time" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/types" ) // rsi implements Relative Strength Index (RSI) // https://www.investopedia.com/terms/r/rsi.asp // // The Relative Strength Index (RSI) is a technical analysis indicator that is used to measure the strength of a security's price. It is // calculated by taking the average of the gains and losses of the security over a specified period of time, and then dividing the average gain // by the average loss. This resulting value is then plotted as a line on the price chart, with values above 70 indicating overbought conditions // and values below 30 indicating oversold conditions. The RSI can be used by traders to identify potential entry and exit points for trades, // or to confirm other technical analysis signals. It is typically used in conjunction with other indicators to provide a more comprehensive // view of the security's price. //go:generate callbackgen -type RSI type RSI struct { types.SeriesBase types.IntervalWindow Values floats.Slice Prices floats.Slice PreviousAvgLoss float64 PreviousAvgGain float64 EndTime time.Time updateCallbacks []func(value float64) } func (inc *RSI) Update(price float64) { if len(inc.Prices) == 0 { inc.SeriesBase.Series = inc } 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.SeriesExtend = &RSI{} func (inc *RSI) PushK(k types.KLine) { inc.Update(k.Close.Float64()) } func (inc *RSI) CalculateAndUpdate(kLines []types.KLine) { for _, k := range kLines { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { continue } inc.PushK(k) } 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) }