mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-16 12:03:51 +00:00
110 lines
2.9 KiB
Go
110 lines
2.9 KiB
Go
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(i int) float64 {
|
|
return inc.Values.Last(i)
|
|
}
|
|
|
|
func (inc *RSI) Index(i int) float64 {
|
|
return inc.Last(i)
|
|
}
|
|
|
|
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(0))
|
|
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)
|
|
}
|