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