Merge pull request c9s#500 from narumiruna/rsi

feature: add Relative Strength Index (RSI) indicator

pkg/indicator/rsi.go

@@ -0,0 +1,90 @@
+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().AbsoluteValues().Sum() / float64(inc.Window)
+		avgLoss = priceDifferences.NegativeValuesOrZero().AbsoluteValues().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) calculateAndUpdate(kLines []types.KLine) {
+	var priceF = KLineClosePriceMapper
+
+	for _, k := range kLines {
+		if inc.EndTime != zeroTime && k.EndTime.Before(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)
+}

pkg/indicator/rsi_test.go

@@ -0,0 +1,69 @@
+package indicator
+
+import (
+	"encoding/json"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func Test_calculateRSI(t *testing.T) {
+	// test case from https://school.stockcharts.com/doku.php?id=technical_indicators:relative_strength_index_rsi
+	buildKLines := func(prices []fixedpoint.Value) (kLines []types.KLine) {
+		for _, p := range prices {
+			kLines = append(kLines, types.KLine{High: p, Low: p, Close: p})
+		}
+		return kLines
+	}
+	var data = []byte(`[44.34, 44.09, 44.15, 43.61, 44.33, 44.83, 45.10, 45.42, 45.84, 46.08, 45.89, 46.03, 45.61, 46.28, 46.28, 46.00, 46.03, 46.41, 46.22, 45.64, 46.21, 46.25, 45.71, 46.45, 45.78, 45.35, 44.03, 44.18, 44.22, 44.57, 43.42, 42.66, 43.13]`)
+	var values []fixedpoint.Value
+	_ = json.Unmarshal(data, &values)
+
+	tests := []struct {
+		name   string
+		kLines []types.KLine
+		window int
+		want   types.Float64Slice
+	}{
+		{
+			name:   "RSI",
+			kLines: buildKLines(values),
+			window: 14,
+			want: types.Float64Slice{
+				70.46413502109704,
+				66.24961855355505,
+				66.48094183471265,
+				69.34685316290864,
+				66.29471265892624,
+				57.91502067008556,
+				62.88071830996241,
+				63.208788718287764,
+				56.01158478954758,
+				62.33992931089789,
+				54.67097137765515,
+				50.386815195114224,
+				40.01942379131357,
+				41.49263540422282,
+				41.902429678458105,
+				45.499497238680405,
+				37.32277831337995,
+				33.090482572723396,
+				37.78877198205783,
+			},
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			rsi := RSI{IntervalWindow: types.IntervalWindow{Window: tt.window}}
+			rsi.calculateAndUpdate(tt.kLines)
+			assert.Equal(t, len(rsi.Values), len(tt.want))
+			for i, v := range rsi.Values {
+				assert.InDelta(t, v, tt.want[i], Delta)
+			}
+		})
+	}
+}

pkg/types/float_slice.go

@@ -53,3 +53,55 @@ func (s Float64Slice) Tail(size int) Float64Slice {
 	copy(win, s[length-size:])
 	return win
 }
+
+func (s Float64Slice) Diff() Float64Slice {
+	var values Float64Slice
+	for i, v := range s {
+		if i == 0 {
+			values.Push(0)
+			continue
+		}
+		values.Push(v - s[i-1])
+	}
+	return values
+}
+
+func (s Float64Slice) PositiveValuesOrZero() Float64Slice {
+	var values Float64Slice
+	for _, v := range s {
+		values.Push(math.Max(v, 0))
+	}
+	return values
+}
+
+func (s Float64Slice) NegativeValuesOrZero() Float64Slice {
+	var values Float64Slice
+	for _, v := range s {
+		values.Push(math.Min(v, 0))
+	}
+	return values
+}
+
+func (s Float64Slice) AbsoluteValues() Float64Slice {
+	var values Float64Slice
+	for _, v := range s {
+		values.Push(math.Abs(v))
+	}
+	return values
+}
+
+func (s Float64Slice) MulScalar(x float64) Float64Slice {
+	var values Float64Slice
+	for _, v := range s {
+		values.Push(v * x)
+	}
+	return values
+}
+
+func (s Float64Slice) DivScalar(x float64) Float64Slice {
+	var values Float64Slice
+	for _, v := range s {
+		values.Push(v / x)
+	}
+	return values
+}