rsi.go

package tart

// Developed by J. Welles Wilder, the Relative Strength Index (RSI) is a momentum
// oscillator that measures the speed and change of price movements. RSI oscillates
// between zero and 100. According to Wilder, RSI is considered overbought when
// above 70 and oversold when below 30. Signals can also be generated by looking
// for divergences, failure swings and centerline crossovers. RSI can also be used
// to identify the general trend.
// RSI is an extremely popular momentum indicator that has been featured in a number
// of articles, interviews and books over the years. In particular, Constance Brown's
// book, Technical Analysis for the Trading Professional, features the concept of
// bull market and bear market ranges for RSI. Andrew Cardwell, Brown's RSI mentor,
// introduced positive and negative reversals for RSI and, additionally, turned the
// notion of divergence, literally and figuratively, on its head.
// Wilder features RSI in his 1978 book, New Concepts in Technical Trading Systems.
// This book also includes the Parabolic SAR, Average True Range and the Directional
// Movement Concept (ADX). Despite being developed before the computer age,
// Wilder's indicators have stood the test of time and remain extremely popular.
//  https://school.stockcharts.com/doku.php?id=technical_indicators:relative_strength_index_rsi
//  https://www.investopedia.com/terms/r/rsi.asp
//  https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/RSI
type Rsi struct {
	n     int64
	up    *Ema
	dn    *Ema
	prevC float64
	sz    int64
}

func NewRsi(n int64) *Rsi {
	k := 1.0 / float64(n)
	return &Rsi{
		n:     n,
		up:    NewEma(n, k),
		dn:    NewEma(n, k),
		prevC: 0,
		sz:    0,
	}
}

func (r *Rsi) Update(v float64) float64 {
	r.sz++

	chg := v - r.prevC
	r.prevC = v

	if r.sz == 1 {
		return 0
	}

	var up, dn float64
	if chg > 0 {
		up = r.up.Update(chg)
		dn = r.dn.Update(0)
	} else {
		up = r.up.Update(0)
		dn = r.dn.Update(-chg)
	}

	if r.sz <= r.n {
		return 0
	}

	sum := up + dn
	if almostZero(sum) {
		return 0
	}

	return up / sum * 100.0
}

func (r *Rsi) InitPeriod() int64 {
	return r.n
}

func (r *Rsi) Valid() bool {
	return r.sz > r.InitPeriod()
}

// Developed by J. Welles Wilder, the Relative Strength Index (RSI) is a momentum
// oscillator that measures the speed and change of price movements. RSI oscillates
// between zero and 100. According to Wilder, RSI is considered overbought when
// above 70 and oversold when below 30. Signals can also be generated by looking
// for divergences, failure swings and centerline crossovers. RSI can also be used
// to identify the general trend.
// RSI is an extremely popular momentum indicator that has been featured in a number
// of articles, interviews and books over the years. In particular, Constance Brown's
// book, Technical Analysis for the Trading Professional, features the concept of
// bull market and bear market ranges for RSI. Andrew Cardwell, Brown's RSI mentor,
// introduced positive and negative reversals for RSI and, additionally, turned the
// notion of divergence, literally and figuratively, on its head.
// Wilder features RSI in his 1978 book, New Concepts in Technical Trading Systems.
// This book also includes the Parabolic SAR, Average True Range and the Directional
// Movement Concept (ADX). Despite being developed before the computer age,
// Wilder's indicators have stood the test of time and remain extremely popular.
//  https://school.stockcharts.com/doku.php?id=technical_indicators:relative_strength_index_rsi
//  https://www.investopedia.com/terms/r/rsi.asp
//  https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/RSI
func RsiArr(in []float64, n int64) []float64 {
	out := make([]float64, len(in))

	r := NewRsi(n)
	for i, v := range in {
		out[i] = r.Update(v)
	}

	return out
}