quantaxis_rs/indicators/
relative_strength_index.rs

1use std::fmt;
2
3use crate::errors::*;
4use crate::indicators::ExponentialMovingAverage as Ema;
5use crate::{Close, Next, Reset};
6
7/// The relative strength index (RSI).
8///
9/// It is a momentum oscillator,
10/// that compares the magnitude of recent gains
11/// and losses over a specified time period to measure speed and change of price
12/// movements of a security. It is primarily used to attempt to identify
13/// overbought or oversold conditions in the trading of an asset.
14///
15/// The oscillator returns output in the range of 0..100.
16///
17/// ![RSI](https://upload.wikimedia.org/wikipedia/commons/6/67/RSIwiki.gif)
18///
19/// # Formula
20///
21/// RSI<sub>t</sub> = EMA<sub>Ut</sub> * 100 / (EMA<sub>Ut</sub> + EMA<sub>Dt</sub>)
22///
23/// Where:
24///
25/// * RSI<sub>t</sub> - value of RSI indicator in a moment of time _t_
26/// * EMA<sub>Ut</sub> - value of [EMA](struct.ExponentialMovingAverage.html) of up periods in a moment of time _t_
27/// * EMA<sub>Dt</sub> - value of [EMA](struct.ExponentialMovingAverage.html) of down periods in a moment of time _t_
28///
29/// If current period has value higher than previous period, than:
30///
31/// U = p<sub>t</sub> - p<sub>t-1</sub>
32///
33/// D = 0
34///
35/// Otherwise:
36///
37/// U = 0
38///
39/// D = p<sub>t-1</sub> - p<sub>t</sub>
40///
41/// Where:
42///
43/// * U = up period value
44/// * D = down period value
45/// * p<sub>t</sub> - input value in a moment of time _t_
46/// * p<sub>t-1</sub> - input value in a moment of time _t-1_
47///
48/// # Parameters
49///
50/// * _n_ - number of periods (integer greater than 0). Default value is 14.
51///
52/// # Example
53///
54/// ```
55/// use quantaxis_rs::indicators::RelativeStrengthIndex;
56/// use quantaxis_rs::Next;
57///
58/// let mut rsi = RelativeStrengthIndex::new(3).unwrap();
59/// assert_eq!(rsi.next(10.0), 50.0);
60/// assert_eq!(rsi.next(10.5).round(), 86.0);
61/// assert_eq!(rsi.next(10.0).round(), 35.0);
62/// assert_eq!(rsi.next(9.5).round(), 16.0);
63/// ```
64///
65/// # Links
66/// * [Relative strength index (Wikipedia)](https://en.wikipedia.org/wiki/Relative_strength_index)
67/// * [RSI (Investopedia)](http://www.investopedia.com/terms/r/rsi.asp)
68///
69#[derive(Debug, Clone)]
70pub struct RelativeStrengthIndex {
71    n: u32,
72    up_ema_indicator: Ema,
73    down_ema_indicator: Ema,
74    prev_val: f64,
75    is_new: bool,
76}
77
78impl RelativeStrengthIndex {
79    pub fn new(n: u32) -> Result<Self> {
80        let rsi = Self {
81            n: n,
82            up_ema_indicator: Ema::new(n)?,
83            down_ema_indicator: Ema::new(n)?,
84            prev_val: 0.0,
85            is_new: true,
86        };
87        Ok(rsi)
88    }
89}
90
91impl Next<f64> for RelativeStrengthIndex {
92    type Output = f64;
93
94    fn next(&mut self, input: f64) -> Self::Output {
95        let mut up = 0.0;
96        let mut down = 0.0;
97
98        if self.is_new {
99            self.is_new = false;
100            // Initialize with some small seed numbers to avoid division by zero
101            up = 0.1;
102            down = 0.1;
103        } else {
104            if input > self.prev_val {
105                up = input - self.prev_val;
106            } else {
107                down = self.prev_val - input;
108            }
109        }
110
111        self.prev_val = input;
112        let up_ema = self.up_ema_indicator.next(up);
113        let down_ema = self.down_ema_indicator.next(down);
114        100.0 * up_ema / (up_ema + down_ema)
115    }
116}
117
118impl<'a, T: Close> Next<&'a T> for RelativeStrengthIndex {
119    type Output = f64;
120
121    fn next(&mut self, input: &'a T) -> Self::Output {
122        self.next(input.close())
123    }
124}
125
126impl Reset for RelativeStrengthIndex {
127    fn reset(&mut self) {
128        self.is_new = true;
129        self.prev_val = 0.0;
130        self.up_ema_indicator.reset();
131        self.down_ema_indicator.reset();
132    }
133}
134
135impl Default for RelativeStrengthIndex {
136    fn default() -> Self {
137        Self::new(14).unwrap()
138    }
139}
140
141impl fmt::Display for RelativeStrengthIndex {
142    fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
143        write!(f, "RSI({})", self.n)
144    }
145}
146
147#[cfg(test)]
148mod tests {
149    use super::*;
150    use crate::test_helper::*;
151    macro_rules! test_indicator {
152        ($i:tt) => {
153            #[test]
154            fn test_indicator() {
155                let bar = Bar::new();
156
157                // ensure Default trait is implemented
158                let mut indicator = $i::default();
159
160                // ensure Next<f64> is implemented
161                let first_output = indicator.next(12.3);
162
163                // ensure next accepts &DataItem as well
164                indicator.next(&bar);
165
166                // ensure Reset is implemented and works correctly
167                indicator.reset();
168                assert_eq!(indicator.next(12.3), first_output);
169
170                // ensure Display is implemented
171                format!("{}", indicator);
172            }
173        };
174    }
175    test_indicator!(RelativeStrengthIndex);
176
177    #[test]
178    fn test_new() {
179        assert!(RelativeStrengthIndex::new(0).is_err());
180        assert!(RelativeStrengthIndex::new(1).is_ok());
181    }
182
183    #[test]
184    fn test_next() {
185        let mut rsi = RelativeStrengthIndex::new(3).unwrap();
186        assert_eq!(rsi.next(10.0), 50.0);
187        assert_eq!(rsi.next(10.5).round(), 86.0);
188        assert_eq!(rsi.next(10.0).round(), 35.0);
189        assert_eq!(rsi.next(9.5).round(), 16.0);
190    }
191
192    #[test]
193    fn test_reset() {
194        let mut rsi = RelativeStrengthIndex::new(3).unwrap();
195        assert_eq!(rsi.next(10.0), 50.0);
196        assert_eq!(rsi.next(10.5).round(), 86.0);
197
198        rsi.reset();
199        assert_eq!(rsi.next(10.0).round(), 50.0);
200        assert_eq!(rsi.next(10.5).round(), 86.0);
201    }
202
203    #[test]
204    fn test_default() {
205        RelativeStrengthIndex::default();
206    }
207
208    #[test]
209    fn test_display() {
210        let rsi = RelativeStrengthIndex::new(16).unwrap();
211        assert_eq!(format!("{}", rsi), "RSI(16)");
212    }
213}
quantaxis_rs/indicators/relative_strength_index.rs

quantaxis_rs/indicators/
relative_strength_index.rs
