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use std::collections::VecDeque;
use super::sliding_window::View;
use crate::Echo;
#[derive(Clone)]
pub struct RSI {
view: Box<dyn View>,
window_len: usize,
avg_gain: f64,
avg_loss: f64,
old_ref: f64,
last_val: f64,
q_vals: VecDeque<f64>,
out: f64,
}
impl RSI {
pub fn new(view: Box<dyn View>, window_len: usize) -> Self {
RSI {
view,
window_len,
avg_gain: 0.0,
avg_loss: 0.0,
old_ref: 0.0,
last_val: 0.0,
q_vals: VecDeque::new(),
out: 0.0,
}
}
pub fn new_final(window_len: usize) -> Self {
Self::new(Box::new(Echo::new()), window_len)
}
}
impl View for RSI {
fn update(&mut self, val: f64) {
self.view.update(val);
let val = self.view.last();
if self.q_vals.len() == 0 {
self.old_ref = val;
self.last_val = val;
}
if self.q_vals.len() >= self.window_len {
let old_val = self.q_vals.front().unwrap();
let change = old_val - self.old_ref;
self.old_ref = *old_val;
self.q_vals.pop_front();
if change > 0.0 {
self.avg_gain -= change / self.window_len as f64;
} else {
self.avg_loss -= change.abs() / self.window_len as f64;
}
}
self.q_vals.push_back(val);
let change = val - self.last_val;
self.last_val = val;
if change > 0.0 {
self.avg_gain += change / self.window_len as f64;
} else {
self.avg_loss += change.abs() / self.window_len as f64;
}
if self.q_vals.len() < self.window_len {
self.out = 50.0;
} else {
if self.avg_loss == 0.0 {
self.out = 100.0;
} else {
let rs = self.avg_gain / self.avg_loss;
let rsi = 100.0 - 100.0 / (1.0 + rs);
self.out = rsi;
}
}
}
fn last(&self) -> f64 {
return self.out;
}
}
#[cfg(test)]
mod tests {
extern crate rust_timeseries_generator;
use self::rust_timeseries_generator::gaussian_process::gen;
use self::rust_timeseries_generator::plt;
use super::*;
#[test]
fn graph_rsi() {
let vals = gen(1024, 100.0);
let mut rsi = RSI::new_final(16);
let mut out: Vec<f64> = Vec::new();
for i in 0..vals.len() {
rsi.update(vals[i]);
out.push(rsi.last());
}
let filename = "img/rsi.png";
plt::plt(out, filename).unwrap();
}
#[test]
fn test_range() {
let vals = gen(1024, 100.0);
let mut rsi = RSI::new_final(16);
for i in 0..vals.len() {
rsi.update(vals[i]);
let last = rsi.last();
assert!(last >= 0.0);
assert!(last <= 100.0);
}
}
}