Class: Indicators::Rsi

Inherits:
Object
  • Object
show all
Defined in:
lib/indicators/calculations/rsi.rb

Overview

Relative Strength Index

Class Method Summary collapse

Class Method Details

.calculate(data, parameters) ⇒ Object

100 RSI = 100 - ——–

1 + RS

RS = Average Gain / Average Loss First Average Gain = Sum of Gains over the past 14 periods / 14 First Average Loss = Sum of Losses over the past 14 periods / 14 Average Gain = [(previous Average Gain) x 13 + current Gain] / 14. Average Loss = [(previous Average Loss) x 13 + current Loss] / 14.



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# File 'lib/indicators/calculations/rsi.rb', line 14

def self.calculate data, parameters
  periods = parameters
  output = Array.new
  adj_closes = Indicators::Helper.validate_data(data, :adj_close, periods)

  rs = Array.new
  average_gain = 0.0
  average_loss = 0.0
  adj_closes.each_with_index do |adj_close, index|
    if index >= periods
      if index == periods
        average_gain = gain_or_loss(adj_closes[0..index], :gain) / periods
        average_loss = gain_or_loss(adj_closes[0..index], :loss) / periods
      else
        difference = adj_close - adj_closes[index-1]
        if difference >= 0
          current_gain = difference
          current_loss = 0
        else
          current_gain = 0
          current_loss = difference.abs
        end
        average_gain = (average_gain * (periods-1) + current_gain) / periods
        average_loss = (average_loss * (periods-1) + current_loss) / periods
      end
      rs[index] = average_gain / average_loss
      output[index] = 100 - 100/(1+rs[index])
      if average_gain == 0
        output[index] = 0
      elsif average_loss == 0
        output[index] = 100
      end
    else
      rs[index] = nil
      output[index] = nil
    end
  end

  return output

end

.gain_or_loss(data, type) ⇒ Object

Helper methods for RSI



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# File 'lib/indicators/calculations/rsi.rb', line 58

def self.gain_or_loss data, type
  sum = 0.0
  first_value = nil
  data.each do |value|
    if first_value == nil
      first_value = value
    else
      if type == :gain
        if value > first_value
          sum += value - first_value
        end
      elsif type == :loss
        if value < first_value
          sum += first_value - value
        end
      end
      first_value = value
    end
  end
  return sum
end