autotrader/indicators.go

package autotrader

import "math"

// RSI calculates the Relative Strength Index for a given Series. Typically, the input series is the Close column of a DataFrame. Returns a Series of RSI values of the same length as the input.
//
// Traditionally, an RSI reading of 70 or above indicates an overbought condition, and a reading of 30 or below indicates an oversold condition.
//
// Typically, the RSI is calculated with a period of 14 days.
func RSI(series Series, periods int) Series {
	// Calculate the difference between each day's close and the previous day's close.
	delta := series.MapReverse(func(i int, v interface{}) interface{} {
		if i == 0 {
			return float64(0)
		}
		return v.(float64) - series.Value(i-1).(float64)
	})
	// Make two Series of gains and losses.
	gains := delta.Map(func(i int, val interface{}) interface{} { return math.Max(val.(float64), 0) })
	losses := delta.Map(func(i int, val interface{}) interface{} { return math.Abs(math.Min(val.(float64), 0)) })
	// Calculate the average gain and average loss.
	avgGain := gains.Rolling(periods).Mean()
	avgLoss := losses.Rolling(periods).Mean()
	// Calculate the RSI.
	return avgGain.Map(func(i int, val interface{}) interface{} {
		loss := avgLoss.Float(i)
		if loss == 0 {
			return float64(100)
		}
		return float64(100. - 100./(1.+val.(float64)/loss))
	})
}