/// <summary>Get feature details from the RSI indicator</summary>
private void RSIFeatures()
{
// Value is in the range [0,100] with 30/70 seen as the trigger levels.
// Entry signals are when the RSI indicator has gone outside the 30/70 level,
// turned around, then fallen back within the 30/70 range
var rsi = Bot.Indicators.RelativeStrengthIndex(Bot.MarketSeries.Close, 14);
// Approximate the RSI curve with a quadratic
var x = (int)(CurrentIndex - 1 - Instrument.FirstIdx);
var y = rsi.Result[x];
var dy = rsi.Result.FirstDerivative(x);
var ddy = rsi.Result.SecondDerivative(x);
var q = Quadratic.FromDerivatives(x, y, dy, ddy);
// Estimate where the RSI will cross back into 30-70 range. If that's the next candle
// then it's a entry signal
//var d = rsi.Result.LastValue;
// var dist = (d - 50.0) / 20.0;
// values.Add(dist);
// For now, just map high/low values
var score = Maths.Sigmoid(y - 50.0, 20); // [-0.5 = 30, +0.5 = 70]
Features.Add(new Feature("RSI", score));
}
