// STOCHASTIC RSI
public static IEnumerable <StochRsiResult> GetStochRsi <TQuote>(
IEnumerable <TQuote> history,
int rsiPeriod,
int stochPeriod,
int signalPeriod,
int smoothPeriod = 1)
where TQuote : IQuote
{
// validate parameters
ValidateStochRsi(history, rsiPeriod, stochPeriod, signalPeriod, smoothPeriod);
// initialize
List <StochRsiResult> results = new List <StochRsiResult>();
// get RSI
List <RsiResult> rsiResults = GetRsi(history, rsiPeriod).ToList();
// convert rsi to quote format
List <Quote> rsiQuotes = rsiResults
.Where(x => x.Rsi != null)
.Select(x => new Quote
{
Date = x.Date,
High = (decimal)x.Rsi,
Low = (decimal)x.Rsi,
Close = (decimal)x.Rsi
})
.ToList();
// get Stochastic of RSI
List <StochResult> stoResults = GetStoch(rsiQuotes, stochPeriod, signalPeriod, smoothPeriod).ToList();
// compose
for (int i = 0; i < rsiResults.Count; i++)
{
RsiResult r = rsiResults[i];
int index = i + 1;
StochRsiResult result = new StochRsiResult
{
Date = r.Date
};
if (index >= rsiPeriod + stochPeriod)
{
StochResult sto = stoResults[index - rsiPeriod - 1];
result.StochRsi = sto.Oscillator;
result.Signal = sto.Signal;
}
results.Add(result);
}
return(results);
}
// RELATIVE STRENGTH INDEX
public static IEnumerable <RsiResult> GetRsi(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// initialize
decimal lastClose = history.First().Close;
List <RsiResult> results = new List <RsiResult>();
// load gain data
foreach (Quote h in history)
{
RsiResult result = new RsiResult
{
Index = (int)h.Index,
Date = h.Date,
Gain = (lastClose < h.Close) ? (float)(h.Close - lastClose) : 0,
Loss = (lastClose > h.Close) ? (float)(lastClose - h.Close) : 0
};
results.Add(result);
lastClose = h.Close;
}
// initialize average gain
float avgGain = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Gain).Average();
float avgLoss = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Loss).Average();
// initial RSI for trend analysis
float lastRSI = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
// calculate RSI
foreach (RsiResult r in results.Where(x => x.Index >= lookbackPeriod).OrderBy(d => d.Index))
{
avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
if (avgLoss > 0)
{
float rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
r.IsIncreasing = (r.Rsi >= lastRSI) ? true : false;
lastRSI = (float)r.Rsi;
}
return(results);
}
// CONNORS RSI
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <ConnorsRsiResult> GetConnorsRsi <TQuote>(
IEnumerable <TQuote> history,
int rsiPeriod = 3,
int streakPeriod = 2,
int rankPeriod = 100)
where TQuote : IQuote
{
// convert history to basic format
List <BasicData> bdList = history.ConvertToBasic("C");
// check parameter arguments
ValidateConnorsRsi(bdList, rsiPeriod, streakPeriod, rankPeriod);
// initialize
List <ConnorsRsiResult> results = CalcConnorsRsiBaseline(bdList, rsiPeriod, rankPeriod);
int startPeriod = Math.Max(rsiPeriod, Math.Max(streakPeriod, rankPeriod)) + 2;
// RSI of streak
List <BasicData> bdStreak = results
.Where(x => x.Streak != null)
.Select(x => new BasicData {
Date = x.Date, Value = (decimal)x.Streak
})
.ToList();
List <RsiResult> rsiStreakResults = CalcRsi(bdStreak, streakPeriod).ToList();
// compose final results
for (int p = streakPeriod + 2; p < results.Count; p++)
{
ConnorsRsiResult r = results[p];
RsiResult k = rsiStreakResults[p - 1];
r.RsiStreak = k.Rsi;
if (p + 1 >= startPeriod)
{
r.ConnorsRsi = (r.RsiClose + r.RsiStreak + r.PercentRank) / 3;
}
}
return(results);
}
private static IEnumerable <RsiResult> CalcRsi(List <BasicData> bdList, int lookbackPeriod = 14)
{
// check parameter arguments
ValidateRsi(bdList, lookbackPeriod);
// initialize
decimal lastValue = bdList[0].Value;
decimal avgGain = 0m;
decimal avgLoss = 0m;
int size = bdList.Count;
List <RsiResult> results = new List <RsiResult>(size);
decimal[] gain = new decimal[size]; // gain
decimal[] loss = new decimal[size]; // loss
// roll through history
for (int i = 0; i < bdList.Count; i++)
{
BasicData h = bdList[i];
int index = i + 1;
RsiResult r = new RsiResult
{
Date = h.Date
};
results.Add(r);
gain[i] = (h.Value > lastValue) ? h.Value - lastValue : 0;
loss[i] = (h.Value < lastValue) ? lastValue - h.Value : 0;
lastValue = h.Value;
// calculate RSI
if (index > lookbackPeriod + 1)
{
avgGain = (avgGain * (lookbackPeriod - 1) + gain[i]) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + loss[i]) / lookbackPeriod;
if (avgLoss > 0)
{
decimal rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
}
// initialize average gain
else if (index == lookbackPeriod + 1)
{
decimal sumGain = 0;
decimal sumLoss = 0;
for (int p = 1; p <= lookbackPeriod; p++)
{
sumGain += gain[p];
sumLoss += loss[p];
}
avgGain = sumGain / lookbackPeriod;
avgLoss = sumLoss / lookbackPeriod;
r.Rsi = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
}
}
return(results);
}
// RELATIVE STRENGTH INDEX
public static IEnumerable <RsiResult> GetRsi(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check exceptions
int qtyHistory = history.Count();
int minHistory = lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for RSI. " +
string.Format("You provided {0} periods of history when {1} is required. "
+ "Since this uses a smoothing technique, "
+ "we recommend you use at least 250 data points prior to the intended "
+ "usage date for maximum precision.", qtyHistory, minHistory));
}
// initialize
decimal lastClose = history.First().Close;
List <RsiResult> results = new List <RsiResult>();
// load gain data
foreach (Quote h in history)
{
RsiResult result = new RsiResult
{
Index = (int)h.Index,
Date = h.Date,
Gain = (lastClose < h.Close) ? (float)(h.Close - lastClose) : 0,
Loss = (lastClose > h.Close) ? (float)(lastClose - h.Close) : 0
};
results.Add(result);
lastClose = h.Close;
}
// initialize average gain
float avgGain = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Gain).Average();
float avgLoss = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Loss).Average();
// initial RSI for trend analysis
float lastRSI = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
// calculate RSI
foreach (RsiResult r in results.Where(x => x.Index >= lookbackPeriod).OrderBy(d => d.Index))
{
avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
if (avgLoss > 0)
{
float rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
r.IsIncreasing = (r.Rsi > lastRSI);
lastRSI = (float)r.Rsi;
}
return(results);
}
private static IEnumerable <RsiResult> CalcRsi(IEnumerable <BasicData> basicData, int lookbackPeriod = 14)
{
// clean data
List <BasicData> bdList = Cleaners.PrepareBasicData(basicData).ToList();
// check parameters
ValidateRsi(basicData, lookbackPeriod);
// initialize
decimal lastValue = bdList[0].Value;
decimal avgGain = 0m;
decimal avgLoss = 0m;
List <RsiResult> results = new List <RsiResult>();
// roll through history
for (int i = 0; i < bdList.Count; i++)
{
BasicData h = bdList[i];
RsiResult r = new RsiResult
{
Index = (int)h.Index,
Date = h.Date,
Gain = (h.Value > lastValue) ? h.Value - lastValue : 0,
Loss = (h.Value < lastValue) ? lastValue - h.Value : 0
};
results.Add(r);
lastValue = h.Value;
// calculate RSI
if (h.Index > lookbackPeriod + 1)
{
avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
if (avgLoss > 0)
{
decimal rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
}
// initialize average gain
else if (h.Index == lookbackPeriod + 1)
{
decimal sumGain = 0;
decimal sumLoss = 0;
for (int p = 0; p < lookbackPeriod; p++)
{
RsiResult d = results[p];
sumGain += d.Gain;
sumLoss += d.Loss;
}
avgGain = sumGain / lookbackPeriod;
avgLoss = sumLoss / lookbackPeriod;
r.Rsi = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
}
}
return(results);
}
private static IEnumerable <RsiResult> CalcRsi(IEnumerable <BasicData> basicData, int lookbackPeriod = 14)
{
// clean data
List <BasicData> bdList = Cleaners.PrepareBasicData(basicData).ToList();
// check parameters
ValidateRsi(basicData, lookbackPeriod);
// initialize
decimal lastValue = bdList[0].Value;
List <RsiResult> results = new List <RsiResult>();
// load gain data
for (int i = 0; i < bdList.Count; i++)
{
BasicData h = bdList[i];
RsiResult result = new RsiResult
{
Index = (int)h.Index,
Date = h.Date,
Gain = (h.Value > lastValue) ? h.Value - lastValue : 0,
Loss = (h.Value < lastValue) ? lastValue - h.Value : 0
};
results.Add(result);
lastValue = h.Value;
}
// initialize average gain
decimal avgGain = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Gain).Average();
decimal avgLoss = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Loss).Average();
// initial first record
decimal lastRSI = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
RsiResult first = results.Where(x => x.Index == lookbackPeriod + 1).FirstOrDefault();
first.Rsi = lastRSI;
// calculate RSI
foreach (RsiResult r in results.Where(x => x.Index > (lookbackPeriod + 1)))
{
avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
if (avgLoss > 0)
{
decimal rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
lastRSI = (decimal)r.Rsi;
}
return(results);
}
private static IEnumerable <RsiResult> CalcRsi(IEnumerable <BasicData> basicData, int lookbackPeriod = 14)
{
// clean data
basicData = Cleaners.PrepareBasicData(basicData);
// check parameters
ValidateRsi(basicData, lookbackPeriod);
// initialize
decimal lastValue = basicData.First().Value;
List <RsiResult> results = new List <RsiResult>();
// load gain data
foreach (BasicData h in basicData)
{
RsiResult result = new RsiResult
{
Index = (int)h.Index,
Date = h.Date,
Gain = (h.Value > lastValue) ? h.Value - lastValue : 0,
Loss = (h.Value < lastValue) ? lastValue - h.Value : 0
};
results.Add(result);
lastValue = h.Value;
}
// initialize average gain
decimal avgGain = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Gain).Average();
decimal avgLoss = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Loss).Average();
// initial first record
decimal lastRSI = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
bool? lastIsIncreasing = null;
RsiResult first = results.Where(x => x.Index == lookbackPeriod + 1).FirstOrDefault();
first.Rsi = lastRSI;
// calculate RSI
foreach (RsiResult r in results.Where(x => x.Index > (lookbackPeriod + 1)).OrderBy(d => d.Index))
{
avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
if (avgLoss > 0)
{
decimal rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
if (r.Rsi > lastRSI)
{
r.IsIncreasing = true;
}
else if (r.Rsi < lastRSI)
{
r.IsIncreasing = false;
}
else
{
// no change, keep trend
r.IsIncreasing = lastIsIncreasing;
}
lastRSI = (decimal)r.Rsi;
lastIsIncreasing = r.IsIncreasing;
}
return(results);
}
