/// <summary>
/// Calculates Relative Strength Index (RSI) indicator
/// </summary>
/// <param name="input">Input signal</param>
/// <param name="period">Number of periods</param>
/// <returns>Object containing operation results</returns>
public static RSIResult RSI(IEnumerable<double> input, int period)
{
double startGain = 0;
double startLoss = 0;
List<double> output = new List<double>();
List<GainLoss> gainLossList = new List<GainLoss>();
var inputList = input.ToList();
for (int i = 0; i < period; i++)
{
if (i == 0)
{
continue;
}
double gain = 0;
double loss = 0;
CalculateGainLoss(inputList[i], inputList[i - 1], out gain, out loss);
startGain += gain;
startLoss += loss;
}
startGain = startGain / period;
startLoss = startLoss / period;
gainLossList.Add(new GainLoss() { AverageGain = startGain, AverageLoss = startLoss });
var skippedPeriodList = inputList.Skip(period).ToList();
for (int i = 1; i < skippedPeriodList.Count; i++)
{
double currentGain = 0;
double currentLoss = 0;
CalculateGainLoss(skippedPeriodList[i], skippedPeriodList[i - 1], out currentGain, out currentLoss);
double averageGain = (gainLossList[i - 1].AverageGain * (period - 1) + currentGain) / period;
double averageLoss = (gainLossList[i - 1].AverageLoss * (period - 1) + currentLoss) / period;
gainLossList.Add(new GainLoss() { AverageGain = averageGain, AverageLoss = averageLoss });
}
foreach (var item in gainLossList)
{
double result = 100 - 100 / (1 + item.AverageGain / item.AverageLoss);
output.Add(result);
}
var rsiResult = new RSIResult()
{
StartIndexOffset = period - 1,
Values = output
};
return rsiResult;
}
/// <summary>
/// Calculates Relative Strength Index (RSI) indicator
/// </summary>
/// <param name="input">Input signal</param>
/// <param name="period">Number of periods</param>
/// <returns>Object containing operation results</returns>
public static RSIResult RSI(IEnumerable <double> input, int period)
{
double startGain = 0;
double startLoss = 0;
List <double> output = new List <double>();
List <GainLoss> gainLossList = new List <GainLoss>();
var inputList = input.ToList();
for (int i = 0; i < period; i++)
{
if (i == 0)
{
continue;
}
double gain = 0;
double loss = 0;
CalculateGainLoss(inputList[i], inputList[i - 1], out gain, out loss);
startGain += gain;
startLoss += loss;
}
startGain = startGain / period;
startLoss = startLoss / period;
gainLossList.Add(new GainLoss()
{
AverageGain = startGain, AverageLoss = startLoss
});
var skippedPeriodList = inputList.Skip(period).ToList();
for (int i = 1; i < skippedPeriodList.Count; i++)
{
double currentGain = 0;
double currentLoss = 0;
CalculateGainLoss(skippedPeriodList[i], skippedPeriodList[i - 1], out currentGain, out currentLoss);
double averageGain = (gainLossList[i - 1].AverageGain * (period - 1) + currentGain) / period;
double averageLoss = (gainLossList[i - 1].AverageLoss * (period - 1) + currentLoss) / period;
gainLossList.Add(new GainLoss()
{
AverageGain = averageGain, AverageLoss = averageLoss
});
}
foreach (var item in gainLossList)
{
double result = 100 - 100 / (1 + item.AverageGain / item.AverageLoss);
output.Add(result);
}
var rsiResult = new RSIResult()
{
StartIndexOffset = period - 1,
Values = output
};
return(rsiResult);
}