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RelativeStrengthIndex.cs
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RelativeStrengthIndex.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
namespace QuantConnect.Indicators
{
/// <summary>
/// Represents the Relative Strength Index (RSI) developed by K. Welles Wilder.
/// You can optionally specified a different moving average type to be used in the computation
/// </summary>
public class RelativeStrengthIndex : Indicator
{
private IndicatorDataPoint previousInput;
/// <summary>
/// Gets the type of indicator used to compute AverageGain and AverageLoss
/// </summary>
public MovingAverageType MovingAverageType { get; private set; }
/// <summary>
/// Gets the EMA for the down days
/// </summary>
public IndicatorBase<IndicatorDataPoint> AverageLoss { get; private set; }
/// <summary>
/// Gets the indicator for average gain
/// </summary>
public IndicatorBase<IndicatorDataPoint> AverageGain { get; private set; }
/// <summary>
/// Initializes a new instance of the RelativeStrengthIndex class with the specified name and period
/// </summary>
/// <param name="period">The period used for up and down days</param>
/// <param name="movingAverageType">The type of moving average to be used for computing the average gain/loss values</param>
public RelativeStrengthIndex(int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
: this("RSI" + period, period, movingAverageType)
{
}
/// <summary>
/// Initializes a new instance of the RelativeStrengthIndex class with the specified name and period
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period used for up and down days</param>
/// <param name="movingAverageType">The type of moving average to be used for computing the average gain/loss values</param>
public RelativeStrengthIndex(string name, int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
: base(name)
{
MovingAverageType = movingAverageType;
AverageGain = movingAverageType.AsIndicator(name + "Up", period);
AverageLoss = movingAverageType.AsIndicator(name + "Down", period);
}
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady
{
get { return AverageGain.IsReady && AverageLoss.IsReady; }
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
if (previousInput != null && input.Value >= previousInput.Value)
{
AverageGain.Update(input.Time, input.Value - previousInput.Value);
AverageLoss.Update(input.Time, 0m);
}
else if (previousInput != null && input.Value < previousInput.Value)
{
AverageGain.Update(input.Time, 0m);
AverageLoss.Update(input.Time, previousInput.Value - input.Value);
}
previousInput = input;
if (AverageLoss == 0m)
{
// all up days is 100
return 100m;
}
var rs = AverageGain / AverageLoss;
return 100m - (100m / (1 + rs));
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
AverageGain.Reset();
AverageLoss.Reset();
base.Reset();
}
}
}