1 files changed, 91 insertions, 0 deletions
diff --git a/lib/rsi.c b/lib/rsi.c
new file mode 100644
index 0000000..bf21c5e
--- /dev/null
+++ b/lib/rsi.c
@@ -0,0 +1,91 @@
+// Rsi
+//
+// rsi
+//
+// Relative Strength Index
+//
+// RSI = 100 - (100 / (1 + RS)), where RS = avg_gain / avg_loss
+// Uses Wilder's smoothing for avg_gain and avg_loss.
+// 
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 1
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_rsi_params_t;
+
+ts_parameter_t const ts_rsi_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_rsi_params_t) };
+
+uint_t ts_rsi_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_rsi_params_t *)c)->k : 0 );
+}
+
+int ts_rsi(
+	fp_t * const *y, uint_t y_n,
+	fp_t const * const *x, uint_t x_n,
+	uint_t n, ts_constant_t const *c
+)
+{
+	TS_PROLOGUE( ts_rsi_p );
+	if ( !c ) return -1;
+	TS_CHECK_INPUT(x, x_n, n);
+	uint_t k = ((ts_rsi_params_t *)c)->k;
+	if (k == 0 || n <= k) return -1;
+
+	for (uint_t i = 0; i < k; ++i) y[0][i] = NAN;
+
+	fp_t avg_gain = 0;
+	fp_t avg_loss = 0;
+
+	for( uint_t i = 1; i <= k; ++i )
+	{
+		fp_t change = x[0][i] - x[0][i - 1];
+		if( change > 0 )
+			avg_gain += change;
+		else if( change < 0 )
+			avg_loss += (-change);
+	}
+
+	avg_gain /= k;
+	avg_loss /= k;
+
+	{
+		if( avg_loss < TS_FILL_ZERO_THRESHOLD )
+			y[0][k] = 100;
+		else
+		{
+			fp_t rs = avg_gain / avg_loss;
+			y[0][k] = 100 - ( 100 / ( 1 + rs ) );
+		}
+	}
+
+	for( uint_t i = k + 1; i < n; ++i )
+	{
+		fp_t change = x[0][i] - x[0][i - 1];
+		fp_t gain = change > 0 ? change : 0;
+		fp_t loss = change < 0 ? (-change) : 0;
+
+		avg_gain = ( avg_gain * ( k - 1 ) + gain ) / k;
+		avg_loss = ( avg_loss * ( k - 1 ) + loss ) / k;
+
+		if( avg_loss < TS_FILL_ZERO_THRESHOLD )
+			y[0][i] = 100;
+		else
+		{
+			fp_t rs = avg_gain / avg_loss;
+			y[0][i] = 100 - ( 100 / ( 1 + rs ) );
+		}
+	}
+
+	return 0;
+}
+
+