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// 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 const *)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 const *)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;
}
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