RelativeStrengthIndex.cs

//==============================================================================
// Copyright (c) 2012-2023 Fiats Inc. All rights reserved.
// Licensed under the MIT license. See LICENSE.txt in the solution folder for
// full license information.
// https://www.fiats.asia/
// Fiats Inc. Nakano, Tokyo, Japan
//

namespace Financier;

public static partial class IndicatorExtensions
{
    /// <summary>
    /// Relative Strength Index (RSI)
    /// </summary>
    /// <param name="source"></param>
    /// <param name="period"></param>
    /// <returns></returns>
    public static IObservable<double> RelativeStrengthIndex(this IObservable<double> source, int period)
    {
        return source.Buffer(2, 1).Publish(
            s => s.Select(values => (values[0] < values[1]) ? values[1] - values[0] : 0.0)
                .ModifiedMovingAverage(period)
                .Zip(s.Select(values => (values[0] > values[1]) ? values[0] - values[1] : 0.0)
                    .ModifiedMovingAverage(period),
                    (mmaUptickSize, mmaDowntickSize) => mmaUptickSize / mmaDowntickSize
                )
            .Select(rs => (100.0 - 100.0 / (1.0 + rs)))
        );
    }

    public static IObservable<decimal> RelativeStrengthIndex(this IObservable<decimal> source, int period)
    {
        return source.Buffer(2, 1).Publish(
            s => s.Select(values => (values[0] < values[1]) ? values[1] - values[0] : decimal.Zero)
                .ModifiedMovingAverage(period)
                .Zip(s.Select(values => (values[0] > values[1]) ? values[0] - values[1] : decimal.Zero)
                    .ModifiedMovingAverage(period),
                    (mmaUptickSize, mmaDowntickSize) => mmaUptickSize / mmaDowntickSize
                )
            .Select(rs => (100.0m - 100.0m / (decimal.One + rs)))
        );
    }

    public static IObservable<float> RelativeStrengthIndex(this IObservable<float> source, int period)
    {
        return source.Buffer(2, 1).Publish(
            s => s.Select(values => (values[0] < values[1]) ? values[1] - values[0] : 0.0f)
                .ModifiedMovingAverage(period)
                .Zip(s.Select(values => (values[0] > values[1]) ? values[0] - values[1] : 0.0f)
                    .ModifiedMovingAverage(period),
                    (mmaUptickSize, mmaDowntickSize) => mmaUptickSize / mmaDowntickSize
                )
            .Select(rs => (100.0f - 100.0f / (1.0f + rs)))
        );
    }
}