Replace RSI with original study, add RSI test

strategies/indicators/RSI.js

@@ -1,23 +1,31 @@
 // required indicators
-var EMA = require('./EMA.js');
+var SMMA = require('./SMMA.js');
 
-var Indicator = function(settings) {
-  this.lastClose = 0;
+var Indicator = function (settings) {
+  this.lastClose = null;
   this.weight = settings.interval;
-  this.weightEma = 2 * this.weight - 1;
-  this.avgU = new EMA(this.weightEma);
-  this.avgD = new EMA(this.weightEma);
+  this.avgU = new SMMA(this.weight);
+  this.avgD = new SMMA(this.weight);
   this.u = 0;
   this.d = 0;
-  this.rs = 0;	
+  this.rs = 0;
   this.rsi = 0;
   this.age = 0;
 }
 
-Indicator.prototype.update = function(candle) {
+Indicator.prototype.update = function (candle) {
   var currentClose = candle.close;
 
-  if(currentClose > this.lastClose) {
+  if (this.lastClose === null) {
+    // Set initial price to prevent invalid change calculation
+    this.lastClose = currentClose;
+
+    // Do not calculate RSI for this reason - there's no change!
+    this.age++;
+    return;
+  }
+
+  if (currentClose > this.lastClose) {
     this.u = currentClose - this.lastClose;
     this.d = 0;
   } else {
@@ -27,11 +35,18 @@ Indicator.prototype.update = function(candle) {
 
   this.avgU.update(this.u);
   this.avgD.update(this.d);
+
   this.rs = this.avgU.result / this.avgD.result;
   this.rsi = 100 - (100 / (1 + this.rs));
 
-  this.age++;
+  if (this.avgD.result === 0 && this.avgU.result !== 0) {
+    this.rsi = 100;
+  } else if (this.avgD.result === 0) {
+    this.rsi = 0;
+  }
+
   this.lastClose = currentClose;
+  this.age++;
 }
 
 module.exports = Indicator;

test/indicators/rsi.js

@@ -0,0 +1,53 @@
+var chai = require('chai');
+var expect = chai.expect;
+var should = chai.should;
+var sinon = require('sinon');
+
+var _ = require('lodash');
+
+var util = require('../../core/util');
+var dirs = util.dirs();
+var INDICATOR_PATH = dirs.indicators;
+
+// Fake input prices to verify all indicators 
+// are working correctly by comparing fresh
+// calculated results to pre calculated results.
+
+// The precalculated results are compared to the Talib repository at
+// https://github.com/wuhkuh/talib
+// (shameless plug, sorry guys ;))
+
+var prices = [81, 24, 75, 21, 34, 25, 72, 92, 99, 2, 86, 80, 76, 8, 87, 75, 32, 65, 41, 9, 13, 26, 56, 28, 65, 58, 17, 90, 87, 86, 99, 3, 70, 1, 27, 9, 92, 68, 9];
+
+describe('indicators/RSI', function() {
+
+  var RSI = require(INDICATOR_PATH + 'RSI');
+
+  var verified_rsi2results = [0, 0, 47.22222222222223, 23.611111111111114, 38.43283582089553, 30.294117647058826, 78.2967032967033, 86.31639722863741, 89.12844036697248, 13.311866264730071, 64.95013850415512, 59.85653017461453, 54.19016363132106, 12.8454188854557, 68.56748255340673, 57.41553886370404, 26.512530826658676, 59.75774345724092, 36.04149739852744, 17.51008036340795, 26.905774699598737, 58.00044863973779, 85.82728624443239, 38.371227493966536, 74.96090570884536, 61.21019495608749, 19.438903652597787, 76.51344601664712, 72.30324117451528, 69.74473974944168, 84.24228523539779, 10.429850167468388, 59.707866801087974, 27.99023519523047, 48.57675474701421, 34.80106793288934, 81.96579567492182, 57.78953245436237, 23.585658801479056];
+  var verified_rsi12results = [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 49.44320712694878, 42.432667245873155, 51.2017782300719, 49.94116787991835, 45.55663590860508, 49.284333951746184, 46.74501674557244, 43.4860123510052, 44.01823674189631, 45.82704797004994, 49.90209564896179, 46.351969981868436, 51.34208640997234, 50.37501845071388, 44.96351306736635, 54.464714123844956, 54.04642006918241, 53.895901697369816, 55.6476477612053, 42.60631369413207, 51.2964732419777, 43.83906729252931, 47.00600661743475, 45.08586375053323, 54.44633399991266, 51.6681674437389, 45.44886082103851];
+  var verified_rsi26results = [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 46.44444444444444, 50.61070579555701, 50.44298978067838, 50.385107396174675, 51.143071170125296, 45.77270174725033, 49.6130641968312, 46.115177339098764, 47.56394036014283, 46.660676933508505, 51.11283316502063, 49.861270146262456, 46.92369439491447];
+
+  it('should correctly calculate RSI with period 2', function() {
+    var rsi = new RSI({ interval: 2 });
+    _.each(prices, function(p, i) {
+      rsi.update({ close: p });
+      expect(rsi.rsi).to.equal(verified_rsi2results[i]);
+    });
+  });
+
+  it('should correctly calculate RSI with period 12', function() {
+    var rsi = new RSI({ interval: 12 });
+    _.each(prices, function(p, i) {
+      rsi.update({ close: p });
+      expect(rsi.rsi).to.equal(verified_rsi12results[i]);
+    });
+  });
+
+  it('should correctly calculate RSI with period 26', function() {
+    var rsi = new RSI({ interval: 26 });
+    _.each(prices, function(p, i) {
+      rsi.update({ close: p });
+      expect(rsi.rsi).to.equal(verified_rsi26results[i]);
+    });
+  });
+});