feat: Add Relative Strength Index (RSI)

README.md

@@ -9,6 +9,7 @@ Provide a TypeScript implementation for common technical indicators with arbitra
 ## Supported Indicators
 
 - Exponential Moving Average (EMA)
+- Relative Strength Index (RSI)
 - Simple Moving Average (SMA)
 - Smoothed Moving Average (SMMA)
 

nyc.config.coverage.js

@@ -1,9 +1,10 @@
 const defaultConfig = require('./nyc.config');
 
 module.exports = Object.assign({}, defaultConfig, {
+  'check-coverage': true,
+  'skip-full': true,
   all: true,
   branches: 100,
-  'check-coverage': true,
   functions: 100,
   lines: 100,
   reporter: ['html'],

package.json

@@ -37,14 +37,15 @@
   "homepage": "https://documentup.com/bennyn/trading-signals",
   "keywords": [
     "ema",
-    "smma",
-    "trading",
-    "trading-signals",
     "exponential-moving-average",
     "moving-average",
+    "rsi",
     "simple-moving-average",
     "sma",
+    "smma",
     "technical-analysis",
+    "trading",
+    "trading-signals",
     "trading-signals"
   ],
   "license": "UNLICENSED",

src/RSI/RSI.test.ts

@@ -0,0 +1,47 @@
+import {Big as BigNumber} from 'big.js';
+import {RSI} from './RSI';
+
+import prices from '../test/fixtures/prices.json';
+import results from '../test/fixtures/RSI/results.json';
+
+const rsi2results = results.interval_2;
+const rsi12results = results.interval_12;
+const rsi26results = results.interval_26;
+
+describe('RSI', () => {
+  describe('getResult', () => {
+    it('calculates RSI with interval 2', () => {
+      const rsi = new RSI(2);
+      prices.forEach((price, index) => {
+        rsi.update(price);
+        const res = new BigNumber(rsi2results[index]);
+        expect(rsi.getResult().toPrecision(12)).toEqual(res.toPrecision(12));
+      });
+    });
+
+    it('calculates RSI with interval 12', () => {
+      const rsi = new RSI(12);
+      prices.forEach((price, index) => {
+        rsi.update(price);
+        const res = new BigNumber(rsi12results[index]);
+        expect(rsi.getResult().toPrecision(12)).toEqual(res.toPrecision(12));
+      });
+    });
+
+    it('calculates RSI with interval 26', () => {
+      const rsi = new RSI(26);
+      prices.forEach((price, index) => {
+        rsi.update(price);
+        const res = new BigNumber(rsi26results[index]);
+        expect(rsi.getResult().toPrecision(12)).toEqual(res.toPrecision(12));
+      });
+    });
+
+    it('prevents division by zero errors when the average gain and average loss equal 0', () => {
+      const rsi = new RSI(1);
+      rsi.update(0);
+      rsi.update(0);
+      expect(rsi.getResult().toFixed(0)).toBe('99');
+    });
+  });
+});

src/RSI/RSI.ts

@@ -0,0 +1,60 @@
+import Big, {BigSource} from 'big.js';
+import {SMMA} from '..';
+
+export class RSI {
+  private readonly interval: number;
+  private readonly prices: Big[] = [];
+  private result: Big;
+
+  private readonly avgGain: SMMA;
+  private readonly avgLoss: SMMA;
+
+  constructor(interval: number) {
+    this.interval = interval;
+
+    this.avgGain = new SMMA(this.interval);
+    this.avgLoss = new SMMA(this.interval);
+
+    this.result = new Big(0);
+  }
+
+  update(price: BigSource): void {
+    const currentClose = new Big(price);
+    this.prices.push(currentClose);
+
+    // at least 2 prices are required to do a calculation
+    if (this.prices.length === 1) {
+      return;
+    }
+
+    const lastClose = this.prices[this.prices.length - 2];
+
+    // Update average gain/loss
+    if (currentClose.gt(lastClose)) {
+      this.avgLoss.update(new Big(0)); // price went up, therefore no loss
+      this.avgGain.update(currentClose.sub(lastClose));
+    } else {
+      this.avgLoss.update(lastClose.sub(currentClose));
+      this.avgGain.update(new Big(0)); // price went down, therefore no gain
+    }
+
+    // as long as there are not enough values as the required interval, the result should always be 0
+    if (this.prices.length <= this.interval) {
+      this.result = new Big(0);
+      return;
+    }
+
+    const relativeStrength = this.avgLoss.getResult().eq(new Big(0))
+      ? new Big(100)
+      : this.avgGain.getResult().div(this.avgLoss.getResult());
+
+    const max = new Big(100);
+    this.result = max.minus(max.div(relativeStrength.add(1)));
+
+    this.prices.shift();
+  }
+
+  getResult(): Big {
+    return this.result;
+  }
+}

src/index.ts

@@ -1,3 +1,4 @@
 export * from './EMA/EMA';
+export * from './RSI/RSI';
 export * from './SMA/SMA';
 export * from './SMMA/SMMA';

src/test/fixtures/RSI/results.json

@@ -0,0 +1,125 @@
+{
+  "interval_2": [
+    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
+  ],
+  "interval_12": [
+    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
+  ],
+  "interval_26": [
+    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
+  ]
+}