Rsi and Rsx

docs/indicators/indicators.md

@@ -23,7 +23,7 @@
 |KEL - Keltner Channels||GetKeltner|||
 |NATR - Normalized Average True Range||GetAtr|||
 |CHN - Price Channel Indicator|||||
-|RSI - Relative Strength Index||GetRsi|||
+|RSI - Relative Strength Index|`Rsi`|GetRsi|||
 |SAR - Parabolic Stop and Reverse||GetParabolicSar|||
 |SRSI - Stochastic RSI||GetStochRsi|||
 |STARC - Starc Bands||GetStarcBands|||

lib/averages/Jma.cs

@@ -32,7 +32,7 @@ public class Jma : AbstractBase
     /// <exception cref="ArgumentOutOfRangeException">
     /// Thrown when period is less than 1.
     /// </exception>
-    public Jma(int period, int phase = 0, double factor = 0.45)
+    public Jma(int period, int phase = 0, double factor = 0.45, int buffer = 10)
     {
         if (period < 1)
         {
@@ -42,7 +42,7 @@ public class Jma : AbstractBase
         _period = period;
         _phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
 
-        _vsumBuff = new CircularBuffer(10);
+        _vsumBuff = new CircularBuffer(buffer);
         _avoltyBuff = new CircularBuffer(65);
         _beta = factor * (_period - 1) / (factor * (_period - 1) + 2);
 
@@ -56,7 +56,7 @@ public class Jma : AbstractBase
     /// <param name="source">The source object to subscribe to for value updates.</param>
     /// <param name="period">The period over which to calculate the Jvolty.</param>
     /// <param name="phase">The phase parameter for the JMA-style calculation.</param>
-    public Jma(object source, int period, int phase = 0) : this(period, phase)
+    public Jma(object source, int period, int phase = 0, double factor = 0.45, int buffer = 10) : this(period, phase, factor, buffer)
     {
         var pubEvent = source.GetType().GetEvent("Pub");
         pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
@@ -148,7 +148,7 @@ public class Jma : AbstractBase
         _prevDet0 = det0;
         double ma2 = ma1 + _phase * det0;
 
-        double det1 = ((ma2 - _prevJma) * (1 - _alpha) * (1 - _alpha) ) + (_alpha * _alpha * _prevDet1);
+        double det1 = ((ma2 - _prevJma) * (1 - _alpha) * (1 - _alpha)) + (_alpha * _alpha * _prevDet1);
         _prevDet1 = det1;
         double jma = _prevJma + det1;
         _prevJma = jma;

lib/volatility/Rsi.cs

@@ -0,0 +1,62 @@
+using System;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// Represents a Relative Strength Index (RSI) calculator following Wilder's algorithm.
+/// </summary>
+public class Rsi : AbstractBase
+{
+    private readonly Rma _avgGain;
+    private readonly Rma _avgLoss;
+    private double _prevValue, _p_prevValue;
+
+    public Rsi(int period = 14)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+        _avgGain = new(period, useSma: true);
+        _avgLoss = new(period, useSma: true);
+        _index = 0;
+        WarmupPeriod = period + 1;
+        Name = $"RSI({period})";
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _index++;
+            _p_prevValue = _prevValue;
+        }
+        else
+        {
+            _prevValue = _p_prevValue;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        if (_index == 1)
+        {
+            _prevValue = Input.Value;
+        }
+
+        double change = Input.Value - _prevValue;
+        double gain = Math.Max(change, 0);
+        double loss = Math.Max(-change, 0);
+        _prevValue = Input.Value;
+
+        _avgGain.Calc(gain, IsNew: Input.IsNew);
+        _avgLoss.Calc(loss, IsNew: Input.IsNew);
+
+        double rsi = (_avgLoss.Value > 0) ? 100 - (100 / (1 + (_avgGain.Value / _avgLoss.Value))) : 100;
+        
+
+        return rsi;
+
+
+    }
+}

lib/volatility/Rsx.cs

@@ -0,0 +1,64 @@
+using System;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// Jurik's superior replacement for RSI
+/// </summary>
+public class Rsx : AbstractBase
+{
+    private readonly Rma _avgGain;
+    private readonly Rma _avgLoss;
+    private readonly Jma _rsx;
+    private double _prevValue, _p_prevValue;
+
+    public Rsx(int period = 14, int phase = 0, double factor = 0.55)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+        _avgGain = new(period);
+        _avgLoss = new(period);
+        _rsx = new(8, 100, 0.25, 3);
+        _index = 0;
+        WarmupPeriod = period + 1;
+        Name = $"RSX({period})";
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _index++;
+            _p_prevValue = _prevValue;
+        }
+        else
+        {
+            _prevValue = _p_prevValue;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        if (_index == 1)
+        {
+            _prevValue = Input.Value;
+        }
+
+        double change = Input.Value - _prevValue;
+        double gain = Math.Max(change, 0);
+        double loss = Math.Max(-change, 0);
+        _prevValue = Input.Value;
+
+        _avgGain.Calc(gain, IsNew: Input.IsNew);
+        _avgLoss.Calc(loss, IsNew: Input.IsNew);
+
+        double rsi = (_avgLoss.Value > 0) ? 100 - (100 / (1 + (_avgGain.Value / _avgLoss.Value))) : 100;
+        double rsx = _rsx.Calc(rsi, Input.IsNew);
+
+        return rsx;
+
+
+    }
+}

quantower/Averages/MacdIndicator.cs

@@ -62,7 +62,7 @@ public class MacdIndicator : Indicator, IWatchlistIndicator
         SignalSeries = new(name: $"SIGNAL", color: Color.Yellow, width: 2, style: LineStyle.Solid);
         HistogramSeries = new(name: $"HISTOGRAM", color: Color.White, width: 2, style: LineStyle.Solid);
         HistSlopeSeries = new(name: $"SLOPE", color: Color.Transparent, width: 2, style: LineStyle.Solid);
-
+        HistSlopeSeries.Visible = false;
 
         AddLineSeries(MainSeries);
         AddLineSeries(SignalSeries);
@@ -119,7 +119,7 @@ public class MacdIndicator : Indicator, IWatchlistIndicator
         for (int i = rightIndex; i < leftIndex; i++)
         {
             int barX = (int)converter.GetChartX(this.HistoricalData.Time(i));
-            int barY = (int)converter.GetChartY(HistogramSeries![i]);
+            int barY = (int)converter.GetChartY(HistogramSeries![i]*2.0);
             int barY0 = (int)converter.GetChartY(0);
             int HistBarWidth = this.CurrentChart.BarsWidth - 2;
 

quantower/Volatility/RsiIndicator.cs

@@ -0,0 +1,67 @@
+using System.Drawing;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+public class RsiIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Periods", sortIndex: 1, 1, 2000, 1, 0)]
+    public int Periods { get; set; } = 14;
+
+    [InputParameter("Data source", sortIndex: 5, variants: [
+        "Open", SourceType.Open,
+        "High", SourceType.High,
+        "Low", SourceType.Low,
+        "Close", SourceType.Close,
+        "HL/2 (Median)", SourceType.HL2,
+        "OC/2 (Midpoint)", SourceType.OC2,
+        "OHL/3 (Mean)", SourceType.OHL3,
+        "HLC/3 (Typical)", SourceType.HLC3,
+        "OHLC/4 (Average)", SourceType.OHLC4,
+        "HLCC/4 (Weighted)", SourceType.HLCC4
+    ])]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Rsi? rsi;
+    protected string? SourceName;
+    protected LineSeries? RsiSeries;
+    public int MinHistoryDepths => Periods + 1;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public RsiIndicator()
+    {
+        Name = "RSI - Relative Strength Index";
+        Description = "Measures the speed and magnitude of recent price changes to evaluate overbought or oversold conditions.";
+        SeparateWindow = true;
+        SourceName = Source.ToString();
+        RsiSeries = new($"RSI {Periods}", Color.Blue, 2, LineStyle.Solid);
+        AddLineSeries(RsiSeries);
+    }
+
+    protected override void OnInit()
+    {
+        rsi = new Rsi(Periods);
+        base.OnInit();
+    }
+
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        TValue input = this.GetInputValue(args, Source);
+        rsi!.Calc(input);
+
+        RsiSeries!.SetValue(rsi.Value);
+        RsiSeries!.SetMarker(0, Color.Transparent);
+    }
+
+    public override string ShortName => $"RSI ({Periods}:{SourceName})";
+
+#pragma warning disable CA1416 // Validate platform compatibility
+    public override void OnPaintChart(PaintChartEventArgs args)
+    {
+        base.OnPaintChart(args);
+        this.PaintSmoothCurve(args, RsiSeries!, rsi!.WarmupPeriod, showColdValues: ShowColdValues, tension: 0.2);
+    }
+}

quantower/Volatility/RsxIndicator.cs

@@ -0,0 +1,67 @@
+using System.Drawing;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+public class RsxIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Rsi Period", sortIndex: 1, 1, 2000, 1, 0)]
+    public int Period { get; set; } = 14;
+
+    [InputParameter("Data source", sortIndex: 5, variants: [
+        "Open", SourceType.Open,
+        "High", SourceType.High,
+        "Low", SourceType.Low,
+        "Close", SourceType.Close,
+        "HL/2 (Median)", SourceType.HL2,
+        "OC/2 (Midpoint)", SourceType.OC2,
+        "OHL/3 (Mean)", SourceType.OHL3,
+        "HLC/3 (Typical)", SourceType.HLC3,
+        "OHLC/4 (Average)", SourceType.OHLC4,
+        "HLCC/4 (Weighted)", SourceType.HLCC4
+    ])]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Rsx? rsx;
+    protected string? SourceName;
+    protected LineSeries? RsxSeries;
+    public int MinHistoryDepths => Period + 1;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public RsxIndicator()
+    {
+        Name = "RSX - Jurik Trend Strengt Index";
+        Description = "Measures the speed and magnitude of recent price changes to evaluate overbought or oversold conditions.";
+        SeparateWindow = true;
+        SourceName = Source.ToString();
+        RsxSeries = new($"RSX {Period}", Color.Blue, 2, LineStyle.Solid);
+        AddLineSeries(RsxSeries);
+    }
+
+    protected override void OnInit()
+    {
+        rsx = new(Period);
+        base.OnInit();
+    }
+
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        TValue input = this.GetInputValue(args, Source);
+        rsx!.Calc(input);
+
+        RsxSeries!.SetValue(rsx.Value);
+        RsxSeries!.SetMarker(0, Color.Transparent);
+    }
+
+    public override string ShortName => $"RSX ({Period}:{SourceName})";
+
+#pragma warning disable CA1416 // Validate platform compatibility
+    public override void OnPaintChart(PaintChartEventArgs args)
+    {
+        base.OnPaintChart(args);
+        this.PaintSmoothCurve(args, RsxSeries!, rsx!.WarmupPeriod, showColdValues: ShowColdValues, tension: 0.2);
+    }
+}