Rsi and Rsx

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;
+
+
+    }
+}