mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-02 03:37:42 +00:00
Miha Kralj
98 lines
3.7 KiB
C#
98 lines
3.7 KiB
C#
using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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/// CRSI: Connor RSI
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/// A momentum oscillator that combines three different RSI time periods to provide
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/// a more comprehensive view of price momentum. It helps identify overbought and
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/// oversold conditions with higher accuracy than traditional RSI.
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/// </summary>
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/// <remarks>
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/// The CRSI calculation process:
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/// 1. Calculate three RSIs with different periods (3,2,1)
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/// 2. Sum the three RSI values
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/// 3. Divide by 3 to get the average
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///
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/// Key characteristics:
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/// - Oscillates between 0 and 100
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/// - More responsive than traditional RSI
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/// - Combines multiple timeframes
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/// - Traditional overbought level at 90
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/// - Traditional oversold level at 10
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///
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/// Formula:
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/// CRSI = (RSI(3) + RSI(2) + RSI(1)) / 3
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/// where each RSI is calculated using standard RSI formula:
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/// RSI = 100 - (100 / (1 + RS))
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/// RS = Average Gain / Average Loss
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///
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/// Sources:
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/// Larry Connors - "Short-term Trading Strategies That Work"
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/// https://www.tradingview.com/script/cYk1LVpw-Connors-RSI-LazyBear/
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///
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/// Note: Default periods are 3,2,1 as recommended by Connors
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Crsi : AbstractBase
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{
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private readonly Rsi _rsi3;
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private readonly Rsi _rsi2;
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private readonly Rsi _rsi1;
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private const int DefaultPeriod1 = 3;
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private const int DefaultPeriod2 = 2;
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private const int DefaultPeriod3 = 1;
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/// <param name="period1">The first RSI period (default 3).</param>
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/// <param name="period2">The second RSI period (default 2).</param>
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/// <param name="period3">The third RSI period (default 1).</param>
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/// <exception cref="ArgumentOutOfRangeException">Thrown when any period is less than 1.</exception>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public Crsi(int period1 = DefaultPeriod1, int period2 = DefaultPeriod2, int period3 = DefaultPeriod3)
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{
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if (period1 < 1)
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throw new ArgumentOutOfRangeException(nameof(period1), "Period1 must be greater than 0");
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if (period2 < 1)
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throw new ArgumentOutOfRangeException(nameof(period2), "Period2 must be greater than 0");
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if (period3 < 1)
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throw new ArgumentOutOfRangeException(nameof(period3), "Period3 must be greater than 0");
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_rsi3 = new(period1);
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_rsi2 = new(period2);
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_rsi1 = new(period3);
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WarmupPeriod = Math.Max(Math.Max(period1, period2), period3) + 1;
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Name = $"CRSI({period1},{period2},{period3})";
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}
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/// <param name="source">The data source object that publishes updates.</param>
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/// <param name="period1">The first RSI period.</param>
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/// <param name="period2">The second RSI period.</param>
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/// <param name="period3">The third RSI period.</param>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public Crsi(object source, int period1 = DefaultPeriod1, int period2 = DefaultPeriod2, int period3 = DefaultPeriod3)
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: this(period1, period2, period3)
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{
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void ManageState(bool isNew)
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{
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if (isNew) _index++;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
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protected override double Calculation()
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{
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ManageState(Input.IsNew);
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// Calculate individual RSIs
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double rsi3 = _rsi3.Calc(Input);
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double rsi2 = _rsi2.Calc(Input);
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double rsi1 = _rsi1.Calc(Input);
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// Average the three RSIs
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return (rsi3 + rsi2 + rsi1) / 3.0;
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}
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}
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