QuanTAlib/Source/Volatility/RSI_Series.cs

namespace QuanTAlib;
using System;

/* <summary>
RSI: Relative Strength Index
    Created by J. Welles Wilder, the Relative Strength Index measures strength
    of the winning/losing streak over N lookback periods on a scale of 0 to 100,
    to depict overbought and oversold conditions.

Sources:
    https://www.investopedia.com/terms/r/rsi.asp

</summary> */

public class RSI_Series : Single_TSeries_Indicator
{
    private readonly System.Collections.Generic.List<double> _gain = new();
    private readonly System.Collections.Generic.List<double> _loss = new();
    private double _avgGain, _avgLoss, _lastValue;
    private double _avgGain_o, _avgLoss_o, _lastValue_o;
    private int i;

    public RSI_Series(TSeries source, int period = 10, bool useNaN = false) : base(source, period: period, useNaN: useNaN) {
        i = 0;
        if (source.Count > 0) { base.Add(source); }
    }

    public override void Add((System.DateTime t, double v) TValue, bool update) {
        double _rsi = 0;
        if (update) {
            _lastValue = _lastValue_o;
            _avgGain = _avgGain_o;
            _avgLoss = _avgLoss_o;
        }
        else {
            _lastValue_o = _lastValue;
            _avgGain_o = _avgGain;
            _avgLoss_o = _avgLoss;
        }

        if (i == 0) { _lastValue = TValue.v; }

        double _gainval = (TValue.v > _lastValue) ? TValue.v - _lastValue : 0;
        Add_Replace_Trim(_gain, _gainval, _p, update);
        double _lossval = (TValue.v < _lastValue) ? _lastValue - TValue.v : 0;
        Add_Replace_Trim(_loss, _lossval, _p, update);
        _lastValue = TValue.v;

        // calculate RSI
        if (i > _p)
        {
            _avgGain = ((_avgGain * (_p - 1)) + _gain[_gain.Count - 1]) / _p;
            _avgLoss = ((_avgLoss * (_p - 1)) + _loss[_loss.Count - 1]) / _p;
            if (_avgLoss > 0) {
                double rs = _avgGain / _avgLoss;
                _rsi = 100 - (100 / (1 + rs));
            }
            else { _rsi = 100; }
        }
        // initialize average gain
        else
        {
            double _sumGain = 0;
            for (int p = 0; p < _gain.Count; p++) { _sumGain += _gain[p]; }
            double _sumLoss = 0;
            for (int p = 0; p < _loss.Count; p++) { _sumLoss += _loss[p]; }

            _avgGain = _sumGain / _gain.Count;
            _avgLoss = _sumLoss / _loss.Count;

            _rsi = (_avgLoss > 0) ? 100 - (100 / (1 + (_avgGain / _avgLoss))) : 100;
        }

        if (!update) { i++; }
        var result = (TValue.t, (this.Count < this._p && this._NaN) ? double.NaN : _rsi);
        base.Add(result, update);
    }
}