Module: RelativeStrengthIndex

Included in:
Array
Defined in:
lib/ruby-technical-analysis/indicators/relative_strength_index.rb

Overview

Relative Momentum Index indicator Returns a single value

Instance Method Summary collapse

Instance Method Details

#rsi(period) ⇒ Object 



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# File 'lib/ruby-technical-analysis/indicators/relative_strength_index.rb', line 8

def rsi(period)
  if size < (period + 1)
    raise ArgumentError,
          "Closes array passed to Relative Strength Index cannot be less than the period + 1 argument."
  end

  rsi = []
  wilders_is_set = false
  smooth_up = []
  smooth_down = []

  smooth_coef_one = (1.0 / period).round(4)
  smooth_coef_two = (1 - smooth_coef_one)

  (0..(size - period - 1)).each do |k|
    cla = self[k..k + period]

    up_ch = []
    down_ch = []

    (1..period).each do |i|
      cur_close = cla[i]
      prev_close = cla[i - 1]
      close_diff = cur_close - prev_close

      if close_diff > 0.00
        up_ch << close_diff
        down_ch << 0.00
      elsif close_diff < 0.00
        up_ch << 0.00
        down_ch << close_diff.abs
      else
        up_ch << 0.00
        down_ch << 0.00
      end
    end

    if wilders_is_set
      smooth_up << (smooth_coef_one * up_ch[-1] + smooth_coef_two * smooth_up[-1]).round(4)
      smooth_down << (smooth_coef_one * down_ch[-1] + smooth_coef_two * smooth_down[-1]).round(4)
    else
      smooth_up << up_ch.last(period).wilders_smoothing(period)
      smooth_down << down_ch.last(period).wilders_smoothing(period)
      wilders_is_set = true
    end

    rsi << (100.00 - (100.00 / ((smooth_up[-1].to_f / smooth_down[-1]) + 1))).round(4)
  end

  rsi[-1]
end