Implement Stochastic RSI Indicator

Author: tsubus

indicator_stochastic_rsi.go

@@ -0,0 +1,67 @@
+package techan
+
+import (
+	"math"
+
+	"github.com/sdcoffey/big"
+)
+
+type stochasticRSIIndicator struct {
+	curRSI Indicator
+	minRSI Indicator
+	maxRSI Indicator
+}
+
+// NewStochasticRSIIndicator returns a derivative Indicator which returns the stochastic RSI indicator for the given
+// RSI window.
+// https://www.investopedia.com/terms/s/stochrsi.asp
+func NewStochasticRSIIndicator(indicator Indicator, timeframe int) Indicator {
+	rsiIndicator := NewRelativeStrengthIndexIndicator(indicator, timeframe)
+	return stochasticRSIIndicator{
+		curRSI: rsiIndicator,
+		minRSI: NewMinimumValueIndicator(rsiIndicator, timeframe),
+		maxRSI: NewMaximumValueIndicator(rsiIndicator, timeframe),
+	}
+}
+
+func (sri stochasticRSIIndicator) Calculate(index int) big.Decimal {
+	curRSI := sri.curRSI.Calculate(index)
+	minRSI := sri.minRSI.Calculate(index)
+	maxRSI := sri.maxRSI.Calculate(index)
+
+	if minRSI.EQ(maxRSI) {
+		return big.NewDecimal(math.Inf(1))
+	}
+
+	return curRSI.Sub(minRSI).Div(maxRSI.Sub(minRSI)).Mul(big.NewDecimal(100))
+}
+
+type rsiKIndicator struct {
+	stochasticRSI Indicator
+	window        int
+}
+
+// NewFastStochasticRSIIndicator returns a derivative Indicator which returns the fast stochastic RSI indicator (%K)
+// for the given stochastic window.
+func NewFastStochasticRSIIndicator(stochasticRSI Indicator, timeframe int) Indicator {
+	return rsiKIndicator{stochasticRSI, timeframe}
+}
+
+func (k rsiKIndicator) Calculate(index int) big.Decimal {
+	return NewSimpleMovingAverage(k.stochasticRSI, k.window).Calculate(index)
+}
+
+type rsiDIndicator struct {
+	k      Indicator
+	window int
+}
+
+// NewSlowStochasticRSIIndicator returns a derivative Indicator which returns the slow stochastic RSI indicator (%D)
+// for the given stochastic window.
+func NewSlowStochasticRSIIndicator(k Indicator, timeframe int) Indicator {
+	return rsiDIndicator{k, timeframe}
+}
+
+func (d rsiDIndicator) Calculate(index int) big.Decimal {
+	return NewSimpleMovingAverage(d.k, d.window).Calculate(index)
+}

indicator_stochastic_rsi_test.go

@@ -0,0 +1,80 @@
+package techan
+
+import (
+	"math"
+	"testing"
+
+	"github.com/sdcoffey/big"
+	"github.com/stretchr/testify/assert"
+)
+
+func TestStochasticRSIIndicator(t *testing.T) {
+	indicator := NewStochasticRSIIndicator(NewClosePriceIndicator(mockedTimeSeries), 5)
+
+	expectedValues := []float64{
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		100,
+		95.9481,
+		54.5245,
+		93.1791,
+		0,
+		21.6754,
+	}
+
+	indicatorEquals(t, expectedValues, indicator)
+}
+
+func TestFastStochasticRSIIndicator(t *testing.T) {
+	indicator := NewFastStochasticRSIIndicator(NewStochasticRSIIndicator(NewClosePriceIndicator(mockedTimeSeries),
+		5), 3)
+
+	expectedValues := []float64{
+		0,
+		0,
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		83.4909,
+		81.2173,
+		49.2346,
+		38.2848,
+	}
+
+	indicatorEquals(t, expectedValues, indicator)
+}
+
+func TestSlowStochasticRSIIndicator(t *testing.T) {
+	indicator := NewSlowStochasticRSIIndicator(NewFastStochasticRSIIndicator(NewStochasticRSIIndicator(
+		NewClosePriceIndicator(mockedTimeSeries), 5), 3), 3)
+
+	expectedValues := []float64{
+		0,
+		0,
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		math.Inf(1),
+		71.3142,
+		56.2456,
+	}
+
+	indicatorEquals(t, expectedValues, indicator)
+}
+
+func TestFastStochasticRSIIndicatorNoPriceChange(t *testing.T) {
+	close := NewClosePriceIndicator(mockTimeSeries("42.0", "42.0"))
+	rsInd := NewRelativeStrengthIndicator(close, 2)
+	assert.Equal(t, big.NewDecimal(math.Inf(1)).FormattedString(2), rsInd.Calculate(1).FormattedString(2))
+}