nautilus_indicators/momentum/
rsi.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::fmt::{Debug, Display};
17
18use nautilus_model::{
19    data::{Bar, QuoteTick, TradeTick},
20    enums::PriceType,
21};
22
23use crate::{
24    average::{MovingAverageFactory, MovingAverageType},
25    indicator::{Indicator, MovingAverage},
26};
27
28/// An indicator which calculates a relative strength index (RSI) across a rolling window.
29#[repr(C)]
30#[derive(Debug)]
31#[cfg_attr(
32    feature = "python",
33    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators", unsendable)
34)]
35pub struct RelativeStrengthIndex {
36    pub period: usize,
37    pub ma_type: MovingAverageType,
38    pub value: f64,
39    pub count: usize,
40    pub initialized: bool,
41    has_inputs: bool,
42    last_value: f64,
43    average_gain: Box<dyn MovingAverage + Send + 'static>,
44    average_loss: Box<dyn MovingAverage + Send + 'static>,
45    rsi_max: f64,
46}
47
48impl Display for RelativeStrengthIndex {
49    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
50        write!(f, "{}({},{})", self.name(), self.period, self.ma_type)
51    }
52}
53
54impl Indicator for RelativeStrengthIndex {
55    fn name(&self) -> String {
56        stringify!(RelativeStrengthIndex).to_string()
57    }
58
59    fn has_inputs(&self) -> bool {
60        self.has_inputs
61    }
62
63    fn initialized(&self) -> bool {
64        self.initialized
65    }
66
67    fn handle_quote(&mut self, quote: &QuoteTick) {
68        self.update_raw(quote.extract_price(PriceType::Mid).into());
69    }
70
71    fn handle_trade(&mut self, trade: &TradeTick) {
72        self.update_raw((trade.price).into());
73    }
74
75    fn handle_bar(&mut self, bar: &Bar) {
76        self.update_raw((&bar.close).into());
77    }
78
79    fn reset(&mut self) {
80        self.value = 0.0;
81        self.last_value = 0.0;
82        self.count = 0;
83        self.has_inputs = false;
84        self.initialized = false;
85        self.average_gain.reset();
86        self.average_loss.reset();
87    }
88}
89
90impl RelativeStrengthIndex {
91    /// Creates a new [`RelativeStrengthIndex`] instance.
92    #[must_use]
93    pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
94        Self {
95            period,
96            ma_type: ma_type.unwrap_or(MovingAverageType::Exponential),
97            value: 0.0,
98            last_value: 0.0,
99            count: 0,
100            has_inputs: false,
101            average_gain: MovingAverageFactory::create(MovingAverageType::Exponential, period),
102            average_loss: MovingAverageFactory::create(MovingAverageType::Exponential, period),
103            rsi_max: 1.0,
104            initialized: false,
105        }
106    }
107
108    pub fn update_raw(&mut self, value: f64) {
109        if !self.has_inputs {
110            self.last_value = value;
111            self.has_inputs = true;
112        }
113        let gain = value - self.last_value;
114        if gain > 0.0 {
115            self.average_gain.update_raw(gain);
116            self.average_loss.update_raw(0.0);
117        } else if gain < 0.0 {
118            self.average_loss.update_raw(-gain);
119            self.average_gain.update_raw(0.0);
120        } else {
121            self.average_loss.update_raw(0.0);
122            self.average_gain.update_raw(0.0);
123        }
124        self.count = self.average_gain.count();
125        if !self.initialized && self.average_loss.initialized() && self.average_gain.initialized() {
126            self.initialized = true;
127        }
128
129        if self.average_loss.value() == 0.0 {
130            self.value = self.rsi_max;
131            return;
132        }
133
134        let rs = self.average_gain.value() / self.average_loss.value();
135        self.value = self.rsi_max - (self.rsi_max / (1.0 + rs));
136        self.last_value = value;
137
138        if !self.initialized && self.count >= self.period {
139            self.initialized = true;
140        }
141    }
142}
143
144#[cfg(test)]
145mod tests {
146    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
147    use rstest::rstest;
148
149    use crate::{indicator::Indicator, momentum::rsi::RelativeStrengthIndex, stubs::*};
150
151    #[rstest]
152    fn test_rsi_initialized(rsi_10: RelativeStrengthIndex) {
153        let display_str = format!("{rsi_10}");
154        assert_eq!(display_str, "RelativeStrengthIndex(10,EXPONENTIAL)");
155        assert_eq!(rsi_10.period, 10);
156        assert!(!rsi_10.initialized);
157    }
158
159    #[rstest]
160    fn test_initialized_with_required_inputs_returns_true(mut rsi_10: RelativeStrengthIndex) {
161        for i in 0..12 {
162            rsi_10.update_raw(f64::from(i));
163        }
164        assert!(rsi_10.initialized);
165    }
166
167    #[rstest]
168    fn test_value_with_one_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
169        rsi_10.update_raw(1.0);
170        assert_eq!(rsi_10.value, 1.0);
171    }
172
173    #[rstest]
174    fn test_value_all_higher_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
175        for i in 1..4 {
176            rsi_10.update_raw(f64::from(i));
177        }
178        assert_eq!(rsi_10.value, 1.0);
179    }
180
181    #[rstest]
182    fn test_value_with_all_lower_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
183        for i in (1..4).rev() {
184            rsi_10.update_raw(f64::from(i));
185        }
186        assert_eq!(rsi_10.value, 0.0);
187    }
188
189    #[rstest]
190    fn test_value_with_various_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
191        rsi_10.update_raw(3.0);
192        rsi_10.update_raw(2.0);
193        rsi_10.update_raw(5.0);
194        rsi_10.update_raw(6.0);
195        rsi_10.update_raw(7.0);
196        rsi_10.update_raw(6.0);
197
198        assert_eq!(rsi_10.value, 0.683_736_332_582_526_5);
199    }
200
201    #[rstest]
202    fn test_value_at_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
203        rsi_10.update_raw(3.0);
204        rsi_10.update_raw(2.0);
205        rsi_10.update_raw(5.0);
206        rsi_10.update_raw(6.0);
207        rsi_10.update_raw(7.0);
208        rsi_10.update_raw(6.0);
209        rsi_10.update_raw(6.0);
210        rsi_10.update_raw(7.0);
211
212        assert_eq!(rsi_10.value, 0.761_534_466_766_272_5);
213    }
214
215    #[rstest]
216    fn test_reset(mut rsi_10: RelativeStrengthIndex) {
217        rsi_10.update_raw(1.0);
218        rsi_10.update_raw(2.0);
219        rsi_10.reset();
220        assert!(!rsi_10.initialized());
221        assert_eq!(rsi_10.count, 0);
222    }
223
224    #[rstest]
225    fn test_reset_resets_inner_mas(mut rsi_10: RelativeStrengthIndex) {
226        rsi_10.update_raw(1.0);
227        rsi_10.update_raw(2.0);
228        rsi_10.reset();
229        assert_eq!(rsi_10.average_gain.count(), 0);
230        assert_eq!(rsi_10.average_loss.count(), 0);
231    }
232
233    #[rstest]
234    fn test_handle_quote_tick(mut rsi_10: RelativeStrengthIndex, stub_quote: QuoteTick) {
235        rsi_10.handle_quote(&stub_quote);
236        assert_eq!(rsi_10.count, 1);
237        assert_eq!(rsi_10.value, 1.0);
238    }
239
240    #[rstest]
241    fn test_handle_trade_tick(mut rsi_10: RelativeStrengthIndex, stub_trade: TradeTick) {
242        rsi_10.handle_trade(&stub_trade);
243        assert_eq!(rsi_10.count, 1);
244        assert_eq!(rsi_10.value, 1.0);
245    }
246
247    #[rstest]
248    fn test_handle_bar(mut rsi_10: RelativeStrengthIndex, bar_ethusdt_binance_minute_bid: Bar) {
249        rsi_10.handle_bar(&bar_ethusdt_binance_minute_bid);
250        assert_eq!(rsi_10.count, 1);
251        assert_eq!(rsi_10.value, 1.0);
252    }
253
254    #[rstest]
255    fn test_constant_inputs_initializes_and_value_max(mut rsi_10: RelativeStrengthIndex) {
256        for _ in 0..12 {
257            rsi_10.update_raw(5.0);
258        }
259        assert!(rsi_10.initialized);
260        assert_eq!(rsi_10.value, 1.0);
261    }
262
263    #[rstest]
264    fn test_reset_resets_has_inputs_and_value(mut rsi_10: RelativeStrengthIndex) {
265        rsi_10.update_raw(1.0);
266        rsi_10.reset();
267        assert!(!rsi_10.has_inputs());
268        assert_eq!(rsi_10.value, 0.0);
269    }
270}
nautilus_indicators/momentum/rsi.rs

nautilus_indicators/momentum/
rsi.rs
