nautilus_indicators/momentum/
rsi.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 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.indicators", unsendable)
34)]
35#[cfg_attr(
36    feature = "python",
37    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
38)]
39pub struct RelativeStrengthIndex {
40    pub period: usize,
41    pub ma_type: MovingAverageType,
42    pub value: f64,
43    pub count: usize,
44    pub initialized: bool,
45    has_inputs: bool,
46    last_value: f64,
47    average_gain: Box<dyn MovingAverage + Send + 'static>,
48    average_loss: Box<dyn MovingAverage + Send + 'static>,
49    rsi_max: f64,
50}
51
52impl Display for RelativeStrengthIndex {
53    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
54        write!(f, "{}({},{})", self.name(), self.period, self.ma_type)
55    }
56}
57
58impl Indicator for RelativeStrengthIndex {
59    fn name(&self) -> String {
60        stringify!(RelativeStrengthIndex).to_string()
61    }
62
63    fn has_inputs(&self) -> bool {
64        self.has_inputs
65    }
66
67    fn initialized(&self) -> bool {
68        self.initialized
69    }
70
71    fn handle_quote(&mut self, quote: &QuoteTick) -> anyhow::Result<()> {
72        self.update_raw(quote.extract_price(PriceType::Mid)?.into());
73        Ok(())
74    }
75
76    fn handle_trade(&mut self, trade: &TradeTick) {
77        self.update_raw((trade.price).into());
78    }
79
80    fn handle_bar(&mut self, bar: &Bar) {
81        self.update_raw((&bar.close).into());
82    }
83
84    fn reset(&mut self) {
85        self.value = 0.0;
86        self.last_value = 0.0;
87        self.count = 0;
88        self.has_inputs = false;
89        self.initialized = false;
90        self.average_gain.reset();
91        self.average_loss.reset();
92    }
93}
94
95impl RelativeStrengthIndex {
96    /// Creates a new [`RelativeStrengthIndex`] instance.
97    #[must_use]
98    pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
99        let ma_type = ma_type.unwrap_or(MovingAverageType::Exponential);
100        Self {
101            period,
102            ma_type,
103            value: 0.0,
104            last_value: 0.0,
105            count: 0,
106            has_inputs: false,
107            average_gain: MovingAverageFactory::create(ma_type, period),
108            average_loss: MovingAverageFactory::create(ma_type, period),
109            rsi_max: 1.0,
110            initialized: false,
111        }
112    }
113
114    pub fn update_raw(&mut self, value: f64) {
115        if !self.has_inputs {
116            self.last_value = value;
117            self.has_inputs = true;
118        }
119        let gain = value - self.last_value;
120        if gain > 0.0 {
121            self.average_gain.update_raw(gain);
122            self.average_loss.update_raw(0.0);
123        } else if gain < 0.0 {
124            self.average_loss.update_raw(-gain);
125            self.average_gain.update_raw(0.0);
126        } else {
127            self.average_loss.update_raw(0.0);
128            self.average_gain.update_raw(0.0);
129        }
130        self.count = self.average_gain.count();
131        if !self.initialized && self.average_loss.initialized() && self.average_gain.initialized() {
132            self.initialized = true;
133        }
134
135        if self.average_loss.value() == 0.0 {
136            self.value = self.rsi_max;
137            self.last_value = value;
138            return;
139        }
140
141        let rs = self.average_gain.value() / self.average_loss.value();
142        self.value = self.rsi_max - (self.rsi_max / (1.0 + rs));
143        self.last_value = value;
144
145        if !self.initialized && self.count >= self.period {
146            self.initialized = true;
147        }
148    }
149}
150
151#[cfg(test)]
152mod tests {
153    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
154    use rstest::rstest;
155
156    use crate::{
157        average::MovingAverageType, indicator::Indicator, momentum::rsi::RelativeStrengthIndex,
158        stubs::*, testing::assert_approx_equal,
159    };
160
161    #[rstest]
162    fn test_rsi_initialized(rsi_10: RelativeStrengthIndex) {
163        let display_str = format!("{rsi_10}");
164        assert_eq!(display_str, "RelativeStrengthIndex(10,EXPONENTIAL)");
165        assert_eq!(rsi_10.period, 10);
166        assert!(!rsi_10.initialized);
167    }
168
169    #[rstest]
170    fn test_initialized_with_required_inputs_returns_true(mut rsi_10: RelativeStrengthIndex) {
171        for i in 0..12 {
172            rsi_10.update_raw(f64::from(i));
173        }
174        assert!(rsi_10.initialized);
175    }
176
177    #[rstest]
178    fn test_value_with_one_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
179        rsi_10.update_raw(1.0);
180        assert_eq!(rsi_10.value, 1.0);
181    }
182
183    #[rstest]
184    fn test_value_all_higher_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
185        for i in 1..4 {
186            rsi_10.update_raw(f64::from(i));
187        }
188        assert_eq!(rsi_10.value, 1.0);
189    }
190
191    #[rstest]
192    fn test_value_with_all_lower_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
193        for i in (1..4).rev() {
194            rsi_10.update_raw(f64::from(i));
195        }
196        assert_eq!(rsi_10.value, 0.0);
197    }
198
199    #[rstest]
200    fn test_value_with_various_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
201        rsi_10.update_raw(3.0);
202        rsi_10.update_raw(2.0);
203        rsi_10.update_raw(5.0);
204        rsi_10.update_raw(6.0);
205        rsi_10.update_raw(7.0);
206        rsi_10.update_raw(6.0);
207
208        assert_approx_equal(rsi_10.value, 0.683736332583);
209    }
210
211    #[rstest]
212    fn test_value_at_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
213        rsi_10.update_raw(3.0);
214        rsi_10.update_raw(2.0);
215        rsi_10.update_raw(5.0);
216        rsi_10.update_raw(6.0);
217        rsi_10.update_raw(7.0);
218        rsi_10.update_raw(6.0);
219        rsi_10.update_raw(6.0);
220        rsi_10.update_raw(7.0);
221
222        assert_approx_equal(rsi_10.value, 0.761534466766);
223    }
224
225    #[rstest]
226    fn test_reset(mut rsi_10: RelativeStrengthIndex) {
227        rsi_10.update_raw(1.0);
228        rsi_10.update_raw(2.0);
229        rsi_10.reset();
230        assert!(!rsi_10.initialized());
231        assert_eq!(rsi_10.count, 0);
232    }
233
234    #[rstest]
235    fn test_reset_resets_inner_mas(mut rsi_10: RelativeStrengthIndex) {
236        rsi_10.update_raw(1.0);
237        rsi_10.update_raw(2.0);
238        rsi_10.reset();
239        assert_eq!(rsi_10.average_gain.count(), 0);
240        assert_eq!(rsi_10.average_loss.count(), 0);
241    }
242
243    #[rstest]
244    fn test_handle_quote_tick(mut rsi_10: RelativeStrengthIndex, stub_quote: QuoteTick) {
245        rsi_10.handle_quote(&stub_quote).unwrap();
246        assert_eq!(rsi_10.count, 1);
247        assert_eq!(rsi_10.value, 1.0);
248    }
249
250    #[rstest]
251    fn test_handle_trade_tick(mut rsi_10: RelativeStrengthIndex, stub_trade: TradeTick) {
252        rsi_10.handle_trade(&stub_trade);
253        assert_eq!(rsi_10.count, 1);
254        assert_eq!(rsi_10.value, 1.0);
255    }
256
257    #[rstest]
258    fn test_handle_bar(mut rsi_10: RelativeStrengthIndex, bar_ethusdt_binance_minute_bid: Bar) {
259        rsi_10.handle_bar(&bar_ethusdt_binance_minute_bid);
260        assert_eq!(rsi_10.count, 1);
261        assert_eq!(rsi_10.value, 1.0);
262    }
263
264    #[rstest]
265    fn test_constant_inputs_initializes_and_value_max(mut rsi_10: RelativeStrengthIndex) {
266        for _ in 0..12 {
267            rsi_10.update_raw(5.0);
268        }
269        assert!(rsi_10.initialized);
270        assert_eq!(rsi_10.value, 1.0);
271    }
272
273    #[rstest]
274    fn test_reset_resets_has_inputs_and_value(mut rsi_10: RelativeStrengthIndex) {
275        rsi_10.update_raw(1.0);
276        rsi_10.reset();
277        assert!(!rsi_10.has_inputs());
278        assert_eq!(rsi_10.value, 0.0);
279    }
280
281    // Feeds `values` through a fresh RSI of the given `ma_type` and returns the final value.
282    fn run_rsi(values: &[f64], period: usize, ma_type: MovingAverageType) -> f64 {
283        let mut rsi = RelativeStrengthIndex::new(period, Some(ma_type));
284        for &v in values {
285            rsi.update_raw(v);
286        }
287        rsi.value
288    }
289
290    #[rstest]
291    fn test_ma_type_is_plumbed_into_inner_averages() {
292        // The `ma_type` argument must reach the inner gain/loss averages, so distinct
293        // moving-average types must produce distinct output on the same series.
294        // Previously all types collapsed onto Exponential (see issue: v2 RSI ignores ma_type).
295        let series = [
296            44.34, 44.09, 44.15, 43.61, 44.33, 44.83, 45.10, 45.42, 45.84, 46.08, 45.89, 46.03,
297            45.61, 46.28, 46.28,
298        ];
299
300        let wilder = run_rsi(&series, 14, MovingAverageType::Wilder);
301        let simple = run_rsi(&series, 14, MovingAverageType::Simple);
302        let exponential = run_rsi(&series, 14, MovingAverageType::Exponential);
303
304        assert_ne!(wilder, simple);
305        assert_ne!(wilder, exponential);
306        assert_ne!(simple, exponential);
307    }
308
309    #[rstest]
310    fn test_recovers_below_max_after_losses() {
311        // Regression for the flat-1.0 defect (#2703): once real down-moves arrive, RSI must
312        // fall below `rsi_max` rather than staying pinned at 1.0 because `last_value` was
313        // never advanced on zero-loss bars.
314        let mut values: Vec<f64> = (1..=15).map(f64::from).collect();
315        values.extend([14.0, 12.0, 9.0, 5.0, 2.0]);
316
317        let value = run_rsi(&values, 14, MovingAverageType::Wilder);
318        assert!(
319            value < 1.0,
320            "RSI should drop below rsi_max after losses, was {value}"
321        );
322    }
323
324    #[rstest]
325    fn test_wilder_golden_series() {
326        // Golden reference: up 1..15 then down 14, 12, 9, 5, 2 with period 14, Wilder MA.
327        // Expected Wilder RSI values (×100) after each down-move, per the published reference.
328        let base: Vec<f64> = (1..=15).map(f64::from).collect();
329        let downs = [14.0, 12.0, 9.0, 5.0, 2.0];
330        let expected = [0.8935, 0.7269, 0.5586, 0.4192, 0.3489];
331
332        let mut rsi = RelativeStrengthIndex::new(14, Some(MovingAverageType::Wilder));
333        for &v in &base {
334            rsi.update_raw(v);
335        }
336
337        for (i, &v) in downs.iter().enumerate() {
338            rsi.update_raw(v);
339            assert!(
340                (rsi.value - expected[i]).abs() < 1e-4,
341                "step {i}: expected {}, was {}",
342                expected[i],
343                rsi.value
344            );
345        }
346    }
347}
nautilus_indicators/momentum/rsi.rs

nautilus_indicators/momentum/
rsi.rs
