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.core.nautilus_pyo3.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) {
72        self.update_raw(quote.extract_price(PriceType::Mid).into());
73    }
74
75    fn handle_trade(&mut self, trade: &TradeTick) {
76        self.update_raw((trade.price).into());
77    }
78
79    fn handle_bar(&mut self, bar: &Bar) {
80        self.update_raw((&bar.close).into());
81    }
82
83    fn reset(&mut self) {
84        self.value = 0.0;
85        self.last_value = 0.0;
86        self.count = 0;
87        self.has_inputs = false;
88        self.initialized = false;
89        self.average_gain.reset();
90        self.average_loss.reset();
91    }
92}
93
94impl RelativeStrengthIndex {
95    /// Creates a new [`RelativeStrengthIndex`] instance.
96    #[must_use]
97    pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
98        Self {
99            period,
100            ma_type: ma_type.unwrap_or(MovingAverageType::Exponential),
101            value: 0.0,
102            last_value: 0.0,
103            count: 0,
104            has_inputs: false,
105            average_gain: MovingAverageFactory::create(MovingAverageType::Exponential, period),
106            average_loss: MovingAverageFactory::create(MovingAverageType::Exponential, period),
107            rsi_max: 1.0,
108            initialized: false,
109        }
110    }
111
112    pub fn update_raw(&mut self, value: f64) {
113        if !self.has_inputs {
114            self.last_value = value;
115            self.has_inputs = true;
116        }
117        let gain = value - self.last_value;
118        if gain > 0.0 {
119            self.average_gain.update_raw(gain);
120            self.average_loss.update_raw(0.0);
121        } else if gain < 0.0 {
122            self.average_loss.update_raw(-gain);
123            self.average_gain.update_raw(0.0);
124        } else {
125            self.average_loss.update_raw(0.0);
126            self.average_gain.update_raw(0.0);
127        }
128        self.count = self.average_gain.count();
129        if !self.initialized && self.average_loss.initialized() && self.average_gain.initialized() {
130            self.initialized = true;
131        }
132
133        if self.average_loss.value() == 0.0 {
134            self.value = self.rsi_max;
135            return;
136        }
137
138        let rs = self.average_gain.value() / self.average_loss.value();
139        self.value = self.rsi_max - (self.rsi_max / (1.0 + rs));
140        self.last_value = value;
141
142        if !self.initialized && self.count >= self.period {
143            self.initialized = true;
144        }
145    }
146}
147
148#[cfg(test)]
149mod tests {
150    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
151    use rstest::rstest;
152
153    use crate::{indicator::Indicator, momentum::rsi::RelativeStrengthIndex, stubs::*};
154
155    #[rstest]
156    fn test_rsi_initialized(rsi_10: RelativeStrengthIndex) {
157        let display_str = format!("{rsi_10}");
158        assert_eq!(display_str, "RelativeStrengthIndex(10,EXPONENTIAL)");
159        assert_eq!(rsi_10.period, 10);
160        assert!(!rsi_10.initialized);
161    }
162
163    #[rstest]
164    fn test_initialized_with_required_inputs_returns_true(mut rsi_10: RelativeStrengthIndex) {
165        for i in 0..12 {
166            rsi_10.update_raw(f64::from(i));
167        }
168        assert!(rsi_10.initialized);
169    }
170
171    #[rstest]
172    fn test_value_with_one_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
173        rsi_10.update_raw(1.0);
174        assert_eq!(rsi_10.value, 1.0);
175    }
176
177    #[rstest]
178    fn test_value_all_higher_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
179        for i in 1..4 {
180            rsi_10.update_raw(f64::from(i));
181        }
182        assert_eq!(rsi_10.value, 1.0);
183    }
184
185    #[rstest]
186    fn test_value_with_all_lower_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
187        for i in (1..4).rev() {
188            rsi_10.update_raw(f64::from(i));
189        }
190        assert_eq!(rsi_10.value, 0.0);
191    }
192
193    #[rstest]
194    fn test_value_with_various_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
195        rsi_10.update_raw(3.0);
196        rsi_10.update_raw(2.0);
197        rsi_10.update_raw(5.0);
198        rsi_10.update_raw(6.0);
199        rsi_10.update_raw(7.0);
200        rsi_10.update_raw(6.0);
201
202        assert_eq!(rsi_10.value, 0.683_736_332_582_526_5);
203    }
204
205    #[rstest]
206    fn test_value_at_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
207        rsi_10.update_raw(3.0);
208        rsi_10.update_raw(2.0);
209        rsi_10.update_raw(5.0);
210        rsi_10.update_raw(6.0);
211        rsi_10.update_raw(7.0);
212        rsi_10.update_raw(6.0);
213        rsi_10.update_raw(6.0);
214        rsi_10.update_raw(7.0);
215
216        assert_eq!(rsi_10.value, 0.761_534_466_766_272_5);
217    }
218
219    #[rstest]
220    fn test_reset(mut rsi_10: RelativeStrengthIndex) {
221        rsi_10.update_raw(1.0);
222        rsi_10.update_raw(2.0);
223        rsi_10.reset();
224        assert!(!rsi_10.initialized());
225        assert_eq!(rsi_10.count, 0);
226    }
227
228    #[rstest]
229    fn test_reset_resets_inner_mas(mut rsi_10: RelativeStrengthIndex) {
230        rsi_10.update_raw(1.0);
231        rsi_10.update_raw(2.0);
232        rsi_10.reset();
233        assert_eq!(rsi_10.average_gain.count(), 0);
234        assert_eq!(rsi_10.average_loss.count(), 0);
235    }
236
237    #[rstest]
238    fn test_handle_quote_tick(mut rsi_10: RelativeStrengthIndex, stub_quote: QuoteTick) {
239        rsi_10.handle_quote(&stub_quote);
240        assert_eq!(rsi_10.count, 1);
241        assert_eq!(rsi_10.value, 1.0);
242    }
243
244    #[rstest]
245    fn test_handle_trade_tick(mut rsi_10: RelativeStrengthIndex, stub_trade: TradeTick) {
246        rsi_10.handle_trade(&stub_trade);
247        assert_eq!(rsi_10.count, 1);
248        assert_eq!(rsi_10.value, 1.0);
249    }
250
251    #[rstest]
252    fn test_handle_bar(mut rsi_10: RelativeStrengthIndex, bar_ethusdt_binance_minute_bid: Bar) {
253        rsi_10.handle_bar(&bar_ethusdt_binance_minute_bid);
254        assert_eq!(rsi_10.count, 1);
255        assert_eq!(rsi_10.value, 1.0);
256    }
257
258    #[rstest]
259    fn test_constant_inputs_initializes_and_value_max(mut rsi_10: RelativeStrengthIndex) {
260        for _ in 0..12 {
261            rsi_10.update_raw(5.0);
262        }
263        assert!(rsi_10.initialized);
264        assert_eq!(rsi_10.value, 1.0);
265    }
266
267    #[rstest]
268    fn test_reset_resets_has_inputs_and_value(mut rsi_10: RelativeStrengthIndex) {
269        rsi_10.update_raw(1.0);
270        rsi_10.reset();
271        assert!(!rsi_10.has_inputs());
272        assert_eq!(rsi_10.value, 0.0);
273    }
274}
nautilus_indicators/momentum/rsi.rs

nautilus_indicators/momentum/
rsi.rs
