Relative Strength Index

Technical Analysis Indicator: rsi

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Function Prototype

/* Relative Strength Index */
/* Type: indicator */
/* Input arrays: 1    Options: 1    Output arrays: 1 */
/* Inputs: real */
/* Options: period */
/* Outputs: rsi */
int ti_rsi_start(TI_REAL const *options);
int ti_rsi(int size,
      TI_REAL const *const *inputs,
      TI_REAL const *options,
      TI_REAL *const *outputs);

Description

This documentation is still a work in progress. It has omissions, and it probably has errors too. If you see any issues, or have any general feedback, please get in touch.

The Relative Strength Index is a momentum oscillator to help identify trends.

It takes one parameter, the period n.

Calculation is as follows:

$$up_{t} = \begin{cases} in_{t} - in_{t-1} & \mathrm{if} \; in_{t} > in_{t-1} \\ 0 & \mathrm{else} \end{cases} $$
$$down_{t} = \begin{cases} in_{t-1} - in_{t} & \mathrm{if} \; in_{t} \lt in_{t-1} \\ 0 & \mathrm{else} \end{cases} $$
$$sup_{t} = \frac{n-1}{n} sup_{t-1} + \frac{1}{n} up_{t} $$
$$sdown_{t} = \frac{n-1}{n} sdown_{t-1} + \frac{1}{n} down_{t} $$
$$rsi_{t} = 100 - \frac{100}{1 + \frac{sup_{t}}{sdown_{t}}}$$

See Also

References

Example Usage

Calling From C

/* Example usage of Relative Strength Index */
/* Assuming that 'input' is a pre-loaded array of size 'in_size'. */
TI_REAL *inputs[] = {input};
TI_REAL options[] = {5}; /* period */
TI_REAL *outputs[1]; /* rsi */

/* Determine how large the output size is for our options. */
const int out_size = in_size - ti_rsi_start(options);

/* Allocate memory for output. */
outputs[0] = malloc(sizeof(TI_REAL) * out_size); assert(outputs[0] != 0); /* rsi */

/* Run the actual calculation. */
const int ret = ti_rsi(in_size, inputs, options, outputs);
assert(ret == TI_OKAY);

Calling From Lua (with Tulip Chart bindings)

-- Example usage of Relative Strength Index
rsi = ti.rsi(input, 5)

Example Calculation

period = 5

dateinputrsi
2005-11-0181.59
2005-11-0281.06
2005-11-0382.87
2005-11-0483.00
2005-11-0783.61
2005-11-0883.1572.03
2005-11-0982.8464.93
2005-11-1083.9975.94
2005-11-1184.5579.80
2005-11-1484.3674.71
2005-11-1585.5383.03
2005-11-1686.5487.48
2005-11-1786.8988.76
2005-11-1887.7791.48
2005-11-2187.2978.50

Chart

 

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