Calculating RSI (Relative Strength Index)
A momentum oscillator
indicator which measures speed and change of price movement
RSI is counted between 0 and 100.
Traditionally considered Overbought when above 70 and
Oversold when below 30.
Calculation :
RSI = 100 – 100 / (1 + RS)
RS = Average Gain of Up Periods in specified time frame / Average loss of
down Periods during the specified time
frame
§ First Average Gain = Sum of Gains over the past n periods /n
§ First Average Loss = Sum of Losses over the past n
periods /n
- N = number of period for which RSI is being
calculated
The second, and subsequent, calculations are based on the prior
averages and the current gain loss:
§ Average Gain
= [(previous Average Gain) x n + current Gain] / n.
§ Average Loss
= [(previous Average Loss) x n + current Loss] / n.
So now lets
code it simply in C# to give rsi value for
a particular interval.
public static double Rsi(double[] closePrices)
{
var prices =
closePrices;
double sumProfit = 0;
double sumLoss = 0;
for (int i = 1; i < closePrices.Length; i++)
{
var difference = closePrices[i]
- closePrices[i - 1];
if (difference >= 0)
{
sumProfit +=
difference;
}
else
{
sumLoss -=
difference;
}
}
if (sumProfit == 0) return 0;
if (Math.Abs(sumLoss) < Tolerance) return 100;
var relativeStrength = sumProfit / sumLoss;
return 100.0 - (100.0 / (1 + relativeStrength));
}
