README.md

Relative Strength Index (RSI)

Relative Strength Index measures strength of winning/losing streak over N lookback periods on a scale of 0 to 100. RSI values over 70 are considered overbought, while values under 30 are considered oversold. More info ...

// usage
IEnumerable<RsiResult> results = Indicator.GetRsi(history, lookbackPeriod);  

Parameters

name	type	notes
history	IEnumerable<Quote>	Historical Quotes data should be at any consistent frequency (day, hour, minute, etc). You must supply at least N periods of history. Since this uses a smoothing technique, we recommend you use at least 250 data points prior to the intended usage date for maximum precision.
lookbackPeriod	int	Number of periods (N) in the lookback period. Must be greater than 1.

Response

IEnumerable<RsiResult>

The first N-1 periods will have null values since there's not enough data to calculate. We always return the same number of elements as there are in the historical quotes.

RsiResult

name	type	notes
Index	int	Sequence of dates
Date	DateTime	Date
Rsi	decimal	RSI over prior N lookback periods
IsIncreasing	bool	Direction since last period (e.g. up or down). Persists for no change.

Example

// fetch historical quotes from your favorite feed, in Quote format
IEnumerable<Quote> history = GetHistoryFromFeed("SPY");

// calculate RSI(14)
IEnumerable<RsiResult> results = Indicator.GetRsi(history,14);

// use results as needed
DateTime evalDate = DateTime.Parse("12/31/2018");
RsiResult result = results.Where(x=>x.Date==evalDate).FirstOrDefault();
Console.WriteLine("RSI on {0} was {1}", result.Date, result.Rsi);

RSI on 12/31/2018 was 42.08