Create relative_strength_index.py

financial/relative_strength_index.py

@@ -0,0 +1,93 @@
+from typing import List
+
+
+def calculate_rsi(prices: List[float], period: int = 14) -> List[float]:
+    """
+    Calculate the Relative Strength Index (RSI) for a given list of prices.
+
+    RSI is a momentum oscillator that measures the speed and change of price movements.
+    It is typically used to identify overbought or oversold conditions in a market.
+
+    Args:
+        prices (List[float]): A list of prices for a financial asset.
+        period (int): The number of periods to use in the calculation (default is 14).
+
+    Returns:
+        List[float]: A list of RSI values corresponding to the input price data.
+
+    Example:
+        >>> rsi_values = calculate_rsi([44.0, 44.15, 44.09, 44.20, 44.30, 44.25, 44.40, 44.35, 44.50, 44.60, 44.55, 44.75, 44.80, 44.70, 44.85], 14)
+        >>> print(rsi_values)  # doctest: +ELLIPSIS
+        [78.91..., 80.99...]
+
+    Reference:
+        https://en.wikipedia.org/wiki/Relative_strength_index
+    """
+    # Validate that there are enough prices to calculate RSI
+    if len(prices) < period:
+        raise ValueError("Not enough price data to calculate RSI.")
+
+    gains = []
+    losses = []
+
+    # Calculate price changes between consecutive days
+    for i in range(1, len(prices)):
+        delta = prices[i] - prices[i - 1]
+        gains.append(max(0, delta))
+        losses.append(max(0, -delta))
+
+    # Initial averages for gain and loss
+    avg_gain = float(sum(gains[:period]) / period)
+    avg_loss = float(sum(losses[:period]) / period)
+
+    # Initialize RSI list and first RSI value
+    rsi_values: List[float] = []
+
+    if avg_loss == 0:
+        rsi = 100.0
+    else:
+        rs = avg_gain / avg_loss
+        rsi = 100.0 - (100.0 / (1.0 + rs))
+
+    rsi_values.append(rsi)
+
+    # Calculate subsequent RSI values
+    for i in range(period, len(prices)):
+        delta = prices[i] - prices[i - 1]
+        gain = max(0, delta)
+        loss = max(0, -delta)
+
+        avg_gain = (avg_gain * (period - 1) + gain) / period
+        avg_loss = (avg_loss * (period - 1) + loss) / period
+
+        if avg_loss == 0:
+            rsi = 100.0
+        else:
+            rs = avg_gain / avg_loss
+            rsi = 100.0 - (100.0 / (1.0 + rs))
+
+        rsi_values.append(rsi)
+
+    return rsi_values
+
+
+if __name__ == "__main__":
+    prices = [
+        44.0,
+        44.15,
+        44.09,
+        44.20,
+        44.30,
+        44.25,
+        44.40,
+        44.35,
+        44.50,
+        44.60,
+        44.55,
+        44.75,
+        44.80,
+        44.70,
+        44.85,
+    ]
+    rsi = calculate_rsi(prices, 14)
+    print("RSI Values:", rsi)