org.roboquant.ta.RSIStrategy.kt Maven / Gradle / Ivy

Go to download

Show more of this group Show more artifacts with this name
Show all versions of roboquant-ta Show documentation

Technical analysis support for the roboquant algorithmic trading platform

There is a newer version: 2.2.0

/*
 * Copyright 2020-2023 Neural Layer
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     https://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */

package org.roboquant.ta

import org.roboquant.common.Asset
import org.roboquant.feeds.Event
import org.roboquant.strategies.Rating
import org.roboquant.strategies.RecordingStrategy
import org.roboquant.strategies.Signal
import org.roboquant.common.PriceSerie
import org.roboquant.common.addAll

/**
 * Strategy using the Relative Strength Index of an asset to generate signals. RSI measures the magnitude of recent
 * price changes to evaluate overbought or oversold conditions in the price of an asset.
 *
 * If the RSI raise above the configured high threshold (default 70), a sell signal will be generated. And if the RSI
 * falls below the configured low threshold (default 30), a buy signal will be generated.
 *
 * @property lowThreshold
 * @property highThreshold
 * @constructor Create a new RSI Strategy
 *
 */
class RSIStrategy(
    val lowThreshold: Double = 30.0,
    val highThreshold: Double = 70.0,
    private val windowSize: Int = 14
) : RecordingStrategy(prefix = "rsi.") {

    private val history = mutableMapOf()
    private val taLib = TaLib()

    /**
     * reset the history
     */
    override fun reset() {
        history.clear()
    }

    /**
     * @see RecordingStrategy.generate
     */
    override fun generate(event: Event): List {
        history.addAll(event, windowSize + 1, "CLOSE")
        val result = mutableListOf()
        for (asset in event.prices.keys) {
            val data = history.getValue(asset)
            if (data.isFull()) {
                val rsi = taLib.rsi(data.toDoubleArray(), windowSize)
                record(asset.symbol, rsi)
                if (rsi > highThreshold)
                    result.add(Signal(asset, Rating.SELL))
                else if (rsi < lowThreshold)
                    result.add(Signal(asset, Rating.BUY))
            }
        }
        return result
    }
}