X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Ffinancial-0.4.0%2Frsindex.m;fp=octave_packages%2Ffinancial-0.4.0%2Frsindex.m;h=670488cfd98677924e05db8491a49b98af374c83;hp=0000000000000000000000000000000000000000;hb=f5f7a74bd8a4900f0b797da6783be80e11a68d86;hpb=1705066eceaaea976f010f669ce8e972f3734b05

diff --git a/octave_packages/financial-0.4.0/rsindex.m b/octave_packages/financial-0.4.0/rsindex.m
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+## Copyright (C) 2008 Bill Denney <bill@denney.ws>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {@var{rsi} =} rsindex (@var{closeprice})
+## @deftypefnx {Function File} {@var{rsi} =} rsindex (@var{closeprice}, @var{nperiods})
+##
+## Compute the relative strength index (RSI) of an asset from the vector
+## of closing prices (@var{closeprice}).  @var{nperiods} defines the
+## number of periods that the rsi should be calculated for 
+## (default: 14).
+##
+## The beginning of the @var{rsi} is padded with nans to match the size
+## of @var{closeprice}.
+##
+## @end deftypefn
+
+function rsi = rsindex (cl, n = 14)
+
+  if nargin < 1 || nargin > 2
+    print_usage ();
+  elseif n > length(cl)
+    error ("nperiods must be <= the length of closeprice")
+  elseif ! isvector (cl)
+    error ("closeprice must be a vector")
+  endif
+
+  diff = cl(2:end) - cl(1:end-1);
+  rsi  = nan (size (cl));
+
+  for i = n:length (cl)
+    changes = diff(i-n+1:i-1);
+    downs   = changes < 0;
+    ups     = changes > 0;
+    if isempty (downs)
+      ## prevent division by zero
+      rsi(i) = 100;
+    elseif isempty (ups)
+      rsi(i) = 0;
+    else
+      ups    = sum(changes(ups));
+      downs  = -sum(changes(downs));
+      rsi(i) = 100*(1-1/(1+ups/downs));
+    endif
+  endfor
+
+endfunction
+
+## Tests
+%!shared c, r
+%! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21];
+%! r = [nan(1, 13) 85.1190 70.235 68.6684 55.6322 53.0414 49.7717];
+%!assert(rsindex(c), r, 0.0001)
+%!assert(rsindex(c'), r', 0.0001)