quantitivecalc/dist/TechnicalIndicators/calculateRSI.js

A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateRSI = calculateRSI;
/**
 * Calculates the Relative Strength Index (RSI) for a given dataset.
 *
 * The RSI is a momentum oscillator that measures the speed and change of price movements.
 * It is typically used in technical analysis to identify overbought or oversold conditions.
 *
 * @param data - An array of objects representing the dataset. Each object should contain the source column.
 * @param sourceColumn - The key in each data object that contains the numeric value to calculate RSI from.
 * @param resultColumn - The key to store the calculated RSI value in each result object. Defaults to `'rsi'`.
 * @param windowSize - The number of periods to use for the RSI calculation. Defaults to `14`.
 * @returns A new array of objects with the RSI value added under the specified result column.
 *
 * @remarks
 * - If there is insufficient data to calculate RSI for a given row (i.e., fewer than `windowSize` periods), the result will be `null` for that row.
 * - If the average loss is zero, the RSI will be set to `100` for that row.
 */
function calculateRSI(data, sourceColumn, resultColumn = 'rsi', windowSize = 14) {
    if (!data || data.length === 0) {
        return [];
    }
    const result = data.map(row => ({ ...row }));
    for (let i = 0; i < result.length; i++) {
        if (i < windowSize) {
            result[i][resultColumn] = null;
            continue;
        }
        let gains = 0;
        let losses = 0;
        let gainCount = 0;
        let lossCount = 0;
        // Calculate gains and losses over the window
        for (let j = i - windowSize + 1; j <= i; j++) {
            const currentValue = result[j][sourceColumn];
            const previousValue = result[j - 1][sourceColumn];
            if (typeof currentValue === 'number' &&
                typeof previousValue === 'number' &&
                !isNaN(currentValue) &&
                !isNaN(previousValue)) {
                const change = currentValue - previousValue;
                if (change > 0) {
                    gains += change;
                    gainCount++;
                }
                else if (change < 0) {
                    losses += Math.abs(change);
                    lossCount++;
                }
            }
        }
        if (gainCount === 0 && lossCount === 0) {
            result[i][resultColumn] = null;
            continue;
        }
        const avgGain = gainCount > 0 ? gains / windowSize : 0;
        const avgLoss = lossCount > 0 ? losses / windowSize : 0;
        if (avgLoss === 0) {
            result[i][resultColumn] = 100;
        }
        else {
            const rs = avgGain / avgLoss;
            result[i][resultColumn] = 100 - 100 / (1 + rs);
        }
    }
    return result;
}