Fixed StochRSI calculations (DeviaVir#1196)

* Fix SRSI calculation

* Added test case for SRSI. Switched RSI and SRSI output to float and adjusted display accordingly

* Oops, disabled all other tests by mistake

* Fix test assertion

.gitignore

@@ -30,3 +30,5 @@ temp.html
 logs
 .sync
 dist/*
+.idea
+*.iml

extensions/strategies/srsi_macd/strategy.js

@@ -67,7 +67,8 @@ module.exports = function container (get, set, clear) {
           color = 'red'
         }
         cols.push(z(8, n(s.period.macd_histogram).format('+00.0000'), ' ')[color])
-        cols.push(z(8, n(s.period.srsi_K).format('000'), ' ').cyan)
+        cols.push(z(8, n(s.period.srsi_K).format('00.00'), ' ').cyan)
+        cols.push(z(8, n(s.period.srsi_D).format('00.00'), ' ').yellow)
       }
       else {
         cols.push('         ')

lib/rsi.js

@@ -1,3 +1,5 @@
+var mathjs = require('mathjs')
+
 module.exports = function container (get, set, clear) {
   return function rsi (s, key, length) {
     if (s.lookback.length >= length) {
@@ -32,7 +34,7 @@ module.exports = function container (get, set, clear) {
         s.period[key] = 100
       } else {
         var rs = s.period[key + '_avg_gain'] / s.period[key + '_avg_loss']
-        s.period[key] = Math.round(100 - (100 / (1 + rs)))
+        s.period[key] = mathjs.round(100 - (100 / (1 + rs)), 2)
       }
     }
   }

lib/srsi.js

@@ -1,25 +1,64 @@
-module.exports = function container (get, set, clear) {
-  return function srsi (s, key, rsi_length, k, d) {
-    get('lib.rsi')(s, 'rsi', rsi_length)
-    let RSI = []
-    let sum = 0
-    if (typeof s.period.rsi !== 'undefined')
-      s.lookback.slice(0, k).forEach(function (period) {
-        if (period.rsi)
-          RSI.push(period.rsi)
-      })
-
-      let highestRSI = Math.max(...RSI)
-      let lowestRSI = Math.min(...RSI)
-      let stochK = ((s.period.rsi - lowestRSI) / (highestRSI - lowestRSI)) * 100
-
-      s.lookback.slice(0, d).forEach(period => {
-        if (period.srsi_K)
-          sum += period.srsi_K
+var mathjs = require('mathjs');
+
+module.exports = function container(get, set, clear) {
+  return function srsi(s, key, rsi_periods, k_periods, d_periods) {
+    let samplesRequiredForStochRSI = rsi_periods + k_periods + 1;
+
+    if (s.lookback.length >= samplesRequiredForStochRSI - 1) {
+      let RSI = [];
+
+      if (typeof s.period.rsi !== 'undefined') {
+        RSI.push(s.period.rsi);
+      } else {
+        get('lib.rsi')(s, 'rsi', rsi_periods);
+        RSI.push(s.period.rsi);
+      }
+
+      s.lookback.slice(0, samplesRequiredForStochRSI - 1).forEach(function (period) {
+        if (period.rsi) {
+          RSI.push(period.rsi);
+        }
       })
-      let stochD = sum / d
-      s.period[key + '_K'] = stochK
-      s.period[key + '_D'] = stochD
-      //console.log(s.lookback[0])
+
+      RSI.reverse();
+
+      if(RSI.length >= samplesRequiredForStochRSI) {
+        let stochRSI = [];
+        for(let i = 0; i < (k_periods + d_periods - 1); i++) {
+          let rsiForPeriod = RSI.slice(i, rsi_periods + i);
+          let highestRSI = Math.max(...rsiForPeriod);
+          let lowestRSI = Math.min(...rsiForPeriod);
+          if(highestRSI == lowestRSI) {
+            stochRSI.push(0);
+          } else {
+            stochRSI.push(((RSI[(rsi_periods - 1) + i] - lowestRSI) / (highestRSI - lowestRSI)) * 100);
+          }
+        }
+
+        stochRSI.reverse();
+
+        let percentK = [];
+        for(let i = 0; i < k_periods; i++) {
+          let kData = stochRSI.slice(i, k_periods + i);
+          if(kData.length == k_periods) {
+            percentK.push(mathjs.mean(kData));
+          }
+        }
+
+        let percentD = [];
+        for(let i = 0; i < d_periods; i++) {
+          let dData = percentK.slice(i, d_periods + i);
+          if(dData.length == d_periods) {
+            percentD.push(mathjs.mean(dData));
+          }
+        }
+
+        s.period[key + '_K'] = percentK[0] == 0 ? 0 : mathjs.round(percentK[0], 2);
+        s.period[key + '_D'] = percentD[0] == 0 ? 0 : mathjs.round(percentD[0], 2);
+
+        //console.log('lib.srsi: For RSI', RSI[RSI.length - 1], '-', '%K is', s.period[key + '_K'], ', %D is', s.period[key + '_D'], ', period info', s.period);
+      }
+    }
   }
-}
+}
+

test/lib/rsi.test.js

@@ -5,7 +5,7 @@ describe('RSI (Relative Strength Index)', function () {
   it('should calculate RSI with default period', function () {
     (RSI())(normalData, 'rsi', 14)
 
-    expect(normalData.period.rsi).toEqual(32)
+    expect(normalData.period.rsi).toEqual(32.26)
   })
 
   it('should set RSI to 100 when there is no losses for the entire period', function() {

test/lib/srsi.test.js

@@ -0,0 +1,37 @@
+var RSI = require('../../lib/rsi');
+var SRSI = require('../../lib/srsi')(RSI);
+
+describe('SRSI (StochRSI Oscillator)', function () {
+
+  it('should calculate SRSI with default period', function () {
+    SRSI(data, 'srsi', 14, 3, 3);
+
+    expect(data.period.srsi_K).toEqual(19.38);
+    expect(data.period.srsi_D).toEqual(23.18);
+  })
+});
+
+var data = {
+  lookback: [
+    {rsi:  64.38},
+    {rsi:  66.71},
+    {rsi:  70.29},
+    {rsi:  66.49},
+    {rsi:  71.47},
+    {rsi:  76.17},
+    {rsi:  83.66},
+    {rsi:  81.85},
+    {rsi:  82.55},
+    {rsi:  82.89},
+    {rsi:  78.60},
+    {rsi:  64.78},
+    {rsi:  64.77},
+    {rsi:  70.05},
+    {rsi:  68.76},
+    {rsi:  69.53},
+    {rsi:  70.15}
+  ].reverse(),
+  period: {
+    rsi:  65.61
+  }
+};