Implements new indicator StochRSI - Stochastic Relative Strength Index (

QuantConnect#8163) * tests passing except ResetProperly and WarmsUpProperly * doc * minor fixes * doc - return * fix InitializeIndicator call * workaround ResetsProperly * fix WarmsUpProperly test * remove WriteLine * remove WriteLine * cr * fix data * open high low defaults to close when these columns don't exist into data * simplify using ternary operator * better fix for ResetsProperly * fix some code conventions issues * fix some review issues * Update StochasticRelativeStrengthIndex.cs
wtindall1 · Nov 10, 2024 · 7c78835 · 7c78835
1 parent 2f9290b
commit 7c78835
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Showing 6 changed files with 714 additions and 2 deletions.
diff --git a/Algorithm/QCAlgorithm.Indicators.cs b/Algorithm/QCAlgorithm.Indicators.cs
@@ -1744,6 +1744,29 @@ public Rho ρ(Symbol symbol, Symbol mirrorOption = null, decimal? riskFreeRate =
             return R(symbol, mirrorOption, riskFreeRate, dividendYield, optionModel, ivModel, resolution);
         }
 
+
+        /// <summary>
+        /// Creates a new Stochastic RSI indicator which will compute the %K and %D
+        /// </summary>
+        /// <param name="symbol">The symbol whose Stochastic RSI we seek</param>
+        /// <param name="rsiPeriod">The period of the relative strength index</param>
+        /// <param name="stochPeriod">The period of the stochastic indicator</param>
+        /// <param name="kSmoothingPeriod">The smoothing period of K output</param>
+        /// <param name="dSmoothingPeriod">The smoothing period of D output</param>
+        /// <param name="movingAverageType">The type of moving average to be used</param>
+        /// <param name="resolution">The resolution</param>
+        /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
+        /// <returns>A StochasticRelativeStrengthIndex configured with the specified periods and moving average type</returns>
+        [DocumentationAttribute(Indicators)]
+        public StochasticRelativeStrengthIndex SRSI(Symbol symbol, int rsiPeriod, int stochPeriod, int kSmoothingPeriod, int dSmoothingPeriod, MovingAverageType movingAverageType = MovingAverageType.Simple,
+            Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"SRSI({rsiPeriod},{stochPeriod},{kSmoothingPeriod},{dSmoothingPeriod})", resolution);
+            var indicator = new StochasticRelativeStrengthIndex(name, rsiPeriod, stochPeriod, kSmoothingPeriod, dSmoothingPeriod, movingAverageType);
+            InitializeIndicator(indicator, resolution, selector, symbol);
+            return indicator;
+        }
+
         /// <summary>
         /// Creates a new SuperTrend indicator.
         /// </summary>

diff --git a/Indicators/StochasticRelativeStrengthIndex.cs b/Indicators/StochasticRelativeStrengthIndex.cs
@@ -0,0 +1,130 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * 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 http://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.
+*/
+
+using System;
+using System.Linq;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Stochastic RSI, or simply StochRSI, is a technical analysis indicator used to determine whether 
+    /// an asset is overbought or oversold, as well as to identify current market trends.
+    /// As the name suggests, the StochRSI is a derivative of the standard Relative Strength Index (RSI) and, 
+    /// as such, is considered an indicator of an indicator.
+    /// It is a type of oscillator, meaning that it fluctuates above and below a center line.
+    /// </summary>
+    public class StochasticRelativeStrengthIndex : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly RelativeStrengthIndex _rsi;
+        private readonly RollingWindow<decimal> _recentRSIValues;
+
+        /// <summary>
+        /// Gets the %K output
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> K { get; }
+
+        /// <summary>
+        /// Gets the %D output
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> D { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples >= WarmUpPeriod;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the StochasticRelativeStrengthIndex class
+        /// </summary>
+        /// <param name="rsiPeriod">The period of the relative strength index</param>
+        /// <param name="stochPeriod">The period of the stochastic indicator</param>
+        /// <param name="kSmoothingPeriod">The smoothing period of K output (aka %K)</param>
+        /// <param name="dSmoothingPeriod">The smoothing period of D output (aka %D)</param>
+        /// <param name="movingAverageType">The type of moving average to be used for k and d</param>
+        public StochasticRelativeStrengthIndex(int rsiPeriod, int stochPeriod, int kSmoothingPeriod, int dSmoothingPeriod, MovingAverageType movingAverageType = MovingAverageType.Simple)
+            : this($"SRSI({rsiPeriod},{stochPeriod},{kSmoothingPeriod},{dSmoothingPeriod},{movingAverageType})", rsiPeriod, stochPeriod, kSmoothingPeriod, dSmoothingPeriod, movingAverageType)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the StochasticRelativeStrengthIndex class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="rsiPeriod">The period of the relative strength index</param>
+        /// <param name="stochPeriod">The period of the stochastic indicator</param>
+        /// <param name="kSmoothingPeriod">The smoothing period of K output</param>
+        /// <param name="dSmoothingPeriod">The smoothing period of D output</param>
+        /// <param name="movingAverageType">The type of moving average to be used</param>
+        public StochasticRelativeStrengthIndex(string name, int rsiPeriod, int stochPeriod, int kSmoothingPeriod, int dSmoothingPeriod, MovingAverageType movingAverageType = MovingAverageType.Simple)
+            : base(name)
+        {
+            _rsi = new RelativeStrengthIndex(rsiPeriod);
+            _recentRSIValues = new RollingWindow<decimal>(stochPeriod);
+
+            K = movingAverageType.AsIndicator($"{name}_K_{movingAverageType}", kSmoothingPeriod);
+            D = movingAverageType.AsIndicator($"{name}_D_{movingAverageType}", dSmoothingPeriod);
+
+            WarmUpPeriod = rsiPeriod + stochPeriod + Math.Max(kSmoothingPeriod, dSmoothingPeriod);
+        }
+
+        /// <summary>
+        /// Computes the next value of the following sub-indicators from the given state:
+        /// K (%K) and D (%D)
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>The input is returned unmodified.</returns>
+        protected override decimal ComputeNextValue(IndicatorDataPoint input)
+        {
+            _rsi.Update(input);
+            _recentRSIValues.Add(_rsi.Current.Value);
+
+            if (!_recentRSIValues.IsReady)
+            {
+                return 0m;
+            }
+
+            var maxHigh = _recentRSIValues.Max();
+            var minLow = _recentRSIValues.Min();
+
+            decimal k = 100;
+            if (maxHigh != minLow)
+            {
+                k = 100 * (_rsi.Current.Value - minLow) / (maxHigh - minLow);
+            }
+
+            K.Update(input.EndTime, k);
+            D.Update(input.EndTime, K.Current.Value);
+
+            return input.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator and all sub-indicators
+        /// </summary>
+        public override void Reset()
+        {
+            _rsi.Reset();
+            _recentRSIValues.Reset();
+            K.Reset();
+            D.Reset();
+            base.Reset();
+        }
+    }
+}
diff --git a/Tests/Indicators/StochasticRelativeStrengthIndexTests.cs b/Tests/Indicators/StochasticRelativeStrengthIndexTests.cs
@@ -0,0 +1,50 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * 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 http://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.
+*/
+
+using System;
+using NUnit.Framework;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class StochasticRelativeStrengthIndexTests : CommonIndicatorTests<IndicatorDataPoint>
+    {
+        protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
+        {
+            return new StochasticRelativeStrengthIndex(14, 14, 3, 3);
+        }
+
+        protected override string TestFileName => "spy_with_StochRSI.csv";
+
+        protected override string TestColumnName => "k";
+
+        protected override Action<IndicatorBase<IndicatorDataPoint>, double> Assertion =>
+            (indicator, expected) =>
+                Assert.AreEqual(expected, (double) ((StochasticRelativeStrengthIndex) indicator).K.Current.Value, 1e-3);
+
+        [Test]
+        public void ComparesWithExternalDataColumnD()
+        {
+            TestHelper.TestIndicator(
+                CreateIndicator() as StochasticRelativeStrengthIndex,
+                TestFileName,
+                "d",
+                ind => (double) ind.D.Current.Value
+            );
+        }
+
+    }
+}
diff --git a/Tests/Indicators/TestHelper.cs b/Tests/Indicators/TestHelper.cs
@@ -268,9 +268,14 @@ public static void TestIndicatorReset(IndicatorBase<IndicatorDataPoint> indicato
         {
             var date = DateTime.Today;
 
-            foreach (var data in GetTradeBarStream(externalDataFilename, false))
+            foreach (var parts in GetCsvFileStream(externalDataFilename))
             {
-                indicator.Update(date, data.Close);
+                if (!(parts.ContainsKey("Close")))
+                {
+                    Assert.Fail("Didn't find column 'Close'");
+                    break;
+                }
+                indicator.Update(date, parts.GetCsvValue("close").ToDecimal());
             }
 
             Assert.IsTrue(indicator.IsReady);

diff --git a/Tests/QuantConnect.Tests.csproj b/Tests/QuantConnect.Tests.csproj
@@ -372,6 +372,9 @@
     <None Update="TestData\spy_with_McGinleyDynamic.csv">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </None>
+    <None Update="TestData\spy_with_StochRSI.csv">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </None>
     <None Update="TestData\spy_with_vwma.csv">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </None>