Examples with LossIndicator org.ta4j.core.indicators.helpers.LossIndicator used on opensource projects

Example 1 with LossIndicator

use of org.ta4j.core.indicators.helpers.LossIndicator in project ta4j by ta4j.

the class RSIIndicatorTest method onlineExampleTest.

@Test
public void onlineExampleTest() throws Exception {
    // from http://cns.bu.edu/~gsc/CN710/fincast/Technical%20_indicators/Relative%20Strength%20Index%20(RSI).htm
    // which uses a different calculation of RSI than ta4j
    TimeSeries series = new MockTimeSeries(46.1250, 47.1250, 46.4375, 46.9375, 44.9375, 44.2500, 44.6250, 45.7500, 47.8125, 47.5625, 47.0000, 44.5625, 46.3125, 47.6875, 46.6875, 45.6875, 43.0625, 43.5625, 44.8750, 43.6875);
    // ta4j RSI uses MMA for average gain and loss
    // then uses simple division of the two for RS
    Indicator<Decimal> indicator = getIndicator(new ClosePriceIndicator(series), 14);
    Indicator<Decimal> close = new ClosePriceIndicator(series);
    Indicator<Decimal> gain = new GainIndicator(close);
    Indicator<Decimal> loss = new LossIndicator(close);
    // this site uses SMA for average gain and loss
    // then uses ratio of MMAs for RS (except for first calculation)
    Indicator<Decimal> avgGain = new SMAIndicator(gain, 14);
    Indicator<Decimal> avgLoss = new SMAIndicator(loss, 14);
    // first online calculation is simple division
    double onlineRs = avgGain.getValue(14).dividedBy(avgLoss.getValue(14)).doubleValue();
    assertEquals(0.5848, avgGain.getValue(14).doubleValue(), TATestsUtils.TA_OFFSET);
    assertEquals(0.5446, avgLoss.getValue(14).doubleValue(), TATestsUtils.TA_OFFSET);
    assertEquals(1.0738, onlineRs, TATestsUtils.TA_OFFSET);
    double onlineRsi = 100d - (100d / (1d + onlineRs));
    // difference in RSI values:
    assertEquals(51.779, onlineRsi, 0.001);
    assertEquals(52.1304, indicator.getValue(14).doubleValue(), TATestsUtils.TA_OFFSET);
    // strange, online average gain and loss is not a simple moving average!
    // but they only use them for the first RS calculation
    // assertEquals(0.5430, avgGain.getValue(15).doubleValue(), TATestsUtils.TA_OFFSET);
    // assertEquals(0.5772, avgLoss.getValue(15).doubleValue(), TATestsUtils.TA_OFFSET);
    // second online calculation uses MMAs
    // MMA of average gain
    double dividend = avgGain.getValue(14).multipliedBy(13d).plus(gain.getValue(15)).dividedBy(14d).doubleValue();
    // MMA of average loss
    double divisor = avgLoss.getValue(14).multipliedBy(13d).plus(loss.getValue(15)).dividedBy(14d).doubleValue();
    onlineRs = dividend / divisor;
    assertEquals(0.9409, onlineRs, TATestsUtils.TA_OFFSET);
    onlineRsi = 100d - (100d / (1d + onlineRs));
    // difference in RSI values:
    assertEquals(48.477, onlineRsi, 0.001);
    assertEquals(47.3710, indicator.getValue(15).doubleValue(), TATestsUtils.TA_OFFSET);
}