为什么我的 Rust RSI 计算与 TradingView 指标不同？

Question

我尝试使用 Rust 和 Mexc API 从 TradingView 复制 RSI 指标值，但显示的值不正确。你能帮我找出我做错了什么吗？

async fn get_symbol_rsi(client: Client, symbol: &str) -> AppResult<f64> {
    let rsi_len = 14;
    let candles: Klines = client
        .get(format!(
            "https://contract.mexc.com/api/v1/contract/kline/{symbol}?interval=Min15"
        ))
        .send()
        .await?
        .json()
        .await?;

    let mut closes = candles.data.close.into_iter().rev().take(15);

    let mut gain = Vec::new();
    let mut loss = Vec::new();
    let mut prev_close = closes.next().unwrap();

    for close in closes {
        let diff = close - prev_close;

        if diff > 0.0 {
            gain.push(diff);
            loss.push(0.0);
        } else {
            gain.push(0.0);
            loss.push(diff.abs());
        }

        prev_close = close;
    }

    let avg_up = gain.iter().sum::<f64>() / rsi_len as f64;
    let avg_down = loss.iter().sum::<f64>() / rsi_len as f64;

    let rs = avg_up / avg_down;
    let rsi = 100.0 - (100.0 / (1.0 + rs));

    Ok(rsi)
}

感谢您的帮助。

Answer 1

与我所看到的主要区别在于，您对

avg_up

和

avg_down

变量使用简单移动平均线。

TradingView 使用修改后的指数移动平均线，称为“相对移动平均线 (RMA)”，用于这些变量的“相对强弱指数 (RSI)”。 差异在于 alpha 变量： EMA 有

alpha = 2 / (length + 1)

RMA 有

alpha = 1 / length

下面是 Rust 中的 RMA 函数：

fn rma(price_ndarray: &Array1<f32>, period: usize) -> Array1<f32>{
    let length = price_ndarray.len() - period +1;
    let mut result = Array1::<f32>::zeros(length);
    result[0] = price_ndarray.slice(s![0..period]).sum();
    for i in 1..length{
        result[i] = result[i-1]+(price_ndarray[i+period-1]-result[i-1])*(1.0/(period as f32));
    }
    
    result
}