-1

我正在创建一个简单的函数来计算相对强度指数 ( RSI)。我正在遵循本网站http://stockcharts.com/school/doku.php?st=stochastic+rsi&id=chart_school:technical_indicators:relative_strength_index_rsi的说明

对于这些示例值，代码可以完美运行。但是对于来自 MetaTrader 4 的任何外汇数据，MetaTrader 中的预期值是不同的。

这是我正在使用的简化代码：

double CalculateRSISimple(std::vector<ROWDATA>& aData, int nPos, int RSIPeriod)
{
    double dTotalGain = 0;
    double dTotalLoss = 0;
    double dRS = 0;
    double dRSI = 0;

    int nOffset = 0;
    int nPrevOffset = 0;
    for (int n = RSIPeriod-1; n >= 0; n--)
    {
        nOffset = nPos - n;
        nPrevOffset = nOffset - 1;

        double dDiff = aData[nOffset].dClose - aData[nPrevOffset].dClose;

        if (dDiff > 0)
        {
            dTotalGain += dDiff;
        }
        else
        {
            dTotalLoss -= dDiff;
        }
    }

    double dAveGain = dTotalGain / double(RSIPeriod);
    double dAveLoss = dTotalLoss / double(RSIPeriod);

    dRS = dAveGain / dAveLoss;
    dRSI = 100.0 - (100.0 / (1 + dRS));

    return dRSI;
}

它与此示例数据完美配合：

void TestRSI_1()
{
    // TEST

    std::vector<ROWDATA> vRowData;
    ROWDATA rowTemp;

    rowTemp.dClose = 44.338900;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 44.090200;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 44.149700;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 43.612400;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 44.327800;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 44.826400;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 45.095500;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 45.424500;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 45.843300;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 46.082600;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 45.893100;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 46.032800;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 45.614000;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 46.282000;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 46.282000;
    vRowData.push_back(rowTemp);

    double dRSI = CalculateRSISimple(vRowData, 14, 14);

    if (fabs(dRSI - 70.5328) < 0.0001)
    {
        printf("... Test Passsed %f. Expected %f\n", dRSI, 70.5328);
    }
    else
    {
        printf("... Test Failed %f. Expected %f\n", dRSI, 70.5328);
    }
}

但是当我尝试使用外汇数据时，结果与 MetaTrader 4 的预期完全不同：

void TestRSI_3()
{
    // TEST

    std::vector<ROWDATA> vRowData;
    ROWDATA rowTemp;

    rowTemp.dClose = 1.11919; // 0:00
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11932;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11879;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11847;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11867;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11845;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11836;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11817;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11826;
    vRowData.push_back(rowTemp);

    rowTemp.dClose = 1.11823;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11842;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11859;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11874;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11876;
    vRowData.push_back(rowTemp);
    rowTemp.dClose = 1.11915;
    vRowData.push_back(rowTemp);

    double dRSI = CalculateRSISimple(vRowData, 14, 14);
    double dExpected = 58.4792;

    if (fabs(dRSI - dExpected) < 0.0001)
    {
        printf("... Test Passsed %f. Expected %f\n", dRSI, dExpected);
    }
    else
    {
        printf("... Test Failed %f. Expected %f\n", dRSI, dExpected);
    }
}

这是输出：

    Test Passsed 70.532789. Expected 70.532800
    Test Failed 49.264706. Expected 58.479200

我想知道 MetaTrader4RSI的计算方式是否不同？

有任何想法吗？

4

1 回答 1

-1

找到了解决方案。我忘记平滑系列中的下一个元素。

于 2015-10-02T11:16:27.293 回答