Relative Strength Index

rsi.lisp

;; use rolling-map and average (https://gist.github.com/carboleum/c329d255746a7659cb01ba0305c1d2f0)

(defun rsi (n prices)
  (let ((gain (let ((cumul 0))
               (mapcar #'(lambda (x) (setq cumul (/ (+ (* cumul (1- n)) x) n)))
                       (cdr (rolling-map 2 #'(lambda (&rest list)
                                               (if (apply #'< list) (abs (apply #'- list)) 0))
                                         prices)))))
        (loss (let ((cumul 0))
                (mapcar #'(lambda (x) (setq cumul (/ (+ (* cumul (1- n)) x) n)))
                        (cdr (rolling-map 2 #'(lambda (&rest list)
                                                (if (apply #'> list) (abs (apply #'- list)) 0))
                                          prices))))))
    (mapcar #'(lambda (u d) (- 100 (/ 100 (1+ (/ u d)))))
            (append (list (apply #'average (subseq gain 0 n))) (subseq gain n))
            (append (list (apply #'average (subseq loss 0 n))) (subseq loss n)))))