【検証#02】MT4のRSIは本当にRSI？¶

// SMA方式（Cutler's RSI）の疑似コード
double sumGain = 0, sumLoss = 0;
for(int i = 0; i < period; i++)
{
    double change = close[i] - close[i+1];
    if(change > 0) sumGain += change;
    else           sumLoss -= change;  // 絶対値
}
double avgGain = sumGain / period;
double avgLoss = sumLoss / period;

// SMMA方式（Wilder's RSI）の疑似コード
// 初回はSMAで計算
double avgGain = sumGain / period;
double avgLoss = sumLoss / period;

// 2回目以降は前回値を引き継ぐ
avgGain = (prevAvgGain * (period - 1) + currentGain) / period;
avgLoss = (prevAvgLoss * (period - 1) + currentLoss) / period;

//+------------------------------------------------------------------+
//|                                          RSI_Comparison.mq5      |
//| 「とあるMetaTraderの備忘秘録」様の記事を検証                      |
//| https://fai-fx.hatenadiary.org/entry/20090720/1248018736         |
//+------------------------------------------------------------------+
#property copyright "FXおもしろラボ"
#property link      "https://fx-omoshiro-lab.com/"
#property version   "1.00"
#property script_show_inputs

input int RSI_Period = 14;  // RSI期間

//+------------------------------------------------------------------+
//| Script program start function                                     |
//+------------------------------------------------------------------+
void OnStart()
{
    Print("=== RSI計算方式 比較テスト ===");
    Print("通貨ペア: ", _Symbol, " | 期間: ", RSI_Period);

    // 終値を取得
    double close[];
    ArraySetAsSeries(close, true);
    int copied = CopyClose(_Symbol, PERIOD_CURRENT, 0, RSI_Period + 50, close);
    if(copied < RSI_Period + 50)
    {
        Print("データ不足: ", copied);
        return;
    }

    // 標準RSI（Wilder's/SMMA方式）
    int rsiHandle = iRSI(_Symbol, PERIOD_CURRENT, RSI_Period, PRICE_CLOSE);
    if(rsiHandle == INVALID_HANDLE)
    {
        Print("RSIハンドル取得失敗");
        return;
    }

    double rsiBuffer[];
    ArraySetAsSeries(rsiBuffer, true);
    CopyBuffer(rsiHandle, 0, 0, 10, rsiBuffer);

    // SMA方式でRSIを自前計算
    double rsiSMA = CalculateRSI_SMA(close, RSI_Period, 0);

    Print("");
    Print("--- 現在のバーでの比較 ---");
    Print("標準RSI (SMMA方式): ", DoubleToString(rsiBuffer[0], 2));
    Print("自前RSI (SMA方式) : ", DoubleToString(rsiSMA, 2));
    Print("差                : ", DoubleToString(MathAbs(rsiBuffer[0] - rsiSMA), 2));
    Print("");

    // 複数バーで比較
    Print("--- 直近10バーの比較 ---");
    Print("Bar | SMMA方式 | SMA方式  | 差");
    Print("----+----------+----------+------");

    for(int i = 0; i < 10; i++)
    {
        double smaRsi = CalculateRSI_SMA(close, RSI_Period, i);
        double diff = MathAbs(rsiBuffer[i] - smaRsi);
        PrintFormat("%3d | %8.2f | %8.2f | %5.2f", 
                    i, rsiBuffer[i], smaRsi, diff);
    }

    IndicatorRelease(rsiHandle);
    Print("");
    Print("=== テスト完了 ===");
}

//+------------------------------------------------------------------+
//| SMA方式でRSIを計算                                                |
//+------------------------------------------------------------------+
double CalculateRSI_SMA(const double &close[], int period, int shift)
{
    double sumGain = 0;
    double sumLoss = 0;

    for(int i = shift; i < shift + period; i++)
    {
        double change = close[i] - close[i + 1];
        if(change > 0)
            sumGain += change;
        else
            sumLoss -= change;  // 絶対値として加算
    }

    double avgGain = sumGain / period;
    double avgLoss = sumLoss / period;

    if(avgLoss == 0)
        return 100.0;

    double rs = avgGain / avgLoss;
    double rsi = 100.0 - (100.0 / (1.0 + rs));

    return rsi;
}