perf: limit rsi signal to trailing window

app/strategies/quant_algos/mean_reversion_algos.py

@@ -55,13 +55,15 @@ def rsi_signal(
     """RSI. Oversold (< 30) -> positive, overbought (> 70) -> negative."""
     if len(prices) < period + 1:
         return 0.0, f"warming up ({len(prices)}/{period+1})"
+
     gains, losses = [], []
-    for i in range(1, len(prices)):
+    start = len(prices) - period
+    for i in range(start, len(prices)):
         ch = prices[i] - prices[i - 1]
         gains.append(ch if ch > 0 else 0)
         losses.append(-ch if ch < 0 else 0)
-    avg_gain = sum(gains[-period:]) / period
-    avg_loss = sum(losses[-period:]) / period
+    avg_gain = sum(gains) / period
+    avg_loss = sum(losses) / period
     if avg_loss == 0:
         rsi = 100.0
     else:

shared/tests/test_mean_reversion_algos.py

@@ -0,0 +1,35 @@
+from app.strategies.quant_algos.mean_reversion_algos import rsi_signal
+
+
+def _legacy_rsi_signal(prices, period=14, overbought=70, oversold=30):
+    if len(prices) < period + 1:
+        return 0.0, f"warming up ({len(prices)}/{period+1})"
+    gains, losses = [], []
+    for i in range(1, len(prices)):
+        ch = prices[i] - prices[i - 1]
+        gains.append(ch if ch > 0 else 0)
+        losses.append(-ch if ch < 0 else 0)
+    avg_gain = sum(gains[-period:]) / period
+    avg_loss = sum(losses[-period:]) / period
+    if avg_loss == 0:
+        rsi = 100.0
+    else:
+        rs = avg_gain / avg_loss
+        rsi = 100 - (100 / (1 + rs))
+    if rsi <= oversold:
+        sig = 0.5
+    elif rsi >= overbought:
+        sig = -0.5
+    else:
+        sig = (50 - rsi) / 50
+    return max(-1, min(1, sig)), f"RSI={rsi:.1f}"
+
+
+def test_rsi_signal_matches_legacy_result_on_long_history():
+    prices = [100 + ((i * 17) % 23) - ((i * 5) % 11) + (i * 0.01) for i in range(5000)]
+
+    assert rsi_signal(prices, period=14) == _legacy_rsi_signal(prices, period=14)
+
+
+def test_rsi_signal_keeps_warmup_message():
+    assert rsi_signal([100.0, 101.0], period=14) == (0.0, "warming up (2/15)")