Class: TechnicalAnalysis::Momentum::Lane

Inherits:
Object
  • Object
show all
Defined in:
lib/technical_analysis/momentum/lane-stochastic.rb

Overview

Defines the Lane-Stochastics

         price   -     min(low)[period]
k =   -----------------------------------------------
        max(high)[period] -  min(low)[period]

The Stochastics may depend on

  • OHLC-Objects (IB::Bar).

Then “close” is taken as default-value of the current candle.

By specifiying the parameter “take” this can be customized.

Instance Method Summary collapse

Constructor Details

#initialize(period: 5, fast: 3, slow: 3, data: [], strict: true, take: :close) ⇒ Lane

attr :oversold, true

attr :overbought, true



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# File 'lib/technical_analysis/momentum/lane-stochastic.rb', line 24

def initialize period: 5,  fast: 3, slow: 3, data: [], strict: true, take: :close
  # note: strict is always true
  raise "Periods must be greater then one" if  period <= 1
  raise "fast must be smaller then slow" if  slow < fast 

  @queue = []
  @buffer = []
  @take =  take
  @smooth_2 = slow               # smooth-Const of StochasticsSlow
  @smooth_1 = fast               # smooth-Const of StochasticsFast
  @period = period               # period       of StochasticsLane
  @stochastics_fast = TechnicalAnalysis::MovingAverage::ExpMA.new( period: @smooth_1, strict: true)
  @stochastics_slow = TechnicalAnalysis::MovingAverage::ExpMA.new( period: @smooth_2, strict: true)
  if !data.empty?
    data.map{|d| add_item d }
  end

end

Instance Method Details

#add_item(value) ⇒ Object

adds item, calculates the ema, puts value to the buffer and returns the result



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# File 'lib/technical_analysis/momentum/lane-stochastic.rb', line 45

def add_item  value
  is_ohlc = nil
  @queue << if value.is_a? IB::Bar
              is_ohlc = true 
              value
  else
    value.to_f
  end

  if @queue.size < @period
    @buffer << nil
  else
    @queue.shift if @queue.size > @period
    the_high = is_ohlc ? @queue.map(&:high).max : @queue.max 
    the_low = is_ohlc ? @queue.map(&:low).min : @queue.min
    # the value is :close by default. But can be :wap, :typical_price aso. 
    the_value = is_ohlc ?  value.send( @take ) : value
    k = ( the_value - the_low )/ ( the_high - the_low )
    @stochastics_fast.add_item k

    out_1 = if @stochastics_fast.current.present?
              @stochastics_slow.add_item @stochastics_fast.current
              @stochastics_fast.current
            else
              nil
            end

    #puts "momentum:  #{@emas[:low].current} <--> #{@emas[:low_abs].current}"
    out_2 = if @stochastics_slow.current.present?   # warmup perioda is over
              @stochastics_slow.current
            else
              nil
            end
  end
  @buffer << { fast: out_1, slow: out_2 }

  current  #  return the last buffer value
end

#current ⇒ Object

returns the ema if the last computed item



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# File 'lib/technical_analysis/momentum/lane-stochastic.rb', line 92

def current
  obj = @buffer.last
  if obj.values.compact.empty?
    nil
  else
    obj
  end
end

#stochastics ⇒ Object Also known as: lane

returns the ema-buffer



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# File 'lib/technical_analysis/momentum/lane-stochastic.rb', line 85

def stochastics
  @buffer
end