Class: TechnicalAnalysis::Momentum::Rsi

Inherits:
Object
  • Object
show all
Defined in:
lib/technical_analysis/momentum/rsi.rb

Instance Method Summary collapse

Constructor Details

#initialize(period: 15, data: [], strict: true) ⇒ Rsi

The RSI is calulated by

            ExpMA( Deltas of up-trending Periods )
 RSI  =   ----------------------------------------------
           ExpMA( Deltas of down-trending Periods )

If the average of Delta values is zero, then according to the equation, the RS value will approach infinitiy



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# File 'lib/technical_analysis/momentum/rsi.rb', line 19

def initialize period: 15, data: [], strict: true
  # strict is always true

  raise "Periods must be greater then one" if period <= 1

  @queue = []
  @buffer = []
  @period= period

  @emas = [ TechnicalAnalysis::MovingAverage::ExpMA.new( period: period, strict: true ),
            TechnicalAnalysis::MovingAverage::ExpMA.new( period: period, 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/rsi.rb', line 37

def add_item  value
  @queue << value.to_f

  up_or_down =  -> (previous, actual) do
    if actual >= previous
      [actual-previous,0]
    else
      [0,previous-actual]
    end
  end

  if @queue.size < 2
    @buffer << nil
  else
    # up-trend-data are added to @emas.first, downtrend-data to @emas.last
    # the lambda up_and_down always returns positve data (or "0")

    @emas.zip( up_or_down[ *@queue[-2,2] ] ).each { | exp_ma, item | exp_ma.add_item item }

    if @emas.first.current.present?
      @buffer <<  100 - ( 100 / (1 + ( @emas.first.current / @emas.last.current rescue 100 ) ) )
    end

    current   #  return the last buffer value
  end
end

#current ⇒ Object

returns the ema if the last computed item



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# File 'lib/technical_analysis/momentum/rsi.rb', line 70

def current
  @buffer.last
end

#momentum ⇒ Object

returns the ema-buffer



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# File 'lib/technical_analysis/momentum/rsi.rb', line 65

def  momentum
  @buffer
end