Class: TechnicalAnalysis::Momentum::Tsi

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

Instance Method Summary collapse

Constructor Details

#initialize(low: 13, high: 25, data: [], strict: true) ⇒ Tsi

ExpMA(low) ( ExpMA(high ) prices )

TSI  =   ----------------------------------------------
          ExpMA(low) ( ExpMA(high ) prices.abs  )

While the TSI output is bound between 1 and −1, most values fall between 0.25 and −0.25. Blau suggests interpreting these values as overbought and oversold levels, respectively, at which point a trader may anticipate a market turn.

Trend direction is indicated by the slope of the TSI; a rising TSI suggests an up-trend in the market, and a falling TSI suggests a down-trend



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# File 'lib/technical_analysis/momentum/tsi.rb', line 21

def initialize low: 13, high: 25, data: [], strict: true
  # strict is always true

  raise "Periods must be greater then one" if  low <= 1 || high <= 1
  raise "high must be greater then low" if  low > high 

  @queue = []
  @buffer = []
  @low= low
  @high = high

  @emas = { high:  TechnicalAnalysis::MovingAverage::ExpMA.new( period: high, strict: true ),
            low:       TechnicalAnalysis::MovingAverage::ExpMA.new( period: low, strict: true  ),
            high_abs:  TechnicalAnalysis::MovingAverage::ExpMA.new( period: high, strict: true  ),
            low_abs:   TechnicalAnalysis::MovingAverage::ExpMA.new(  period: low, 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/tsi.rb', line 43

def add_item  value
  @queue << value.to_f

  if @queue.size < 2
    @buffer << nil
  else
    momentum =  @queue.last - @queue[-2]
    @emas[:high].add_item momentum
    @emas[:high_abs].add_item momentum.abs

    if @emas[:high].current.present?
      @emas[:low].add_item @emas[:high].current
      @emas[:low_abs].add_item @emas[:high_abs].current
    end

    #puts "momentum:  #{@emas[:low].current} <--> #{@emas[:low_abs].current}"
    if @emas[:low].current.present?   # warmup perioda is over
      @buffer << @emas[:low].current / @emas[:low_abs].current
    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/tsi.rb', line 73

def current
   @buffer.last
end

#momentum ⇒ Object

returns the ema-buffer



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# File 'lib/technical_analysis/momentum/tsi.rb', line 68

def momentum 
  @buffer
end