Class: TechnicalAnalysis::MovingAverage::ExpMA

Inherits:
Base
  • Object
show all
Defined in:
lib/technical_analysis/moving-average/exp-ma.rb

Overview

Calculates the exponential moving average (EMA) for the data over the given period en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

Takes a block which replaces the smooth-constant

z = Symbols::Futures.mini_dax.eod( duration: '90 d')
TechnicalAnalysis::MovingAverage::ExpMA.new( data=z.map(&:close))

returns an array with the calculated moving-average data

ema = TechnicalAnalysis::MovingAverage::ExpMA.new( default_value = z.first[:close])
moving_average = z.map{|x| EMA.new x.time,  ema.add_item(x.close)}

returns an array of EMA-Objects

Instance Method Summary collapse

Methods inherited from Base

#current, #ma

Constructor Details

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

Returns a new instance of ExpMA.



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# File 'lib/technical_analysis/moving-average/exp-ma.rb', line 23

def initialize period: 15, data: [], strict: true
  super

  @smooth_constant = if block_given? 
                       yield period
                     else
                       (2.0 / (period + 1.0))
                     end
  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/moving-average/exp-ma.rb', line 37

def add_item  value
  @queue << value
  @queue.shift if @queue.size > @period
  if @buffer.empty?
    @buffer=[value.to_f]
  else
    prev_ema = @buffer.last
    current_value = value.to_f
    @buffer << (current_value - prev_ema) * @smooth_constant + prev_ema
  end
 current  #  return the last buffer value
end