Class: Indicators::Sto

Inherits:
Object
  • Object
show all
Defined in:
lib/indicators/calculations/sto.rb

Overview

Full Stochastic Oscillator

Class Method Summary collapse

Class Method Details

.calculate(data, parameters) ⇒ Object

%K = (Current Close - Lowest Low)/(Highest High - Lowest Low) * 100 %D = 3-day SMA of %K Lowest Low = lowest low for the look-back period Highest High = highest high for the look-back period %K is multiplied by 100 to move the decimal point two places

Full %K = Fast %K smoothed with X-period SMA Full %D = X-period SMA of Full %K

Input 14, 3, 5 Returns [full %K, full %D]



17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
 
# File 'lib/indicators/calculations/sto.rb', line 17

def self.calculate data, parameters
  k1_periods = parameters[0]
  k2_periods = parameters[1]
  d_periods = parameters[2]
  output = Array.new
  adj_closes = Indicators::Helper.validate_data(data, :adj_close, k1_periods)
  highs = Indicators::Helper.validate_data(data, :high, k1_periods)
  lows = Indicators::Helper.validate_data(data, :low, k1_periods)

  k1 = []
  k2 = []
  d = []
  adj_closes.each_with_index do |adj_close, index|
    start = index+1-k1_periods
    if index+1 >= k1_periods
      k1[index] = (adj_close - lows[start..index].min) / (highs[start..index].max - lows[start..index].min) * 100
      if index+2 >= k1_periods + k2_periods
        k2[index] = Indicators::Sma.calculate(k1[(k1_periods-1)..index], k2_periods).last
      else 
        k2[index] = nil
      end
      if index+3 >= k1_periods + k2_periods + d_periods
        d[index] = Indicators::Sma.calculate(k2[(k1_periods + k2_periods - 2)..index], d_periods).last
      else
        d[index] = nil
      end
    else
      k1[index] = nil
    end
    output[index] = [k1[index], k2[index], d[index]]
  end

  return output

end