Class: Indicators::Macd

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

Overview

Moving Average Convergence Divergence

Class Method Summary collapse

Class Method Details

.calculate(data, parameters) ⇒ Object

MACD Line: (12-day EMA - 26-day EMA) Signal Line: 9-day EMA of MACD Line MACD Histogram: MACD Line - Signal Line Default MACD(12, 26, 9)



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# File 'lib/indicators/calculations/macd.rb', line 10

def self.calculate data, parameters
  faster_periods = parameters[0]
  slower_periods = parameters[1]
  signal_periods = parameters[2]
  output = Array.new
  adj_closes = Indicators::Helper.validate_data(data, :adj_close, slower_periods+signal_periods-1)
  # puts "faster=#{faster_periods}, slower=#{slower_periods}, signal=#{signal_periods}"

  macd_line = []

  adj_closes.each_with_index do |adj_close, index|
    if index+1 >= slower_periods
      # Calibrate me! Not sure why it doesn't accept from or from_faster.
      faster_ema = Indicators::Ema.calculate(adj_closes[0..index], faster_periods).last
      slower_ema = Indicators::Ema.calculate(adj_closes[0..index], slower_periods).last
      macd_line[index] = faster_ema - slower_ema
      if index+1 >= slower_periods+signal_periods
        signal_line = Indicators::Ema.calculate(macd_line[(-signal_periods)..index], signal_periods).last 
        # Output is [MACD, Signal, MACD Hist]
        macd_histogram = macd_line[index] - signal_line
        output[index] = [macd_line[index], signal_line, macd_histogram]
      else 
        output[index] = [macd_line[index], nil, nil]
      end
    else
      macd_line[index] = nil
      output[index] = nil
    end
  end

  return output

end