Class: TechnicalAnalysis::Tsi

Inherits:
Indicator show all
Defined in:
lib/technical_analysis/indicators/tsi.rb

Overview

True Strength Index

Class Method Summary collapse

Methods inherited from Indicator

find, roster

Class Method Details

.calculate(data, low_period: 13, high_period: 25, price_key: :value) ⇒ Array<TsiValue>

Calculates the true strength index (TSI) for the data over the given period en.wikipedia.org/wiki/True_strength_index



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# File 'lib/technical_analysis/indicators/tsi.rb', line 54

def self.calculate(data, low_period: 13, high_period: 25, price_key: :value)
  low_period = low_period.to_i
  high_period = high_period.to_i
  price_key = price_key.to_sym
  Validation.validate_numeric_data(data, price_key)
  Validation.validate_length(data, min_data_size(low_period: low_period, high_period: high_period))
  Validation.validate_date_time_key(data)

  data = data.sort_by { |row| row[:date_time] }

  high_emas = []
  high_multiplier = (2.0 / (high_period + 1.0))
  low_emas = []
  low_multiplier = (2.0 / (low_period + 1.0))
  momentum_values = []
  output = []
  prev_price = data.shift[price_key]

  data.each do |v|
    current_price = v[price_key]
    momentum = current_price - prev_price
    momentum_hash = { value: momentum, abs_value: momentum.abs }

    momentum_values << momentum_hash

    if momentum_values.size == high_period
      high_emas << process_ema(momentum_hash, momentum_values, high_multiplier, high_period, high_emas)

      if high_emas.size == low_period
        low_ema = process_ema(high_emas.last, high_emas, low_multiplier, low_period, low_emas)
        low_emas << low_ema

        output << TsiValue.new(
          date_time: v[:date_time],
          tsi: ((100 * (low_ema[:value] / low_ema[:abs_value])))
        )

        low_emas.shift if low_emas.size > 1 # Only need to retain the last low_ema
        high_emas.shift
      end

      momentum_values.shift
    end

    prev_price = current_price
  end
  
  output.sort_by(&:date_time).reverse
end

.indicator_name ⇒ String

Returns the name of the technical indicator



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# File 'lib/technical_analysis/indicators/tsi.rb', line 15

def self.indicator_name
  "True Strength Index"
end

.indicator_symbol ⇒ String

Returns the symbol of the technical indicator



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# File 'lib/technical_analysis/indicators/tsi.rb', line 8

def self.indicator_symbol
  "tsi"
end

.min_data_size(low_period: 13, high_period: 25, **params) ⇒ Integer

Calculates the minimum number of observations needed to calculate the technical indicator



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# File 'lib/technical_analysis/indicators/tsi.rb', line 41

def self.min_data_size(low_period: 13, high_period: 25, **params)
  low_period.to_i + high_period.to_i
end

.valid_options ⇒ Array

Returns an array of valid keys for options for this technical indicator



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# File 'lib/technical_analysis/indicators/tsi.rb', line 22

def self.valid_options
  i(low_period high_period price_key)
end

.validate_options(options) ⇒ Boolean

Validates the provided options for this technical indicator



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# File 'lib/technical_analysis/indicators/tsi.rb', line 31

def self.validate_options(options)
  Validation.validate_options(options, valid_options)
end