Method: TechnicalAnalysis::Cmf.calculate

Defined in:
lib/technical_analysis/indicators/cmf.rb

.calculate(data, period: 20) ⇒ Array<CmfValue>

Calculates the chaikin money flow (CMF) for the data over the given period stockcharts.com/school/doku.php?id=chart_school:technical_indicators:chaikin_money_flow_cmf

Parameters:

  • data (Array) —

    Array of hashes with keys (:date_time, :high, :low, :close, :volume)

  • period (Integer) (defaults to: 20) —

    The given period to calculate the CMF

Returns:

  • (Array<CmfValue>) —

    An array of CmfValue instances



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# File 'lib/technical_analysis/indicators/cmf.rb', line 52

def self.calculate(data, period: 20)
  period = period.to_i
  Validation.validate_numeric_data(data, :high, :low, :close, :volume)
  Validation.validate_length(data, min_data_size(period: period))
  Validation.validate_date_time_key(data)

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

  output = []
  period_values = []

  data.each do |v|
    multiplier = ((v[:close] - v[:low]) - (v[:high] - v[:close])) / (v[:high] - v[:low])
    mf_volume = multiplier * v[:volume]

    period_values << { volume: v[:volume], mf_volume: mf_volume }

    if period_values.size == period
      volume_sum = ArrayHelper.sum(period_values.map { |pv| pv[:volume] })
      mf_volume_sum = ArrayHelper.sum(period_values.map { |pv| pv[:mf_volume] })
      cmf = mf_volume_sum / volume_sum

      output << CmfValue.new(date_time: v[:date_time], cmf: cmf)

      period_values.shift
    end
  end

  output.sort_by(&:date_time).reverse
end