Method: TechnicalAnalysis::Wr.calculate

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

.calculate(data, period: 14) ⇒ Array<WrValue>

Calculates the Williams %R (WR) for the data over the given period en.wikipedia.org/wiki/Williams_%25R

Parameters:

  • data (Array) —

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

  • period (Integer) (defaults to: 14) —

    The given look-back period to calculate the WR

Returns:

  • (Array<WrValue>) —

    An array of WrValue instances



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

def self.calculate(data, period: 14)
  period = period.to_i
  Validation.validate_numeric_data(data, :high, :low, :close)
  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|
    period_values << { high: v[:high], low: v[:low] }

    if period_values.size == period
      lowest_low = period_values.map { |pv| pv[:low] }.min
      highest_high = period_values.map { |pv| pv[:high] }.max

      wr = (highest_high - v[:close]) / (highest_high - lowest_low) * -100

      output << WrValue.new(date_time: v[:date_time], wr: wr)

      period_values.shift
    end
  end

  output.sort_by(&:date_time).reverse
end