Method: TechnicalAnalysis::Uo.calculate

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

.calculate(data, short_period: 7, medium_period: 14, long_period: 28, short_weight: 4, medium_weight: 2, long_weight: 1) ⇒ Array<UoValue>

Calculates the ultimate oscillator (UO) for the data over the given period en.wikipedia.org/wiki/Ultimate_oscillator

Parameters:

  • data (Array) —

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

  • short_period (Integer) (defaults to: 7) —

    The given short period

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

    The given medium period

  • long_period (Integer) (defaults to: 28) —

    The given long period

  • short_weight (Float) (defaults to: 4) —

    Weight of short Buying Pressure average for UO

  • medium_weight (Float) (defaults to: 2) —

    Weight of medium Buying Pressure average for UO

  • long_weight (Float) (defaults to: 1) —

    Weight of long Buying Pressure average for UO

Returns:

  • (Array<UoValue>) —

    An array of UoValue instances



57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
 
# File 'lib/technical_analysis/indicators/uo.rb', line 57

def self.calculate(data, short_period: 7, medium_period: 14, long_period: 28, short_weight: 4, medium_weight: 2, long_weight: 1)
  short_period = short_period.to_i
  medium_period = medium_period.to_i
  long_period = long_period.to_i
  short_weight = short_weight.to_f
  medium_weight = medium_weight.to_f
  long_weight = long_weight.to_f
  Validation.validate_numeric_data(data, :high, :low, :close)
  Validation.validate_length(data, min_data_size(long_period: long_period))
  Validation.validate_date_time_key(data)

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

  output = []
  period_values = []
  prior_close = data.shift[:close]
  sum_of_weights = ArrayHelper.sum([short_weight, medium_weight, long_weight])

  data.each do |v|
    min_low_p_close = [v[:low], prior_close].min
    max_high_p_close = [v[:high], prior_close].max

    buying_pressure = v[:close] - min_low_p_close
    true_range = max_high_p_close - min_low_p_close

    period_values << { buying_pressure: buying_pressure, true_range: true_range }

    if period_values.size == long_period
      short_average = calculate_average(short_period, period_values)
      medium_average = calculate_average(medium_period, period_values)
      long_average = calculate_average(long_period, period_values)
      uo = 100 * (((short_weight * short_average) + (medium_weight * medium_average) + (long_weight * long_average)) / (sum_of_weights))

      output << UoValue.new(date_time: v[:date_time], uo: uo)

      period_values.shift
    end

    prior_close = v[:close]
  end

  output.sort_by(&:date_time).reverse
end