Class: Quant::Indicators::Atr

Inherits:
Indicator show all
Defined in:
lib/quant/indicators/atr.rb

Constant Summary

Constants inherited from Indicator

Indicator::PRIORITIES

Constants included from Mixins::UniversalFilters

Mixins::UniversalFilters::K

Instance Attribute Summary collapse

Attributes inherited from Indicator

#p0, #p1, #p2, #p3, #series, #source, #t0, #t1, #t2, #t3

Instance Method Summary collapse

Methods inherited from Indicator

#<<, #[], #adaptive_half_period, #adaptive_period, dependent_indicator_classes, depends_on, #dominant_cycle, #dominant_cycle_indicator_class, #dominant_cycle_kind, #each, #half_period, #indicator_name, #initialize, #input, #inspect, #max_period, #micro_period, #min_period, #p, #period_points, #pivot_kind, #points_class, #priority, register, #size, #t, #ticks, #values, #warmed_up?

Methods included from Mixins::FisherTransform

#fisher_transform, #inverse_fisher_transform, #relative_fisher_transform

Methods included from Mixins::Stochastic

#stochastic

Methods included from Mixins::SuperSmoother

#three_pole_super_smooth, #two_pole_super_smooth

Methods included from Mixins::HilbertTransform

#hilbert_transform

Methods included from Mixins::ExponentialMovingAverage

#exponential_moving_average

Methods included from Mixins::SimpleMovingAverage

#simple_moving_average

Methods included from Mixins::WeightedMovingAverage

#extended_weighted_moving_average, #weighted_moving_average

Methods included from Mixins::UniversalFilters

#universal_band_pass, #universal_ema, #universal_filter, #universal_one_pole_high_pass, #universal_one_pole_low_pass, #universal_two_pole_high_pass, #universal_two_pole_low_pass

Methods included from Mixins::ButterworthFilters

#three_pole_butterworth, #two_pole_butterworth

Methods included from Mixins::HighPassFilters

#high_pass_filter, #hpf2, #two_pole_high_pass_filter

Methods included from Mixins::Functions

#angle, #bars_to_alpha, #deg2rad, #period_to_alpha, #rad2deg

Constructor Details

This class inherits a constructor from Quant::Indicators::Indicator

Instance Attribute Details

#points ⇒ Object (readonly)

Returns the value of attribute points.



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# File 'lib/quant/indicators/atr.rb', line 30

def points
  @points
end

Instance Method Details

#compute ⇒ Object

  • Multiply the previous 14-day ATR by 13.

    • Add the most recent day’s TR value.

    • Divide the total by 14



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# File 'lib/quant/indicators/atr.rb', line 55

def compute
  p0.period = period
  p0.tr = (t1.high_price - t0.close_price).abs

  p0.value = three_pole_super_smooth :tr, period:, previous: :value

  p0.slow = (slow_alpha * p0.value) + ((1.0 - slow_alpha) * p1.slow)
  p0.fast = (fast_alpha * p0.value) + ((1.0 - fast_alpha) * p1.fast)

  p0.inst_stoch = stochastic :value, period:
  p0.stoch = three_pole_super_smooth(:inst_stoch, previous: :stoch, period:).clamp(0, 100)
  p0.stoch_up = p0.stoch >= 70
  p0.stoch_turned = p0.stoch_up && !p1.stoch_up
  compute_oscillator
end

#compute_oscillator ⇒ Object 



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# File 'lib/quant/indicators/atr.rb', line 71

def compute_oscillator
  p0.osc = p0.value - wma(:value)
  p0.crossed = :up if p0.osc >= 0 && p1.osc < 0
  p0.crossed = :down if p0.osc <= 0 && p1.osc > 0
end

#fast_alpha ⇒ Object 



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# File 'lib/quant/indicators/atr.rb', line 36

def fast_alpha
  period_to_alpha(period)
end

#period ⇒ Object 



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# File 'lib/quant/indicators/atr.rb', line 32

def period
  dc_period / 2
end

#slow_alpha ⇒ Object 



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# File 'lib/quant/indicators/atr.rb', line 40

def slow_alpha
  period_to_alpha(2 * period)
end