Class: Quant::Indicators::Pivots::Bollinger

Inherits:
Pivot show all
Defined in:
lib/quant/indicators/pivots/bollinger.rb

Constant Summary collapse

BOLLINGER_SERIES = 
[1.0, 1.5, 1.75, 2.0, 2.25, 2.5, 2.75, 3.0].freeze

Constants inherited from Indicator

Indicator::PRIORITIES

Constants included from Mixins::UniversalFilters

Mixins::UniversalFilters::K

Instance Attribute Summary

Attributes inherited from Indicator

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

Instance Method Summary collapse

Methods inherited from Pivot

#averaging_period, #band?, #compute, #compute_extents, #compute_value, #period, #period_midpoints, #points_class, #smoothed_average_midpoint

Methods inherited from Indicator

#<<, #[], #adaptive_half_period, #adaptive_period, #compute, 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 Method Details

#compute_bands ⇒ Object 



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# File 'lib/quant/indicators/pivots/bollinger.rb', line 21

def compute_bands
  BOLLINGER_SERIES.each_with_index do |ratio, index|
    p0[index + 1] = p0.midpoint + ratio * p0.std_dev
    p0[-index - 1] = p0.midpoint - ratio * p0.std_dev
  end
end

#compute_midpoint ⇒ Object 



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# File 'lib/quant/indicators/pivots/bollinger.rb', line 11

def compute_midpoint
  values = period_points(adaptive_half_period).map(&:input)
  alpha = bars_to_alpha(adaptive_half_period)

  p0.midpoint = alpha * values.mean + (1 - alpha) * p1.midpoint
  p0.std_dev = values.standard_deviation(p0.midpoint)
end