Class: Quant::Indicators::Pivots::Guppy

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

Constant Summary

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

The short-term MAs are typically set at 3, 5, 8, 10, 12, and 15 periods. The longer-term MAs are typically set at 30, 35, 40, 45, 50, and 60.



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# File 'lib/quant/indicators/pivots/guppy.rb', line 20

def compute_bands
  p0[1] = guppy_ema(5,  1)
  p0[2] = guppy_ema(8,  2)
  p0[3] = guppy_ema(10, 3)
  p0[4] = guppy_ema(12, 4)
  p0[5] = guppy_ema(15, 5)
  p0[6] = guppy_ema(20, 6)
  p0[7] = guppy_ema(25, 7)

  p0[-1] = guppy_ema(30, -1)
  p0[-2] = guppy_ema(35, -2)
  p0[-3] = guppy_ema(40, -3)
  p0[-4] = guppy_ema(45, -4)
  p0[-5] = guppy_ema(50, -5)
  p0[-6] = guppy_ema(60, -6)
  p0[-7] = guppy_ema(120, -7)
  p0[-8] = guppy_ema(200, -8)
end

#compute_midpoint ⇒ Object 



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# File 'lib/quant/indicators/pivots/guppy.rb', line 14

def compute_midpoint
  p0.midpoint = guppy_ema(3, 0)
end

#guppy_ema(period, band) ⇒ Object 



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# File 'lib/quant/indicators/pivots/guppy.rb', line 7

def guppy_ema(period, band)
  return p0.input unless p1[band]

  alpha = bars_to_alpha(period)
  alpha * p0.input + (1 - alpha) * p1[band]
end