Class: Quant::Indicators::Pivots::Keltner

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

Constant Summary collapse

KELTNER_SERIES = 
[0.236, 0.382, 0.500, 0.618, 0.786, 1.0].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

#atr_point ⇒ Object 



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# File 'lib/quant/indicators/pivots/keltner.rb', line 8

def atr_point
  series.indicators[source].atr.points[t0]
end

#compute_bands ⇒ Object 



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# File 'lib/quant/indicators/pivots/keltner.rb', line 23

def compute_bands
  atr_value = atr_point.value * scale

  KELTNER_SERIES.each_with_index do |ratio, index|
    offset = ratio * atr_value
    p0[index + 1] = p0.midpoint + offset
    p0[-index - 1] = p0.midpoint - offset
  end
end

#compute_midpoint ⇒ Object 



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# File 'lib/quant/indicators/pivots/keltner.rb', line 16

def compute_midpoint
  alpha = bars_to_alpha(min_period)
  p0.midpoint = alpha * p0.input + (1 - alpha) * p1.midpoint
end

#scale ⇒ Object 



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# File 'lib/quant/indicators/pivots/keltner.rb', line 12

def scale
  3.0
end