Module: Quant::Mixins::WeightedMovingAverage

Included in:
MovingAverages
Defined in:
lib/quant/mixins/weighted_moving_average.rb

Instance Method Summary collapse

Instance Method Details

#extended_weighted_moving_average(source) ⇒ Float Also known as: ewma

Computes the Weighted Moving Average (WMA) of the series, using the seven most recent data points.

Examples:

p0.wma = weighted_average(:close_price)

Parameters:

  • source (Symbol) —

    the source of the data points to be used in the calculation.

Returns:

  • (Float) —

    the weighted average of the series.

Raises:

  • (ArgumentError) —

    if the source is not a Symbol.



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# File 'lib/quant/mixins/weighted_moving_average.rb', line 31

def extended_weighted_moving_average(source)
  raise ArgumentError, "source must be a Symbol" unless source.is_a?(Symbol)

  [7.0 * p0.send(source),
   6.0 * p1.send(source),
   5.0 * p2.send(source),
   4.0 * p3.send(source),
   3.0 * p(4).send(source),
   2.0 * p(5).send(source),
   p(6).send(source)].sum / 28.0
end

#weighted_moving_average(source) ⇒ Float Also known as: wma

Computes the Weighted Moving Average (WMA) of the series, using the four most recent data points.

Examples:

p0.wma = weighted_average(:close_price)

Parameters:

  • source (Symbol) —

    the source of the data points to be used in the calculation.

Returns:

  • (Float) —

    the weighted average of the series.

Raises:

  • (ArgumentError) —

    if the source is not a Symbol.



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# File 'lib/quant/mixins/weighted_moving_average.rb', line 14

def weighted_moving_average(source)
  raise ArgumentError, "source must be a Symbol" unless source.is_a?(Symbol)

  [4.0 * p0.send(source),
   3.0 * p1.send(source),
   2.0 * p2.send(source),
   p3.send(source)].sum / 10.0
end