Class: TechnicalAnalysis::Adx

Inherits:
Indicator show all
Defined in:
lib/technical_analysis/indicators/adx.rb

Overview

Average Direcitonal Index

Defined Under Namespace

Classes: AdxValue

Class Method Summary collapse

Methods inherited from Indicator

find, roster

Class Method Details

.calculate(data, period: 14) ⇒ Array<AdxValue>

Calculates the average directional index (ADX) for the data over the given period en.wikipedia.org/wiki/Average_directional_movement_index

Parameters:

  • data (Array) —

    Array of hashes with keys (:date_time, :high, :low, :close)

  • period (Integer) (defaults to: 14) —

    The given period to calculate the ADX

Returns:

  • (Array<AdxValue>) —

    An array of AdxValue instances



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# File 'lib/technical_analysis/indicators/adx.rb', line 52

def self.calculate(data, period: 14)
  period = period.to_i
  Validation.validate_numeric_data(data, :high, :low, :close)
  Validation.validate_length(data, min_data_size(period: period))
  Validation.validate_date_time_key(data)

  data = data.sort_by { |row| row[:date_time] }

  dx_values = []
  output = []
  periodic_values = []
  prev_adx = nil
  prev_price = data.shift
  smoothed_values = []

  data.each do |v|
    tr = StockCalculation.true_range(v[:high], v[:low], prev_price[:close])

    dm_pos, dm_neg = calculate_dm(v, prev_price)

    periodic_values << { tr: tr, dm_pos: dm_pos, dm_neg: dm_neg }

    if periodic_values.size == period
      tr_period, dm_pos_period, dm_neg_period = smooth_periodic_values(period, periodic_values, smoothed_values)
      smoothed_values << { tr: tr_period, dm_pos: dm_pos_period, dm_neg: dm_neg_period }

      di_pos = (dm_pos_period / tr_period) * 100.00
      di_neg = (dm_neg_period / tr_period) * 100.00
      dx = ((dm_pos_period - dm_neg_period).abs / (dm_pos_period + dm_neg_period) * 100.00)

      dx_values << dx

      if dx_values.size == period
        if prev_adx.nil?
          adx = ArrayHelper.average(dx_values)
        else
          adx = ((prev_adx * (period - 1)) + dx) / period.to_f
        end

        output << AdxValue.new(date_time: v[:date_time], adx: adx, di_pos: di_pos, di_neg: di_neg)

        prev_adx = adx
        dx_values.shift
      end

      periodic_values.shift
    end

    prev_price = v
  end

  output.sort_by(&:date_time).reverse
end

.indicator_name ⇒ String

Returns the name of the technical indicator

Returns:

  • (String) —

    A string of the name of the technical indicator



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# File 'lib/technical_analysis/indicators/adx.rb', line 15

def self.indicator_name
  "Average Directional Index"
end

.indicator_symbol ⇒ String

Returns the symbol of the technical indicator

Returns:

  • (String) —

    A string of the symbol of the technical indicator



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# File 'lib/technical_analysis/indicators/adx.rb', line 8

def self.indicator_symbol
  "adx"
end

.min_data_size(period: 14) ⇒ Integer

Calculates the minimum number of observations needed to calculate the technical indicator

Parameters:

  • options (Hash) —

    The options for the technical indicator

Returns:

  • (Integer) —

    Returns the minimum number of observations needed to calculate the technical indicator based on the options provided



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# File 'lib/technical_analysis/indicators/adx.rb', line 41

def self.min_data_size(period: 14)
  period.to_i * 2
end

.valid_options ⇒ Array

Returns an array of valid keys for options for this technical indicator

Returns:

  • (Array) —

    An array of keys as symbols for valid options for this technical indicator



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# File 'lib/technical_analysis/indicators/adx.rb', line 22

def self.valid_options
  %i(period)
end

.validate_options(options) ⇒ Boolean

Validates the provided options for this technical indicator

Parameters:

  • options (Hash) —

    The options for the technical indicator to be validated

Returns:

  • (Boolean) —

    Returns true if options are valid or raises a ValidationError if they’re not



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# File 'lib/technical_analysis/indicators/adx.rb', line 31

def self.validate_options(options)
  Validation.validate_options(options, valid_options)
end