Class: TechnicalAnalysis::Cci

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

Class Method Summary collapse

Methods inherited from Indicator

find, roster

Class Method Details

.calculate(data, period: 20, constant: 0.015) ⇒ Array<CciValue>

Calculates the commodity channel index (CCI) for the data over the given period en.wikipedia.org/wiki/Commodity_channel_index

Parameters:

  • data (Array) —

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

  • period (Integer) (defaults to: 20) —

    The given period to calculate the CCI

  • constant (Float) (defaults to: 0.015) —

    The given constant to ensure that approximately 70 to 80 percent of CCI values would fall between −100 and +100

Returns:

  • (Array<CciValue>) —

    An array of CciValue instances



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# File 'lib/technical_analysis/indicators/cci.rb', line 53

def self.calculate(data, period: 20, constant: 0.015)
  period = period.to_i
  constant = constant.to_f
  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] }

  output = []
  typical_prices = []

  data.each do |v|
    typical_price = StockCalculation.typical_price(v)
    typical_prices << typical_price

    if typical_prices.size == period
      period_sma = ArrayHelper.average(typical_prices)
      mean_deviation = ArrayHelper.mean(typical_prices.map { |tp| (tp - period_sma).abs })
      cci = (typical_price - period_sma) / (constant * mean_deviation)

      output << CciValue.new(date_time: v[:date_time], cci: cci)

      typical_prices.shift
    end
  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/cci.rb', line 14

def self.indicator_name
  "Commodity Channel 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/cci.rb', line 7

def self.indicator_symbol
  "cci"
end

.min_data_size(period: 20, **params) ⇒ 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/cci.rb', line 40

def self.min_data_size(period: 20, **params)
  period.to_i
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/cci.rb', line 21

def self.valid_options
  %i(period constant)
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/cci.rb', line 30

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