Class: TechnicalAnalysis::Dpo

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

Overview

Detrended Price Oscillator

Class Method Summary collapse

Methods inherited from Indicator

find, roster

Class Method Details

.calculate(data, period: 20, price_key: :value) ⇒ Array<DpoValue>

Calculates the detrended price oscillator for the data over the given period en.wikipedia.org/wiki/Detrended_price_oscillator

Parameters:

  • data (Array) —

    Array of hashes with keys (:date_time, :value)

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

    The given period to calculate the SMA

  • price_key (Symbol) (defaults to: :value) —

    The hash key for the price data. Default :value

Returns:



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

def self.calculate(data, period: 20, price_key: :value)
  period = period.to_i
  price_key = price_key.to_sym
  Validation.validate_numeric_data(data, price_key)
  Validation.validate_length(data, min_data_size(period: period))
  Validation.validate_date_time_key(data)

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

  index = period + (period / 2) - 1
  midpoint_index = (period / 2) + 1
  output = []

  while index < data.size
    current_record = data[index]
    date_time = current_record[:date_time]
    current_price = current_record[price_key]

    sma_range = (index - midpoint_index - period + 2)..(index - midpoint_index + 1)
    midpoint_period_sma = ArrayHelper.average(data[sma_range].map { |v| v[price_key] })

    dpo = (current_price - midpoint_period_sma)

    output << DpoValue.new(date_time: date_time, dpo: dpo)

    index += 1
  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/dpo.rb', line 15

def self.indicator_name
  "Detrended Price Oscillator"
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/dpo.rb', line 8

def self.indicator_symbol
  "dpo"
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/dpo.rb', line 41

def self.min_data_size(period: 20, **params)
  period.to_i + (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/dpo.rb', line 22

def self.valid_options
  %i(period price_key)
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/dpo.rb', line 31

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