Class: TechnicalAnalysis::Macd

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

Overview

Moving Average Convergence Divergence

Class Method Summary collapse

Methods inherited from Indicator

find, roster

Class Method Details

.calculate(data, fast_period: 12, slow_period: 26, signal_period: 9, price_key: :value) ⇒ Array<MacdValue>

Calculates the moving average convergence divergence (MACD) for the data over the given period en.wikipedia.org/wiki/MACD

Parameters:

  • data (Array) —

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

  • fast_period (Integer) (defaults to: 12) —

    The given period to calculate the fast moving EMA for MACD

  • slow_period (Integer) (defaults to: 26) —

    The given period to calculate the slow moving EMA for MACD

  • signal_period (Integer) (defaults to: 9) —

    The given period to calculate the signal line for MACD

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

    The hash key for the price data. Default :value

Returns:

  • (Array<MacdValue>) —

    An array of MacdValue instances



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# File 'lib/technical_analysis/indicators/macd.rb', line 55

def self.calculate(data, fast_period: 12, slow_period: 26, signal_period: 9, price_key: :value)
  fast_period = fast_period.to_i
  slow_period = slow_period.to_i
  signal_period = signal_period.to_i
  price_key = price_key.to_sym
  Validation.validate_numeric_data(data, price_key)
  Validation.validate_length(data, min_data_size(slow_period: slow_period, signal_period: signal_period))
  Validation.validate_date_time_key(data)

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

  macd_values = []
  output = []
  period_values = []
  prev_fast_ema = nil
  prev_signal = nil
  prev_slow_ema = nil

  data.each do |v|
    period_values << v[price_key]

    if period_values.size >= fast_period
      fast_ema = StockCalculation.ema(v[price_key], period_values, fast_period, prev_fast_ema)
      prev_fast_ema = fast_ema

      if period_values.size == slow_period
        slow_ema = StockCalculation.ema(v[price_key], period_values, slow_period, prev_slow_ema)
        prev_slow_ema = slow_ema

        macd = fast_ema - slow_ema
        macd_values << macd
        
        if macd_values.size == signal_period
          signal = StockCalculation.ema(macd, macd_values, signal_period, prev_signal)
          prev_signal = signal

          output << MacdValue.new(
            date_time: v[:date_time],
            macd_line: macd,
            signal_line: signal,
            macd_histogram: macd - signal,
          )

          macd_values.shift
        end

        period_values.shift
      end
    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/macd.rb', line 15

def self.indicator_name
  "Moving Average Convergence Divergence"
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/macd.rb', line 8

def self.indicator_symbol
  "macd"
end

.min_data_size(slow_period: 26, signal_period: 9, **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/macd.rb', line 41

def self.min_data_size(slow_period: 26, signal_period: 9, **params)
  slow_period.to_i + signal_period.to_i - 1
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/macd.rb', line 22

def self.valid_options
  %i(fast_period slow_period signal_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/macd.rb', line 31

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