Class: TechnicalAnalysis::Vi

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

Overview

Vortex Indicator

Class Method Summary collapse

Methods inherited from Indicator

find, roster

Class Method Details

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

Calculates the vortex indicator (VI) for the data over the given period en.wikipedia.org/wiki/Vortex_indicator

Parameters:

  • data (Array) —

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

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

    The given period to calculate the VI

Returns:

  • (Array<Hash>) —

    An array of ViValue instances



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# File 'lib/technical_analysis/indicators/vi.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] }

  output = []
  period_values = []
  prev_price = data.shift

  data.each do |v|
    positive_vm = (v[:high] - prev_price[:low]).abs
    negative_vm = (v[:low] - prev_price[:high]).abs
    tr = [(v[:high] - v[:low]), (v[:high] - prev_price[:close]).abs, (v[:low] - prev_price[:close]).abs].max

    period_values << { pos_vm: positive_vm, neg_vm: negative_vm, tr: tr }

    if period_values.size == period
      pos_vm_period = ArrayHelper.sum(period_values.map { |pv| pv[:pos_vm] })
      neg_vm_period = ArrayHelper.sum(period_values.map { |pv| pv[:neg_vm] })
      tr_period = ArrayHelper.sum(period_values.map { |pv| pv[:tr] })

      output << ViValue.new(
        date_time: v[:date_time],
        positive_vi: (pos_vm_period / tr_period),
        negative_vi: (neg_vm_period / tr_period),
      )

      period_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/vi.rb', line 15

def self.indicator_name
  "Vortex Indicator"
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/vi.rb', line 8

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

def self.min_data_size(period: 14)
  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/vi.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/vi.rb', line 31

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