Class: Quant::Indicators::Adx

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

Constant Summary

Constants inherited from Indicator

Indicator::PRIORITIES

Constants included from Mixins::UniversalFilters

Mixins::UniversalFilters::K

Instance Attribute Summary

Attributes inherited from Indicator

#p0, #p1, #p2, #p3, #series, #source, #t0, #t1, #t2, #t3

Instance Method Summary collapse

Methods inherited from Indicator

#<<, #[], #dc_period, dependent_indicator_classes, depends_on, #dominant_cycle, #dominant_cycle_indicator_class, #dominant_cycle_kind, #each, #half_period, #indicator_name, #initialize, #input, #inspect, #max_period, #micro_period, #min_period, #p, #period_points, #pivot_kind, #points_class, #priority, #size, #t, #ticks, #values

Methods included from Mixins::FisherTransform

#fisher_transform, #inverse_fisher_transform, #relative_fisher_transform

Methods included from Mixins::Stochastic

#stochastic

Methods included from Mixins::SuperSmoother

#three_pole_super_smooth, #two_pole_super_smooth

Methods included from Mixins::HilbertTransform

#hilbert_transform

Methods included from Mixins::ExponentialMovingAverage

#exponential_moving_average

Methods included from Mixins::SimpleMovingAverage

#simple_moving_average

Methods included from Mixins::WeightedMovingAverage

#extended_weighted_moving_average, #weighted_moving_average

Methods included from Mixins::UniversalFilters

#universal_band_pass, #universal_ema, #universal_filter, #universal_one_pole_high_pass, #universal_one_pole_low_pass, #universal_two_pole_high_pass, #universal_two_pole_low_pass

Methods included from Mixins::ButterworthFilters

#three_pole_butterworth, #two_pole_butterworth

Methods included from Mixins::HighPassFilters

#high_pass_filter, #hpf2, #two_pole_high_pass_filter

Methods included from Mixins::Functions

#angle, #bars_to_alpha, #deg2rad, #period_to_alpha, #rad2deg

Constructor Details

This class inherits a constructor from Quant::Indicators::Indicator

Instance Method Details

#alpha ⇒ Object 



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# File 'lib/quant/indicators/adx.rb', line 30

def alpha
  bars_to_alpha(dc_period)
end

#atr_point ⇒ Object 



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# File 'lib/quant/indicators/adx.rb', line 42

def atr_point
  series.indicators[source].atr.points[t0]
end

#compute ⇒ Object 



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# File 'lib/quant/indicators/adx.rb', line 46

def compute
  # To calculate the ADX, first determine the + and - directional movement, or DM.
  # The +DM and -DM are found by calculating the "up-move," or current high minus
  # the previous high, and "down-move," or current low minus the previous low.
  # If the up-move is greater than the down-move and greater than zero, the +DM equals the up-move;
  # otherwise, it equals zero. If the down-move is greater than the up-move and greater than zero,
  # the -DM equals the down-move; otherwise, it equals zero.
  dm_highs = [t0.high_price - t1.high_price, 0.0].max
  dm_lows  = [t0.low_price - t1.low_price, 0.0].max

  p0.dmu = dm_highs > dm_lows ? 0.0 : dm_highs
  p0.dmd = dm_lows > dm_highs ? 0.0 : dm_lows

  p0.dmu_ema = three_pole_super_smooth :dmu, period:, previous: :dmu_ema
  p0.dmd_ema = three_pole_super_smooth :dmd, period:, previous: :dmd_ema

  atr_value = atr_point.fast * scale
  return if atr_value == 0.0 || @points.size < period

  # The positive directional indicator, or +DI, equals 100 times the EMA of +DM divided by the ATR
  # over a given number of time periods. Welles usually used 14 periods.
  # The negative directional indicator, or -DI, equals 100 times the EMA of -DM divided by the ATR.
  p0.diu = (100.0 * p0.dmu_ema) / atr_value
  p0.did = (100.0 * p0.dmd_ema) / atr_value

  # The ADX indicator itself equals 100 times the EMA of the absolute value of (+DI minus -DI)
  # divided by (+DI plus -DI).
  delta = p0.diu + p0.did
  p0.di = (p0.diu - p1.did).abs / delta
  p0.di_ema = three_pole_super_smooth(:di, period:, previous: :di_ema).clamp(-10.0, 10.0)

  p0.value = p0.di_ema
  p0.inst_stoch = stochastic :di, period: dc_period
  p0.stoch = three_pole_super_smooth :inst_stoch, period:, previous: :stoch
end

#period ⇒ Object 



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# File 'lib/quant/indicators/adx.rb', line 38

def period
  dc_period
end

#scale ⇒ Object 



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# File 'lib/quant/indicators/adx.rb', line 34

def scale
  1.0
end