Class: Quant::Indicators::Pivots::Bollinger

Inherits:
Quant::Indicators::Pivot show all
Defined in:
lib/quant/indicators/pivots/bollinger.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 Quant::Indicators::Pivot

#averaging_period, #band?, #compute, #compute_extents, #compute_value, #period, #period_midpoints, #points_class

Methods inherited from Indicator

#<<, #[], #compute, #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

#compute_bands ⇒ Object 



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# File 'lib/quant/indicators/pivots/bollinger.rb', line 17

def compute_bands
  p0.h1 = p0.midpoint + p0.std_dev * 1.0
  p0.l1 = p0.midpoint - p0.std_dev * 1.0

  p0.h2 = p0.midpoint + p0.std_dev * 1.5
  p0.l2 = p0.midpoint - p0.std_dev * 1.5

  p0.h3 = p0.midpoint + p0.std_dev * 1.75
  p0.l3 = p0.midpoint - p0.std_dev * 1.75

  p0.h4 = p0.midpoint + p0.std_dev * 2.0
  p0.l4 = p0.midpoint - p0.std_dev * 2.0

  p0.h5 = p0.midpoint + p0.std_dev * 2.25
  p0.l5 = p0.midpoint - p0.std_dev * 2.25

  p0.h6 = p0.midpoint + p0.std_dev * 2.5
  p0.l6 = p0.midpoint - p0.std_dev * 2.5

  p0.h7 = p0.midpoint + p0.std_dev * 2.75
  p0.l7 = p0.midpoint - p0.std_dev * 2.75

  p0.h8 = p0.midpoint + p0.std_dev * 3.0
  p0.l8 = p0.midpoint - p0.std_dev * 3.0
end

#compute_midpoint ⇒ Object 



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# File 'lib/quant/indicators/pivots/bollinger.rb', line 9

def compute_midpoint
  values = period_points(half_period).map(&:input)
  alpha = bars_to_alpha(half_period)

  p0.midpoint = alpha * values.mean + (1 - alpha) * p1.midpoint
  p0.std_dev = values.standard_deviation(p0.midpoint)
end