Class: Quant::Indicators::Pivots::Donchian

Inherits:
Quant::Indicators::Pivot show all
Defined in:
lib/quant/indicators/pivots/donchian.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_midpoint, #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/donchian.rb', line 20

def compute_bands
  st_highs << p0.high_price
  st_lows << p0.low_price
  mt_highs << p0.high_price
  mt_lows << p0.low_price
  lt_highs << p0.high_price
  lt_lows << p0.low_price

  p0.h1 = @st_highs.maximum
  p0.l1 = @st_lows.minimum

  p0.h2 = @mt_highs.maximum
  p0.l2 = @mt_lows.minimum

  p0.h3 = @lt_highs.maximum
  p0.l3 = @lt_lows.minimum
end

#lt_highs ⇒ Object 



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

def lt_highs; @lt_highs ||= [].max_size!(lt_period) end

#lt_lows ⇒ Object 



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# File 'lib/quant/indicators/pivots/donchian.rb', line 18

def lt_lows; @lt_lows ||= [].max_size!(lt_period) end

#lt_period ⇒ Object 



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# File 'lib/quant/indicators/pivots/donchian.rb', line 11

def lt_period; max_period end

#mt_highs ⇒ Object 



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# File 'lib/quant/indicators/pivots/donchian.rb', line 15

def mt_highs; @mt_highs ||= [].max_size!(mt_period) end

#mt_lows ⇒ Object 



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# File 'lib/quant/indicators/pivots/donchian.rb', line 16

def mt_lows; @mt_lows ||= [].max_size!(mt_period) end

#mt_period ⇒ Object 



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# File 'lib/quant/indicators/pivots/donchian.rb', line 10

def mt_period; half_period end

#st_highs ⇒ Object 



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# File 'lib/quant/indicators/pivots/donchian.rb', line 13

def st_highs; @st_highs ||= [].max_size!(st_period) end

#st_lows ⇒ Object 



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# File 'lib/quant/indicators/pivots/donchian.rb', line 14

def st_lows; @st_lows ||= [].max_size!(st_period) end

#st_period ⇒ Object 



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

def st_period; min_period end