quantitative 0.1.10 → 0.2.1
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- checksums.yaml +4 -4
- data/Gemfile.lock +1 -1
- data/lib/quant/attributes.rb +31 -43
- data/lib/quant/config.rb +8 -0
- data/lib/quant/errors.rb +4 -0
- data/lib/quant/indicators/dominant_cycle_indicators.rb +49 -0
- data/lib/quant/indicators/dominant_cycles/acr.rb +101 -0
- data/lib/quant/indicators/dominant_cycles/band_pass.rb +85 -0
- data/lib/quant/indicators/dominant_cycles/differential.rb +21 -0
- data/lib/quant/indicators/dominant_cycles/dominant_cycle.rb +144 -0
- data/lib/quant/indicators/dominant_cycles/half_period.rb +21 -0
- data/lib/quant/indicators/dominant_cycles/homodyne.rb +28 -0
- data/lib/quant/indicators/dominant_cycles/phase_accumulator.rb +59 -0
- data/lib/quant/indicators/indicator.rb +38 -7
- data/lib/quant/indicators/indicator_point.rb +12 -2
- data/lib/quant/indicators.rb +9 -2
- data/lib/quant/indicators_proxy.rb +11 -4
- data/lib/quant/indicators_sources.rb +11 -1
- data/lib/quant/mixins/high_pass_filters.rb +98 -25
- data/lib/quant/mixins/super_smoother.rb +18 -15
- data/lib/quant/mixins/universal_filters.rb +14 -1
- data/lib/quant/series.rb +14 -0
- data/lib/quant/settings/indicators.rb +16 -6
- data/lib/quant/settings.rb +1 -1
- data/lib/quant/statistics/correlation.rb +37 -0
- data/lib/quant/version.rb +1 -1
- data/lib/quantitative.rb +1 -1
- metadata +11 -3
- data/lib/quant/indicators/ma.rb +0 -40
data/lib/quant/indicators/ma.rb
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# frozen_string_literal: true
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module Quant
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class Indicators
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class MaPoint < IndicatorPoint
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attribute :ss, key: "ss"
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attribute :ema, key: "ema"
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attr_accessor :ss, :ema, :osc
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def initialize_data_points
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@ss = input
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@ema = input
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@osc = nil
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end
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end
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# Moving Averages
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class Ma < Indicator
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include Quant::Mixins::Filters
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def alpha(period)
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bars_to_alpha(period)
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end
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def min_period
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8 # Quant.config.indicators.min_period
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end
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def max_period
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48 # Quant.config.indicators.max_period
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end
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def compute
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# p0.ss = super_smoother input, :ss, min_period
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p0.ema = alpha(max_period) * input + (1 - alpha(max_period)) * p1.ema
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p0.osc = p0.ss - p0.ema
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end
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end
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end
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end
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