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Contents
# lib/sqa/indicator/relative_strength_index.rb
class SQA::Indicator; class << self
def relative_strength_index(
prices, # Array of prices
period, # Integer how many to consider at a time
over_sold = 30.0, # Float break over point in trend
over_bought = 70.0 # Float break over point in trend
)
gains = []
losses = []
prices.each_cons(2) do |pair|
change = pair[1] - pair[0]
if change > 0
gains << change
losses << 0
else
gains << 0
losses << change.abs
end
end
avg_gain = gains.last(period).sum / period.to_f
avg_loss = losses.last(period).sum / period.to_f
rs = avg_gain / avg_loss
rsi = 100 - (100 / (1 + rs))
trend = if rsi >= over_bought
:over_bought
elsif rsi <= over_sold
:over_sold
else
:normal
end
{
rsi: rsi, # Float
trend: trend # Symbol :normal, :over_bought, :over+sold
}
end
alias_method :rsi, :relative_strength_index
end; end
Version data entries
21 entries across 21 versions & 1 rubygems