Module: RelativeMomentumIndex

Included in:
Array
Defined in:
lib/ruby-technical-analysis/indicators/relative_momentum_index.rb

Overview

Relative Momentum Index indicator Returns a single value

Instance Method Summary collapse

Instance Method Details

#relative_momentum_index(period_mom, period_rmi) ⇒ Object 



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# File 'lib/ruby-technical-analysis/indicators/relative_momentum_index.rb', line 8

def relative_momentum_index(period_mom, period_rmi)
  pmpr = period_mom + period_rmi

  if size < pmpr
    raise ArgumentError,
          "Closes array passed to Relative Momentum Index cannot be less than the period mom + period rmi arguments."
  end

  rmi = []
  rmi_intermediate = []
  wilders_is_set = false
  smooth_up = []
  smooth_down = []

  smooth_coef_one = (1.0 / period_rmi).round(4)
  smooth_coef_two = (1 - smooth_coef_one)

  (0..(size - pmpr)).each do |i|
    cla = self[i..(i + pmpr - 1)]
    up_ch = []
    down_ch = []

    (0..period_rmi - 1).each do |m|
      cur_close = cla[m]
      prev_close = cla[period_mom + m]
      diff = (cur_close - prev_close).round(4)

      if diff.negative?
        up_ch << diff.abs
        down_ch << 0.00
      elsif diff.positive?
        up_ch << 0.00
        down_ch << diff
      else
        up_ch << 0.00
        down_ch << 0.00
      end
    end

    if wilders_is_set
      smooth_up << (smooth_coef_one * up_ch[-1] + smooth_coef_two * smooth_up[-1]).round(4)
      smooth_down << (smooth_coef_one * down_ch[-1] + smooth_coef_two * smooth_down[-1]).round(4)
    else
      smooth_up << up_ch.wilders_smoothing(period_rmi)
      smooth_down << down_ch.wilders_smoothing(period_rmi)
      wilders_is_set = true
    end

    rmi_intermediate << (smooth_up[-1].to_f / smooth_down[-1])
    rmi << ((rmi_intermediate[-1].to_f / (1 + rmi_intermediate[-1])) * 100).round(4)
  end

  rmi[-1]
end