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[GT] SVN Commit r567 - trunk/GT/Indicators
Author: ras
Date: 2008-03-12 06:49:17 +0100 (Wed, 12 Mar 2008)
New Revision: 567
Added:
trunk/GT/Indicators/SMI.pm
Log:
new indicator SMI stochastic momentum indicator
Added: trunk/GT/Indicators/SMI.pm
===================================================================
--- trunk/GT/Indicators/SMI.pm (rev 0)
+++ trunk/GT/Indicators/SMI.pm 2008-03-12 05:49:17 UTC (rev 567)
@@ -0,0 +1,252 @@
+package GT::Indicators::SMI;
+
+# Copyright 2008 Thomas Weigert
+# Based on and for GeniusTrader (C) 2000-2002 Rapha�Hertzog, Fabien Fulhaber
+# This file is distributed under the terms of the General Public License
+# version 2 or (at your option) any later version.
+
+# Standards-Version: 1.0
+
+# $Id: SMI.pm,v 1.10 2008/03/08 20:16:16 ras Exp ras $
+
+use strict;
+use vars qw(@ISA @NAMES @DEFAULT_ARGS);
+
+use GT::Indicators;
+use GT::Indicators::EMA;
+use GT::Indicators::Generic::MinInPeriod;
+use GT::Indicators::Generic::MaxInPeriod;
+use GT::Indicators::Generic::Container;
+use GT::Prices;
+
+
AT
ISA = qw(GT::Indicators);
+
AT
NAMES = ("\%K[#1,#2,#3]","\%D[#1,#2,#3,#4]");
+
AT
DEFAULT_ARGS = (5, 3, 3, 3, "{I:Prices HIGH}", "{I:Prices LOW}", "{I:Prices CLOSE}" );
+
+=pod
+
+=head1 GT::Indicators::SMI
+
+=head2 Overview
+
+The Stochastic Momentum Index (SMI) is based on the Stochastic
+Oscillator. The difference is that the Stochastic Oscillator
+calculates where the close is relative to the high/low range, while
+the SMI calculates where the close is relative to the midpoint of the
+high/low range. The values of the SMI range from +100 to -100. When
+the close is greater than the midpoint, the SMI is above zero, when
+the close is less than than the midpoint, the SMI is below zero.
+
+The SMI is interpreted the same way as the Stochastic
+Oscillator. Extreme high/low SMI values indicate overbought/oversold
+conditions. A buy signal is generated when the SMI rises above -50, or
+when it crosses above the signal line. A sell signal is generated when
+the SMI falls below +50, or when it crosses below the signal
+line. Also look for divergence with the price to signal the end of a
+trend or indicate a false trend.
+
+The Stochastic Momentum Index was developed by William Blau and was
+introduced in his article in the January, 1993 issue of Technical
+Analysis of Stocks & Commodities magazine.
+
+=head2 Calculation
+
+CM = Close - ( Highest high(n) + Lowest low(n) ) / 2
+CM' = EMA(EMA(CM, A), B)
+HL = Highest high(n) - Lowest low(n)
+HL' = EMA(EMA(HL, A), B)
+
+%K = 100 * CM' / (HL' / 2)
+%D = SMA(%K)
+
+=head2 Restrictions
+
+This indicator requires that the first four parameters are constant
+values and will abort otherwise.
+
+
+=head2 Examples
+
+GT::Indicators::SMI->new()
+GT::Indicators::SMI->new([14, 3, 3, 3])
+
+=head2 Links
+
+http://www.fmlabs.com/reference/default.htm?url=SMI.htm
+http://trader.online.pl/MSZ/e-w-Stochastic_Momentum_Indicator.html
+(note that the former incorrectly uses "-" in CM).
+
+
+
+=cut
+
+sub initialize {
+ my $self = shift;
+
+ for (my $i=1;$i<=4;$i++) {
+ die "Argument $i must be a constant value.\n" unless $self->{'args'}->is_constant($i);
+ }
+
+ # Define a container for CM and HL
+ $self->{'cm'} = GT::Indicators::Generic::Container->new(['CM']);
+ $self->{'hl'} = GT::Indicators::Generic::Container->new(['HL']);
+
+
+ # We need to call MIN and MAX first
+ $self->{'min'} = GT::Indicators::Generic::MinInPeriod->new([ $self->{'args'}->get_arg_names(1),
+ $self->{'args'}->get_arg_names(6) ]);
+ $self->{'max'} = GT::Indicators::Generic::MaxInPeriod->new([ $self->{'args'}->get_arg_names(1),
+ $self->{'args'}->get_arg_names(5) ]);
+
+ # Initialize smoothing of CM
+ $self->{'smooth_cm'} = GT::Indicators::EMA->new([ $self->{'args'}->get_arg_names(3), "{I:EMA " . $self->{'args'}->get_arg_names(2) . "{I:Generic:Container CM }}" ]);
+
+ # Initialize smoothing of HL
+ $self->{'smooth_hl'} = GT::Indicators::EMA->new([ $self->{'args'}->get_arg_names(3), "{I:EMA " . $self->{'args'}->get_arg_names(2) . "{I:Generic:Container HL }}" ]);
+
+ # Initialize smoothing of %K
+ $self->{'%d'} = GT::Indicators::SMA->new([ $self->{'args'}->get_arg_names(4), "{I:Generic:ByName " . $self->get_name(0) . "}" ]);
+
+ # Smoothing functions are args 2 and 3
+ my $nb_days = $self->{'args'}->get_arg_names(2) + $self->{'args'}->get_arg_names(3) + $self->{'args'}->get_arg_names(4);
+
+ $self->add_indicator_dependency($self->{'min'}, $nb_days);
+ $self->add_indicator_dependency($self->{'max'}, $nb_days);
+ $self->add_arg_dependency(7, $nb_days + $self->{'args'}->get_arg_constant(1));
+
+
+}
+
+=pod
+
+=head2 GT::Indicators::SMI::calculate($calc, $day)
+
+=cut
+
+sub calculate {
+ my ($self, $calc, $i) = @_;
+ my $indic = $calc->indicators;
+ my $prices = $calc->prices;
+ my $min_name = $self->{'min'}->get_name;
+ my $max_name = $self->{'max'}->get_name;
+ my $k_name = $self->get_name(0);
+ my $d_name = $self->get_name(1);
+ my $cm_name = $self->{'cm'}->get_name;
+ my $hl_name = $self->{'hl'}->get_name;
+
+ return if ($indic->is_available($cm_name, $i) &&
+ $indic->is_available($hl_name, $i) &&
+ $indic->is_available($k_name, $i));
+
+
+ # Smoothing functions are args 2 and 3
+ my $nb_days = $self->{'args'}->get_arg_values($calc, $i, 2) + $self->{'args'}->get_arg_values($calc, $i, 3) + $self->{'args'}->get_arg_values($calc, $i, 4);
+
+ return if (! $self->check_dependencies($calc, $i));
+
+ # Calculate CM
+ for (my $n = 0; $n < $nb_days; $n++) {
+
+ # Return if CM is available
+ next if $indic->is_available($cm_name, $i - $n);
+
+ # Get MIN and MAX
+ my $lowest_low = $indic->get($min_name, $i - $n);
+ my $highest_high = $indic->get($max_name, $i - $n);
+
+ # Calculate CM
+ my $cm_value = $self->{'args'}->get_arg_values($calc, $i - $n, 7) - (($highest_high + $lowest_low) / 2 );
+
+ # Return the results
+ $indic->set($cm_name, $i - $n, $cm_value);
+
+ # Calculate HL
+ my $hl_value = $highest_high - $lowest_low;
+
+ # Return the results
+ $indic->set($hl_name, $i - $n, $hl_value);
+
+ }
+
+ my $k_first = $i - $self->{'args'}->get_arg_values($calc, $i, 4) + 1;
+
+ $self->{'smooth_cm'}->calculate_interval($calc, $k_first, $i);
+ $self->{'smooth_hl'}->calculate_interval($calc, $k_first, $i);
+
+ for (my $n=$k_first; $n<=$i; $n++) {
+ my $s2 = $indic->get($self->{'smooth_cm'}->get_name, $n);
+ my $h2 = $indic->get($self->{'smooth_hl'}->get_name, $n);
+ my $k_value = 100 * $s2 / ( $h2 / 2 );
+ $indic->set($k_name, $n, $k_value);
+ }
+
+ $self->{'%d'}->calculate($calc, $i);
+ $indic->set($d_name, $i, $indic->get($self->{'%d'}->get_name, $i));
+
+}
+
+sub calculate_interval {
+ my ($self, $calc, $first, $last) = @_;
+ my $indic = $calc->indicators;
+ my $prices = $calc->prices;
+ my $min_name = $self->{'min'}->get_name;
+ my $max_name = $self->{'max'}->get_name;
+ my $k_name = $self->get_name(0);
+ my $d_name = $self->get_name(1);
+ my $cm_name = $self->{'cm'}->get_name;
+ my $hl_name = $self->{'hl'}->get_name;
+
+ return if ($indic->is_available_interval($cm_name, $first, $last) &&
+ $indic->is_available_interval($hl_name, $first, $last) &&
+ $indic->is_available_interval($k_name, $first, $last));
+
+ # Smoothing functions are args 2 and 3
+ my $nb_days = $self->{'args'}->get_arg_constant(2) + $self->{'args'}->get_arg_constant(3) + $self->{'args'}->get_arg_names(4);
+
+ return if (! $self->check_dependencies_interval($calc, $first, $last));
+
+
+ for (my $i=$first-$nb_days+1;$i<=$last;$i++) {
+
+ # Return if CM is available
+ next if $indic->is_available($cm_name, $i);
+
+ # Get MIN and MAX
+ my $lowest_low = $indic->get($min_name, $i);
+ my $highest_high = $indic->get($max_name, $i);
+
+ # Calculate CM
+ my $cm_value = $self->{'args'}->get_arg_values($calc, $i, 7) - (($highest_high + $lowest_low) / 2 );
+
+ # Return the results
+ $indic->set($cm_name, $i, $cm_value);
+
+ # Calculate HL
+ my $hl_value = $highest_high - $lowest_low;
+
+ # Return the results
+ $indic->set($hl_name, $i, $hl_value);
+
+ }
+
+ my $k_first = $first - $self->{'args'}->get_arg_names(4) + 1;
+
+ # Calculate smoothing
+ $self->{'smooth_cm'}->calculate_interval($calc, $k_first, $last);
+ $self->{'smooth_hl'}->calculate_interval($calc, $k_first, $last);
+
+ for (my $i=$k_first;$i<=$last;$i++) {
+ my $s2 = $indic->get($self->{'smooth_cm'}->get_name, $i);
+ my $h2 = $indic->get($self->{'smooth_hl'}->get_name, $i);
+ my $k_value = 100 * $s2 / ( $h2 / 2 );
+ $indic->set($k_name, $i, $k_value);
+ }
+
+ $self->{'%d'}->calculate_interval($calc, $first, $last);
+ for (my $i=$first;$i<=$last;$i++) {
+ $indic->set($d_name, $i, $indic->get($self->{'%d'}->get_name, $i));
+ }
+}
+
+
+1;