# Copyright 2006, 2007, 2009, 2010 Kevin Ryde
# This file is part of Chart.
#
# Chart is free software; you can redistribute it and/or modify it under the
# terms of the GNU General Public License as published by the Free Software
# Foundation; either version 3, or (at your option) any later version.
#
# Chart is distributed in the hope that it will be useful, but WITHOUT ANY
# WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
# FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
# details.
#
# You should have received a copy of the GNU General Public License along
# with Chart. If not, see <http://www.gnu.org/licenses/>.
package App::Chart::Series::Derived::VOLR;
use 5.010;
use strict;
use warnings;
use Carp;
use List::Util qw(min max);
use Locale::TextDomain ('App-Chart');
use base 'App::Chart::Series::Indicator';
use App::Chart::Series::Derived::MFI;
use App::Chart::Series::Derived::WilliamsR;
# http://www.incrediblecharts.com/indicators/volatility_ratio_schwager.php
sub longname { __('Volatility Ratio') }
sub shortname { __('VOLR') }
sub manual { __p('manual-node','Volatility Ratio') }
use constant
{ type => 'indicator',
units => 'zero_to_one',
minimum => 0,
maximum => 1,
hlines => [ 0.5 ],
parameter_info => [ { name => __('Days'),
key => 'volr_days',
type => 'integer',
minimum => 1,
default => 10 }],
};
sub new {
my ($class, $parent, $N) = @_;
$N //= parameter_info()->[0]->{'default'};
($N > 0) || croak "VOLR bad N: $N";
return $class->SUPER::new
(parent => $parent,
parameters => [ $N ],
arrays => { values => [] },
array_aliases => { });
}
*fill_part = \&App::Chart::Series::Derived::WilliamsR::fill_part;
*warmup_count = \&App::Chart::Series::Derived::MFI::warmup_count; # $N
sub proc {
my ($class_or_self, $N) = @_;
my @highs;
my @lows;
my $prev_close;
return sub {
my ($high, $low, $close) = @_;
$high //= $close;
$low //= $close;
if (defined $prev_close) {
$high = max ($high, $prev_close); # true high, true low
$low = min ($low, $prev_close);
}
$prev_close = $close;
unshift @highs, $high;
unshift @lows, $low;
if (@highs > $N) {
pop @highs;
pop @lows;
}
my $period_high = max (@highs);
my $period_low = min (@lows);
my $period_range = $period_high - $period_low;
return ($period_range == 0 ? 0.5 : ($high-$low)/$period_range);
};
}
1;
__END__
# =head1 NAME
#
# App::Chart::Series::Derived::VOLR -- volatility ratio
#
# =head1 SYNOPSIS
#
# my $series = $parent->VOLR($N);
#
# =head1 DESCRIPTION
#
# ...
#
# =head1 SEE ALSO
#
# L<App::Chart::Series>
#
# =cut