/**
* The MIT License (MIT)
*
* Copyright (c) 2014-2017 Marc de Verdelhan & respective authors (see AUTHORS)
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package eu.verdelhan.ta4j.indicators.trackers;
import eu.verdelhan.ta4j.Decimal;
import eu.verdelhan.ta4j.TimeSeries;
import eu.verdelhan.ta4j.indicators.CachedIndicator;
import eu.verdelhan.ta4j.indicators.helpers.AverageTrueRangeIndicator;
import eu.verdelhan.ta4j.indicators.simple.MaxPriceIndicator;
import eu.verdelhan.ta4j.indicators.simple.MinPriceIndicator;
/**
* The Class RandomWalkIndexLowIndicator.
*/
public class RandomWalkIndexLowIndicator extends CachedIndicator<Decimal>{
private final MaxPriceIndicator maxPrice;
private final MinPriceIndicator minPrice;
private final AverageTrueRangeIndicator averageTrueRange;
private final Decimal sqrtTimeFrame;
private final int timeFrame;
/**
* Constructor.
*
* @param series the series
* @param timeFrame the time frame
*/
public RandomWalkIndexLowIndicator(TimeSeries series, int timeFrame) {
super(series);
this.timeFrame = timeFrame;
maxPrice = new MaxPriceIndicator(series);
minPrice = new MinPriceIndicator(series);
averageTrueRange = new AverageTrueRangeIndicator(series, timeFrame);
sqrtTimeFrame = Decimal.valueOf(timeFrame).sqrt();
}
@Override
protected Decimal calculate(int index) {
return maxPrice.getValue(Math.max(0, index - timeFrame)).minus(minPrice.getValue(index))
.dividedBy(averageTrueRange.getValue(index).multipliedBy(sqrtTimeFrame));
}
}