This class contains functions for the Technical Analysis of market quotes.
Primarily to support charting
public static function avg(source:Array, period:int):Number
Find the moving average of the given quotes. This function will calculate the average
of the first period days. If a quote is missing on any of the days, then
that day will be skipped and the function will find the average of the shorter
period.
Parameters
| source:Array — source of quotes to average
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| |
| period:int — the number of days to average
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Returns
public static function bestFit(source:Array, period:int):Number
Calculate the line of best fit of the data given by source.
using the formula:
slope = period Sum(xy) - Sum(x)Sum(y) / period Sum(x^2) - (Sum(x))^2
intercept = ( Sum(y) - slope Sum(x) ) / period
Parameters
| source:Array — the source of quotes
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| period:int — the number of days to analyse
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Returns
| Number — the value of the trend at the end of period
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public static function bestFitFunction(source:Array, start:int, period:int):Array
Return the equation of the line of best fit of the data given by source.
Uses the same formula as bestFit, but returns slope and intercept
so that it can be used on charts.
Parameters
| source:Array — the source of quotes
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| start:int — the number of days to analyse
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| period:int |
Returns
| Array — the value of the trend at the end of period
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public static function bollingerLower(source:Array, period:int):Number
Calculate the lower band of the bollinger graph. The lower band can
be calculated by:
BollingerLower = Average - 2 SD
Where SD is the standard deviation.
Parameters
| source:Array — the source of quotes
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| period:int — the number of days to analyse
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Returns
| Number — the lower bollinger band
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public static function bollingerUpper(source:Array, period:int):Number
Calculate the upper band of the bollinger graph. The upper band can
be calculated by:
BollingerUpper = Average + 2 SD
Where SD is the standard deviation.
Parameters
| source:Array — the source of quotes
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| period:int — the number of days to analyse
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Returns
| Number — the upper bollinger band
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public static function corr(x:Array, y:Array, period:int):Number
Calculate the Pearson product-moment correlation between the two
variables. This will return a correlation co-efficient which is in the range of
-1 (negative correlation) through to (no correlation) through to 1 (perfect
correlation.
The correlation co-efficient is calculated as follows:
r = sum(Zx Zy)
------------
N - 1
Where Zx = X - E(X)
--------
Sx
Where E(X) is the mean of X and Sx is the standard deviation of X.
Simillarly for Zy.
Parameters
| x:Array — values to test against
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| y:Array — values to detect correlation against x
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| period:int — number of days to analyse
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Returns
| Number — the correlation co-efficient
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public static function ema(source:Array, period:int, smoothingConstant:Number):Number
Calculate the Exponential Moving Average (EMA) value. The Exponential Moving
Average is a weighted moving average where the most recent values are
weighted higher than the previous values.
The formula for the EMA is as follows:
EMA(current) = EMA(previous) + k (day close - EMA(previous))
Where EMA(current) is the current EMA value you are calculating,
EMA(previous) is the previous value and k is a smoothing
constant.
Parameters
| source:Array — the source of quotes to average
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| period:int — the number of days to analyse
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| smoothingConstant:Number — a smoothing constant
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Returns
| Number — the exponential moving average
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public static function macd(sourceSlow:Array, sourceFast:Array):Number
Calculate the Moving Average Convergence Divergence (MACD) value.
The Moving Average Convergence Divergence is the remainder of
the 26 days EMA and the 12 days EMA.
The smoothing constant for the EMA functions is set to 0.1.
The formula for the MACD is as follows:
MACD = EMA(26) - EMA(12)
Where EMA(26) is the 26 days EMA and EMA(12) is the 12 days EMA.
Parameters
| sourceSlow:Array — the source of quotes used by EMA to average (slow average)
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| sourceFast:Array — the source of quotes used by EMA to average (fast average)
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Returns
| Number — the moving average convergence divergence
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public static function momentum(source:Array, period:int):Number
Calculate the Momentum value.
The Moving Average Convergence Divergence is the remainder of
the today value and the period delayed value.
The formula for the Momentum is as follows:
Momentum = Quote(Today) - Quote(Today+1-period)
Where Quote is got from the input parameter: source. Today is assumed to be the first item in source.
Parameters
| source:Array — the source of quotes
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| period:int |
Returns
public static function obv(sourceOpen:Array, sourceClose:Array, sourceVolume:Array, range:int, initialValue:int):int
Calculate the On Balance Volume (OBV) value.
The On Balance Volume is counted adding or subtracting the day volume
from range until today, starting from an initial value.
The formula for the OBV is as follows:
if close(current)>open(current):
OBV(current) = OBV(previous) + Volume(current)
if close(current)Parameters
| sourceOpen:Array — the source of open quotes
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| sourceClose:Array — the source of close quotes
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| sourceVolume:Array — the source of volumes
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| range:int — the range which we calculate over
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| initialValue:int — the starting value of OBV
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Returns
| int — the on balance volume value
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public static function roundDouble(d:Number, places:int):NumberParameters
Returns
public static function rsi(source:Array, period:int):Number
Calculate the Relative Strength Indicator (RSI) value.
The formula for the RSI is as follows:
100
RSI = 100 - ------
1 + RS
average of x days' up closes
RS = ------------------------------
average of x days' down closes
To calculate an X day RSI you need X + 1 quote values. So make
the period argument one more day that the period of the RSI.
Parameters
| source:Array — source of quotes to average
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| period:int — one plus the period of the RSI
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Returns
public static function sd(source:Array, period:int):Number
Find the standard deviation of the given values. This
algorthim will calculate the standard deviation of the first period
days. If a quote is missing on any of the days, then
that day will be skipped and the function will find the average of the shorter
period.
Parameters
| source:Array — the source quotes
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| period:int — the number of days to average
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Returns
| Number — the standard deviation
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public static const DEFAULT_RSI_PERIOD:int = 45 This is the default period for the RSI.
