advanced_math 0.0.5 → 0.0.7
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- data/Manifest.txt +6 -1
- data/advanced_math.gemspec +26 -4
- data/gem_publish.sh +6 -0
- data/lib/advanced_math/rsi.rb +113 -0
- data/lib/advanced_math/sma.rb +74 -0
- data/lib/advanced_math.rb +4 -57
- data/test/RSI.pm +247 -0
- data/test/rsi.pl +8 -0
- data/test/test_rsi.rb +127 -0
- data/test/test_simple_moving_average.rb +51 -11
- metadata +10 -4
- data/advanced_math-0.0.4.gem +0 -0
data/Manifest.txt
CHANGED
@@ -1,8 +1,13 @@
|
|
1
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-
advanced_math-0.0.4.gem
|
2
1
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advanced_math.gemspec
|
2
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+
gem_publish.sh
|
3
3
|
History.txt
|
4
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+
lib/advanced_math/rsi.rb
|
5
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+
lib/advanced_math/sma.rb
|
4
6
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lib/advanced_math.rb
|
5
7
|
Manifest.txt
|
6
8
|
PostInstall.txt
|
7
9
|
README.rdoc
|
10
|
+
test/rsi.pl
|
11
|
+
test/RSI.pm
|
12
|
+
test/test_rsi.rb
|
8
13
|
test/test_simple_moving_average.rb
|
data/advanced_math.gemspec
CHANGED
@@ -1,16 +1,37 @@
|
|
1
|
+
# Generated by jeweler
|
2
|
+
# DO NOT EDIT THIS FILE DIRECTLY
|
3
|
+
# Instead, edit Jeweler::Tasks in Rakefile, and run 'rake gemspec'
|
1
4
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# -*- encoding: utf-8 -*-
|
2
5
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|
3
6
|
Gem::Specification.new do |s|
|
4
7
|
s.name = %q{advanced_math}
|
5
|
-
s.version = "0.0.
|
8
|
+
s.version = "0.0.7"
|
6
9
|
|
7
10
|
s.required_rubygems_version = Gem::Requirement.new(">= 0") if s.respond_to? :required_rubygems_version=
|
8
11
|
s.authors = [%q{Glenn Nagel}]
|
9
12
|
s.date = %q{2011-08-28}
|
10
13
|
s.description = %q{A simple gem for advanced and financial math calcualtions.}
|
11
14
|
s.email = [%q{glenn@mercury-wireless.com}]
|
12
|
-
s.extra_rdoc_files = [
|
13
|
-
|
15
|
+
s.extra_rdoc_files = [
|
16
|
+
"History.txt",
|
17
|
+
"Manifest.txt",
|
18
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+
"PostInstall.txt"
|
19
|
+
]
|
20
|
+
s.files = [
|
21
|
+
"History.txt",
|
22
|
+
"Manifest.txt",
|
23
|
+
"PostInstall.txt",
|
24
|
+
"README.rdoc",
|
25
|
+
"advanced_math.gemspec",
|
26
|
+
"gem_publish.sh",
|
27
|
+
"lib/advanced_math.rb",
|
28
|
+
"lib/advanced_math/rsi.rb",
|
29
|
+
"lib/advanced_math/sma.rb",
|
30
|
+
"test/RSI.pm",
|
31
|
+
"test/rsi.pl",
|
32
|
+
"test/test_rsi.rb",
|
33
|
+
"test/test_simple_moving_average.rb"
|
34
|
+
]
|
14
35
|
s.homepage = %q{https://github.com/gnagel/mercury-wireless-public/tree/master/ruby/advanced_math}
|
15
36
|
s.post_install_message = %q{PostInstall.txt}
|
16
37
|
s.rdoc_options = [%q{--main}, %q{README.rdoc}]
|
@@ -18,7 +39,7 @@ Gem::Specification.new do |s|
|
|
18
39
|
s.rubyforge_project = %q{advanced_math}
|
19
40
|
s.rubygems_version = %q{1.8.6}
|
20
41
|
s.summary = %q{A simple gem for advanced and financial math calcualtions.}
|
21
|
-
s.test_files = [%q{test/test_simple_moving_average.rb}]
|
42
|
+
s.test_files = [%q{test/test_rsi.rb}, %q{test/test_simple_moving_average.rb}]
|
22
43
|
|
23
44
|
if s.respond_to? :specification_version then
|
24
45
|
s.specification_version = 3
|
@@ -32,3 +53,4 @@ Gem::Specification.new do |s|
|
|
32
53
|
s.add_dependency(%q<hoe>, ["~> 2.9"])
|
33
54
|
end
|
34
55
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end
|
56
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+
|
data/gem_publish.sh
ADDED
@@ -0,0 +1,113 @@
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|
1
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+
require File.dirname(__FILE__) + "/sma.rb"
|
2
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+
|
3
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+
module AdvancedMath
|
4
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+
###
|
5
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+
# Relative Strength Index (RSI) calculator
|
6
|
+
# Created: 2011-08-28
|
7
|
+
# Author: G Nagel
|
8
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+
# Company: Mercury Wireless Software LLC
|
9
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+
# Source: http://en.wikipedia.org/wiki/Relative_Strength_Index#Cutler.27s_RSI
|
10
|
+
# Source: http://www.aspenres.com/Documents/AspenGraphics4.0/Aspen_Graphics_4.htm#CutlersRSI.htm
|
11
|
+
# Source: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:relative_strength_index_rsi
|
12
|
+
###
|
13
|
+
class RelativeStrengthIndex
|
14
|
+
attr_accessor :values_up, :values_down, :range, :last_value
|
15
|
+
attr_accessor :verbose
|
16
|
+
###
|
17
|
+
# Initialize the members
|
18
|
+
###
|
19
|
+
def initialize(range)
|
20
|
+
raise ArgumentError, "Range is nil" unless (range)
|
21
|
+
raise ArgumentError, "Range must be > 1" unless range.to_i > 1
|
22
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+
|
23
|
+
@verbose = false
|
24
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+
@values_up = []
|
25
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+
@values_down = []
|
26
|
+
@range = range.to_i()
|
27
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+
@last_value = nil
|
28
|
+
end
|
29
|
+
|
30
|
+
###
|
31
|
+
# Add a value to the list.
|
32
|
+
# If the list is < @range, then return nil.
|
33
|
+
# Otherwise compute the RSI and return the value.
|
34
|
+
###
|
35
|
+
def add(value)
|
36
|
+
raise ArgumentError, "Value is nil" unless (value)
|
37
|
+
puts "==================" if verbose()
|
38
|
+
puts "value = #{value}" if verbose()
|
39
|
+
|
40
|
+
if (nil == @last_value)
|
41
|
+
@last_value = value.to_f()
|
42
|
+
puts "Setting intial last_value = #{@last_value}" if verbose()
|
43
|
+
return nil
|
44
|
+
end
|
45
|
+
|
46
|
+
@values_up.shift() if (range() == @values_up.length())
|
47
|
+
@values_down.shift() if (range() == @values_down.length())
|
48
|
+
|
49
|
+
diff = value.to_f - @last_value
|
50
|
+
@last_value = value.to_f()
|
51
|
+
if (0 > diff)
|
52
|
+
@values_up << 0
|
53
|
+
@values_down << diff.abs()
|
54
|
+
elsif (0 < diff)
|
55
|
+
@values_up << diff
|
56
|
+
@values_down << 0
|
57
|
+
else
|
58
|
+
@values_up << 0
|
59
|
+
@values_down << 0
|
60
|
+
end
|
61
|
+
puts "diff = #{diff}, values_up = #{@values_up.inspect()}, values_down = #{@values_down.inspect()}" if verbose()
|
62
|
+
|
63
|
+
if (@values_up.length() < range())
|
64
|
+
puts "#{@values_up.length()} < #{range()}" if verbose()
|
65
|
+
return nil
|
66
|
+
end
|
67
|
+
if (@values_up.length() > range())
|
68
|
+
puts "#{@values_up.length()} > #{range()}" if verbose()
|
69
|
+
@values_up.shift()
|
70
|
+
@values_down.shift()
|
71
|
+
else
|
72
|
+
puts "#{@values_up.length()} == #{range()}" if verbose()
|
73
|
+
end
|
74
|
+
|
75
|
+
sum = {:up => 0, :down => 0, :i_up => 0, :i_down => 0}
|
76
|
+
@values_up.each() { |value| sum[:up] = sum[:up] + value }
|
77
|
+
@values_down.each() { |value| sum[:down] = sum[:down] + value }
|
78
|
+
|
79
|
+
rs = (0 == sum[:down]) ? 100.0 : (sum[:up] / sum[:down])
|
80
|
+
puts "rs = #{rs}" if verbose()
|
81
|
+
|
82
|
+
rsi = 100.0 - (100.0 / (1.0 + rs))
|
83
|
+
puts "rsi = #{rsi}" if verbose()
|
84
|
+
return rsi
|
85
|
+
end
|
86
|
+
|
87
|
+
###
|
88
|
+
# Compute the RSI values for an array
|
89
|
+
# Return an array with the RSI values
|
90
|
+
###
|
91
|
+
def add_array(values)
|
92
|
+
raise ArgumentError, "Value is nil" unless (values);
|
93
|
+
raise ArgumentError, "Value is not an array" unless values.kind_of?(Array);
|
94
|
+
|
95
|
+
output = []
|
96
|
+
|
97
|
+
# Calculate the sum of the array
|
98
|
+
values.each() { |value| output << add(value) }
|
99
|
+
|
100
|
+
# Return the RSI array
|
101
|
+
return output
|
102
|
+
end
|
103
|
+
end
|
104
|
+
|
105
|
+
###
|
106
|
+
# RSI is just an alias to RelativeStrengthIndex
|
107
|
+
###
|
108
|
+
class RSI < RelativeStrengthIndex
|
109
|
+
def initialize(range)
|
110
|
+
super(range)
|
111
|
+
end
|
112
|
+
end
|
113
|
+
end
|
@@ -0,0 +1,74 @@
|
|
1
|
+
module AdvancedMath
|
2
|
+
# Simple Moving Average (SMA) calculator
|
3
|
+
# Created: 2011-06-24
|
4
|
+
# Author: G Nagel
|
5
|
+
# Company: Mercury Wireless Software LLC
|
6
|
+
class SimpleMovingAverage
|
7
|
+
###
|
8
|
+
# Initialize the members:
|
9
|
+
# range:
|
10
|
+
# number of values to average
|
11
|
+
# sum:
|
12
|
+
# current sum of all values in the array
|
13
|
+
# values:
|
14
|
+
# array of values used as temporary storage
|
15
|
+
###
|
16
|
+
def initialize(range)
|
17
|
+
raise ArgumentError, "Range is nil" unless (range);
|
18
|
+
raise ArgumentError, "Range must be >= 1" unless range.to_i >= 1;
|
19
|
+
@range = range.to_i;
|
20
|
+
@sum = 0;
|
21
|
+
@values = Array.new();
|
22
|
+
end
|
23
|
+
|
24
|
+
###
|
25
|
+
# Add a value to the list.
|
26
|
+
# If the list is < @range, then return nil.
|
27
|
+
# Otherwise compute the SMA and return the value.
|
28
|
+
###
|
29
|
+
def add(value)
|
30
|
+
raise ArgumentError, "Value is nil" unless (value);
|
31
|
+
|
32
|
+
# add the value to the end of the array.
|
33
|
+
@values.push(value);
|
34
|
+
|
35
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+
# Calculate the sum of the array
|
36
|
+
@sum += value.to_f;
|
37
|
+
|
38
|
+
# Is the array less than the range?
|
39
|
+
return nil if (@values.length() < @range)
|
40
|
+
|
41
|
+
# Is the array larger than the range?
|
42
|
+
@sum -= @values.shift.to_f() if (@values.length() > @range)
|
43
|
+
|
44
|
+
# Compute the average
|
45
|
+
return @sum.to_f / @range.to_f;
|
46
|
+
end
|
47
|
+
|
48
|
+
###
|
49
|
+
# Compute the SMA values for an array
|
50
|
+
# Return an array with the SMA values
|
51
|
+
###
|
52
|
+
def add_array(values)
|
53
|
+
raise ArgumentError, "Value is nil" unless (values);
|
54
|
+
raise ArgumentError, "Value is not an array" unless values.kind_of?(Array);
|
55
|
+
|
56
|
+
output = []
|
57
|
+
|
58
|
+
# Calculate the sum of the array
|
59
|
+
values.each() { |value| output << add(value) }
|
60
|
+
|
61
|
+
# Return the SMA array
|
62
|
+
return output
|
63
|
+
end
|
64
|
+
end
|
65
|
+
|
66
|
+
###
|
67
|
+
# SMA is just an alias to SimpleMovingAverage
|
68
|
+
###
|
69
|
+
class SMA < SimpleMovingAverage
|
70
|
+
def initialize(range)
|
71
|
+
super(range)
|
72
|
+
end
|
73
|
+
end
|
74
|
+
end
|
data/lib/advanced_math.rb
CHANGED
@@ -1,59 +1,6 @@
|
|
1
|
-
|
2
1
|
module AdvancedMath
|
3
|
-
VERSION = '0.0.
|
4
|
-
|
5
|
-
|
6
|
-
# Simple Moving Average (SMA) calculator
|
7
|
-
# Created: 2011-06-24
|
8
|
-
# Author: G Nagel
|
9
|
-
# Company: Mercury Wireless Software LLC
|
10
|
-
class SimpleMovingAverage
|
11
|
-
###
|
12
|
-
# Initialize the members:
|
13
|
-
# range:
|
14
|
-
# number of values to average
|
15
|
-
# sum:
|
16
|
-
# current sum of all values in the array
|
17
|
-
# values:
|
18
|
-
# array of values used as temporary storage
|
19
|
-
###
|
20
|
-
def initialize(range)
|
21
|
-
raise ArgumentError, "Range is nil" unless (range);
|
22
|
-
raise ArgumentError, "Range must be >= 1" unless range.to_i >= 1;
|
23
|
-
@range = range.to_i;
|
24
|
-
@sum = 0;
|
25
|
-
@values = Array.new();
|
26
|
-
end
|
27
|
-
|
28
|
-
###
|
29
|
-
# Add a value to the list.
|
30
|
-
# If the list is < @range, then return nil.
|
31
|
-
# Otherwise compute the SMA and return the value.
|
32
|
-
###
|
33
|
-
def add(value)
|
34
|
-
raise ArgumentError, "Value is nil" unless (value);
|
35
|
-
|
36
|
-
# add the value to the end of the array.
|
37
|
-
@values.push(value);
|
38
|
-
|
39
|
-
# Calculate the sum of the array
|
40
|
-
@sum += value.to_f;
|
41
|
-
|
42
|
-
# Is the array less than the range?
|
43
|
-
return nil if (@values.length() < @range)
|
44
|
-
|
45
|
-
# Is the array larger than the range?
|
46
|
-
@sum -= @values.shift.to_f() if (@values.length() > @range)
|
47
|
-
|
48
|
-
# Compute the average
|
49
|
-
return @sum.to_f / @range.to_f;
|
50
|
-
end
|
51
|
-
end
|
52
|
-
|
53
|
-
###
|
54
|
-
# SMA is just an alias to SimpleMovingAverage
|
55
|
-
###
|
56
|
-
class SMA < SimpleMovingAverage
|
57
|
-
end
|
58
|
-
|
2
|
+
VERSION = '0.0.7'
|
59
3
|
end
|
4
|
+
|
5
|
+
require File.dirname(__FILE__) + "/advanced_math/sma.rb"
|
6
|
+
require File.dirname(__FILE__) + "/advanced_math/rsi.rb"
|
data/test/RSI.pm
ADDED
@@ -0,0 +1,247 @@
|
|
1
|
+
package Math::Business::RSI;
|
2
|
+
|
3
|
+
use strict;
|
4
|
+
use warnings;
|
5
|
+
use Carp;
|
6
|
+
|
7
|
+
our $VERSION = 2.5; # local revision: b
|
8
|
+
|
9
|
+
use Math::Business::SMA;
|
10
|
+
use Math::Business::EMA;
|
11
|
+
|
12
|
+
1;
|
13
|
+
|
14
|
+
sub recommended {
|
15
|
+
my $class = shift;
|
16
|
+
|
17
|
+
$class->new(14);
|
18
|
+
}
|
19
|
+
|
20
|
+
sub new {
|
21
|
+
my $class = shift;
|
22
|
+
my $this = bless {
|
23
|
+
U => Math::Business::EMA->new,
|
24
|
+
D => Math::Business::EMA->new,
|
25
|
+
RSI => undef,
|
26
|
+
cy => undef,
|
27
|
+
}, $class;
|
28
|
+
|
29
|
+
my $alpha = shift;
|
30
|
+
if( defined $alpha ) {
|
31
|
+
$this->set_alpha( $alpha );
|
32
|
+
}
|
33
|
+
|
34
|
+
return $this;
|
35
|
+
}
|
36
|
+
|
37
|
+
sub set_alpha {
|
38
|
+
my $this = shift;
|
39
|
+
my $alpha = shift;
|
40
|
+
|
41
|
+
# NOTE: this alpha is different than you might think ... it's really inverse alpha
|
42
|
+
# Wilder uses alpha=14 instead of alpha=(1/14) like you might expect
|
43
|
+
|
44
|
+
my $days = 2*$alpha - 1; # so days is 2*$alpha-1 instead of the expected 2*(1/$alpha)-1
|
45
|
+
|
46
|
+
eval { $this->set_days( $days ) };
|
47
|
+
croak "set_alpha() is basically set_days(2*$alpha-1), which complained: $@" if $@;
|
48
|
+
}
|
49
|
+
|
50
|
+
sub set_standard {
|
51
|
+
my $this = shift;
|
52
|
+
my $rm = ref $this->{U};
|
53
|
+
|
54
|
+
if( $rm =~ m/SMA/ ) {
|
55
|
+
$this->{U} = Math::Business::EMA->new;
|
56
|
+
$this->{D} = Math::Business::EMA->new;
|
57
|
+
|
58
|
+
if( my $d = $this->{days} ) {
|
59
|
+
$this->set_days($d);
|
60
|
+
}
|
61
|
+
}
|
62
|
+
}
|
63
|
+
|
64
|
+
sub set_cutler {
|
65
|
+
my $this = shift;
|
66
|
+
my $rm = ref $this->{U};
|
67
|
+
|
68
|
+
if( $rm =~ m/EMA/ ) {
|
69
|
+
$this->{U} = Math::Business::SMA->new;
|
70
|
+
$this->{D} = Math::Business::SMA->new;
|
71
|
+
|
72
|
+
if( my $d = $this->{days} ) {
|
73
|
+
$this->set_days($d);
|
74
|
+
}
|
75
|
+
}
|
76
|
+
}
|
77
|
+
|
78
|
+
sub set_days {
|
79
|
+
my $this = shift;
|
80
|
+
my $arg = int(shift);
|
81
|
+
|
82
|
+
croak "days must be a positive non-zero integer" if $arg <= 0;
|
83
|
+
|
84
|
+
$this->{U}->set_days($this->{days} = $arg);
|
85
|
+
$this->{D}->set_days($arg);
|
86
|
+
delete $this->{cy};
|
87
|
+
delete $this->{RSI};
|
88
|
+
}
|
89
|
+
|
90
|
+
sub insert {
|
91
|
+
my $this = shift;
|
92
|
+
my $close_yesterday = $this->{cy};
|
93
|
+
|
94
|
+
my $EMA_U = $this->{U};
|
95
|
+
my $EMA_D = $this->{D};
|
96
|
+
|
97
|
+
croak "You must set the number of days before you try to insert" if not $this->{days};
|
98
|
+
while( defined( my $close_today = shift ) ) {
|
99
|
+
if( defined $close_yesterday ) {
|
100
|
+
my $delta = $close_today - $close_yesterday;
|
101
|
+
|
102
|
+
my ($U,$D) = (0,0);
|
103
|
+
if( $delta > 0 ) {
|
104
|
+
$U = $delta;
|
105
|
+
$D = 0;
|
106
|
+
|
107
|
+
} elsif( $delta < 0 ) {
|
108
|
+
$U = 0;
|
109
|
+
$D = abs $delta;
|
110
|
+
}
|
111
|
+
|
112
|
+
$EMA_U->insert($U);
|
113
|
+
$EMA_D->insert($D);
|
114
|
+
}
|
115
|
+
|
116
|
+
if( defined(my $eu = $EMA_U->query) ) {
|
117
|
+
my $ed = $EMA_D->query;
|
118
|
+
my $rs = (($ed == 0) ? 100 : $eu/$ed ); # NOTE: This is by definition apparently.
|
119
|
+
|
120
|
+
$this->{RSI} = 100 - 100/(1+$rs);
|
121
|
+
}
|
122
|
+
|
123
|
+
$close_yesterday = $close_today;
|
124
|
+
}
|
125
|
+
|
126
|
+
$this->{cy} = $close_yesterday;
|
127
|
+
}
|
128
|
+
|
129
|
+
sub query {
|
130
|
+
my $this = shift;
|
131
|
+
|
132
|
+
return $this->{RSI};
|
133
|
+
}
|
134
|
+
|
135
|
+
__END__
|
136
|
+
|
137
|
+
=head1 NAME
|
138
|
+
|
139
|
+
Math::Business::RSI - Technical Analysis: Relative Strength Index
|
140
|
+
|
141
|
+
=head1 SYNOPSIS
|
142
|
+
|
143
|
+
use Math::Business::RSI;
|
144
|
+
|
145
|
+
my $rsi = new Math::Business::RSI;
|
146
|
+
$rsi->set_alpha(14); # issues a set days of 2*14-1
|
147
|
+
$rsi->set_days(27); # equivilent to set_alpha(14)
|
148
|
+
|
149
|
+
# equivelent to set_days(27)/set_alpha(14):
|
150
|
+
my $rsi = new Math::Business::RSI(14);
|
151
|
+
|
152
|
+
# or to just get the recommended model ... set_alpha(14)
|
153
|
+
my $rsi = Math::Business::RSI->recommended;
|
154
|
+
|
155
|
+
my @closing_values = qw(
|
156
|
+
3 4 4 5 6 5 6 5 5 5 5
|
157
|
+
6 6 6 6 7 7 7 8 8 8 8
|
158
|
+
);
|
159
|
+
|
160
|
+
# choose one:
|
161
|
+
$rsi->insert( @closing_values );
|
162
|
+
$rsi->insert( $_ ) for @closing_values;
|
163
|
+
|
164
|
+
if( defined(my $q = $rsi->query) ) {
|
165
|
+
print "RSI: $q.\n";
|
166
|
+
|
167
|
+
} else {
|
168
|
+
print "RSI: n/a.\n";
|
169
|
+
}
|
170
|
+
|
171
|
+
=head1 RESEARCHER
|
172
|
+
|
173
|
+
The RSI was designed by J. Welles Wilder Jr in 1978.
|
174
|
+
|
175
|
+
According to Wilder, a security is "overbought" it the RSI reaches an upper
|
176
|
+
bound of 70 and is "oversold" when it moves below 30. Some sources also
|
177
|
+
use thresholds of 80 and 20.
|
178
|
+
|
179
|
+
Therefore, moving above the upper threshold is a selling signal, whlie moving
|
180
|
+
below the lower threshold is a signal to buy.
|
181
|
+
|
182
|
+
Oddly, RSI(14) uses a "smoothing period" of 14 days -- referring to an alpha of
|
183
|
+
1/14. This means the EMA[N]u/EMA[N]d has N set to 27. This also means the
|
184
|
+
alpha is upside of other alpha you might see. RSI(14) actually uses an alpha
|
185
|
+
of ~0.0714, but set_alpha() takes the inverse to make C<$rsi->set_alpha(14)>
|
186
|
+
work.
|
187
|
+
|
188
|
+
If all of the above seems really confusing, no worries: RSI(14) means
|
189
|
+
C<set_alpha(14)> (or C<new(14)> and is equivelent to C<set_days(27)>.
|
190
|
+
|
191
|
+
=head2 Cutler
|
192
|
+
|
193
|
+
There are differing schools of thought on how to calculate this and how
|
194
|
+
important it is to stick to precisely the formula Wilder used. Cutler used
|
195
|
+
simple moving averages instead of exponential moving averages.
|
196
|
+
|
197
|
+
You can switch between Wilder and Cutler mode with these:
|
198
|
+
|
199
|
+
$rsi->set_cutler; # for simple moving averages
|
200
|
+
$rsi->set_standard; # for exponential moving averages
|
201
|
+
|
202
|
+
WARNING: Both of these clear out the value queue! If you need to track
|
203
|
+
both, you'll need two objects.
|
204
|
+
|
205
|
+
=head1 THANKS
|
206
|
+
|
207
|
+
Todd Litteken C<< <cl@xganon.com> >>
|
208
|
+
|
209
|
+
Amit Dutt C<< <amit_dutt@hotmail.com> >>
|
210
|
+
|
211
|
+
=head1 AUTHOR
|
212
|
+
|
213
|
+
Paul Miller C<< <jettero@cpan.org> >>
|
214
|
+
|
215
|
+
I am using this software in my own projects... If you find bugs, please please
|
216
|
+
please let me know.
|
217
|
+
|
218
|
+
I normally hang out on #perl on freenode, so you can try to get immediate
|
219
|
+
gratification there if you like. L<irc://irc.freenode.net/perl>
|
220
|
+
|
221
|
+
There is also a mailing list with very light traffic that you might want to
|
222
|
+
join: L<http://groups.google.com/group/stockmonkey/>.
|
223
|
+
|
224
|
+
=head1 COPYRIGHT
|
225
|
+
|
226
|
+
Copyright (c) 2010 Paul Miller
|
227
|
+
|
228
|
+
=head1 LICENSE
|
229
|
+
|
230
|
+
This module is free software. You can redistribute it and/or
|
231
|
+
modify it under the terms of the Artistic License 2.0.
|
232
|
+
|
233
|
+
This program is distributed in the hope that it will be useful,
|
234
|
+
but without any warranty; without even the implied warranty of
|
235
|
+
merchantability or fitness for a particular purpose.
|
236
|
+
|
237
|
+
[This software may have had previous licenses, of which the current maintainer
|
238
|
+
is completely unaware. If this is so, it is possible the above license is
|
239
|
+
incorrect or invalid.]
|
240
|
+
|
241
|
+
=head1 SEE ALSO
|
242
|
+
|
243
|
+
perl(1), L<Math::Business::StockMonkey>, L<Math::Business::StockMonkey::FAQ>, L<Math::Business::StockMonkey::CookBook>
|
244
|
+
|
245
|
+
L<http://en.wikipedia.org/wiki/Relative_Strength_Index>
|
246
|
+
|
247
|
+
=cut
|
data/test/rsi.pl
ADDED
data/test/test_rsi.rb
ADDED
@@ -0,0 +1,127 @@
|
|
1
|
+
require 'test/unit'
|
2
|
+
require File.dirname(__FILE__) + "/../lib/advanced_math.rb"
|
3
|
+
|
4
|
+
module AdvancedMath
|
5
|
+
class RelativeStrengthIndexTest < Test::Unit::TestCase
|
6
|
+
# Verify the constructor raises an ArgumentError if the "range" is invalid
|
7
|
+
def test_sma_initialize_nil
|
8
|
+
assert_raise(ArgumentError) { RelativeStrengthIndex.new(nil) }
|
9
|
+
end
|
10
|
+
|
11
|
+
# Verify the constructor raises an ArgumentError if the "range" is invalid
|
12
|
+
def test_sma_initialize_negative
|
13
|
+
assert_raise(ArgumentError) { RelativeStrengthIndex.new(-1) }
|
14
|
+
(-1...-1000).each do |i|
|
15
|
+
assert_raise(ArgumentError) { RelativeStrengthIndex.new(i) }
|
16
|
+
end
|
17
|
+
end
|
18
|
+
|
19
|
+
# Verify the constructor raises an ArgumentError if the "range" is invalid
|
20
|
+
def test_sma_initialize_zero
|
21
|
+
assert_raise(ArgumentError) { RelativeStrengthIndex.new(0) }
|
22
|
+
end
|
23
|
+
|
24
|
+
# Verify the constructor raises an ArgumentError if the "range" is invalid
|
25
|
+
def test_sma_initialize_one
|
26
|
+
assert_raise(ArgumentError) { RelativeStrengthIndex.new(1) }
|
27
|
+
end
|
28
|
+
|
29
|
+
# Verify the constructor doesn't raise an exception if the value is positive
|
30
|
+
def test_sma_initialize_positive
|
31
|
+
(2...1000).each do |i|
|
32
|
+
assert_nothing_raised(ArgumentError) { RelativeStrengthIndex.new(i) }
|
33
|
+
end
|
34
|
+
end
|
35
|
+
|
36
|
+
# Verify "add" raises an ArgumentError if the "value" is invalid
|
37
|
+
def test_sma_add_nil
|
38
|
+
assert_raise(ArgumentError) { RelativeStrengthIndex.new(1).add(nil) }
|
39
|
+
end
|
40
|
+
|
41
|
+
# # Verify SMA of 1, always returns the same value
|
42
|
+
# def test_sma_add_0
|
43
|
+
# sma = RelativeStrengthIndex.new(2)
|
44
|
+
# assert_nil(value = sma.add(0))
|
45
|
+
# assert_nil(value = sma.add(0))
|
46
|
+
# assert_not_nil(value = sma.add(0))
|
47
|
+
# assert_equal(50, value)
|
48
|
+
# (0...1000).each { |i| assert_equal(50, sma.add(0)) }
|
49
|
+
# end
|
50
|
+
|
51
|
+
def test_sma_add_range
|
52
|
+
sma = RelativeStrengthIndex.new(2)
|
53
|
+
(0...1000).each do |i|
|
54
|
+
value = sma.add(i)
|
55
|
+
if (i < 2)
|
56
|
+
assert_nil(value, "#{i}")
|
57
|
+
else
|
58
|
+
assert_not_nil(value, "#{i}")
|
59
|
+
assert_equal(99, sma.add(i).to_i(), "#{i}")
|
60
|
+
end
|
61
|
+
end
|
62
|
+
end
|
63
|
+
|
64
|
+
def RelativeStrengthIndexTest.rsi_values(period, values)
|
65
|
+
cmd = "#{File.dirname(__FILE__)}/rsi.pl #{period} #{values.join(" ")}"
|
66
|
+
cmd = `#{cmd}`.strip()
|
67
|
+
return cmd.to_i()
|
68
|
+
end
|
69
|
+
|
70
|
+
def RelativeStrengthIndexTest.rsi_range(period, prefix, range)
|
71
|
+
values = []
|
72
|
+
prefix.each() { |i| values << i }
|
73
|
+
range.each() { |i| values << i }
|
74
|
+
return RelativeStrengthIndexTest.rsi_values(period, values)
|
75
|
+
end
|
76
|
+
|
77
|
+
# Verify SMA of 2, always returns the same value - 0.5
|
78
|
+
def test_sma_add_2
|
79
|
+
sma = RelativeStrengthIndex.new(2)
|
80
|
+
assert_equal(nil, sma.add(0))
|
81
|
+
assert_equal(nil, sma.add(0))
|
82
|
+
assert_equal(99, sma.add(0).to_i())
|
83
|
+
(1...1000).each do |i|
|
84
|
+
value = sma.add(i).to_i()
|
85
|
+
cmp = RelativeStrengthIndexTest.rsi_range(sma.range(), [0, 0, 0], Range.new(0, i+1))
|
86
|
+
assert_equal(cmp, value, "#{i}")
|
87
|
+
assert_equal(99, value, "#{i}")
|
88
|
+
end
|
89
|
+
|
90
|
+
# (0..1000).to_a().each() do |i|
|
91
|
+
# sma = RelativeStrengthIndex.new(2)
|
92
|
+
# value = sma.add(i)
|
93
|
+
# assert_nil(value, i)
|
94
|
+
#
|
95
|
+
# value = sma.add(i+1)
|
96
|
+
# assert_not_nil(value = sma.add(i+1), i)
|
97
|
+
# assert_equal(99, sma.add(i).to_i(), "#{i}")
|
98
|
+
# end
|
99
|
+
end
|
100
|
+
|
101
|
+
def test_sma_array
|
102
|
+
assert_raise(ArgumentError) { RelativeStrengthIndex.new(2).add_array(nil) }
|
103
|
+
assert_raise(ArgumentError) { RelativeStrengthIndex.new(2).add_array("") }
|
104
|
+
assert_raise(ArgumentError) { RelativeStrengthIndex.new(2).add_array(1) }
|
105
|
+
assert_nothing_raised(ArgumentError) { RelativeStrengthIndex.new(2).add_array(Array.new) }
|
106
|
+
assert_not_nil( RelativeStrengthIndex.new(2).add_array(Array.new) )
|
107
|
+
assert_not_nil( RelativeStrengthIndex.new(2).add_array([]) )
|
108
|
+
assert_equal( 0, RelativeStrengthIndex.new(2).add_array([]).length() )
|
109
|
+
assert_equal( 1, RelativeStrengthIndex.new(2).add_array([1]).length() )
|
110
|
+
assert_equal( 2, RelativeStrengthIndex.new(2).add_array((1..2).to_a).length() )
|
111
|
+
assert_equal( 1000, RelativeStrengthIndex.new(2).add_array((1..1000).to_a).length() )
|
112
|
+
|
113
|
+
values = RelativeStrengthIndex.new(2).add_array((0..1000).to_a)
|
114
|
+
assert_nil(values[0])
|
115
|
+
assert_nil(values[1])
|
116
|
+
2.upto(values.length() -1) do |i|
|
117
|
+
assert_not_nil(values[i])
|
118
|
+
assert_equal(99, values[i].to_i())
|
119
|
+
end
|
120
|
+
|
121
|
+
values = RelativeStrengthIndex.new(14).add_array((0..14000).to_a)
|
122
|
+
values.slice!(0, 14).each() { |value| assert_nil(value) }
|
123
|
+
|
124
|
+
values.each() { |value| assert_not_nil(value); assert_equal(99, value.to_i()) }
|
125
|
+
end
|
126
|
+
end
|
127
|
+
end
|
@@ -5,48 +5,88 @@ module AdvancedMath
|
|
5
5
|
class SimpleMovingAverageTest < Test::Unit::TestCase
|
6
6
|
# Verify the constructor raises an ArgumentError if the "range" is invalid
|
7
7
|
def test_sma_initialize_nil
|
8
|
-
assert_raise(ArgumentError) { SimpleMovingAverage.new(nil)
|
8
|
+
assert_raise(ArgumentError) { SimpleMovingAverage.new(nil) }
|
9
9
|
end
|
10
10
|
|
11
11
|
# Verify the constructor raises an ArgumentError if the "range" is invalid
|
12
12
|
def test_sma_initialize_negative
|
13
|
-
assert_raise(ArgumentError) { SimpleMovingAverage.new(-1)
|
13
|
+
assert_raise(ArgumentError) { SimpleMovingAverage.new(-1) }
|
14
14
|
(-1...-1000).each do |i|
|
15
|
-
assert_raise(ArgumentError) { SimpleMovingAverage.new(i)
|
15
|
+
assert_raise(ArgumentError) { SimpleMovingAverage.new(i) }
|
16
16
|
end
|
17
17
|
end
|
18
18
|
|
19
19
|
# Verify the constructor raises an ArgumentError if the "range" is invalid
|
20
20
|
def test_sma_initialize_zero
|
21
|
-
assert_raise(ArgumentError) { SimpleMovingAverage.new(0)
|
21
|
+
assert_raise(ArgumentError) { SimpleMovingAverage.new(0) }
|
22
22
|
end
|
23
23
|
|
24
24
|
# Verify the constructor doesn't raise an exception if the value is positive
|
25
25
|
def test_sma_initialize_positive
|
26
26
|
(1...1000).each do |i|
|
27
|
-
assert_nothing_raised(ArgumentError) { SimpleMovingAverage.new(i)
|
27
|
+
assert_nothing_raised(ArgumentError) { SimpleMovingAverage.new(i) }
|
28
28
|
end
|
29
29
|
end
|
30
30
|
|
31
31
|
# Verify "add" raises an ArgumentError if the "value" is invalid
|
32
32
|
def test_sma_add_nil
|
33
|
-
assert_raise(ArgumentError) { SimpleMovingAverage.new(1).add(nil)
|
33
|
+
assert_raise(ArgumentError) { SimpleMovingAverage.new(1).add(nil) }
|
34
34
|
end
|
35
35
|
|
36
36
|
# Verify SMA of 1, always returns the same value
|
37
37
|
def test_sma_add_1
|
38
|
-
sma = SimpleMovingAverage.new(1)
|
38
|
+
sma = SimpleMovingAverage.new(1)
|
39
39
|
(1...1000).each do |i|
|
40
|
-
assert_equal(i, sma.add(i))
|
40
|
+
assert_equal(i, sma.add(i))
|
41
41
|
end
|
42
42
|
end
|
43
43
|
|
44
44
|
# Verify SMA of 2, always returns the same value - 0.5
|
45
45
|
def test_sma_add_2
|
46
|
-
sma = SimpleMovingAverage.new(2)
|
47
|
-
assert_equal(nil, sma.add(1))
|
46
|
+
sma = SimpleMovingAverage.new(2)
|
47
|
+
assert_equal(nil, sma.add(1))
|
48
48
|
(2...1000).each do |i|
|
49
|
-
assert_equal(i - 0.5, sma.add(i))
|
49
|
+
assert_equal(i - 0.5, sma.add(i))
|
50
|
+
end
|
51
|
+
|
52
|
+
(0..1000).to_a().each() do |i|
|
53
|
+
sma = SimpleMovingAverage.new(2)
|
54
|
+
assert_nil(value = sma.add(i))
|
55
|
+
assert_not_nil(value = sma.add(i+1))
|
56
|
+
assert_equal(i+0.5, value)
|
57
|
+
end
|
58
|
+
end
|
59
|
+
|
60
|
+
def test_sma_array
|
61
|
+
assert_raise(ArgumentError) { SimpleMovingAverage.new(2).add_array(nil) }
|
62
|
+
assert_raise(ArgumentError) { SimpleMovingAverage.new(2).add_array("") }
|
63
|
+
assert_raise(ArgumentError) { SimpleMovingAverage.new(2).add_array(1) }
|
64
|
+
assert_nothing_raised(ArgumentError) { SimpleMovingAverage.new(2).add_array(Array.new) }
|
65
|
+
assert_not_nil( SimpleMovingAverage.new(2).add_array(Array.new) )
|
66
|
+
assert_not_nil( SimpleMovingAverage.new(2).add_array([]) )
|
67
|
+
assert_equal( 0, SimpleMovingAverage.new(2).add_array([]).length() )
|
68
|
+
assert_equal( 1, SimpleMovingAverage.new(2).add_array([1]).length() )
|
69
|
+
assert_equal( 2, SimpleMovingAverage.new(2).add_array((1..2).to_a).length() )
|
70
|
+
assert_equal( 1000, SimpleMovingAverage.new(2).add_array((1..1000).to_a).length() )
|
71
|
+
|
72
|
+
values = SimpleMovingAverage.new(2).add_array((0..1000).to_a)
|
73
|
+
assert_nil(values[0])
|
74
|
+
1.upto(values.length() -1) do |i|
|
75
|
+
assert_not_nil(values[i])
|
76
|
+
assert_equal(i - 0.5, values[i])
|
77
|
+
end
|
78
|
+
|
79
|
+
values = SimpleMovingAverage.new(14).add_array((0..14000).to_a)
|
80
|
+
0.upto(12) { |i| assert_nil(values[i], "#{i}") }
|
81
|
+
|
82
|
+
13.upto(values.length() -1) do |i|
|
83
|
+
assert_not_nil(values[i], "#{i}")
|
84
|
+
|
85
|
+
sum = 0.0
|
86
|
+
Range.new(i-13, i).each() { |value| sum = sum + value.to_f}
|
87
|
+
sum = sum / 14
|
88
|
+
|
89
|
+
assert_equal(sum, values[i], "#{i}")
|
50
90
|
end
|
51
91
|
end
|
52
92
|
end
|
metadata
CHANGED
@@ -1,13 +1,13 @@
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
2
2
|
name: advanced_math
|
3
3
|
version: !ruby/object:Gem::Version
|
4
|
-
hash:
|
4
|
+
hash: 17
|
5
5
|
prerelease:
|
6
6
|
segments:
|
7
7
|
- 0
|
8
8
|
- 0
|
9
|
-
-
|
10
|
-
version: 0.0.
|
9
|
+
- 7
|
10
|
+
version: 0.0.7
|
11
11
|
platform: ruby
|
12
12
|
authors:
|
13
13
|
- Glenn Nagel
|
@@ -48,9 +48,14 @@ files:
|
|
48
48
|
- Manifest.txt
|
49
49
|
- PostInstall.txt
|
50
50
|
- README.rdoc
|
51
|
-
- advanced_math-0.0.4.gem
|
52
51
|
- advanced_math.gemspec
|
52
|
+
- gem_publish.sh
|
53
53
|
- lib/advanced_math.rb
|
54
|
+
- lib/advanced_math/rsi.rb
|
55
|
+
- lib/advanced_math/sma.rb
|
56
|
+
- test/RSI.pm
|
57
|
+
- test/rsi.pl
|
58
|
+
- test/test_rsi.rb
|
54
59
|
- test/test_simple_moving_average.rb
|
55
60
|
homepage: https://github.com/gnagel/mercury-wireless-public/tree/master/ruby/advanced_math
|
56
61
|
licenses: []
|
@@ -87,4 +92,5 @@ signing_key:
|
|
87
92
|
specification_version: 3
|
88
93
|
summary: A simple gem for advanced and financial math calcualtions.
|
89
94
|
test_files:
|
95
|
+
- test/test_rsi.rb
|
90
96
|
- test/test_simple_moving_average.rb
|
data/advanced_math-0.0.4.gem
DELETED
Binary file
|