ib-technical-analysis 0.2

data/lib/technical_analysis/moving-average/simple-ma.rb

@@ -0,0 +1,42 @@
+module TechnicalAnalysis
+  module MovingAverage
+    SMA = Struct.new :time, :value
+
+
+    # Calculates the exponential moving average (EMA) for the data over the given period
+    # https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
+    #
+    # Takes a block which replaces the _smooth-constant_
+    #
+    #   z = Symbols::Futures.mini_dax.eod( duration: '90 d')
+    #   TechnicalAnalysis::MovingAverage::ExpMA.new( data=z.map(&:close))
+    #
+    # returns an array with the calculated moving-average data
+    #
+    #   ema = TechnicalAnalysis::MovingAverage::ExpMA.new( default_value = z.first[:close])
+    #   moving_average = z.map{|x| EMA.new x.time,  ema.add_item(x.close)} 
+    #
+    # returns an array of EMA-Objects
+    # 
+
+    class SimpleMA  < Base
+      def initialize period: 15, data: [], strict: false
+
+        super
+
+        data.map{|d| add_item d }
+      end
+
+      # adds item, calculates the sma, puts value to the buffer and returns the result
+      def add_item  value
+
+        @queue << value.to_f
+        @queue.shift if @buffer.size > @period
+
+        @buffer <<  @queue.sum / @queue.size    # @queue.sum is always a float. 
+
+       current  #  return the last buffer value
+      end
+    end
+  end
+end

data/lib/technical_analysis/moving-average/weighted-ma.rb

@@ -0,0 +1,25 @@
+module TechnicalAnalysis
+  module MovingAverage
+
+    WMA = Struct.new :time, :value
+
+    class Wma < Base
+      def initialize period: 15, data: [], strict: true
+        super
+        @denominator =  (1..@period).sum
+        data.map{|d| add_item d }
+      end
+
+      # adds item, calculates the sma, puts value to the buffer and returns the result
+      def add_item  value
+
+        @queue << value.to_f
+        @queue.shift if @queue.size > @period
+        weights = (1..@queue.size).to_a
+        nominator = weights.zip(@queue).map { |w, x| w * x }.sum
+        @buffer << nominator / @denominator 
+       current  #  return the last buffer value
+      end
+    end
+  end
+end

data/lib/technical_analysis/moving_average.rb

@@ -0,0 +1,85 @@
+module TechnicalAnalysis
+
+  module MovingAverage 
+    WMA = Struct.new :time, :value
+
+
+
+    # Calculates the weighted moving average
+    #
+    # Parameter is the data-array. 
+    #
+    # Takes an optional Block. Specify a method name that returns  the data item
+    #
+    # Symbols::Futures.mini_dax.eod( duration: '30 d').map do | z |
+    #    TechnicalAnalysis::MovingAverage.wma( z ){ :close }
+    # end
+    #
+    def self.wma( current_value=nil, wma_source=[], period=0)
+      wma_source.push current_value if current_value.present?
+      if wma_source.size < period
+        current_value
+      else
+        wma_source = wma_source[ -period , period ]  if wma_source.size > period && !period.zero?
+        denominator =  wma_source.size * (wma_source.size + 1) / 2.0
+
+        wma_source.map.with_index do |d, i|
+          d = d.send( yield ).to_f  if block_given?
+          d * (i + 1) / denominator
+        end.sum
+      end
+    end
+
+
+    # calculates the simple moving average of the current value using the data as reference
+    #
+    # if current_value is 
+    def self.sma current_value=nil, data=[], period=15
+      sma_source = if current_value.present?
+                     data.push  current_value  #  add it as last element
+                   else
+                     data
+                   end
+      sma_source = sma_source[ -period , period ] if sma_source.size > period
+      sma_source.sum / sma_source.size .to_f  
+
+    end
+
+ # https://corporatefinanceinstitute.com/resources/knowledge/trading-investing/kaufmans-adaptive-moving-average-kama/
+    def self.kama current_value=nil, kama_source=[], period=10, fast=2, slow= 30, prev_kama= nil
+			# kama_source: Array of values (length: period)
+      #              They are used to calculate trend and volatility
+
+      # build the SmootingFactor (alpha)
+      # fast = 2 / GDperiod(fast) +1 ;  slow = 2 / GDperiod(slow) +1 
+
+      # kama_source is updated. 
+
+      smoothConst_fast = 2 / (fast +1).to_f
+      smoothConst_slow = 2 / (slow +1).to_f
+
+      if current_value.present? 
+        kama_source.push current_value 
+      else
+        current_value = kama_source.last
+      end
+      if  prev_kama.nil?
+        kama_source.sum / kama_source.size.to_f			# return Average --> sma
+      else
+        kama_source = kama_source[ -period , period ] if kama_source.size > period
+        # define the Effiency Ratio to be used by the "kaufmans Adaptive Moving Average" :  kama 
+        # ER is calculated by dividing the absolute difference between the
+        # current price and the price at the beginning of the period by the sum
+        # of the absolute difference between each pair of closes during the
+        # period.
+          #				| x(t) - x(t-n) |
+          # er = ----------------------------
+          #			 sum | x(i) - x(i-1) |
+          er=	(kama_source.first - kama_source.last).abs  /  
+            (1..kama_source.size-1).map{|x| (kama_source[x] - kama_source[x-1]).abs }.sum # rescue 1
+          alpha = (er  * ( smoothConst_fast - smoothConst_slow ) + smoothConst_slow ) ** 2
+          prev_kama + alpha * (current_value - prev_kama)        
+      end
+    end
+  end
+end

data/lib/technical_analysis/version.rb

@@ -0,0 +1,4 @@
+
+module TechnicalAnalysis
+  VERSION = "0.2"
+end

metadata

@@ -0,0 +1,183 @@
+--- !ruby/object:Gem::Specification
+name: ib-technical-analysis
+version: !ruby/object:Gem::Version
+  version: '0.2'
+platform: ruby
+authors:
+- Hartmut Bischoff
+autorequire: 
+bindir: exe
+cert_chain: []
+date: 2021-05-11 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: ib-api
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: ib-extensions
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '2.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '2.0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+- !ruby/object:Gem::Dependency
+  name: rspec-collection_matchers
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rspec-its
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: guard
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: guard-rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+description: 
+email:
+- topofocus@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- Gemfile
+- Guardfile
+- LICENSE
+- README.md
+- bin/console
+- bin/console.yml
+- bin/gateway
+- bin/history.irb
+- ib-technical-analysis.gemspec
+- lib/calculation_helpers.rb
+- lib/ib/bar.rb
+- lib/ta_support.rb
+- lib/technical-analysis.rb
+- lib/technical_analysis/bar_calculation.rb
+- lib/technical_analysis/lane.rb
+- lib/technical_analysis/momentum/lane-stochastic.rb
+- lib/technical_analysis/momentum/rsi.rb
+- lib/technical_analysis/momentum/tsi.rb
+- lib/technical_analysis/moving-average/base.rb
+- lib/technical_analysis/moving-average/exp-ma.rb
+- lib/technical_analysis/moving-average/ka-ma.rb
+- lib/technical_analysis/moving-average/simple-ma.rb
+- lib/technical_analysis/moving-average/weighted-ma.rb
+- lib/technical_analysis/moving_average.rb
+- lib/technical_analysis/version.rb
+homepage: https://ib-ruby.github.io/ib-doc/
+licenses: []
+metadata:
+  homepage_uri: https://ib-ruby.github.io/ib-doc/
+  source_code_uri: https://github.cm/ib-ruby/ib-technical-analysis
+  changelog_uri: https://github.cm/ib-ruby/ib-technical-analysis/changelog.md
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: 3.0.0
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubygems_version: 3.2.3
+signing_key: 
+specification_version: 4
+summary: ".Tools to perform technical analysis on financial data ."
+test_files: []