moving_average 0.0.2

data/.gitignore

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+*.gem
+*.rbc
+.bundle
+.config
+.yardoc
+Gemfile.lock
+InstalledFiles
+_yardoc
+coverage
+doc/
+lib/bundler/man
+pkg
+rdoc
+spec/reports
+test/tmp
+test/version_tmp
+tmp

data/Gemfile

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+source 'https://rubygems.org'
+
+# Specify your gem's dependencies in moving_average.gemspec
+gemspec

data/LICENSE

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+Copyright (c) 2013 TODO: Write your name
+
+MIT License
+
+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.

data/README.md

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+# MovingAverage
+
+This gem adds methods to the Array class to compute different types of moving
+averages.
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+    gem 'moving_average'
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install moving_average
+
+## Usage
+
+To compute a simple moving average (SMA), you can use
+
+    a = [1, 2, 3, 4, 5]
+    a.simple_moving_average(3, 4) => 2.5
+
+or
+
+    a.sma(3, 4) => 2.5
+
+An exponential moving average (EMA) and a weighted moving average (WMA) may be
+computed in the same way.
+
+## Contributing
+
+1. Fork it
+2. Create your feature branch (`git checkout -b my-new-feature`)
+3. Commit your changes (`git commit -am 'Added some feature'`)
+4. Push to the branch (`git push origin my-new-feature`)
+5. Create new Pull Request

data/Rakefile

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+#!/usr/bin/env rake
+require "bundler/gem_tasks"

data/lib/moving_average/errors.rb

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+module MovingAverage
+
+  module Errors
+
+    class InvalidIndexError < IndexError
+      def message
+        'Given idx is outside the Array.'
+      end
+    end
+
+    class InvalidTailError < RangeError
+      def message
+        'Given tail is <= 0.'
+      end
+    end
+
+    class NotEnoughDataError < ArgumentError
+      def message
+        'Given tail is too large for idx.'
+      end
+    end
+
+  end
+
+end

data/lib/moving_average/moving_average.rb

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+class Array
+
+  def valid_for_ma(idx, tail)
+    unless idx >= 0 && idx < self.size
+      raise MovingAverage::Errors::InvalidIndexError
+    end
+    unless tail > 0
+      raise MovingAverage::Errors::InvalidTailError
+    end
+    unless idx - tail >= -1
+      raise MovingAverage::Errors::NotEnoughDataError
+    end
+    true
+  end; private :valid_for_ma
+
+  def exponential_moving_average(idx, tail)
+    valid_for_ma(idx, tail)
+    # Taken from
+    #   http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
+    #     p_1 + (1 - alpha)p_2 + (1 - alpha)^2p_3 + ...
+    # -----------------------------------------------------
+    # 1 + (1 - alpha) + (1 - alpha)^2 + (1 - alpha)^3 + ...
+    alpha = 2.0 / (tail + 1)
+    n = (1..tail).to_a.map{|tidx| (1 - alpha) ** (tidx - 1) * self[idx - tidx + 1]}.sum
+    d = (1..tail).to_a.map{|tidx| (1 - alpha) ** (tidx - 1)}.sum
+    n / d
+  end
+  alias_method :ema, :exponential_moving_average
+
+  def simple_moving_average(idx, tail)
+    valid_for_ma(idx, tail)
+    self[idx-tail+1..idx].sum.to_f / tail
+  end
+  alias_method :sma, :simple_moving_average
+
+  def weighted_moving_average(idx, tail)
+    valid_for_ma(idx, tail)
+    # Taken from
+    #   http://en.wikipedia.org/wiki/Moving_average#Weighted_moving_average
+    # np_M + (n - 1)p_(M - 1) + (n - 2)p_(M - 3) + ...
+    # ------------------------------------------------
+    #            n + (n - 1) + (n - 2) + ...
+    # The denominator is a triangle number of the form
+    # n(n + 1)
+    # --------
+    #    2
+    n = (0..tail-1).to_a.map{|tidx| (tail - tidx) * self[idx - tidx]}.sum
+    d = (tail * (tail + 1)) / 2.0
+    n / d
+  end
+  alias_method :wma, :weighted_moving_average
+  
+  unless method_defined?(:sum)
+    def sum
+      inject(0){|s, n| s += n}
+    end
+  end
+end

data/lib/moving_average/version.rb

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+module MovingAverage
+  VERSION = '0.0.2'
+end

data/lib/moving_average.rb

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+require 'moving_average/errors'
+require 'moving_average/moving_average'
+require 'moving_average/version'
+
+module MovingAverage
+end

data/moving_average.gemspec

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+# -*- encoding: utf-8 -*-
+require File.expand_path('../lib/moving_average/version', __FILE__)
+
+Gem::Specification.new do |gem|
+  gem.authors       = ["Brad Cater"]
+  gem.email         = ["bradcater@gmail.com"]
+  gem.description   = %q{This gem adds methods to the Array class to compute different types of moving averages.}
+  gem.summary       = %q{This gem adds methods to the Array class to compute different types of moving averages.}
+  gem.homepage      = ""
+
+  gem.files         = `git ls-files`.split($\)
+  gem.executables   = gem.files.grep(%r{^bin/}).map{ |f| File.basename(f) }
+  gem.test_files    = gem.files.grep(%r{^(test|spec|features)/})
+  gem.name          = "moving_average"
+  gem.require_paths = ["lib"]
+  gem.version       = MovingAverage::VERSION
+
+  gem.add_development_dependency "rspec", "~> 2.13"
+
+end

data/spec/moving_average_spec.rb

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+require 'moving_average'
+
+describe MovingAverage do
+
+  it "exponential moving average should work for valid arguments" do
+    # Example taken from
+    #   http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages
+    a = [22.27, 22.19, 22.08, 22.17, 22.18, 22.13, 22.23, 22.43, 22.24, 22.29]
+    a.exponential_moving_average(9, 10).round(3).should eql(22.247)
+    a.ema(9, 10).round(3).should eql(22.247)
+  end
+
+  it "exponential moving average should raise NotEnoughDataError for invalid arguments" do
+    expect { [1, 2, 3].exponential_moving_average(-1, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
+    expect { [1, 2, 3].exponential_moving_average(3, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
+    expect { [1, 2, 3].exponential_moving_average(1, -1) }.to raise_exception(MovingAverage::Errors::InvalidTailError, "Given tail is <= 0.")
+    expect { [1, 2, 3].exponential_moving_average(1, 3) }.to raise_exception(MovingAverage::Errors::NotEnoughDataError, "Given tail is too large for idx.")
+  end
+
+  it "simple moving average should work" do
+    (1..5).to_a.simple_moving_average(4, 5).should ==(3)
+    (1..5).to_a.sma(4, 5).should ==(3)
+  end
+
+  it "simple moving average should raise proper errors for invalid arguments" do
+    expect { [1, 2, 3].simple_moving_average(-1, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
+    expect { [1, 2, 3].simple_moving_average(3, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
+    expect { [1, 2, 3].simple_moving_average(1, -1) }.to raise_exception(MovingAverage::Errors::InvalidTailError, "Given tail is <= 0.")
+    expect { [1, 2, 3].simple_moving_average(1, 3) }.to raise_exception(MovingAverage::Errors::NotEnoughDataError, "Given tail is too large for idx.")
+  end
+
+  it "weighted moving average should work" do
+    # Example taken from
+    #   http://daytrading.about.com/od/indicators/a/MovingAverages.htm
+    vals = [1.2900, 1.2900, 1.2903, 1.2904]
+    vals.weighted_moving_average(3, 4).should eql(1.29025)
+    vals.wma(3, 4).should eql(1.29025)
+  end
+
+  it "weighted moving average should raise proper errors for invalid arguments" do
+    expect { [1, 2, 3].weighted_moving_average(-1, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
+    expect { [1, 2, 3].weighted_moving_average(3, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
+    expect { [1, 2, 3].weighted_moving_average(1, -1) }.to raise_exception(MovingAverage::Errors::InvalidTailError, "Given tail is <= 0.")
+    expect { [1, 2, 3].weighted_moving_average(1, 3) }.to raise_exception(MovingAverage::Errors::NotEnoughDataError, "Given tail is too large for idx.")
+  end
+
+end

metadata

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+--- !ruby/object:Gem::Specification 
+name: moving_average
+version: !ruby/object:Gem::Version 
+  hash: 27
+  prerelease: 
+  segments: 
+  - 0
+  - 0
+  - 2
+  version: 0.0.2
+platform: ruby
+authors: 
+- Brad Cater
+autorequire: 
+bindir: bin
+cert_chain: []
+
+date: 2013-03-16 00:00:00 -04:00
+default_executable: 
+dependencies: 
+- !ruby/object:Gem::Dependency 
+  name: rspec
+  prerelease: false
+  requirement: &id001 !ruby/object:Gem::Requirement 
+    none: false
+    requirements: 
+    - - ~>
+      - !ruby/object:Gem::Version 
+        hash: 25
+        segments: 
+        - 2
+        - 13
+        version: "2.13"
+  type: :development
+  version_requirements: *id001
+description: This gem adds methods to the Array class to compute different types of moving averages.
+email: 
+- bradcater@gmail.com
+executables: []
+
+extensions: []
+
+extra_rdoc_files: []
+
+files: 
+- .gitignore
+- Gemfile
+- LICENSE
+- README.md
+- Rakefile
+- lib/moving_average.rb
+- lib/moving_average/errors.rb
+- lib/moving_average/moving_average.rb
+- lib/moving_average/version.rb
+- moving_average.gemspec
+- spec/moving_average_spec.rb
+has_rdoc: true
+homepage: ""
+licenses: []
+
+post_install_message: 
+rdoc_options: []
+
+require_paths: 
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement 
+  none: false
+  requirements: 
+  - - ">="
+    - !ruby/object:Gem::Version 
+      hash: 3
+      segments: 
+      - 0
+      version: "0"
+required_rubygems_version: !ruby/object:Gem::Requirement 
+  none: false
+  requirements: 
+  - - ">="
+    - !ruby/object:Gem::Version 
+      hash: 3
+      segments: 
+      - 0
+      version: "0"
+requirements: []
+
+rubyforge_project: 
+rubygems_version: 1.6.2
+signing_key: 
+specification_version: 3
+summary: This gem adds methods to the Array class to compute different types of moving averages.
+test_files: 
+- spec/moving_average_spec.rb