moving_average 0.0.2

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data/.gitignore ADDED
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+ *.gem
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+ *.rbc
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+ .bundle
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+ .config
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+ .yardoc
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+ Gemfile.lock
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+ InstalledFiles
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+ _yardoc
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+ coverage
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+ doc/
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+ lib/bundler/man
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+ pkg
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+ rdoc
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+ spec/reports
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+ test/tmp
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+ test/version_tmp
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+ tmp
data/Gemfile ADDED
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+ source 'https://rubygems.org'
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+
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+ # Specify your gem's dependencies in moving_average.gemspec
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+ gemspec
data/LICENSE ADDED
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+ Copyright (c) 2013 TODO: Write your name
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+
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+ MIT License
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+
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+ Permission is hereby granted, free of charge, to any person obtaining
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+ a copy of this software and associated documentation files (the
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+ "Software"), to deal in the Software without restriction, including
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+ without limitation the rights to use, copy, modify, merge, publish,
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+ distribute, sublicense, and/or sell copies of the Software, and to
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+ permit persons to whom the Software is furnished to do so, subject to
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+ the following conditions:
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+
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+ The above copyright notice and this permission notice shall be
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+ included in all copies or substantial portions of the Software.
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+
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+ THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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+ EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
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+ MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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+ NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
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+ LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
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+ OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
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+ WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
data/README.md ADDED
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+ # MovingAverage
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+
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+ This gem adds methods to the Array class to compute different types of moving
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+ averages.
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+
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+ ## Installation
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+
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+ Add this line to your application's Gemfile:
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+
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+ gem 'moving_average'
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+
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+ And then execute:
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+
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+ $ bundle
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+
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+ Or install it yourself as:
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+
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+ $ gem install moving_average
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+
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+ ## Usage
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+
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+ To compute a simple moving average (SMA), you can use
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+
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+ a = [1, 2, 3, 4, 5]
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+ a.simple_moving_average(3, 4) => 2.5
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+
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+ or
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+
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+ a.sma(3, 4) => 2.5
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+
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+ An exponential moving average (EMA) and a weighted moving average (WMA) may be
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+ computed in the same way.
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+
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+ ## Contributing
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+
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+ 1. Fork it
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+ 2. Create your feature branch (`git checkout -b my-new-feature`)
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+ 3. Commit your changes (`git commit -am 'Added some feature'`)
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+ 4. Push to the branch (`git push origin my-new-feature`)
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+ 5. Create new Pull Request
data/Rakefile ADDED
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+ #!/usr/bin/env rake
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+ require "bundler/gem_tasks"
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+ module MovingAverage
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+
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+ module Errors
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+
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+ class InvalidIndexError < IndexError
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+ def message
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+ 'Given idx is outside the Array.'
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+ end
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+ end
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+
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+ class InvalidTailError < RangeError
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+ def message
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+ 'Given tail is <= 0.'
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+ end
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+ end
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+
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+ class NotEnoughDataError < ArgumentError
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+ def message
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+ 'Given tail is too large for idx.'
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+ end
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+ end
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+
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+ end
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+
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+ end
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+ class Array
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+
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+ def valid_for_ma(idx, tail)
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+ unless idx >= 0 && idx < self.size
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+ raise MovingAverage::Errors::InvalidIndexError
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+ end
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+ unless tail > 0
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+ raise MovingAverage::Errors::InvalidTailError
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+ end
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+ unless idx - tail >= -1
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+ raise MovingAverage::Errors::NotEnoughDataError
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+ end
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+ true
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+ end; private :valid_for_ma
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+
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+ def exponential_moving_average(idx, tail)
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+ valid_for_ma(idx, tail)
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+ # Taken from
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+ # http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
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+ # p_1 + (1 - alpha)p_2 + (1 - alpha)^2p_3 + ...
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+ # -----------------------------------------------------
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+ # 1 + (1 - alpha) + (1 - alpha)^2 + (1 - alpha)^3 + ...
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+ alpha = 2.0 / (tail + 1)
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+ n = (1..tail).to_a.map{|tidx| (1 - alpha) ** (tidx - 1) * self[idx - tidx + 1]}.sum
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+ d = (1..tail).to_a.map{|tidx| (1 - alpha) ** (tidx - 1)}.sum
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+ n / d
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+ end
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+ alias_method :ema, :exponential_moving_average
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+
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+ def simple_moving_average(idx, tail)
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+ valid_for_ma(idx, tail)
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+ self[idx-tail+1..idx].sum.to_f / tail
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+ end
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+ alias_method :sma, :simple_moving_average
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+
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+ def weighted_moving_average(idx, tail)
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+ valid_for_ma(idx, tail)
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+ # Taken from
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+ # http://en.wikipedia.org/wiki/Moving_average#Weighted_moving_average
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+ # np_M + (n - 1)p_(M - 1) + (n - 2)p_(M - 3) + ...
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+ # ------------------------------------------------
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+ # n + (n - 1) + (n - 2) + ...
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+ # The denominator is a triangle number of the form
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+ # n(n + 1)
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+ # --------
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+ # 2
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+ n = (0..tail-1).to_a.map{|tidx| (tail - tidx) * self[idx - tidx]}.sum
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+ d = (tail * (tail + 1)) / 2.0
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+ n / d
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+ end
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+ alias_method :wma, :weighted_moving_average
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+
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+ unless method_defined?(:sum)
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+ def sum
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+ inject(0){|s, n| s += n}
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+ end
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+ end
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+ end
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+ module MovingAverage
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+ VERSION = '0.0.2'
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+ end
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+ require 'moving_average/errors'
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+ require 'moving_average/moving_average'
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+ require 'moving_average/version'
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+
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+ module MovingAverage
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+ end
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+ # -*- encoding: utf-8 -*-
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+ require File.expand_path('../lib/moving_average/version', __FILE__)
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+
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+ Gem::Specification.new do |gem|
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+ gem.authors = ["Brad Cater"]
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+ gem.email = ["bradcater@gmail.com"]
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+ gem.description = %q{This gem adds methods to the Array class to compute different types of moving averages.}
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+ gem.summary = %q{This gem adds methods to the Array class to compute different types of moving averages.}
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+ gem.homepage = ""
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+
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+ gem.files = `git ls-files`.split($\)
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+ gem.executables = gem.files.grep(%r{^bin/}).map{ |f| File.basename(f) }
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+ gem.test_files = gem.files.grep(%r{^(test|spec|features)/})
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+ gem.name = "moving_average"
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+ gem.require_paths = ["lib"]
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+ gem.version = MovingAverage::VERSION
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+
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+ gem.add_development_dependency "rspec", "~> 2.13"
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+
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+ end
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+ require 'moving_average'
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+
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+ describe MovingAverage do
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+
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+ it "exponential moving average should work for valid arguments" do
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+ # Example taken from
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+ # http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages
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+ a = [22.27, 22.19, 22.08, 22.17, 22.18, 22.13, 22.23, 22.43, 22.24, 22.29]
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+ a.exponential_moving_average(9, 10).round(3).should eql(22.247)
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+ a.ema(9, 10).round(3).should eql(22.247)
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+ end
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+
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+ it "exponential moving average should raise NotEnoughDataError for invalid arguments" do
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+ expect { [1, 2, 3].exponential_moving_average(-1, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
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+ expect { [1, 2, 3].exponential_moving_average(3, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
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+ expect { [1, 2, 3].exponential_moving_average(1, -1) }.to raise_exception(MovingAverage::Errors::InvalidTailError, "Given tail is <= 0.")
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+ expect { [1, 2, 3].exponential_moving_average(1, 3) }.to raise_exception(MovingAverage::Errors::NotEnoughDataError, "Given tail is too large for idx.")
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+ end
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+
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+ it "simple moving average should work" do
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+ (1..5).to_a.simple_moving_average(4, 5).should ==(3)
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+ (1..5).to_a.sma(4, 5).should ==(3)
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+ end
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+
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+ it "simple moving average should raise proper errors for invalid arguments" do
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+ expect { [1, 2, 3].simple_moving_average(-1, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
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+ expect { [1, 2, 3].simple_moving_average(3, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
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+ expect { [1, 2, 3].simple_moving_average(1, -1) }.to raise_exception(MovingAverage::Errors::InvalidTailError, "Given tail is <= 0.")
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+ expect { [1, 2, 3].simple_moving_average(1, 3) }.to raise_exception(MovingAverage::Errors::NotEnoughDataError, "Given tail is too large for idx.")
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+ end
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+
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+ it "weighted moving average should work" do
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+ # Example taken from
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+ # http://daytrading.about.com/od/indicators/a/MovingAverages.htm
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+ vals = [1.2900, 1.2900, 1.2903, 1.2904]
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+ vals.weighted_moving_average(3, 4).should eql(1.29025)
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+ vals.wma(3, 4).should eql(1.29025)
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+ end
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+
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+ it "weighted moving average should raise proper errors for invalid arguments" do
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+ expect { [1, 2, 3].weighted_moving_average(-1, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
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+ expect { [1, 2, 3].weighted_moving_average(3, 3) }.to raise_exception(MovingAverage::Errors::InvalidIndexError, "Given idx is outside the Array.")
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+ expect { [1, 2, 3].weighted_moving_average(1, -1) }.to raise_exception(MovingAverage::Errors::InvalidTailError, "Given tail is <= 0.")
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+ expect { [1, 2, 3].weighted_moving_average(1, 3) }.to raise_exception(MovingAverage::Errors::NotEnoughDataError, "Given tail is too large for idx.")
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+ end
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+
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+ end
metadata ADDED
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+ --- !ruby/object:Gem::Specification
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+ name: moving_average
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+ version: !ruby/object:Gem::Version
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+ hash: 27
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+ prerelease:
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+ segments:
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+ - 0
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+ - 0
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+ - 2
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+ version: 0.0.2
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+ platform: ruby
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+ authors:
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+ - Brad Cater
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+ autorequire:
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+ bindir: bin
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+ cert_chain: []
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+
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+ date: 2013-03-16 00:00:00 -04:00
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+ default_executable:
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+ dependencies:
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+ - !ruby/object:Gem::Dependency
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+ name: rspec
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+ prerelease: false
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+ requirement: &id001 !ruby/object:Gem::Requirement
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+ none: false
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+ requirements:
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+ - - ~>
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+ - !ruby/object:Gem::Version
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+ hash: 25
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+ segments:
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+ - 2
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+ - 13
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+ version: "2.13"
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+ type: :development
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+ version_requirements: *id001
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+ description: This gem adds methods to the Array class to compute different types of moving averages.
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+ email:
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+ - bradcater@gmail.com
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+ executables: []
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+
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+ extensions: []
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+
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+ extra_rdoc_files: []
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+
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+ files:
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+ - .gitignore
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+ - Gemfile
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+ - LICENSE
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+ - README.md
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+ - Rakefile
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+ - lib/moving_average.rb
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+ - lib/moving_average/errors.rb
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+ - lib/moving_average/moving_average.rb
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+ - lib/moving_average/version.rb
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+ - moving_average.gemspec
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+ - spec/moving_average_spec.rb
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+ has_rdoc: true
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+ homepage: ""
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+ licenses: []
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+
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+ post_install_message:
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+ rdoc_options: []
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+
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+ require_paths:
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+ - lib
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+ required_ruby_version: !ruby/object:Gem::Requirement
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+ none: false
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ hash: 3
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+ segments:
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+ - 0
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+ version: "0"
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+ required_rubygems_version: !ruby/object:Gem::Requirement
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+ none: false
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+ requirements:
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+ - - ">="
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+ - !ruby/object:Gem::Version
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+ hash: 3
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+ segments:
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+ - 0
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+ version: "0"
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+ requirements: []
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+
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+ rubyforge_project:
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+ rubygems_version: 1.6.2
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+ signing_key:
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+ specification_version: 3
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+ summary: This gem adds methods to the Array class to compute different types of moving averages.
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+ test_files:
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+ - spec/moving_average_spec.rb