quant 0.0.2 → 0.0.3

data/CHANGELOG

@@ -1,3 +1,7 @@
+0.0.3 (2012-06-19)
+
+  * Tests organized
+
 0.0.2 (2012-06-18)
 
   * Donchian Channels added

data/lib/enumerable.rb

@@ -1,6 +1,8 @@
 module Enumerable
+
   def inject_with_index(injected)
     each_with_index{ |obj, index| injected = yield(injected, obj, index) }
     injected
   end
+
 end

data/lib/quant/version.rb

@@ -1,3 +1,3 @@
 module Quant
-  VERSION = "0.0.2"
+  VERSION = "0.0.3"
 end

data/lib/util.rb

@@ -0,0 +1,23 @@
+module Util
+  
+  def self.compare_2_arrays_of_floats(a, b)
+    delete_nans_and_truncate_floats_to_strings(a) == delete_nans_and_truncate_floats_to_strings(b)
+  end
+
+  def self.truncate_float_to_string(f)
+    "%.10f" % f
+  end
+
+  def self.delete_nans_and_truncate_floats_to_strings(a)
+    a.delete_if{ |e| e.nan? }.map{ |e| truncate_float_to_string(e) }
+  end
+
+  def self.ohlc(opens, highs, lows, closes)
+    o = []
+    opens.each_with_index do |e, i|
+      o << [opens[i], highs[i], lows[i], closes[i]]
+    end
+    o
+  end  
+  
+end

data/test/common_requires.rb

@@ -0,0 +1,6 @@
+require 'minitest/autorun'
+require 'quant'
+require 'enumerable'
+require 'util'
+require 'samples/ohlc'
+require 'samples/ttr'

data/test/samples/ohlc.rb

@@ -0,0 +1,43 @@
+module Samples
+
+  module Ohlc
+
+    # 50 EURUSD OHLC, from 2010-06-01 to 2010-08-10
+
+    def self.eurusd_50_opens
+      [1.2306, 1.2207, 1.2244, 1.2159, 1.1944, 1.1916, 1.1962, 1.1983, 1.2105, 1.2119, 1.2211, 1.2323, 1.2299, 1.2377, 1.2429, 1.2313, 1.2308, 1.2325, 1.2377, 1.2278, 1.2186, 1.2232, 1.2514, 1.2553, 1.2535, 1.2623, 1.2629, 1.2691, 1.264, 1.2585, 1.2725, 1.2739, 1.2934, 1.2896, 1.2946, 1.2889, 1.2752, 1.2883, 1.2894, 1.2985, 1.2999, 1.2985, 1.3078, 1.3059, 1.3173, 1.3224, 1.3153, 1.3182, 1.329, 1.3223]
+    end
+
+    def self.eurusd_50_highs
+      [1.235, 1.227, 1.2324, 1.2213, 1.1988, 1.2006, 1.207, 1.2139, 1.2149, 1.2296, 1.2347, 1.235, 1.2408, 1.2414, 1.2464, 1.2351, 1.2384, 1.2392, 1.2395, 1.2287, 1.23, 1.2537, 1.2608, 1.256, 1.2659, 1.2661, 1.2709, 1.272, 1.2645, 1.2736, 1.2774, 1.2952, 1.3004, 1.2989, 1.3026, 1.291, 1.2927, 1.2962, 1.3003, 1.3043, 1.3039, 1.3104, 1.309, 1.3192, 1.3259, 1.3237, 1.3233, 1.3331, 1.3305, 1.3228]
+    end
+
+    def self.eurusd_50_lows
+      [1.211, 1.2174, 1.2151, 1.1954, 1.1875, 1.1901, 1.1923, 1.1955, 1.2044, 1.2114, 1.2167, 1.2254, 1.224, 1.2351, 1.2302, 1.2249, 1.226, 1.2253, 1.2264, 1.215, 1.2165, 1.2192, 1.248, 1.2507, 1.2478, 1.2551, 1.262, 1.2608, 1.255, 1.2522, 1.2681, 1.2708, 1.2888, 1.2869, 1.2838, 1.273, 1.2736, 1.2792, 1.2874, 1.2951, 1.2965, 1.2976, 1.2979, 1.3052, 1.3145, 1.313, 1.3117, 1.3156, 1.3215, 1.3073]
+    end
+
+    def self.eurusd_50_closes
+      [1.2207, 1.2244, 1.2159, 1.1964, 1.1915, 1.1962, 1.1983, 1.2105, 1.2092, 1.2211, 1.2322, 1.2299, 1.2377, 1.237, 1.2312, 1.2267, 1.2325, 1.2383, 1.2278, 1.2185, 1.2231, 1.2515, 1.2548, 1.2535, 1.2624, 1.263, 1.269, 1.2637, 1.2585, 1.2725, 1.274, 1.2934, 1.2924, 1.2947, 1.2889, 1.2753, 1.2883, 1.2913, 1.2984, 1.2999, 1.2985, 1.3079, 1.3028, 1.3174, 1.3224, 1.3153, 1.3182, 1.329, 1.3222, 1.3175]
+    end
+
+    # 150 USDJPY closes, from 2011-11-08 to 2010-06-04
+
+    def self.usdjpy_150_opens
+      [78.06, 77.71, 77.72, 77.63, 77.18, 77.08, 77.01, 77.0, 76.97, 76.87, 76.89, 76.95, 77.26, 77.11, 77.44, 78.06, 77.92, 77.56, 77.7, 78.08, 77.81, 77.7, 77.63, 77.6, 77.61, 77.92, 77.94, 78.06, 77.87, 77.74, 78.0, 77.8, 78.01, 78.14, 78.06, 77.98, 77.85, 77.91, 77.61, 76.94, 76.88, 76.71, 76.72, 77.09, 76.79, 76.83, 76.81, 76.86, 76.75, 76.88, 76.78, 76.81, 76.76, 77.08, 76.94, 76.95, 77.63, 77.69, 77.43, 76.74, 76.35, 76.28, 76.16, 76.16, 76.53, 76.56, 76.77, 77.02, 77.63, 77.63, 77.55, 78.39, 78.37, 78.87, 79.72, 79.6, 79.71, 80.28, 79.95, 81.58, 80.46, 80.49, 81.27, 81.11, 81.83, 81.49, 80.67, 81.14, 81.51, 82.42, 82.3, 82.95, 83.73, 83.6, 83.48, 83.36, 83.66, 83.4, 82.59, 82.42, 82.86, 83.17, 82.87, 82.38, 82.95, 82.07, 82.79, 82.4, 82.35, 81.53, 81.52, 80.71, 80.85, 80.85, 80.9, 80.41, 80.86, 81.26, 81.58, 81.56, 81.15, 81.31, 81.3, 80.97, 80.29, 79.8, 80.07, 80.11, 80.17, 79.77, 79.87, 79.86, 79.62, 79.88, 79.94, 79.84, 80.21, 80.31, 79.3, 79.2, 79.27, 79.96, 79.43, 79.56, 79.64, 79.46, 79.51, 79.09, 78.35, 78.06]
+    end
+
+    def self.usdjpy_150_highs
+      [78.06, 77.86, 77.85, 77.66, 77.22, 77.46, 77.12, 77.07, 77.01, 76.97, 77.3, 77.56, 77.31, 77.77, 78.21, 78.26, 78.13, 77.78, 78.05, 78.08, 77.83, 77.76, 77.77, 77.76, 77.97, 77.99, 78.13, 78.06, 77.94, 78.14, 78.03, 78.08, 78.18, 78.2, 78.08, 78.0, 78.01, 77.93, 77.72, 76.99, 76.94, 76.81, 77.22, 77.31, 76.98, 76.88, 77.01, 76.96, 76.98, 76.92, 76.85, 76.85, 77.29, 77.28, 77.06, 77.83, 78.26, 77.78, 77.46, 76.75, 76.39, 76.33, 76.22, 76.71, 76.78, 76.94, 77.16, 77.7, 77.78, 77.76, 78.51, 78.64, 78.94, 79.48, 79.86, 79.82, 80.38, 80.33, 80.98, 81.6, 80.76, 81.28, 81.36, 81.85, 81.84, 81.56, 81.2, 81.71, 82.62, 82.49, 83.06, 83.8, 84.15, 83.6, 83.54, 83.81, 84.07, 83.41, 82.92, 82.98, 83.36, 83.17, 82.94, 82.85, 83.28, 82.97, 82.91, 82.45, 82.53, 81.64, 81.84, 81.1, 81.11, 81.17, 80.92, 80.9, 81.54, 81.71, 81.75, 81.64, 81.37, 81.67, 81.4, 81.42, 80.36, 80.28, 80.59, 80.53, 80.36, 79.97, 80.05, 79.92, 79.99, 79.97, 80.16, 80.31, 80.53, 80.37, 79.44, 79.42, 80.12, 80.05, 79.61, 79.8, 79.65, 79.61, 79.54, 79.11, 78.65, 78.39]
+    end
+
+    def self.usdjpy_150_lows
+      [77.58, 77.52, 77.48, 77.03, 76.79, 76.89, 76.83, 76.89, 76.55, 76.74, 76.81, 76.9, 76.99, 77.1, 77.44, 77.6, 77.27, 77.46, 77.69, 77.67, 77.62, 77.6, 77.11, 77.47, 77.56, 77.62, 77.9, 78.06, 77.59, 77.74, 77.69, 77.67, 77.98, 77.98, 77.9, 77.77, 77.54, 77.57, 76.88, 76.85, 76.6, 76.59, 76.64, 76.95, 76.75, 76.75, 76.81, 76.65, 76.64, 76.68, 76.53, 76.63, 76.68, 76.89, 76.84, 76.94, 77.54, 77.27, 76.63, 76.19, 76.14, 76.0, 76.02, 76.12, 76.47, 76.49, 76.69, 77.01, 77.5, 77.37, 77.34, 78.16, 78.34, 78.77, 79.34, 79.53, 79.71, 79.83, 79.91, 80.11, 80.0, 80.23, 80.82, 81.07, 81.13, 80.57, 80.56, 81.07, 81.45, 82.09, 81.95, 82.87, 83.17, 83.6, 83.0, 83.3, 83.27, 83.4, 81.97, 82.41, 82.62, 82.59, 81.9, 81.81, 81.86, 81.53, 82.07, 81.81, 81.3, 81.18, 80.61, 80.56, 80.71, 80.82, 80.9, 80.31, 80.86, 81.15, 81.47, 80.95, 80.83, 81.06, 80.64, 80.33, 79.71, 79.62, 80.03, 80.08, 79.8, 79.62, 79.69, 79.41, 79.58, 79.71, 79.66, 79.79, 80.17, 79.11, 78.99, 79.08, 79.25, 79.19, 79.32, 79.48, 79.31, 79.35, 78.84, 78.19, 77.64, 77.96]
+    end
+
+    def self.usdjpy_150_closes
+      [77.71, 77.72, 77.62, 77.09, 77.08, 77.01, 77.0, 76.97, 76.89, 76.9, 76.95, 77.26, 77.11, 77.72, 78.06, 77.92, 77.56, 77.7, 77.96, 77.81, 77.7, 77.63, 77.6, 77.5, 77.93, 77.94, 78.06, 78.06, 77.78, 78.0, 77.8, 78.01, 78.13, 78.04, 77.98, 77.85, 77.91, 77.62, 76.94, 76.89, 76.7, 76.73, 77.09, 76.97, 76.83, 76.81, 76.86, 76.76, 76.93, 76.78, 76.81, 76.77, 77.08, 76.95, 76.96, 77.64, 77.69, 77.43, 76.66, 76.36, 76.28, 76.16, 76.16, 76.53, 76.55, 76.78, 77.02, 77.63, 77.6, 77.56, 78.39, 78.37, 78.86, 79.47, 79.6, 79.72, 80.28, 79.95, 80.98, 80.46, 80.49, 81.27, 81.11, 81.78, 81.49, 80.68, 81.15, 81.52, 82.39, 82.3, 82.95, 83.73, 83.6, 83.6, 83.36, 83.66, 83.4, 83.4, 82.32, 82.85, 83.17, 82.87, 82.38, 82.77, 82.06, 82.8, 82.4, 82.35, 81.51, 81.52, 80.72, 80.84, 80.85, 81.0, 80.91, 80.86, 81.26, 81.58, 81.54, 81.15, 81.3, 81.3, 80.97, 80.35, 79.8, 80.07, 80.11, 80.17, 79.82, 79.87, 79.86, 79.62, 79.87, 79.9, 79.84, 80.21, 80.31, 79.29, 79.05, 79.27, 79.96, 79.43, 79.56, 79.64, 79.45, 79.51, 79.09, 78.35, 78.12, 78.32]
+    end
+
+  end
+
+end

data/test/samples/ttr.rb

@@ -0,0 +1,43 @@
+module Samples
+
+  module Ttr
+
+    # SMA
+
+    def self.eurusd_50_ttr_sma10
+      # SMA 10 of eurusd_50_closes generated with the TTR R package
+      [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 1.2084199999999998, 1.2095699999999998, 1.2101199999999999, 1.2123, 1.2163599999999999, 1.22033, 1.22338, 1.2268, 1.22958, 1.2314399999999999, 1.23118, 1.23027, 1.23243, 1.23414, 1.23579, 1.23891, 1.24254, 1.24619, 1.24873, 1.2517999999999998, 1.2571999999999999, 1.26229, 1.26648, 1.2702399999999998, 1.27436, 1.27701, 1.2782399999999998, 1.28017, 1.28293, 1.2869199999999998, 1.28966, 1.2921099999999999, 1.2935599999999998, 1.2946, 1.29687, 1.30022, 1.30422, 1.30721, 1.31098, 1.3133599999999999, 1.3151199999999998]
+    end
+
+    def self.usdjpy_150_ttr_sma25
+      # SMA 25 of usdjpy_150_closes generated with the TTR R package
+      [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 77.456, 77.46520000000001, 77.4788, 77.49640000000001, 77.524, 77.5608, 77.59240000000001, 77.6328, 77.6792, 77.7252, 77.7684, 77.8044, 77.8304, 77.85079999999999, 77.8196, 77.7728, 77.724, 77.6908, 77.66640000000001, 77.6268, 77.58760000000001, 77.552, 77.52120000000001, 77.4876, 77.46480000000001, 77.4188, 77.37360000000001, 77.322, 77.28280000000001, 77.2496, 77.208, 77.20160000000001, 77.1888, 77.1608, 77.10560000000001, 77.0408, 76.97800000000001, 76.908, 76.8496, 76.8332, 76.8196, 76.8228, 76.8344, 76.85600000000001, 76.88119999999999, 76.9104, 76.9736, 77.034, 77.118, 77.2196, 77.33239999999999, 77.4488, 77.5892, 77.70400000000001, 77.8652, 78.0052, 78.1192, 78.2624, 78.4096, 78.6144, 78.8196, 78.99560000000001, 79.1952, 79.4096, 79.644, 79.87400000000001, 80.1208, 80.3892, 80.628, 80.868, 81.1, 81.3108, 81.512, 81.6936, 81.80760000000001, 81.9376, 82.0756, 82.1792, 82.2764, 82.348, 82.412, 82.5044, 82.54960000000001, 82.5992, 82.58840000000001, 82.5896, 82.59120000000001, 82.57880000000002, 82.552, 82.4964, 82.4408, 82.35719999999999, 82.2584, 82.1776, 82.0952, 82.0068, 81.9124, 81.8284, 81.7312, 81.6524, 81.5304, 81.4064, 81.296, 81.2076, 81.0896, 81.002, 80.8844, 80.7732, 80.674, 80.6096, 80.5424, 80.522, 80.5008, 80.4384, 80.3604, 80.29480000000001, 80.25880000000001, 80.18560000000001, 80.10480000000001, 80.0288, 79.9608, 79.8892, 79.8008, 79.696, 79.6068, 79.5476]
+    end
+
+    # Donchian Channel
+
+    def self.eurusd_50_ttr_donchian_channel_20_highs
+      [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 1.2464, 1.2464, 1.2537, 1.2608, 1.2608, 1.2659, 1.2661, 1.2709, 1.272, 1.272, 1.2736, 1.2774, 1.2952, 1.3004, 1.3004, 1.3026, 1.3026, 1.3026, 1.3026, 1.3026, 1.3043, 1.3043, 1.3104, 1.3104, 1.3192, 1.3259, 1.3259, 1.3259, 1.3331, 1.3331, 1.3331]
+    end
+
+    def self.eurusd_50_ttr_donchian_channel_20_lows
+      [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 1.1875, 1.1875, 1.1875, 1.1875, 1.1875, 1.1901, 1.1923, 1.1955, 1.2044, 1.2114, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.2165, 1.2192, 1.2478, 1.2478, 1.2478, 1.2522, 1.2522, 1.2522, 1.2522, 1.2522, 1.2681]
+    end
+
+    def self.usdjpy_150_ttr_donchian_channel_55_highs
+      [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.51, 78.64, 78.94, 79.48, 79.86, 79.86, 80.38, 80.38, 80.98, 81.6, 81.6, 81.6, 81.6, 81.85, 81.85, 81.85, 81.85, 81.85, 82.62, 82.62, 83.06, 83.8, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.07, 84.07, 84.07]
+    end
+
+    def self.usdjpy_150_ttr_donchian_channel_55_lows
+      [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 76.53, 76.53, 76.53, 76.53, 76.53, 76.19, 76.14, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.02, 76.12, 76.47, 76.49, 76.69, 77.01, 77.34, 77.34, 77.34, 78.16, 78.34, 78.77, 79.34, 79.53, 79.62, 79.41, 79.41, 79.41, 79.41, 79.41, 79.41, 79.11, 78.99, 78.99, 78.99, 78.99, 78.99, 78.99, 78.99, 78.99, 78.84, 78.19, 77.64, 77.64]
+    end
+
+    private
+
+    def self.not_a_number
+      0 / 0.0
+    end
+
+  end
+
+end

data/test/test_donchian_channel.rb

@@ -0,0 +1,29 @@
+require 'common_requires'
+
+class TestDonchianChannel < MiniTest::Unit::TestCase
+
+  def test_eurusd_50_donchian_channel_20_highs
+    c = Util.ohlc(Samples::Ohlc.eurusd_50_opens, Samples::Ohlc.eurusd_50_highs, Samples::Ohlc.eurusd_50_lows, Samples::Ohlc.eurusd_50_closes)
+    dc20_highs = Quant.donchian_channel(c, 20).inject([]) { |a, e| a << e[0] }
+    assert Util.compare_2_arrays_of_floats dc20_highs , Samples::Ttr.eurusd_50_ttr_donchian_channel_20_highs
+  end
+
+  def test_eurusd_50_donchian_channel_20_lows
+    c = Util.ohlc(Samples::Ohlc.eurusd_50_opens, Samples::Ohlc.eurusd_50_highs, Samples::Ohlc.eurusd_50_lows, Samples::Ohlc.eurusd_50_closes)
+    dc20_lows = Quant.donchian_channel(c, 20).inject([]) { |a, e| a << e[1] }
+    assert Util.compare_2_arrays_of_floats dc20_lows , Samples::Ttr.eurusd_50_ttr_donchian_channel_20_lows
+  end
+
+  def test_usdjpy_150_donchian_channel_55_highs
+    c = Util.ohlc(Samples::Ohlc.usdjpy_150_opens, Samples::Ohlc.usdjpy_150_highs, Samples::Ohlc.usdjpy_150_lows, Samples::Ohlc.usdjpy_150_closes)
+    dc55_highs = Quant.donchian_channel(c, 55).inject([]) { |a, e| a << e[0] }
+    assert Util.compare_2_arrays_of_floats dc55_highs , Samples::Ttr.usdjpy_150_ttr_donchian_channel_55_highs
+  end
+
+  def test_usdjpy_150_donchian_channel_55_lows
+    c = Util.ohlc(Samples::Ohlc.usdjpy_150_opens, Samples::Ohlc.usdjpy_150_highs, Samples::Ohlc.usdjpy_150_lows, Samples::Ohlc.usdjpy_150_closes)
+    dc55_lows = Quant.donchian_channel(c, 55).inject([]) { |a, e| a << e[1] }
+    assert Util.compare_2_arrays_of_floats dc55_lows , Samples::Ttr.usdjpy_150_ttr_donchian_channel_55_lows
+  end
+
+end

data/test/test_sma.rb

@@ -0,0 +1,13 @@
+require 'common_requires'
+
+class TestSma < MiniTest::Unit::TestCase
+
+  def test_eurusd_50_sma10
+    assert Util.compare_2_arrays_of_floats Quant.sma(Samples::Ohlc.eurusd_50_closes, 10), Samples::Ttr.eurusd_50_ttr_sma10
+  end
+
+  def test_usdjpy_150_sma25
+    assert Util.compare_2_arrays_of_floats Quant.sma(Samples::Ohlc.usdjpy_150_closes, 25), Samples::Ttr.usdjpy_150_ttr_sma25
+  end
+
+  end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: quant
 version: !ruby/object:Gem::Version
-  version: 0.0.2
+  version: 0.0.3
   prerelease: 
 platform: ruby
 authors:
@@ -9,7 +9,7 @@ authors:
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2012-06-18 00:00:00.000000000 Z
+date: 2012-06-19 00:00:00.000000000 Z
 dependencies: []
 description: Quantitative Trading
 email:
@@ -27,8 +27,13 @@ files:
 - lib/enumerable.rb
 - lib/quant.rb
 - lib/quant/version.rb
+- lib/util.rb
 - quant.gemspec
-- test/test_quant.rb
+- test/common_requires.rb
+- test/samples/ohlc.rb
+- test/samples/ttr.rb
+- test/test_donchian_channel.rb
+- test/test_sma.rb
 homepage: ''
 licenses: []
 post_install_message: 
@@ -54,4 +59,8 @@ signing_key:
 specification_version: 3
 summary: Quantitative Trading
 test_files:
-- test/test_quant.rb
+- test/common_requires.rb
+- test/samples/ohlc.rb
+- test/samples/ttr.rb
+- test/test_donchian_channel.rb
+- test/test_sma.rb

data/test/test_quant.rb

@@ -1,125 +0,0 @@
-require "minitest/autorun"
-require "quant"
-require "enumerable"
-
-class TestQuant < MiniTest::Unit::TestCase
-
-  def test_eurusd_50_sma10
-    assert compare_2_arrays_of_floats Quant.sma(eurusd_50_closes, 10), eurusd_50_ttr_sma10
-  end
-
-  def test_usdjpy_150_sma25
-    assert compare_2_arrays_of_floats Quant.sma(usdjpy_150_closes, 25), usdjpy_150_ttr_sma25
-  end
-
-  def test_eurusd_50_donchian_channel_20_highs
-    c = ohlc(eurusd_50_opens, eurusd_50_highs, eurusd_50_lows, eurusd_50_closes)
-    dc20_highs = Quant.donchian_channel(c, 20).inject([]) { |a, e| a << e[0] }
-    assert compare_2_arrays_of_floats dc20_highs , eurusd_50_ttr_donchian_channel_20_highs
-  end
-
-  def test_eurusd_50_donchian_channel_20_lows
-    c = ohlc(eurusd_50_opens, eurusd_50_highs, eurusd_50_lows, eurusd_50_closes)
-    dc20_lows = Quant.donchian_channel(c, 20).inject([]) { |a, e| a << e[1] }
-    assert compare_2_arrays_of_floats dc20_lows , eurusd_50_ttr_donchian_channel_20_lows
-  end
-
-  def test_usdjpy_150_donchian_channel_55_highs
-    c = ohlc(usdjpy_150_opens, usdjpy_150_highs, usdjpy_150_lows, usdjpy_150_closes)
-    dc55_highs = Quant.donchian_channel(c, 55).inject([]) { |a, e| a << e[0] }
-    assert compare_2_arrays_of_floats dc55_highs , usdjpy_150_ttr_donchian_channel_55_highs
-  end
-
-  def test_usdjpy_150_donchian_channel_55_lows
-    c = ohlc(usdjpy_150_opens, usdjpy_150_highs, usdjpy_150_lows, usdjpy_150_closes)
-    dc55_lows = Quant.donchian_channel(c, 55).inject([]) { |a, e| a << e[1] }
-    assert compare_2_arrays_of_floats dc55_lows , usdjpy_150_ttr_donchian_channel_55_lows
-  end
-
-  private
-
-  def eurusd_50_opens
-    [1.2306, 1.2207, 1.2244, 1.2159, 1.1944, 1.1916, 1.1962, 1.1983, 1.2105, 1.2119, 1.2211, 1.2323, 1.2299, 1.2377, 1.2429, 1.2313, 1.2308, 1.2325, 1.2377, 1.2278, 1.2186, 1.2232, 1.2514, 1.2553, 1.2535, 1.2623, 1.2629, 1.2691, 1.264, 1.2585, 1.2725, 1.2739, 1.2934, 1.2896, 1.2946, 1.2889, 1.2752, 1.2883, 1.2894, 1.2985, 1.2999, 1.2985, 1.3078, 1.3059, 1.3173, 1.3224, 1.3153, 1.3182, 1.329, 1.3223]
-  end
-
-  def eurusd_50_highs
-    [1.235, 1.227, 1.2324, 1.2213, 1.1988, 1.2006, 1.207, 1.2139, 1.2149, 1.2296, 1.2347, 1.235, 1.2408, 1.2414, 1.2464, 1.2351, 1.2384, 1.2392, 1.2395, 1.2287, 1.23, 1.2537, 1.2608, 1.256, 1.2659, 1.2661, 1.2709, 1.272, 1.2645, 1.2736, 1.2774, 1.2952, 1.3004, 1.2989, 1.3026, 1.291, 1.2927, 1.2962, 1.3003, 1.3043, 1.3039, 1.3104, 1.309, 1.3192, 1.3259, 1.3237, 1.3233, 1.3331, 1.3305, 1.3228]
-  end
-
-  def eurusd_50_lows
-    [1.211, 1.2174, 1.2151, 1.1954, 1.1875, 1.1901, 1.1923, 1.1955, 1.2044, 1.2114, 1.2167, 1.2254, 1.224, 1.2351, 1.2302, 1.2249, 1.226, 1.2253, 1.2264, 1.215, 1.2165, 1.2192, 1.248, 1.2507, 1.2478, 1.2551, 1.262, 1.2608, 1.255, 1.2522, 1.2681, 1.2708, 1.2888, 1.2869, 1.2838, 1.273, 1.2736, 1.2792, 1.2874, 1.2951, 1.2965, 1.2976, 1.2979, 1.3052, 1.3145, 1.313, 1.3117, 1.3156, 1.3215, 1.3073]
-  end
-
-  def eurusd_50_closes
-    # 50 EURUSD closes, from 2010-06-01 to 2010-08-10
-    [1.2207, 1.2244, 1.2159, 1.1964, 1.1915, 1.1962, 1.1983, 1.2105, 1.2092, 1.2211, 1.2322, 1.2299, 1.2377, 1.237, 1.2312, 1.2267, 1.2325, 1.2383, 1.2278, 1.2185, 1.2231, 1.2515, 1.2548, 1.2535, 1.2624, 1.263, 1.269, 1.2637, 1.2585, 1.2725, 1.274, 1.2934, 1.2924, 1.2947, 1.2889, 1.2753, 1.2883, 1.2913, 1.2984, 1.2999, 1.2985, 1.3079, 1.3028, 1.3174, 1.3224, 1.3153, 1.3182, 1.329, 1.3222, 1.3175]
-  end
-
-  def eurusd_50_ttr_sma10
-    # SMA 10 of eurusd_50_closes generated with the TTR R package
-    [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 1.2084199999999998, 1.2095699999999998, 1.2101199999999999, 1.2123, 1.2163599999999999, 1.22033, 1.22338, 1.2268, 1.22958, 1.2314399999999999, 1.23118, 1.23027, 1.23243, 1.23414, 1.23579, 1.23891, 1.24254, 1.24619, 1.24873, 1.2517999999999998, 1.2571999999999999, 1.26229, 1.26648, 1.2702399999999998, 1.27436, 1.27701, 1.2782399999999998, 1.28017, 1.28293, 1.2869199999999998, 1.28966, 1.2921099999999999, 1.2935599999999998, 1.2946, 1.29687, 1.30022, 1.30422, 1.30721, 1.31098, 1.3133599999999999, 1.3151199999999998]
-  end
-
-  def eurusd_50_ttr_donchian_channel_20_highs
-    [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 1.2464, 1.2464, 1.2537, 1.2608, 1.2608, 1.2659, 1.2661, 1.2709, 1.272, 1.272, 1.2736, 1.2774, 1.2952, 1.3004, 1.3004, 1.3026, 1.3026, 1.3026, 1.3026, 1.3026, 1.3043, 1.3043, 1.3104, 1.3104, 1.3192, 1.3259, 1.3259, 1.3259, 1.3331, 1.3331, 1.3331]
-  end
-
-  def eurusd_50_ttr_donchian_channel_20_lows
-    [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 1.1875, 1.1875, 1.1875, 1.1875, 1.1875, 1.1901, 1.1923, 1.1955, 1.2044, 1.2114, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.215, 1.2165, 1.2192, 1.2478, 1.2478, 1.2478, 1.2522, 1.2522, 1.2522, 1.2522, 1.2522, 1.2681]
-  end
-
-  def usdjpy_150_opens
-    [78.06, 77.71, 77.72, 77.63, 77.18, 77.08, 77.01, 77.0, 76.97, 76.87, 76.89, 76.95, 77.26, 77.11, 77.44, 78.06, 77.92, 77.56, 77.7, 78.08, 77.81, 77.7, 77.63, 77.6, 77.61, 77.92, 77.94, 78.06, 77.87, 77.74, 78.0, 77.8, 78.01, 78.14, 78.06, 77.98, 77.85, 77.91, 77.61, 76.94, 76.88, 76.71, 76.72, 77.09, 76.79, 76.83, 76.81, 76.86, 76.75, 76.88, 76.78, 76.81, 76.76, 77.08, 76.94, 76.95, 77.63, 77.69, 77.43, 76.74, 76.35, 76.28, 76.16, 76.16, 76.53, 76.56, 76.77, 77.02, 77.63, 77.63, 77.55, 78.39, 78.37, 78.87, 79.72, 79.6, 79.71, 80.28, 79.95, 81.58, 80.46, 80.49, 81.27, 81.11, 81.83, 81.49, 80.67, 81.14, 81.51, 82.42, 82.3, 82.95, 83.73, 83.6, 83.48, 83.36, 83.66, 83.4, 82.59, 82.42, 82.86, 83.17, 82.87, 82.38, 82.95, 82.07, 82.79, 82.4, 82.35, 81.53, 81.52, 80.71, 80.85, 80.85, 80.9, 80.41, 80.86, 81.26, 81.58, 81.56, 81.15, 81.31, 81.3, 80.97, 80.29, 79.8, 80.07, 80.11, 80.17, 79.77, 79.87, 79.86, 79.62, 79.88, 79.94, 79.84, 80.21, 80.31, 79.3, 79.2, 79.27, 79.96, 79.43, 79.56, 79.64, 79.46, 79.51, 79.09, 78.35, 78.06]
-  end
-
-  def usdjpy_150_highs
-    [78.06, 77.86, 77.85, 77.66, 77.22, 77.46, 77.12, 77.07, 77.01, 76.97, 77.3, 77.56, 77.31, 77.77, 78.21, 78.26, 78.13, 77.78, 78.05, 78.08, 77.83, 77.76, 77.77, 77.76, 77.97, 77.99, 78.13, 78.06, 77.94, 78.14, 78.03, 78.08, 78.18, 78.2, 78.08, 78.0, 78.01, 77.93, 77.72, 76.99, 76.94, 76.81, 77.22, 77.31, 76.98, 76.88, 77.01, 76.96, 76.98, 76.92, 76.85, 76.85, 77.29, 77.28, 77.06, 77.83, 78.26, 77.78, 77.46, 76.75, 76.39, 76.33, 76.22, 76.71, 76.78, 76.94, 77.16, 77.7, 77.78, 77.76, 78.51, 78.64, 78.94, 79.48, 79.86, 79.82, 80.38, 80.33, 80.98, 81.6, 80.76, 81.28, 81.36, 81.85, 81.84, 81.56, 81.2, 81.71, 82.62, 82.49, 83.06, 83.8, 84.15, 83.6, 83.54, 83.81, 84.07, 83.41, 82.92, 82.98, 83.36, 83.17, 82.94, 82.85, 83.28, 82.97, 82.91, 82.45, 82.53, 81.64, 81.84, 81.1, 81.11, 81.17, 80.92, 80.9, 81.54, 81.71, 81.75, 81.64, 81.37, 81.67, 81.4, 81.42, 80.36, 80.28, 80.59, 80.53, 80.36, 79.97, 80.05, 79.92, 79.99, 79.97, 80.16, 80.31, 80.53, 80.37, 79.44, 79.42, 80.12, 80.05, 79.61, 79.8, 79.65, 79.61, 79.54, 79.11, 78.65, 78.39]
-  end
-
-  def usdjpy_150_lows
-    [77.58, 77.52, 77.48, 77.03, 76.79, 76.89, 76.83, 76.89, 76.55, 76.74, 76.81, 76.9, 76.99, 77.1, 77.44, 77.6, 77.27, 77.46, 77.69, 77.67, 77.62, 77.6, 77.11, 77.47, 77.56, 77.62, 77.9, 78.06, 77.59, 77.74, 77.69, 77.67, 77.98, 77.98, 77.9, 77.77, 77.54, 77.57, 76.88, 76.85, 76.6, 76.59, 76.64, 76.95, 76.75, 76.75, 76.81, 76.65, 76.64, 76.68, 76.53, 76.63, 76.68, 76.89, 76.84, 76.94, 77.54, 77.27, 76.63, 76.19, 76.14, 76.0, 76.02, 76.12, 76.47, 76.49, 76.69, 77.01, 77.5, 77.37, 77.34, 78.16, 78.34, 78.77, 79.34, 79.53, 79.71, 79.83, 79.91, 80.11, 80.0, 80.23, 80.82, 81.07, 81.13, 80.57, 80.56, 81.07, 81.45, 82.09, 81.95, 82.87, 83.17, 83.6, 83.0, 83.3, 83.27, 83.4, 81.97, 82.41, 82.62, 82.59, 81.9, 81.81, 81.86, 81.53, 82.07, 81.81, 81.3, 81.18, 80.61, 80.56, 80.71, 80.82, 80.9, 80.31, 80.86, 81.15, 81.47, 80.95, 80.83, 81.06, 80.64, 80.33, 79.71, 79.62, 80.03, 80.08, 79.8, 79.62, 79.69, 79.41, 79.58, 79.71, 79.66, 79.79, 80.17, 79.11, 78.99, 79.08, 79.25, 79.19, 79.32, 79.48, 79.31, 79.35, 78.84, 78.19, 77.64, 77.96]
-  end
-
-  def usdjpy_150_closes
-    # 150 USDJPY closes, from 2011-11-08 to 2010-06-04
-    [77.71, 77.72, 77.62, 77.09, 77.08, 77.01, 77.0, 76.97, 76.89, 76.9, 76.95, 77.26, 77.11, 77.72, 78.06, 77.92, 77.56, 77.7, 77.96, 77.81, 77.7, 77.63, 77.6, 77.5, 77.93, 77.94, 78.06, 78.06, 77.78, 78.0, 77.8, 78.01, 78.13, 78.04, 77.98, 77.85, 77.91, 77.62, 76.94, 76.89, 76.7, 76.73, 77.09, 76.97, 76.83, 76.81, 76.86, 76.76, 76.93, 76.78, 76.81, 76.77, 77.08, 76.95, 76.96, 77.64, 77.69, 77.43, 76.66, 76.36, 76.28, 76.16, 76.16, 76.53, 76.55, 76.78, 77.02, 77.63, 77.6, 77.56, 78.39, 78.37, 78.86, 79.47, 79.6, 79.72, 80.28, 79.95, 80.98, 80.46, 80.49, 81.27, 81.11, 81.78, 81.49, 80.68, 81.15, 81.52, 82.39, 82.3, 82.95, 83.73, 83.6, 83.6, 83.36, 83.66, 83.4, 83.4, 82.32, 82.85, 83.17, 82.87, 82.38, 82.77, 82.06, 82.8, 82.4, 82.35, 81.51, 81.52, 80.72, 80.84, 80.85, 81.0, 80.91, 80.86, 81.26, 81.58, 81.54, 81.15, 81.3, 81.3, 80.97, 80.35, 79.8, 80.07, 80.11, 80.17, 79.82, 79.87, 79.86, 79.62, 79.87, 79.9, 79.84, 80.21, 80.31, 79.29, 79.05, 79.27, 79.96, 79.43, 79.56, 79.64, 79.45, 79.51, 79.09, 78.35, 78.12, 78.32]
-  end
-
-  def usdjpy_150_ttr_donchian_channel_55_highs
-    [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.26, 78.51, 78.64, 78.94, 79.48, 79.86, 79.86, 80.38, 80.38, 80.98, 81.6, 81.6, 81.6, 81.6, 81.85, 81.85, 81.85, 81.85, 81.85, 82.62, 82.62, 83.06, 83.8, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.15, 84.07, 84.07, 84.07]
-  end
-
-  def usdjpy_150_ttr_donchian_channel_55_lows
-    [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 76.53, 76.53, 76.53, 76.53, 76.53, 76.19, 76.14, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.0, 76.02, 76.12, 76.47, 76.49, 76.69, 77.01, 77.34, 77.34, 77.34, 78.16, 78.34, 78.77, 79.34, 79.53, 79.62, 79.41, 79.41, 79.41, 79.41, 79.41, 79.41, 79.11, 78.99, 78.99, 78.99, 78.99, 78.99, 78.99, 78.99, 78.99, 78.84, 78.19, 77.64, 77.64]
-  end
-
-  def usdjpy_150_ttr_sma25
-    # SMA 25 of usdjpy_150_closes generated with the TTR R package
-    [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 77.456, 77.46520000000001, 77.4788, 77.49640000000001, 77.524, 77.5608, 77.59240000000001, 77.6328, 77.6792, 77.7252, 77.7684, 77.8044, 77.8304, 77.85079999999999, 77.8196, 77.7728, 77.724, 77.6908, 77.66640000000001, 77.6268, 77.58760000000001, 77.552, 77.52120000000001, 77.4876, 77.46480000000001, 77.4188, 77.37360000000001, 77.322, 77.28280000000001, 77.2496, 77.208, 77.20160000000001, 77.1888, 77.1608, 77.10560000000001, 77.0408, 76.97800000000001, 76.908, 76.8496, 76.8332, 76.8196, 76.8228, 76.8344, 76.85600000000001, 76.88119999999999, 76.9104, 76.9736, 77.034, 77.118, 77.2196, 77.33239999999999, 77.4488, 77.5892, 77.70400000000001, 77.8652, 78.0052, 78.1192, 78.2624, 78.4096, 78.6144, 78.8196, 78.99560000000001, 79.1952, 79.4096, 79.644, 79.87400000000001, 80.1208, 80.3892, 80.628, 80.868, 81.1, 81.3108, 81.512, 81.6936, 81.80760000000001, 81.9376, 82.0756, 82.1792, 82.2764, 82.348, 82.412, 82.5044, 82.54960000000001, 82.5992, 82.58840000000001, 82.5896, 82.59120000000001, 82.57880000000002, 82.552, 82.4964, 82.4408, 82.35719999999999, 82.2584, 82.1776, 82.0952, 82.0068, 81.9124, 81.8284, 81.7312, 81.6524, 81.5304, 81.4064, 81.296, 81.2076, 81.0896, 81.002, 80.8844, 80.7732, 80.674, 80.6096, 80.5424, 80.522, 80.5008, 80.4384, 80.3604, 80.29480000000001, 80.25880000000001, 80.18560000000001, 80.10480000000001, 80.0288, 79.9608, 79.8892, 79.8008, 79.696, 79.6068, 79.5476]
-  end
-
-  def not_a_number
-    0/0.0
-  end
-
-  def compare_2_arrays_of_floats(a, b)
-    delete_nans_and_truncate_floats_to_strings(a) == delete_nans_and_truncate_floats_to_strings(b)
-  end
-
-  def truncate_float_to_string(f)
-    "%.10f" % f
-  end
-
-  def delete_nans_and_truncate_floats_to_strings(a)
-    a.delete_if{ |e| e.nan? }.map{ |e| truncate_float_to_string(e) }
-  end
-
-  def ohlc(opens, highs, lows, closes)
-    o = []
-    opens.each_with_index do |e, i|
-      o << [opens[i], highs[i], lows[i], closes[i]]
-    end
-    o
-  end
-
-end