quant 0.0.3 → 0.0.4

data/CHANGELOG

@@ -1,3 +1,7 @@
+0.0.4 (2012-06-19)
+
+  * True Range and ATR added
+
 0.0.3 (2012-06-19)
 
   * Tests organized

data/lib/array.rb

@@ -0,0 +1,11 @@
+class Array
+
+  def highs
+    inject([]) { |a, e| a << e[0] }
+  end
+
+  def lows
+    inject([]) { |a, e| a << e[1] }
+  end
+
+end

data/lib/quant/version.rb

@@ -1,3 +1,3 @@
 module Quant
-  VERSION = "0.0.3"
+  VERSION = "0.0.4"
 end

data/lib/quant.rb

@@ -30,6 +30,29 @@ module Quant
     dc
   end
 
+  def self.tr(ohlc)
+    tr = []
+    ohlc.each_with_index do |e, i|
+      tr << if i == 0
+        not_a_number
+      else
+        high       = e[1]
+        low        = e[2]
+        last_close = ohlc[i - 1][3]
+        [ high - low, (high - last_close).abs, (last_close - low).abs ].max
+      end
+    end
+    tr
+  end
+
+  def self.atr(ohlc, n)
+    tr = tr(ohlc)
+    tr.delete_if{ |e| e.nan? }
+    a = sma(tr, n)
+    0.upto(ohlc.length - tr.length - 1) { a.unshift(not_a_number) } if ohlc.length > tr.length
+    a
+  end
+
   private
 
   def self.not_a_number

data/lib/util.rb

@@ -1,7 +1,7 @@
 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)
+    a.length == b.length && delete_nans_and_truncate_floats_to_strings(a) == delete_nans_and_truncate_floats_to_strings(b)
   end
 
   def self.truncate_float_to_string(f)
@@ -18,6 +18,6 @@ module Util
       o << [opens[i], highs[i], lows[i], closes[i]]
     end
     o
-  end  
+  end
   
 end

data/test/common_requires.rb

@@ -1,6 +1,7 @@
 require 'minitest/autorun'
 require 'quant'
 require 'enumerable'
+require 'array'
 require 'util'
 require 'samples/ohlc'
 require 'samples/ttr'

data/test/samples/ttr.rb

@@ -32,6 +32,26 @@ module Samples
       [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 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
 
+    # True Range
+
+    def self.eurusd_50_ttr_tr
+      [not_a_number, 0.009600000000000053, 0.01729999999999987, 0.025900000000000034, 0.011300000000000088, 0.010499999999999954, 0.014700000000000157, 0.018399999999999972, 0.010500000000000176, 0.020399999999999974, 0.018000000000000016, 0.009600000000000053, 0.016799999999999926, 0.006299999999999972, 0.016199999999999992, 0.010199999999999987, 0.012399999999999967, 0.013900000000000023, 0.013100000000000112, 0.013699999999999823, 0.013500000000000068, 0.034499999999999975, 0.012799999999999923, 0.005300000000000082, 0.018100000000000005, 0.010999999999999899, 0.008899999999999908, 0.011200000000000099, 0.009500000000000064, 0.021400000000000086, 0.009300000000000086, 0.024399999999999977, 0.011600000000000055, 0.01200000000000001, 0.018799999999999928, 0.018000000000000016, 0.019099999999999895, 0.017000000000000126, 0.012899999999999912, 0.009200000000000097, 0.007400000000000073, 0.012799999999999923, 0.011099999999999888, 0.01639999999999997, 0.011400000000000077, 0.010700000000000154, 0.011599999999999833, 0.01749999999999985, 0.009000000000000119, 0.01550000000000007]
+    end
+
+    def self.usdjpy_150_ttr_tr
+      [not_a_number, 0.3400000000000034, 0.36999999999999034, 0.6299999999999955, 0.4299999999999926, 0.5699999999999932, 0.29000000000000625, 0.1799999999999926, 0.46000000000000796, 0.23000000000000398, 0.4899999999999949, 0.6599999999999966, 0.3200000000000074, 0.6700000000000017, 0.769999999999996, 0.6600000000000108, 0.8599999999999994, 0.3200000000000074, 0.35999999999999943, 0.4099999999999966, 0.20999999999999375, 0.1600000000000108, 0.6599999999999966, 0.29000000000000625, 0.46999999999999886, 0.36999999999999034, 0.22999999999998977, 0.0, 0.46999999999999886, 0.4000000000000057, 0.3400000000000034, 0.4099999999999966, 0.20000000000000284, 0.21999999999999886, 0.1799999999999926, 0.23000000000000398, 0.46999999999999886, 0.36000000000001364, 0.8400000000000034, 0.14000000000000057, 0.3400000000000034, 0.21999999999999886, 0.5799999999999983, 0.35999999999999943, 0.23000000000000398, 0.12999999999999545, 0.20000000000000284, 0.30999999999998806, 0.3400000000000034, 0.25, 0.3199999999999932, 0.21999999999999886, 0.6099999999999994, 0.39000000000000057, 0.21999999999999886, 0.8900000000000006, 0.7199999999999989, 0.5100000000000051, 0.8299999999999983, 0.5600000000000023, 0.25, 0.3299999999999983, 0.20000000000000284, 0.5899999999999892, 0.3100000000000023, 0.45000000000000284, 0.46999999999999886, 0.6899999999999977, 0.28000000000000114, 0.39000000000000057, 1.1700000000000017, 0.480000000000004, 0.5999999999999943, 0.710000000000008, 0.519999999999996, 0.28999999999999204, 0.6700000000000017, 0.5, 1.0700000000000074, 1.4899999999999949, 0.7600000000000051, 1.0499999999999972, 0.5400000000000063, 0.7800000000000011, 0.710000000000008, 0.9900000000000091, 0.6400000000000006, 0.6400000000000006, 1.1700000000000017, 0.3999999999999915, 1.1099999999999994, 0.9299999999999926, 0.980000000000004, 0.0, 0.5999999999999943, 0.5100000000000051, 0.7999999999999972, 0.009999999999990905, 1.4300000000000068, 0.6600000000000108, 0.7399999999999949, 0.5799999999999983, 1.039999999999992, 1.039999999999992, 1.4200000000000017, 1.4399999999999977, 0.8400000000000034, 0.6400000000000006, 1.230000000000004, 0.45999999999999375, 1.230000000000004, 0.539999999999992, 0.4000000000000057, 0.3500000000000085, 0.09999999999999432, 0.5999999999999943, 0.6800000000000068, 0.5599999999999881, 0.28000000000000114, 0.6899999999999977, 0.5400000000000063, 0.6099999999999994, 0.7600000000000051, 1.0900000000000034, 0.6500000000000057, 0.6599999999999966, 0.5600000000000023, 0.45000000000000284, 0.5600000000000023, 0.3499999999999943, 0.35999999999999943, 0.5100000000000051, 0.4099999999999966, 0.2600000000000051, 0.5, 0.519999999999996, 0.35999999999999943, 1.2600000000000051, 0.45000000000000284, 0.37000000000000455, 0.8700000000000045, 0.8599999999999994, 0.29000000000000625, 0.3199999999999932, 0.3400000000000034, 0.2600000000000051, 0.7000000000000028, 0.9200000000000017, 1.0100000000000051, 0.4300000000000068]
+    end
+
+    # ATR
+
+    def self.eurusd_50_ttr_atr_20
+      [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 0.014115000000000011, 0.015360000000000007, 0.01513500000000001, 0.014105000000000012, 0.014445000000000008, 0.014470000000000005, 0.014179999999999993, 0.013819999999999999, 0.013769999999999994, 0.013819999999999999, 0.013385000000000003, 0.014124999999999999, 0.013865000000000006, 0.014150000000000006, 0.014280000000000004, 0.014670000000000006, 0.015005000000000001, 0.015160000000000007, 0.015149999999999997, 0.014925000000000011, 0.014620000000000011, 0.013535000000000009, 0.013450000000000007, 0.014005, 0.013670000000000005, 0.013655000000000018, 0.013790000000000014, 0.014105000000000001, 0.014080000000000004, 0.013785000000000002]
+    end
+
+    def self.usdjpy_150_ttr_atr_32
+      [not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, not_a_number, 0.4134374999999997, 0.40968749999999954, 0.4037499999999996, 0.3912499999999999, 0.39250000000000007, 0.3859375000000007, 0.4031250000000006, 0.40187500000000087, 0.39812500000000073, 0.39781250000000057, 0.4006250000000007, 0.39125000000000076, 0.38843750000000066, 0.37156250000000046, 0.3537500000000007, 0.34281249999999996, 0.3265625000000001, 0.32437499999999986, 0.32312499999999966, 0.31718749999999973, 0.3296874999999999, 0.3368749999999996, 0.32312499999999966, 0.3418749999999995, 0.3496874999999995, 0.35406249999999995, 0.3728125000000002, 0.3903125000000003, 0.3834375000000003, 0.3812500000000001, 0.37687500000000007, 0.38249999999999984, 0.3859374999999998, 0.39312499999999995, 0.40218750000000014, 0.41656249999999995, 0.410625, 0.4115624999999996, 0.42187499999999956, 0.43249999999999966, 0.4406249999999994, 0.45593749999999966, 0.4540624999999996, 0.45187499999999936, 0.4656249999999993, 0.47718749999999943, 0.5043749999999996, 0.5412499999999998, 0.5543749999999998, 0.5793749999999998, 0.5862500000000002, 0.6037500000000002, 0.6068750000000005, 0.6256250000000008, 0.6387500000000008, 0.6309375000000008, 0.6450000000000009, 0.6415625000000005, 0.6503125000000005, 0.6618750000000002, 0.6846875000000003, 0.6743750000000004, 0.6868750000000001, 0.6843750000000006, 0.6996875000000005, 0.6859375000000001, 0.7159375000000003, 0.7150000000000007, 0.7293750000000006, 0.7353125000000005, 0.7312500000000002, 0.7487499999999998, 0.774375, 0.7971874999999997, 0.8071875, 0.8181250000000002, 0.8356250000000003, 0.8343750000000001, 0.839375, 0.8096874999999999, 0.7984374999999999, 0.7765625000000003, 0.7628124999999999, 0.7571874999999997, 0.7562499999999996, 0.742812499999999, 0.731562499999999, 0.7331249999999989, 0.7134374999999991, 0.7199999999999993, 0.7090624999999995, 0.7140624999999998, 0.7037499999999999, 0.7243749999999998, 0.723125, 0.72125, 0.7137500000000001, 0.7243750000000002, 0.6909375, 0.6862499999999998, 0.6759374999999999, 0.6659375000000001, 0.6490625000000003, 0.6328125000000004, 0.5996875000000004, 0.5940625000000006, 0.5818750000000006, 0.5734375000000007, 0.5621875000000007, 0.5746875000000009, 0.545312500000001, 0.538437500000001, 0.5365625000000009, 0.5337500000000008, 0.5525000000000011, 0.5625000000000013, 0.5728125000000013, 0.5687500000000019]
+    end
+
     private
 
     def self.not_a_number

data/test/test_atr.rb

@@ -0,0 +1,25 @@
+require 'common_requires'
+
+class TestSma < MiniTest::Unit::TestCase
+
+  def test_eurusd_50_tr
+    c = Util.ohlc(Samples::Ohlc.eurusd_50_opens, Samples::Ohlc.eurusd_50_highs, Samples::Ohlc.eurusd_50_lows, Samples::Ohlc.eurusd_50_closes)
+    assert Util.compare_2_arrays_of_floats Quant.tr(c), Samples::Ttr.eurusd_50_ttr_tr
+  end
+
+  def test_usdjpy_150_tr
+    c = Util.ohlc(Samples::Ohlc.usdjpy_150_opens, Samples::Ohlc.usdjpy_150_highs, Samples::Ohlc.usdjpy_150_lows, Samples::Ohlc.usdjpy_150_closes)
+    assert Util.compare_2_arrays_of_floats Quant.tr(c), Samples::Ttr.usdjpy_150_ttr_tr
+  end
+
+  def test_eurusd_50_atr20
+    c = Util.ohlc(Samples::Ohlc.eurusd_50_opens, Samples::Ohlc.eurusd_50_highs, Samples::Ohlc.eurusd_50_lows, Samples::Ohlc.eurusd_50_closes)
+    assert Util.compare_2_arrays_of_floats Quant.atr(c, 20), Samples::Ttr.eurusd_50_ttr_atr_20
+  end
+
+  def test_usdjpy_150_atr32
+    c = Util.ohlc(Samples::Ohlc.usdjpy_150_opens, Samples::Ohlc.usdjpy_150_highs, Samples::Ohlc.usdjpy_150_lows, Samples::Ohlc.usdjpy_150_closes)
+    assert Util.compare_2_arrays_of_floats Quant.atr(c, 32), Samples::Ttr.usdjpy_150_ttr_atr_32
+  end
+
+end

data/test/test_donchian_channel.rb

@@ -4,26 +4,22 @@ 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
+    assert Util.compare_2_arrays_of_floats Quant.donchian_channel(c, 20).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
+    assert Util.compare_2_arrays_of_floats Quant.donchian_channel(c, 20).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
+    assert Util.compare_2_arrays_of_floats Quant.donchian_channel(c, 55).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
+    assert Util.compare_2_arrays_of_floats Quant.donchian_channel(c, 55).lows , Samples::Ttr.usdjpy_150_ttr_donchian_channel_55_lows
   end
 
 end

data/test/test_sma.rb

@@ -10,4 +10,4 @@ class TestSma < MiniTest::Unit::TestCase
     assert Util.compare_2_arrays_of_floats Quant.sma(Samples::Ohlc.usdjpy_150_closes, 25), Samples::Ttr.usdjpy_150_ttr_sma25
   end
 
-  end
+end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: quant
 version: !ruby/object:Gem::Version
-  version: 0.0.3
+  version: 0.0.4
   prerelease: 
 platform: ruby
 authors:
@@ -24,6 +24,7 @@ files:
 - LICENSE
 - README.md
 - Rakefile
+- lib/array.rb
 - lib/enumerable.rb
 - lib/quant.rb
 - lib/quant/version.rb
@@ -32,6 +33,7 @@ files:
 - test/common_requires.rb
 - test/samples/ohlc.rb
 - test/samples/ttr.rb
+- test/test_atr.rb
 - test/test_donchian_channel.rb
 - test/test_sma.rb
 homepage: ''
@@ -62,5 +64,6 @@ test_files:
 - test/common_requires.rb
 - test/samples/ohlc.rb
 - test/samples/ttr.rb
+- test/test_atr.rb
 - test/test_donchian_channel.rb
 - test/test_sma.rb