ruby-technical-analysis 0.1.1 → 1.0.4

data/spec/ruby_technical_analysis/indicator_spec.rb

@@ -0,0 +1,76 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe Indicator do
+    describe "#initialize" do
+      series = [10, 20, 30, 40, 50]
+      indicator = described_class.new(series: series)
+
+      it "initializes with a series of series" do
+        expect(indicator.series).to eq(series)
+      end
+    end
+
+    describe "#call" do
+      it "is a class method" do
+        expect(described_class).to respond_to(:call)
+      end
+    end
+
+    # Private methods only tested for base class
+
+    describe "#extract_series" do
+      series = [10, 20, 30, 40, 50]
+      indicator = described_class.new(series: series)
+
+      it "extracts the series from the series" do
+        expect(indicator.send(:extract_series)).to eq(series)
+      end
+    end
+
+    describe "#extract_highs_lows_closes_volumes" do
+      highs = [1, 2, 3, 4, 5]
+      lows = [6, 7, 8, 9, 10]
+      closes = [11, 12, 13, 14, 15]
+      volumes = [100, 200, 300, 400, 500]
+
+      series = highs.zip(lows, closes, volumes)
+      indicator = described_class.new(series: series)
+
+      it "extracts the highs, lows, closes, and volumes from the series" do
+        expect(indicator.send(:extract_highs_lows_closes_volumes)).to eq([highs, lows, closes, volumes])
+      end
+    end
+
+    describe "#extract_highs_lows_closes" do
+      highs = [1, 2, 3, 4, 5]
+      lows = [6, 7, 8, 9, 10]
+      closes = [11, 12, 13, 14, 15]
+
+      series = highs.zip(lows, closes)
+      indicator = described_class.new(series: series)
+
+      it "extracts the highs, lows, and closes from the series" do
+        expect(indicator.send(:extract_highs_lows_closes)).to eq([highs, lows, closes])
+      end
+    end
+
+    describe "#moving_averages" do
+      series = [10, 20, 30, 40, 50]
+      indicator = described_class.new(series: series)
+
+      it "calculates moving averages" do
+        expect(indicator.send(:moving_averages, period: 3)).to be_a(RubyTechnicalAnalysis::MovingAverages)
+      end
+    end
+
+    describe "#statistical_methods" do
+      series = [10, 20, 30, 40, 50]
+      indicator = described_class.new(series: series)
+
+      it "performs statistical calculations" do
+        expect(indicator.send(:statistical_methods)).to be_a(RubyTechnicalAnalysis::StatisticalMethods)
+      end
+    end
+  end
+end

data/spec/ruby_technical_analysis/indicators/bollinger_bands_spec.rb

@@ -0,0 +1,67 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe BollingerBands do
+    let(:series) { [31.875, 32.125, 32.3125, 32.125, 31.875] }
+    let(:period) { 5 }
+
+    let(:bollinger_bands) { described_class.new(series: series, period: period) }
+
+    describe "#initialize" do
+      it "initializes the BollingerBands object" do
+        expect(bollinger_bands).to be_an_instance_of(described_class)
+      end
+
+      it "initializes with default period of 20" do
+        expect(described_class.new(series: series).period).to eq(20)
+      end
+
+      it "initializes with default standard deviations of 2" do
+        expect(described_class.new(series: series).standard_deviations).to eq(2)
+      end
+    end
+
+    describe "class methods" do
+      describe "#call" do
+        let(:bollinger_bands) { described_class.call(series: series, period: period) }
+
+        it "returns an array containing the current upper, middle, and lower bands of the series" do
+          expect(bollinger_bands).to eq([32.397, 32.062, 31.727])
+        end
+      end
+    end
+
+    describe "instance methods" do
+      describe "#call" do
+        it "returns an array containing the current upper, middle, and lower bands of the series" do
+          expect(bollinger_bands.call).to eq([32.397, 32.062, 31.727])
+        end
+      end
+
+      describe "#valid?" do
+        it "returns true when the period is less than or equal to the series length" do
+          expect(bollinger_bands.valid?).to be(true)
+        end
+
+        it "returns false when the period is greater than the series length" do
+          expect(described_class.new(series: series, period: 6).valid?).to be(false)
+        end
+
+        it "returns false when the standard deviations is less than or equal to 0" do
+          expect(described_class.new(series: series, standard_deviations: 0).valid?).to be(false)
+        end
+      end
+    end
+
+    describe "secondary series" do
+      series = [31.875, 32.125, 32.3125, 32.125, 31.875, 32.3125]
+      period = 5
+
+      expected_values = [32.508, 32.15, 31.791]
+
+      it "returns the expected values" do
+        expect(described_class.new(series: series, period: period).call).to eq(expected_values)
+      end
+    end
+  end
+end

data/spec/ruby_technical_analysis/indicators/chaikin_money_flow_spec.rb

@@ -0,0 +1,63 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe ChaikinMoneyFlow do
+    let(:series) {
+      [[8.625, 8.3125, 8.625, 4494], [8.625, 8.4375, 8.5, 2090], [8.625, 8.4375, 8.625, 1306],
+        [8.75, 8.625, 8.75, 4242], [8.75, 8.4375, 8.5, 2874]]
+    }
+    let(:period) { 5 }
+
+    let(:cmf) { described_class.new(series: series, period: period) }
+
+    describe "#initialize" do
+      it "initializes the ChaikinMoneyFlow object" do
+        expect(cmf).to be_an_instance_of(described_class)
+      end
+
+      it "initializes with default period of 21" do
+        expect(described_class.new(series: series).period).to eq(21)
+      end
+    end
+
+    describe "class methods" do
+      describe "#call" do
+        let(:cmf) { described_class.call(series: series, period: period) }
+
+        it "returns the ChaikinMoneyFlow value" do
+          expect(cmf.truncate(5)).to eq(0.50786)
+        end
+      end
+    end
+
+    describe "instance methods" do
+      describe "#call" do
+        it "returns the ChaikinMoneyFlow value" do
+          expect(cmf.call.truncate(5)).to eq(0.50786)
+        end
+      end
+
+      describe "#valid?" do
+        it "returns true when the period is less than or equal to the series length" do
+          expect(cmf.valid?).to be(true)
+        end
+
+        it "returns false when the period is greater than the series length" do
+          expect(described_class.new(series: series, period: 6).valid?).to be(false)
+        end
+      end
+    end
+
+    describe "secondary series" do
+      series = [[8.625, 8.3125, 8.625, 4494], [8.625, 8.4375, 8.5, 2090], [8.625, 8.4375, 8.625, 1306],
+        [8.75, 8.625, 8.75, 4242], [8.75, 8.4375, 8.5, 2874], [8.5625, 8.5, 8.5, 598]]
+      period = 5
+
+      expected_value = 0.22763
+
+      it "returns the expected value" do
+        expect(described_class.new(series: series, period: period).call.truncate(5)).to eq(expected_value)
+      end
+    end
+  end
+end

data/spec/ruby_technical_analysis/indicators/chande_momentum_oscillator_spec.rb

@@ -0,0 +1,59 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe ChandeMomentumOscillator do
+    let(:series) { [51.0625, 50.125, 52.3125, 52.1875, 53.1875, 53.0625] }
+    let(:period) { 5 }
+
+    let(:oscillator) { described_class.new(series: series, period: period) }
+
+    describe "#initialize" do
+      it "initializes the ChandeMomentumOscillator object" do
+        expect(oscillator).to be_an_instance_of(described_class)
+      end
+
+      it "initializes with default period of 20" do
+        expect(described_class.new(series: series).period).to eq(20)
+      end
+    end
+
+    describe "class methods" do
+      describe "#call" do
+        let(:oscillator) { described_class.call(series: series, period: period) }
+
+        it "returns the ChandeMomentumOscillator value" do
+          expect(oscillator.truncate(4)).to eq(45.7143)
+        end
+      end
+    end
+
+    describe "instance methods" do
+      describe "#call" do
+        it "returns the ChandeMomentumOscillator value" do
+          expect(oscillator.call.truncate(4)).to eq(45.7143)
+        end
+      end
+
+      describe "#valid?" do
+        it "returns true when the period is less than or equal to the series length" do
+          expect(oscillator.valid?).to be(true)
+        end
+
+        it "returns false when the period is greater than the series length" do
+          expect(described_class.new(series: series, period: 6).valid?).to be(false)
+        end
+      end
+    end
+
+    describe "secondary series" do
+      series = [51.0625, 50.125, 52.3125, 52.1875, 53.1875, 53.0625, 54.0625]
+      period = 5
+
+      expected_value = 88.7324
+
+      it "returns the expected value" do
+        expect(described_class.new(series: series, period: period).call.truncate(4)).to eq(expected_value)
+      end
+    end
+  end
+end

data/spec/ruby_technical_analysis/indicators/commodity_channel_index_spec.rb

@@ -0,0 +1,66 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe CommodityChannelIndex do
+    let(:series) {
+      [[15.125, 14.936, 14.936], [15.052, 14.6267, 14.752], [14.8173, 14.5557, 14.5857],
+        [14.69, 14.46, 14.6], [14.7967, 14.5483, 14.6983], [14.7940, 13.9347, 13.946],
+        [14.093, 13.8223, 13.9827], [14.7, 14.02, 14.45], [14.5255, 14.2652, 14.3452]]
+    }
+    let(:period) { 5 }
+
+    let(:cci) { described_class.new(series: series, period: period) }
+
+    describe "#initialize" do
+      it "initializes the CommodityChannelIndex object" do
+        expect(cci).to be_an_instance_of(described_class)
+      end
+
+      it "initializes with default period of 20" do
+        expect(described_class.new(series: series).period).to eq(20)
+      end
+    end
+
+    describe "class methods" do
+      describe "#call" do
+        let(:cci) { described_class.call(series: series, period: period) }
+
+        it "returns the CommodityChannelIndex value" do
+          expect(cci.truncate(4)).to eq(18.089)
+        end
+      end
+    end
+
+    describe "instance methods" do
+      describe "#call" do
+        it "returns the CommodityChannelIndex value" do
+          expect(cci.call.truncate(4)).to eq(18.089)
+        end
+      end
+
+      describe "#valid?" do
+        it "returns true when the series is valid" do
+          expect(cci.valid?).to be_truthy
+        end
+
+        it "returns false when the series is not valid" do
+          expect(described_class.new(series: [], period: period).valid?).to be(false)
+        end
+      end
+    end
+
+    describe "secondary series" do
+      series = [[15.125, 14.936, 14.936], [15.052, 14.6267, 14.752], [14.8173, 14.5557, 14.5857],
+        [14.69, 14.46, 14.6], [14.7967, 14.5483, 14.6983], [14.794, 13.9347, 13.946],
+        [14.093, 13.8223, 13.9827], [14.7, 14.02, 14.45], [14.5255, 14.2652, 14.3452],
+        [14.6579, 14.3773, 14.4197]]
+      period = 5
+
+      expected_value = 84.4605
+
+      it "returns the expected value" do
+        expect(described_class.new(series: series, period: period).call.truncate(4)).to eq(expected_value)
+      end
+    end
+  end
+end

data/spec/ruby_technical_analysis/indicators/envelopes_ema_spec.rb

@@ -0,0 +1,69 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe EnvelopesEma do
+    let(:series) { [25, 24.875, 24.781, 24.594, 24.5] }
+    let(:period) { 5 }
+    let(:percent) { 20 }
+
+    let(:envelopes_ema) { described_class.new(series: series, period: period, percent: 20) }
+
+    describe "#initialize" do
+      it "initializes the EnvelopesEma object" do
+        expect(envelopes_ema).to be_an_instance_of(described_class)
+      end
+
+      it "initializes with default period of 20" do
+        expect(described_class.new(series: series).period).to eq(20)
+      end
+
+      it "initializes with default percent of 5" do
+        expect(described_class.new(series: series).percent).to eq(5)
+      end
+    end
+
+    describe "class methods" do
+      describe "#call" do
+        let(:envelopes_ema) { described_class.call(series: series, period: period, percent: 20) }
+
+        it "returns an array containing the current upper, middle, and lower bands of the series" do
+          expect(envelopes_ema).to eq([29.637, 24.698, 19.758])
+        end
+      end
+    end
+
+    describe "instance methods" do
+      describe "#call" do
+        it "returns an array containing the current upper, middle, and lower bands of the series" do
+          expect(envelopes_ema.call).to eq([29.637, 24.698, 19.758])
+        end
+      end
+
+      describe "#valid?" do
+        it "returns true when the series is valid" do
+          expect(envelopes_ema.valid?).to be(true)
+        end
+
+        it "returns false when the series is not valid" do
+          expect(described_class.new(series: [], period: period, percent: percent).valid?).to be(false)
+        end
+
+        it "returns false when the percent is greater than 100" do
+          expect(described_class.new(series: series, period: period, percent: 101).valid?).to be(false)
+        end
+      end
+    end
+
+    describe "secondary series" do
+      series = [25, 24.875, 24.781, 24.594, 24.5, 24.625]
+      period = 5
+      percent = 20
+
+      expected_values = [29.588, 24.657, 19.725]
+
+      it "returns the expected values" do
+        expect(described_class.new(series: series, period: period, percent: percent).call).to eq(expected_values)
+      end
+    end
+  end
+end

data/spec/ruby_technical_analysis/indicators/intraday_momentum_spec.rb

@@ -0,0 +1,63 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe IntradayMomentumIndex do
+    let(:series) {
+      [[18.4833, 18.5], [18.5417, 18.4167], [18.4167, 18.1667], [18.1667, 18.125], [18.1667, 17.9583],
+        [18.0417, 18], [18, 17.9583], [17.9167, 17.8333], [17.7917, 17.9583]]
+    }
+    let(:period) { 7 }
+
+    let(:imi) { described_class.new(series: series, period: period) }
+
+    describe "#initialize" do
+      it "initializes the IntradayMomentumIndex object" do
+        expect(imi).to be_an_instance_of(described_class)
+      end
+
+      it "initializes with default period of 14" do
+        expect(described_class.new(series: series).period).to eq(14)
+      end
+    end
+
+    describe "class methods" do
+      describe "#call" do
+        let(:imi) { described_class.call(series: series, period: period) }
+
+        it "returns the IntradayMomentumIndex value" do
+          expect(imi).to eq(19.988)
+        end
+      end
+    end
+
+    describe "instance methods" do
+      describe "#call" do
+        it "returns the IntradayMomentumIndex value" do
+          expect(imi.call).to eq(19.988)
+        end
+      end
+
+      describe "#valid?" do
+        it "returns true when the series is valid" do
+          expect(imi.valid?).to be(true)
+        end
+
+        it "returns false when the series is not valid" do
+          expect(described_class.new(series: [], period: period).valid?).to be(false)
+        end
+      end
+    end
+
+    describe "secondary series" do
+      series = [[18.4833, 18.5], [18.5417, 18.4167], [18.4167, 18.1667], [18.1667, 18.125], [18.1667, 17.9583],
+        [18.0417, 18], [18, 17.9583], [17.9167, 17.8333], [17.7917, 17.9583], [18.0417, 18.5417]]
+      period = 7
+
+      expected_value = 61.5228
+
+      it "returns the expected value" do
+        expect(described_class.new(series: series, period: period).call).to eq(expected_value)
+      end
+    end
+  end
+end

data/spec/ruby_technical_analysis/indicators/macd_spec.rb

@@ -0,0 +1,61 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe Macd do
+    let(:series) {
+      [166.23, 164.51, 162.41, 161.62, 159.78, 159.69, 159.22, 170.33,
+        174.78, 174.61, 175.84, 172.9, 172.39, 171.66, 174.83, 176.28,
+        172.12, 168.64, 168.88, 172.79, 172.55, 168.88, 167.3, 164.32,
+        160.07, 162.74, 164.85, 165.12, 163.2, 166.56, 166.23, 163.17,
+        159.3, 157.44, 162.95]
+    }
+
+    let(:macd) { described_class.new(series: series) }
+
+    describe "#initialize" do
+      it "initializes the Macd object" do
+        expect(macd).to be_an_instance_of(described_class)
+      end
+
+      it "initializes with default fast_period of 12" do
+        expect(described_class.new(series: series).fast_period).to eq(12)
+      end
+
+      it "initializes with default slow_period of 26" do
+        expect(described_class.new(series: series).slow_period).to eq(26)
+      end
+
+      it "initializes with default signal_period of 9" do
+        expect(described_class.new(series: series).signal_period).to eq(9)
+      end
+    end
+
+    describe "class methods" do
+      describe "#call" do
+        let(:macd) { described_class.call(series: series) }
+
+        it "returns an array containing the current upper, middle, and lower bands of the series" do
+          expect(macd).to eq([-1.934, -1.664, -0.27])
+        end
+      end
+    end
+
+    describe "instance methods" do
+      describe "#call" do
+        it "returns an array containing the current upper, middle, and lower bands of the series" do
+          expect(macd.call).to eq([-1.934, -1.664, -0.27])
+        end
+      end
+
+      describe "#valid?" do
+        it "returns true when the series is valid" do
+          expect(macd.valid?).to be(true)
+        end
+
+        it "returns false when the series is not valid" do
+          expect(described_class.new(series: [], fast_period: 12, slow_period: 26, signal_period: 9).valid?).to be(false)
+        end
+      end
+    end
+  end
+end

data/spec/ruby_technical_analysis/indicators/mass_index_spec.rb

@@ -0,0 +1,67 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe MassIndex do
+    let(:series) {
+      [[38.125, 37.75], [38, 37.75], [37.9375, 37.8125], [37.875, 37.625], [38.125, 37.5],
+        [38.125, 37.5], [37.75, 37.5], [37.625, 37.4375], [37.6875, 37.375], [37.5, 37.375],
+        [37.5625, 37.375], [37.625, 36.8125], [36.6875, 36.3125], [36.875, 36.25], [36.9375, 36.5],
+        [36.5, 36.25], [36.9375, 36.3125], [37, 36.625], [36.875, 36.5625]]
+    }
+    let(:period) { 9 }
+
+    let(:mass_index) { described_class.new(series: series, period: period) }
+
+    describe "#initialize" do
+      it "initializes the MassIndex object" do
+        expect(mass_index).to be_an_instance_of(described_class)
+      end
+
+      it "initializes with default period of 9" do
+        expect(described_class.new(series: series).period).to eq(9)
+      end
+    end
+
+    describe "class methods" do
+      describe "#call" do
+        let(:mass_index) { described_class.call(series: series, period: period) }
+
+        it "returns the MassIndex value" do
+          expect(mass_index).to eq(3.2236)
+        end
+      end
+    end
+
+    describe "instance methods" do
+      describe "#call" do
+        it "returns the MassIndex value" do
+          expect(mass_index.call).to eq(3.2236)
+        end
+      end
+
+      describe "#valid?" do
+        it "returns true when the series is valid" do
+          expect(mass_index.valid?).to be(true)
+        end
+
+        it "returns false when the series is not valid" do
+          expect(described_class.new(series: [], period: period).valid?).to be(false)
+        end
+      end
+    end
+
+    describe "secondary series" do
+      series = [[38.125, 37.75], [38, 37.75], [37.9375, 37.8125], [37.875, 37.625], [38.125, 37.5],
+        [38.125, 37.5], [37.75, 37.75], [37.625, 37.4375], [37.6875, 37.375], [37.75, 37.375],
+        [37.5625, 37.375], [37.625, 36.8125], [36.6875, 36.3125], [36.875, 36.25], [36.9375, 36.5],
+        [36.5, 36.25], [36.9375, 36.3125], [37, 36.625], [36.875, 36.5625], [36.8125, 36.375]]
+      period = 9
+
+      expected_value = 3.1387
+
+      it "returns the expected value" do
+        expect(described_class.new(series: series, period: period).call).to eq(expected_value)
+      end
+    end
+  end
+end

data/spec/ruby_technical_analysis/indicators/moving_averages_spec.rb

@@ -0,0 +1,81 @@
+require "spec_helper"
+
+module RubyTechnicalAnalysis
+  RSpec.describe MovingAverages do
+    let(:series) { [25, 24.875, 24.781, 24.594, 24.5] }
+    let(:period) { 5 }
+
+    let(:moving_averages) { described_class.new(series: series, period: period) }
+
+    describe "#initialize" do
+      it "initializes the MovingAverages object" do
+        expect(moving_averages).to be_an_instance_of(described_class)
+      end
+
+      it "initializes with default period of 20" do
+        expect(described_class.new(series: series).period).to eq(20)
+      end
+    end
+
+    describe "#sma" do
+      it "returns the simple moving average value" do
+        expect(moving_averages.sma.round(3)).to eq(24.75)
+      end
+
+      describe "secondary series" do
+        series = [25, 24.875, 24.781, 24.594, 24.5, 24.625]
+        period = 5
+
+        expected_value = 24.675
+
+        it "returns the expected value" do
+          expect(described_class.new(series: series, period: period).sma).to eq(expected_value)
+        end
+      end
+    end
+
+    describe "#ema" do
+      it "returns the exponential moving average value" do
+        expect(moving_averages.ema.round(3)).to eq(24.698)
+      end
+
+      describe "secondary series" do
+        series = [25, 24.875, 24.781, 24.594, 24.5, 24.625]
+        period = 5
+
+        expected_value = 24.657
+
+        it "returns the expected value" do
+          expect(described_class.new(series: series, period: period).ema.round(3)).to eq(expected_value)
+        end
+      end
+    end
+
+    describe "#wma" do
+      it "returns the weighted moving average value" do
+        expect(moving_averages.wma.round(3)).to eq(24.665)
+      end
+
+      describe "secondary series" do
+        series = [25, 24.875, 24.781, 24.594, 24.5, 24.625]
+        period = 5
+
+        expected_value = 24.623
+
+        it "returns the expected value" do
+          expect(described_class.new(series: series, period: period).wma.round(3)).to eq(expected_value)
+        end
+      end
+    end
+
+    describe "#valid?" do
+      it "returns true when the series is valid" do
+        expect(moving_averages.valid?).to be(true)
+      end
+
+      it "returns false when the series is not valid" do
+        expect(described_class.new(series: [], period: period).valid?).to be(false)
+      end
+    end
+  end
+end