ruby-technical-analysis 0.1.1 → 1.0.4

data/lib/ruby-technical-analysis/indicators/chaikin_money_flow.rb

@@ -1,70 +0,0 @@
-# frozen_string_literal: true
-
-# Chaikin Money Flow indicator
-# Returns a current singular value
-module ChaikinMoneyFlow
-  def chaikin_money_flow(period)
-    highs = []
-    lows = []
-    closes = []
-    volumes = []
-
-    each do |h, l, c, v|
-      highs << h
-      lows << l
-      closes << c
-      volumes << v
-    end
-
-    if highs.size < period
-      raise ArgumentError,
-            "High array passed to Chaikin Money Flow cannot be less than the period argument."
-    end
-
-    if lows.size < period
-      raise ArgumentError,
-            "Low array passed to Chaikin Money Flow cannot be less than the period argument."
-    end
-
-    if closes.size < period
-      raise ArgumentError,
-            "Close array passed to Chaikin Money Flow cannot be less than the period argument."
-    end
-
-    if volumes.size < period
-      raise ArgumentError,
-            "Volume array passed to Chaikin Money Flow cannot be less than the period argument."
-    end
-
-    if size < period
-      raise ArgumentError,
-            "Array passed to Bollinger Bands cannot be less than the period argument."
-    end
-
-    highs = highs.last(period)
-    lows = lows.last(period)
-    closes = closes.last(period)
-    volumes = volumes.last(period)
-
-    num_sum = 0
-    vol_sum = 0
-
-    (0..(period - 1)).each do |i|
-      vol_sum += volumes[i]
-
-      cml = closes[i] - lows[i]
-      hmc = highs[i] - closes[i]
-      hml = highs[i] - lows[i]
-
-      num_sum += ((cml - hmc).to_f / hml) * volumes[i]
-    end
-
-    cmf = num_sum.to_f / vol_sum
-
-    cmf.round(5)
-  end
-end
-
-class Array
-  include ChaikinMoneyFlow
-end

data/lib/ruby-technical-analysis/indicators/chande_momentum_oscillator.rb

@@ -1,34 +0,0 @@
-# frozen_string_literal: true
-
-# Chaikin Money Flow indicator
-# Returns a current singular value
-module ChandeMomentumOscillator
-  def chande_momentum_oscillator(period)
-    if size < period + 1
-      raise ArgumentError,
-            "Array size is less than the minimum size of the period + 1 for the Chande Momentum Oscillator."
-    end
-
-    closes = last(period + 1)
-
-    up_change_sum = 0
-    down_change_sum = 0
-
-    (1..period).each do |i|
-      if closes[i] >= closes[i - 1]
-        up_change_sum += (closes[i] - closes[i - 1])
-      else
-        down_change_sum += (closes[i - 1] - closes[i])
-      end
-    end
-
-    up_sum_minus_down_sum = up_change_sum - down_change_sum
-    up_sum_plus_down_sum = up_change_sum + down_change_sum
-
-    ((up_sum_minus_down_sum.to_f / up_sum_plus_down_sum) * 100).round(4)
-  end
-end
-
-class Array
-  include ChandeMomentumOscillator
-end

data/lib/ruby-technical-analysis/indicators/commodity_channel_index.rb

@@ -1,64 +0,0 @@
-# frozen_string_literal: true
-
-require_relative "../../ruby-technical-analysis/moving_averages"
-
-# Commodity Channel Index indicator
-# Returns a current singular value
-module CommodityChannelIndex
-  def commodity_channel_index(period)
-    min_size = ((period * 2) - 1)
-
-    highs = []
-    lows = []
-    closes = []
-
-    each do |h, l, c|
-      highs << h
-      lows << l
-      closes << c
-    end
-
-    if highs.size < period
-      raise ArgumentError,
-            "High array passed to Chaikin Money Flow cannot be less than the period argument."
-    end
-
-    if lows.size < period
-      raise ArgumentError,
-            "Low array passed to Chaikin Money Flow cannot be less than the period argument."
-    end
-
-    if closes.size < period
-      raise ArgumentError,
-            "Close array passed to Chaikin Money Flow cannot be less than the period argument."
-    end
-
-    highs = highs.last(min_size)
-    lows = lows.last(min_size)
-    closes = closes.last(min_size)
-
-    typical_prices = []
-    tp_sma = []
-    period_sum = 0
-
-    (0..(min_size - 1)).each do |i|
-      typical_prices << (highs[i] + closes[i] + lows[i]) / 3
-    end
-
-    (0..(period - 1)).each do |i|
-      tp_sma << typical_prices[i..(i + period - 1)].sma(period)
-    end
-
-    typical_prices.last(period).each do |tp|
-      period_sum += (tp_sma[-1] - tp).abs
-    end
-
-    ps_next = (period_sum.to_f / period) * 0.015
-    tp_sma_min_tp = typical_prices[-1] - tp_sma[-1]
-    (tp_sma_min_tp.to_f / ps_next)
-  end
-end
-
-class Array
-  include CommodityChannelIndex
-end

data/lib/ruby-technical-analysis/indicators/envelopes_ema.rb

@@ -1,24 +0,0 @@
-# frozen_string_literal: true
-
-require_relative "../../ruby-technical-analysis/moving_averages"
-
-# Envelopes EMA indicator
-# Returns an array of current high, middle and low eema values
-module EnvelopesEma
-  def envelopes_ema(period, percent)
-    if size < period
-      raise ArgumentError,
-            "Close array passed to Envelopes EMA cannot be less than the period argument."
-    end
-
-    eema = last(period).ema(period)
-    eema_up = (eema.round(3) * ((100 + percent))) / 100
-    eema_down = (eema.round(3) * ((100 - percent))) / 100
-
-    [eema_up.truncate(3), eema.truncate(3), eema_down.truncate(3)]
-  end
-end
-
-class Array
-  include EnvelopesEma
-end

data/lib/ruby-technical-analysis/indicators/intraday_momentum_index.rb

@@ -1,48 +0,0 @@
-# frozen_string_literal: true
-
-# Intraday Momentum Index indicator
-# Returns a singular current value
-module IntradayMomentumIndex
-  def intraday_momentum_index(period)
-    opens = []
-    closes = []
-
-    each do |o, c|
-      opens << o
-      closes << c
-    end
-
-    if opens.size < period
-      raise ArgumentError,
-            "Opens array passed to Intraday Momentum Index cannot be less than the period argument."
-    end
-
-    if closes.size < period
-      raise ArgumentError,
-            "Closes array passed to Intraday Momentum Index cannot be less than the period argument."
-    end
-
-    closes = closes.last(period)
-    opens = opens.last(period)
-
-    gsum = 0.0
-    lsum = 0.0
-
-    (0..(period - 1)).each do |i|
-      cmo = (closes[i] - opens[i]).abs
-      if closes[i] > opens[i]
-        gsum += cmo
-      else
-        lsum += cmo
-      end
-    end
-
-    gsum_plus_lsum = gsum + lsum
-
-    ((gsum.to_f / gsum_plus_lsum) * 100).round(4)
-  end
-end
-
-class Array
-  include IntradayMomentumIndex
-end

data/lib/ruby-technical-analysis/indicators/macd.rb

@@ -1,47 +0,0 @@
-# frozen_string_literal: true
-
-require_relative "../../ruby-technical-analysis/moving_averages"
-
-# Moving Average Convergence Divergence (MACD) indicator
-# Returns an array of current macd value and signal value
-module Macd
-  def macd(fast_period, slow_period, signal_period)
-    if size < (slow_period + signal_period)
-      raise ArgumentError,
-            "Closes array passed to MACD cannot be less than the (slow period + signal period) arguments."
-    end
-
-    fast_pct = (2.0 / (fast_period + 1)).truncate(6)
-    slow_pct = (2.0 / (slow_period + 1)).truncate(6)
-    sig_pct = (2.0 / (signal_period + 1)).truncate(6)
-
-    fast_arr = []
-    slow_arr = []
-
-    seed = true
-    each do |i|
-      if seed
-        fast_arr << i
-        slow_arr << i
-        seed = false
-      else
-        fast_arr << ((i * fast_pct) + ((fast_arr[-1]) * (1 - fast_pct))).round(3)
-        slow_arr << ((i * slow_pct) + ((slow_arr[-1]) * (1 - slow_pct))).round(3)
-      end
-    end
-
-    sig_arr = []
-
-    (0..signal_period - 1).each do |i|
-      sig_arr << (fast_arr[slow_period + i - 1] - slow_arr[slow_period + i - 1]).round(3)
-    end
-
-    signal = ((sig_arr[-1] * sig_pct) + ((sig_arr[-2]) * (1 - sig_pct))).round(3)
-
-    [(fast_arr[-1] - slow_arr[-1]).round(4), signal, (fast_arr[-1] - slow_arr[-1]).round(4) - signal]
-  end
-end
-
-class Array
-  include Macd
-end

data/lib/ruby-technical-analysis/indicators/mass_index.rb

@@ -1,73 +0,0 @@
-# frozen_string_literal: true
-
-require_relative "../../ruby-technical-analysis/moving_averages"
-
-# Mass Index indicator
-# Returns a singular current value
-module MassIndex
-  def mass_index(period)
-    highs = []
-    lows = []
-
-    each do |i|
-      highs << i[0]
-      lows << i[1]
-    end
-
-    if highs.size < period
-      raise ArgumentError,
-            "High array passed to Mass Index cannot be less than (2 * period + 1)."
-    end
-
-    if lows.size < period
-      raise ArgumentError,
-            "Low array passed to Mass Index cannot be less than (2 * period + 1)."
-    end
-
-    full_period = (2 * period + 1)
-    highs = highs.last(full_period)
-    lows = lows.last(full_period)
-
-    hml_arr = []
-    hml_ema_arr = []
-    hml_ema_ema_arr = []
-
-    (0..(highs.size - 1)).each do |i|
-      hml_arr << highs[i] - lows[i]
-    end
-
-    low_multiple = (2.0 / (period + 1)).truncate(4)
-    high_multiple = 1 - low_multiple
-
-    (0..hml_arr.length - 1).each do |i|
-      hml_ema_arr << if i.zero?
-                       hml_arr[0].truncate(4)
-                     else
-                       ((hml_arr[i] * low_multiple) + (hml_ema_arr[i - 1] * high_multiple)).truncate(4)
-                     end
-    end
-
-    (0..period + 1).each do |i|
-      hml_ema_ema_arr << if i.zero?
-                           hml_ema_arr[period - i - 1]
-                         else
-                           ((hml_ema_arr[period + i - 1] * 0.2) + (hml_ema_ema_arr[-1] * 0.8)).round(4)
-                         end
-    end
-
-    ema_period_two_div_ema_period = []
-
-    mi = 0.0
-    (0..2).each do |i|
-      ema_period_two_div_ema_period <<
-        ((hml_ema_arr[(period * 2) + i - 2]) / (hml_ema_ema_arr[period + i - 1])).round(4)
-      mi += ((hml_ema_arr[(period * 2) + i - 2]) / (hml_ema_ema_arr[period + i - 1])).round(4)
-    end
-
-    mi.round(4)
-  end
-end
-
-class Array
-  include MassIndex
-end

data/lib/ruby-technical-analysis/indicators/pivot_points.rb

@@ -1,23 +0,0 @@
-# frozen_string_literal: true
-
-# Pivot Points indicator
-# Returns an array of the current pivot points for the provided H, L, C array
-module PivotPoints
-  def pivot_points
-    h = at(0)
-    l = at(1)
-    c = at(2)
-    pp = ((h + l + c) / 3.0).round(2)
-    r1 = ((pp * 2) - l).round(2)
-    s1 = ((pp * 2) - h).round(2)
-    r2 = (pp + (h - l)).round(2)
-    s2 = (pp - (h - l)).round(2)
-    r3 = (h + (2 * (pp - l))).round(2)
-    s3 = (l - (2 * (h - pp))).round(2)
-    [s3, s2, s1, pp, r1, r2, r3]
-  end
-end
-
-class Array
-  include PivotPoints
-end

data/lib/ruby-technical-analysis/indicators/price_channel.rb

@@ -1,37 +0,0 @@
-# frozen_string_literal: true
-
-# Price Channel indicator
-# Returns an array containing the current upper and lower values of the series
-module PriceChannel
-  def price_channel(period)
-    highs = []
-    lows = []
-
-    each do |i|
-      highs << i[0]
-      lows << i[1]
-    end
-
-    if highs.size < period + 1
-      raise ArgumentError,
-            "The highs array size is less than the period + 1 size required."
-    end
-
-    if lows.size < period + 1
-      raise ArgumentError,
-            "The lows array size is less than the period + 1 size required."
-    end
-
-    highs = highs.last(period + 1)
-    lows = lows.last(period + 1)
-
-    upper_pc = (highs[0..period - 1]).max
-    lower_pc = (lows[0..period - 1]).min
-
-    [upper_pc, lower_pc]
-  end
-end
-
-class Array
-  include PriceChannel
-end

data/lib/ruby-technical-analysis/indicators/qstick.rb

@@ -1,40 +0,0 @@
-# frozen_string_literal: true
-
-# Qstick indicator
-# Returns a single value
-module Qstick
-  def qstick(period)
-    opens = []
-    closes = []
-
-    each do |i|
-      opens << i[0]
-      closes << i[1]
-    end
-
-    if opens.size < period
-      raise ArgumentError,
-            "Opens array passed to Qstick cannot be less than the period argument."
-    end
-
-    if closes.size < period
-      raise ArgumentError,
-            "Closes array passed to Qstick cannot be less than the period argument."
-    end
-
-    opens = opens.last(period)
-    closes = closes.last(period)
-
-    cmo_sum = 0.0
-
-    (0..(period - 1)).each do |i|
-      cmo_sum += closes[i] - opens[i]
-    end
-
-    (cmo_sum.to_f / period).round(4)
-  end
-end
-
-class Array
-  include Qstick
-end

data/lib/ruby-technical-analysis/indicators/rate_of_change.rb

@@ -1,18 +0,0 @@
-# frozen_string_literal: true
-
-# RateOfChange indicator
-# Returns a single value
-module RateOfChange
-  def rate_of_change(period)
-    if size < (period + 1)
-      raise ArgumentError,
-            "Closes array passed to RateOfChange cannot be less than the period argument + 1."
-    end
-
-    (((self[-1] - last(period + 1)[0]).to_f / last(period + 1)[0]) * 100).round(2)
-  end
-end
-
-class Array
-  include RateOfChange
-end

data/lib/ruby-technical-analysis/indicators/relative_momentum_index.rb

@@ -1,66 +0,0 @@
-# frozen_string_literal: true
-
-require_relative "wilders_smoothing"
-
-# Relative Momentum Index indicator
-# Returns a single value
-module RelativeMomentumIndex
-  def relative_momentum_index(period_mom, period_rmi)
-    pmpr = period_mom + period_rmi
-
-    if size < pmpr
-      raise ArgumentError,
-            "Closes array passed to Relative Momentum Index cannot be less than the period mom + period rmi arguments."
-    end
-
-    rmi = []
-    rmi_intermediate = []
-    wilders_is_set = false
-    smooth_up = []
-    smooth_down = []
-
-    smooth_coef_one = (1.0 / period_rmi).round(4)
-    smooth_coef_two = (1 - smooth_coef_one)
-
-    (0..(size - pmpr)).each do |i|
-      cla = self[i..(i + pmpr - 1)]
-      up_ch = []
-      down_ch = []
-
-      (0..period_rmi - 1).each do |m|
-        cur_close = cla[m]
-        prev_close = cla[period_mom + m]
-        diff = (cur_close - prev_close).round(4)
-
-        if diff.negative?
-          up_ch << diff.abs
-          down_ch << 0.00
-        elsif diff.positive?
-          up_ch << 0.00
-          down_ch << diff
-        else
-          up_ch << 0.00
-          down_ch << 0.00
-        end
-      end
-
-      if wilders_is_set
-        smooth_up << (smooth_coef_one * up_ch[-1] + smooth_coef_two * smooth_up[-1]).round(4)
-        smooth_down << (smooth_coef_one * down_ch[-1] + smooth_coef_two * smooth_down[-1]).round(4)
-      else
-        smooth_up << up_ch.wilders_smoothing(period_rmi)
-        smooth_down << down_ch.wilders_smoothing(period_rmi)
-        wilders_is_set = true
-      end
-
-      rmi_intermediate << (smooth_up[-1].to_f / smooth_down[-1])
-      rmi << ((rmi_intermediate[-1].to_f / (1 + rmi_intermediate[-1])) * 100).round(4)
-    end
-
-    rmi[-1]
-  end
-end
-
-class Array
-  include RelativeMomentumIndex
-end

data/lib/ruby-technical-analysis/indicators/relative_strength_index.rb

@@ -1,63 +0,0 @@
-# frozen_string_literal: true
-
-require_relative "wilders_smoothing"
-
-# Relative Momentum Index indicator
-# Returns a single value
-module RelativeStrengthIndex
-  def rsi(period)
-    if size < (period + 1)
-      raise ArgumentError,
-            "Closes array passed to Relative Strength Index cannot be less than the period + 1 argument."
-    end
-
-    rsi = []
-    wilders_is_set = false
-    smooth_up = []
-    smooth_down = []
-
-    smooth_coef_one = (1.0 / period).round(4)
-    smooth_coef_two = (1 - smooth_coef_one)
-
-    (0..(size - period - 1)).each do |k|
-      cla = self[k..k + period]
-
-      up_ch = []
-      down_ch = []
-
-      (1..period).each do |i|
-        cur_close = cla[i]
-        prev_close = cla[i - 1]
-        close_diff = cur_close - prev_close
-
-        if close_diff > 0.00
-          up_ch << close_diff
-          down_ch << 0.00
-        elsif close_diff < 0.00
-          up_ch << 0.00
-          down_ch << close_diff.abs
-        else
-          up_ch << 0.00
-          down_ch << 0.00
-        end
-      end
-
-      if wilders_is_set
-        smooth_up << (smooth_coef_one * up_ch[-1] + smooth_coef_two * smooth_up[-1]).round(4)
-        smooth_down << (smooth_coef_one * down_ch[-1] + smooth_coef_two * smooth_down[-1]).round(4)
-      else
-        smooth_up << up_ch.last(period).wilders_smoothing(period)
-        smooth_down << down_ch.last(period).wilders_smoothing(period)
-        wilders_is_set = true
-      end
-
-      rsi << (100.00 - (100.00 / ((smooth_up[-1].to_f / smooth_down[-1]) + 1))).round(4)
-    end
-
-    rsi[-1]
-  end
-end
-
-class Array
-  include RelativeStrengthIndex
-end

data/lib/ruby-technical-analysis/indicators/stochastic_oscillator.rb

@@ -1,65 +0,0 @@
-# frozen_string_literal: true
-
-# Stochastic Oscillator indicator
-# Returns a single value
-module StochasticOscillator
-  def stochastic_oscillator(k_periods, k_slow_periods, d_periods)
-    highs = []
-    lows = []
-    closes = []
-
-    each do |i|
-      highs << i[0]
-      lows << i[1]
-      closes << i[2]
-    end
-
-    if highs.size < k_periods
-      raise ArgumentError,
-            "High array passed to Stochastic Oscillator cannot be less than the k_periods argument."
-    end
-
-    if lows.size < k_periods
-      raise ArgumentError,
-            "Low array passed to Stochastic Oscillator cannot be less than the k_periods argument."
-    end
-
-    if closes.size < k_periods
-      raise ArgumentError,
-            "Close array passed to Stochastic Oscillator cannot be less than the k_periods argument."
-    end
-
-    lowest_lows = []
-    highest_highs = []
-    close_minus_ll = []
-    hh_minus_ll = []
-
-    ks_sums_close_min_ll = []
-    ks_sums_hh_min_ll = []
-    ks_div_x_100 = []
-    d_periods_sma = []
-
-    (0..(highs.length - k_periods)).each do |i|
-      lowest_lows << lows[i..(i + k_periods - 1)].min
-      highest_highs << highs[i..(i + k_periods - 1)].max
-      close_minus_ll << (closes[i + k_periods - 1] - lowest_lows.last).round(4)
-      hh_minus_ll << (highest_highs.last - lowest_lows.last).round(4)
-      if close_minus_ll.length >= k_slow_periods
-        ks_sums_close_min_ll << close_minus_ll.last(k_slow_periods).inject(:+).round(4)
-        ks_sums_hh_min_ll << hh_minus_ll.last(k_slow_periods).inject(:+).round(4)
-        ks_div_x_100 << ((ks_sums_close_min_ll.last.to_f / ks_sums_hh_min_ll.last) * 100).round(4)
-      end
-      d_periods_sma << if ks_div_x_100.length >= d_periods
-                         (ks_div_x_100.last(d_periods).reduce(:+).to_f / d_periods).round(4)
-                       else
-                         -1000
-                       end
-    end
-
-    d_periods_sma[-1]
-  end
-end
-
-class Array
-  include StochasticOscillator
-end