signal_tools 0.2.2 → 0.3.1

checksums.yaml

@@ -0,0 +1,7 @@
+---
+SHA1:
+  metadata.gz: 95c229f7b3633f9907032443788386156bbe95c9
+  data.tar.gz: 7f8ee54376035b7326a881afc701bf625ea9c678
+SHA512:
+  metadata.gz: 9030bd61f15ca7349cfc230698127226703c7dd729685ff4cd3bf32504a779094708bea8a0e40b3c442466953c1dbf357385fddc238e1266fc59995b42310d61
+  data.tar.gz: 33f9665391f185da998bf59cf0bb2fae1547ca91dc05de95d0b7063d955af8675d180254714399c30d3d9e48cf64d04d6f0c1ecfb2385e1c7f6f05fa1f9d55c9

data/README.rdoc

@@ -1,11 +1,10 @@
 == Signal Tools
 
-Signal tools allows you to create technical analysis data for a given stock (like MACD, stochastic, and exponential moving averages).
+Signal tools allows you to generate technical analysis data for a given stock (like MACD, stochastic, and exponential moving averages).
 
 == Installation
 
     gem install signal_tools
-    bundle install --without development test
 
 == Usage
 
@@ -33,4 +32,24 @@ Signal tools allows you to create technical analysis data for a given stock (lik
 
 == Copyright
 
-Copyright (c) 2010 Matt White.
+Copyright (c) 2015 Matt White.
+
+MIT License
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

data/lib/signal_tools.rb

@@ -1,5 +1,12 @@
 require "signal_tools/stock_data"
 require "signal_tools/stock"
+require "signal_tools/technicals/average_directional_index"
+require "signal_tools/technicals/average_true_range"
+require "signal_tools/technicals/common"
+require "signal_tools/technicals/ema"
+require "signal_tools/technicals/fast_stochastic"
+require "signal_tools/technicals/slow_stochastic"
+require "signal_tools/technicals/macd"
 
 module SignalTools
   def self.sum(array)

data/lib/signal_tools/stock.rb

@@ -1,311 +1,50 @@
+require './lib/signal_tools/technicals/common'
+
 module SignalTools
   class Stock
-    Default_Period = 90
-    EMA_Seed_Days = 10
-    Slow_K_SMA = 3
-    ATR_Seed_Days = 14
+    include ::SignalTools::Technicals::Common
+
+    DEFAULT_PERIOD = 90
 
     attr_accessor :ticker
-    attr_reader :stock_data
+    attr_reader :dates, :stock_data
 
-    def initialize(ticker, from_date=Date.today-Default_Period, to_date=Date.today)
+    def initialize(ticker, from_date=Date.today-DEFAULT_PERIOD, to_date=Date.today)
       from_date = Date.parse(from_date) unless from_date.is_a?(Date)
       to_date = Date.parse(to_date) unless to_date.is_a?(Date)
       @ticker = ticker
       @stock_data = SignalTools::StockData.new(ticker, from_date, to_date)
+      @dates = stock_data.dates
     end
 
-    # Takes a period of days over which to average closing prices and returns the exponential moving average for each day.
-    def ema(period=10)
-      trim_data_to_range!(ema_points(period, @stock_data.close_prices))
+    def ema(period=10, type=:default)
+      ema_data = SignalTools::Technicals::EMA.new(stock_data.close_prices, period, type).calculate
+      trim_data_to_range(ema_data, dates.size)
     end
 
     def macd(fast=8, slow=17, signal=9)
-      trim_data_to_range!(macd_points(fast, slow, signal))
-    end
-
-    def fast_stochastic(k=14, d=5)
-      trim_data_to_range!(fast_stochastic_points(k, d))
-    end
-
-    def slow_stochastic(k=14, d=5)
-      trim_data_to_range!(slow_stochastic_points(k, d))
-    end
-
-    def atr(period=14)
-      trim_data_to_range!(average_true_ranges(period))
-    end
-
-    def adx(period=14)
-      trim_data_to_range!(average_directional_indexes(period))
-    end
-
-    def dates
-      @stock_data.dates
-    end
-
-    def close_prices
-      @close_prices = trim_data_to_range(@stock_data.close_prices)
-    end
-
-    private
-
-    #### EMA methods
-
-    def ema_points(period, data, type=:default)
-      emas = [default_simple_average(data, EMA_Seed_Days)]
-      if type == :wilder
-        data.slice(EMA_Seed_Days..-1).each { |current| emas << calculate_wilder_ema(emas.last, current, period) }
-      else
-        data.slice(EMA_Seed_Days..-1).each { |current| emas << calculate_ema(emas.last, current, period) }
-      end
-      emas
-    end
-
-    #Takes current value, previous day's EMA, and number of days. Returns EMA for that day.
-    def calculate_ema(previous, current, period)
-      (current - previous) * (2.0 / (period + 1)) + previous
-    end
-
-    #Uses Wilder's moving average formula.
-    def calculate_wilder_ema(previous, current, period)
-      (previous * (period - 1) + current) / period
-    end
-
-    #Takes a period and array of data and calculates the sum ema over the period specified.
-    def period_sum_ema(period, data)
-      raise if data.size <= period
-      sum_emas = [SignalTools.sum(data[0...period])]
-      data[(period..-1)].each do |today|
-        sum_emas << (sum_emas.last - (sum_emas.last / period) + today)
-      end
-      sum_emas
-    end
-
-    #### MACD Methods
-
-    # Takes a period of days for fast, slow, signal, and time period (eg 8,17,9).
-    def macd_points(fast, slow, signal)
-      fast_ema_points = ema_points(fast, @stock_data.close_prices)
-      slow_ema_points = ema_points(slow, @stock_data.close_prices)
-      macd_and_divergence_points(fast_ema_points, slow_ema_points, signal)
-    end
-
-    def macd_and_divergence_points(fast_ema_points, slow_ema_points, signal)
-      macds = differences_between_arrays(fast_ema_points, slow_ema_points)
-      signal_points = ema_points(signal, macds)
-      divergences = differences_between_arrays(macds, signal_points)
-      {:signal_points => signal_points, :divergences => divergences}
-    end
-
-    # Returns an array with the differences between the first_points and second_points
-    def differences_between_arrays(first_points, second_points)
-      SignalTools.truncate_to_shortest!(first_points, second_points)
-      differences = []
-      first_points.each_with_index { |fp, index| differences << fp - second_points[index] }
-      differences
-    end
-
-    #### Stochastic Methods
-
-    def fast_stochastic_points(k_period, d_period)
-      k_points = calculate_fast_stochastic_k_points(k_period)
-      d_points = calculate_d_points(k_points, d_period)
-      k_d_points(k_points, d_points)
-    end
-
-    def slow_stochastic_points(k_period, d_period)
-      fast_points = fast_stochastic_points(k_period, d_period)
-      k_points = slow_k_points(fast_points[:k])
-      slow_d_points = calculate_d_points(k_points, d_period)
-      k_d_points(k_points, slow_d_points)
-    end
-
-    def calculate_fast_stochastic_k_points(period)
-      index = 0
-      points = []
-      while((index + period) <= @stock_data.close_prices.size)
-        today_cp = @stock_data.close_prices[index + period - 1]
-        low_price = get_for_period(@stock_data.low_prices, index, index + period - 1, :min)
-        high_price = get_for_period(@stock_data.high_prices, index, index + period - 1, :max)
-        points << (today_cp - low_price) / (high_price - low_price)
-        index += 1
-      end
-      points
-    end
-
-    def calculate_d_points(k_points, period)
-      collection_for_array(k_points, period, :average)
-    end
-
-    def k_d_points(k_points, d_points)
-      raise unless k_points.size > d_points.size
-      SignalTools.truncate_to_shortest!(k_points, d_points)
-      {:k => k_points, :d => d_points}
-    end
-
-    def slow_k_points(fast_k_points)
-      collection_for_array(fast_k_points, Slow_K_SMA, :average)
-    end
-
-    #### True Range Methods
-
-     # Takes a smoothing period and historical data and calculates the average
-     # true ranges.
-    def average_true_ranges(period)
-      trs = true_ranges
-      atrs = [default_simple_average(trs.slice!(0...ATR_Seed_Days), ATR_Seed_Days)]
-      trs.each { |tr| atrs << calculate_average_true_range(atrs.last, tr, period) }
-      atrs
-    end
-
-    # Takes historical data and computes the true ranges.
-    def true_ranges
-      trs = [@stock_data.high_prices.first - @stock_data.low_prices.first]
-      index = 1
-      while index < (@stock_data.high_prices.size)
-        trs << true_range(@stock_data.raw_data[index], @stock_data.raw_data[index-1])
-        index += 1
-      end
-      trs
-    end
-
-    # Takes today's data and yesterday's data and computes the true range.
-    def true_range(today, yesterday)
-      [
-        today[SignalTools::StockData::Indexes[:high]] - today[SignalTools::StockData::Indexes[:low]],
-        (yesterday[SignalTools::StockData::Indexes[:close]] - today[SignalTools::StockData::Indexes[:high]]).abs,
-        (yesterday[SignalTools::StockData::Indexes[:close]] - today[SignalTools::StockData::Indexes[:low]]).abs
-      ].max
-    end
-
-    # Takes yesterday's average true range, today's true range, and the smoothing
-    # period and calculates the day's average true range.
-    def calculate_average_true_range(yesterday_atr, today_tr, period)
-      (yesterday_atr * (period - 1) + today_tr) / period
-    end
-
-    #### Average Directional Index Methods
-
-    def average_directional_indexes(period)
-      dxs = directional_indexes(plus_directional_index(period), minus_directional_index(period))
-      adxs = ema_points(period, dxs, :wilder)
-      adxs
-    end
-
-    def directional_indexes(plus_dis, minus_dis)
-      SignalTools.truncate_to_shortest!(plus_dis, minus_dis)
-      differences, sums = [], []
-      index = 0
-      while index < plus_dis.size
-        differences << (plus_dis[index] - minus_dis[index]).abs
-        sums << (plus_dis[index] + minus_dis[index])
-        index += 1
-      end
-      quotients(differences, sums)
-    end
-
-    def plus_directional_index(period)
-      plus_dms = plus_directional_movement(@stock_data.raw_data)
-      plus_dm_sums = period_sum_ema(period, plus_dms)
-      true_range_sums = period_sum_ema(period, true_ranges)
-      quotients(plus_dm_sums, true_range_sums)
-    end
-
-    def minus_directional_index(period)
-      minus_dms = minus_directional_movement(@stock_data.raw_data)
-      minus_dm_sums = period_sum_ema(period, minus_dms)
-      true_range_sums = period_sum_ema(period, true_ranges)
-      quotients(minus_dm_sums, true_range_sums)
-    end
-
-    def quotients(first, second)
-      SignalTools.truncate_to_shortest!(first, second)
-      index = 0
-      quots = []
-      while index < first.size
-        quots << first[index] / second[index]
-        index += 1
-      end
-      quots
-    end
-
-    def plus_directional_movement(data)
-      plus_dm = []
-      data.each_cons(2) do |two_days|
-        um = up_move(two_days.last, two_days.first)
-        dm = down_move(two_days.last, two_days.first)
-        plus_dm << ((um > dm) ? um : 0)
-      end
-      plus_dm
-    end
-
-    def minus_directional_movement(data)
-      minus_dm = []
-      data.each_cons(2) do |two_days|
-        um = up_move(two_days.last, two_days.first)
-        dm = down_move(two_days.last, two_days.first)
-        minus_dm << ((dm > um) ? dm : 0)
-      end
-      minus_dm
-    end
-
-#TODO: Pass in only the high prices to this method
-    # Up move is today_high - yesterday_high
-    def up_move(today, yesterday)
-      diff = today[SignalTools::StockData::Indexes[:high]] - yesterday[SignalTools::StockData::Indexes[:high]]
-      diff > 0 ? diff : 0
-    end
-
-#TODO: Pass in only the low prices to this method
-    # Down move is yesterday_low - today_low
-    def down_move(today, yesterday)
-      diff = yesterday[SignalTools::StockData::Indexes[:low]] - today[SignalTools::StockData::Indexes[:low]]
-      diff > 0 ? diff : 0
-    end
-
-    #### Misc Utility Methods
-
-    # Returns only the points specific to the date range given.
-    def trim_data_to_range!(data)
-      if data.is_a? Array
-        data.slice!(0..(-dates.size-1))
-      elsif data.is_a? Hash
-        data.each { |k,v| v = v.slice!(0..(-dates.size-1)) }
-      end
-      data
+      macd_data = SignalTools::Technicals::MACD.new(stock_data.close_prices, fast, slow, signal).calculate
+      trim_data_to_range(macd_data, dates.size)
     end
 
-    def trim_data_to_range(data)
-      data.slice((-dates.size+1)..-1)
+    def fast_stochastic(k_period=14, d_period=5)
+      stochastic_data = SignalTools::Technicals::FastStochastic.new(stock_data, k_period, d_period).calculate
+      trim_data_to_range(stochastic_data, dates.size)
     end
 
-    # Gets the first 0...period of numbers from data and returns a simple average.
-    def default_simple_average(data, period)
-      SignalTools.average(data.slice(0...period))
+    def slow_stochastic(k_period=14, d_period=5)
+      stochastic_data = SignalTools::Technicals::SlowStochastic.new(stock_data, k_period, d_period).calculate
+      trim_data_to_range(stochastic_data, dates.size)
     end
 
-    #Runs method for the given slice of the array.
-    def get_for_period(points, start, finish, method)
-      case method
-        when :average
-          SignalTools.average(points.slice(start..finish))
-        else
-          (points.slice(start..finish)).send(method)
-        end
+    def average_true_range(period=14)
+      atr_data = SignalTools::Technicals::AverageTrueRange.new(stock_data, period).calculate
+      trim_data_to_range(atr_data, dates.size)
     end
 
-    #Returns a collection of values by iterating over an array, slicing it period
-    # elements at a time and calling method for each slice.
-    def collection_for_array(points, period, method)
-      raise unless points.size >= period
-      collection = []
-      index = 0
-      while((index + period - 1) < points.size)
-        collection << get_for_period(points, index, (index + period - 1), method)
-        index += 1
-      end
-      collection
+    def average_directional_index(period=14)
+      adx_data = SignalTools::Technicals::AverageDirectionalIndex.new(stock_data, period).calculate
+      trim_data_to_range(adx_data, dates.size)
     end
   end
 end

data/lib/signal_tools/technicals/average_directional_index.rb

@@ -0,0 +1,106 @@
+require './lib/signal_tools/technicals/true_range'
+
+module SignalTools::Technicals
+  class AverageDirectionalIndex
+    include TrueRange
+
+    attr_reader :period, :stock_data
+
+    def initialize(stock_data, period)
+      @stock_data = stock_data
+      @period = period
+    end
+
+    def calculate
+      # trim_data_to_range!(average_directional_indexes(period))
+      average_directional_indexes
+    end
+
+    def average_directional_indexes
+      dxs = directional_indexes(plus_directional_index, minus_directional_index)
+      adxs = EMA.new(dxs, period, :wilder).calculate
+      adxs
+    end
+
+    def directional_indexes(plus_dis, minus_dis)
+      SignalTools.truncate_to_shortest!(plus_dis, minus_dis)
+      differences, sums = [], []
+      index = 0
+      while index < plus_dis.size
+        differences << (plus_dis[index] - minus_dis[index]).abs
+        sums << (plus_dis[index] + minus_dis[index])
+        index += 1
+      end
+      quotients(differences, sums)
+    end
+
+    def plus_directional_index
+      plus_dms = plus_directional_movement(@stock_data.raw_data)
+      plus_dm_sums = period_sum_ema(plus_dms)
+      true_range_sums = period_sum_ema(true_ranges(stock_data))
+      quotients(plus_dm_sums, true_range_sums)
+    end
+
+    def minus_directional_index
+      minus_dms = minus_directional_movement(@stock_data.raw_data)
+      minus_dm_sums = period_sum_ema(minus_dms)
+      true_range_sums = period_sum_ema(true_ranges(stock_data))
+      quotients(minus_dm_sums, true_range_sums)
+    end
+
+    def quotients(first, second)
+      SignalTools.truncate_to_shortest!(first, second)
+      index = 0
+      quots = []
+      while index < first.size
+        quots << first[index] / second[index]
+        index += 1
+      end
+      quots
+    end
+
+    def plus_directional_movement(data)
+      plus_dm = []
+      data.each_cons(2) do |two_days|
+        um = up_move(two_days.last, two_days.first)
+        dm = down_move(two_days.last, two_days.first)
+        plus_dm << ((um > dm) ? um : 0)
+      end
+      plus_dm
+    end
+
+    def minus_directional_movement(data)
+      minus_dm = []
+      data.each_cons(2) do |two_days|
+        um = up_move(two_days.last, two_days.first)
+        dm = down_move(two_days.last, two_days.first)
+        minus_dm << ((dm > um) ? dm : 0)
+      end
+      minus_dm
+    end
+
+#TODO: Pass in only the high prices to this method
+    # Up move is today_high - yesterday_high
+    def up_move(today, yesterday)
+      diff = today[SignalTools::StockData::Indexes[:high]] - yesterday[SignalTools::StockData::Indexes[:high]]
+      diff > 0 ? diff : 0
+    end
+
+#TODO: Pass in only the low prices to this method
+    # Down move is yesterday_low - today_low
+    def down_move(today, yesterday)
+      diff = yesterday[SignalTools::StockData::Indexes[:low]] - today[SignalTools::StockData::Indexes[:low]]
+      diff > 0 ? diff : 0
+    end
+
+    #Takes a period and array of data and calculates the sum ema over the period specified.
+    def period_sum_ema(data)
+      raise if data.size <= period
+      sum_emas = [SignalTools.sum(data[0...period])]
+      data[(period..-1)].each do |today|
+        sum_emas << (sum_emas.last - (sum_emas.last / period) + today)
+      end
+      sum_emas
+    end
+  end
+end

data/lib/signal_tools/technicals/average_true_range.rb

@@ -0,0 +1,38 @@
+require './lib/signal_tools/technicals/common'
+require './lib/signal_tools/technicals/true_range'
+
+module SignalTools::Technicals
+  class AverageTrueRange
+    include Common
+    include TrueRange
+
+    DEFAULT_PERIOD = 14
+
+    attr_reader :period, :stock_data
+
+    def initialize(stock_data, period)
+      @period = period
+      @stock_data = stock_data
+    end
+
+    def calculate
+      average_true_ranges
+    end
+
+     # Takes a smoothing period and historical data and calculates the average
+     # true ranges.
+    def average_true_ranges
+      trs = true_ranges(stock_data)
+      atrs = [default_simple_average(trs.slice!(0...DEFAULT_PERIOD), DEFAULT_PERIOD)]
+      trs.each { |tr| atrs << calculate_average_true_range(atrs.last, tr, period) }
+      atrs
+    end
+
+    # Takes yesterday's average true range, today's true range, and the smoothing
+    # period and calculates the day's average true range.
+    def calculate_average_true_range(yesterday_atr, today_tr, period)
+      (yesterday_atr * (period - 1) + today_tr) / period
+    end
+
+  end
+end

data/lib/signal_tools/technicals/common.rb

@@ -0,0 +1,44 @@
+require './lib/signal_tools/technicals/common'
+
+module SignalTools
+  module Technicals
+    module Common
+      def trim_data_to_range(data, size)
+        if data.is_a?(Array)
+          data.last(size)
+        elsif data.is_a?(Hash)
+          data.keys.each { |key| data[key] = data[key].first(size) }
+          data
+        end
+      end
+
+      # Gets the first 0...period of numbers from data and returns a simple average.
+      def default_simple_average(data, period)
+        SignalTools.average(data.slice(0...period))
+      end
+
+      #Runs method for the given slice of the array.
+      def get_for_period(points, start, finish, method)
+        case method
+          when :average
+            SignalTools.average(points.slice(start..finish))
+          else
+            (points.slice(start..finish)).send(method)
+          end
+      end
+
+      #Returns a collection of values by iterating over an array, slicing it period
+      # elements at a time and calling method for each slice.
+      def collection_for_array(points, period, method)
+        raise unless points.size >= period
+        collection = []
+        index = 0
+        while((index + period - 1) < points.size)
+          collection << get_for_period(points, index, (index + period - 1), method)
+          index += 1
+        end
+        collection
+      end
+    end
+  end
+end

data/lib/signal_tools/technicals/ema.rb

@@ -0,0 +1,44 @@
+require './lib/signal_tools/technicals/common'
+
+module SignalTools::Technicals
+  class EMA
+    include Common
+
+    EMA_DEFAULT = 10
+
+    attr_reader :data, :period, :type
+
+    def initialize(data, period, type=:default)
+      @data = data
+      @period = period
+      @type = type
+    end
+
+    def calculate
+      ema_points
+    end
+
+    private
+
+    #TODO: Break Wilder into its own class
+    def ema_points
+      emas = [default_simple_average(data, EMA_DEFAULT)]
+      if type == :wilder
+        data.slice(EMA_DEFAULT..-1).each { |current| emas << calculate_wilder_ema(emas.last, current) }
+      else
+        data.slice(EMA_DEFAULT..-1).each { |current| emas << calculate_ema(emas.last, current) }
+      end
+      emas
+    end
+
+    #Takes current value, previous day's EMA, and number of days. Returns EMA for that day.
+    def calculate_ema(previous, current)
+      (current - previous) * (2.0 / (period + 1)) + previous
+    end
+
+    #Uses Wilder's moving average formula.
+    def calculate_wilder_ema(previous, current)
+      (previous * (period - 1) + current) / period
+    end
+  end
+end

data/lib/signal_tools/technicals/fast_stochastic.rb

@@ -0,0 +1,19 @@
+require './lib/signal_tools/technicals/common'
+require './lib/signal_tools/technicals/stochastic'
+
+module SignalTools::Technicals
+  class FastStochastic
+    include Common
+    include Stochastic
+
+    def initialize(stock_data, k_period, d_period)
+      @d_period = d_period
+      @k_period = k_period
+      @stock_data = stock_data
+    end
+
+    def calculate
+      fast_stochastic_points
+    end
+  end
+end

data/lib/signal_tools/technicals/macd.rb

@@ -0,0 +1,41 @@
+module SignalTools
+  module Technicals
+    class MACD
+      attr_reader :fast, :slow, :signal, :data
+
+      def initialize(data, fast, slow, signal)
+        @data = data
+        @fast = fast
+        @slow = slow
+        @signal = signal
+      end
+
+      def calculate
+        # trim_data_to_range!(macd_points)
+        macd_points
+      end
+
+      # Takes a period of days for fast, slow, signal, and time period (eg 8,17,9).
+      def macd_points
+        fast_ema_points = SignalTools::Technicals::EMA.new(data, fast).calculate
+        slow_ema_points = SignalTools::Technicals::EMA.new(data, slow).calculate
+        macd_and_divergence_points(fast_ema_points, slow_ema_points)
+      end
+
+      def macd_and_divergence_points(fast_ema_points, slow_ema_points)
+        macds = differences_between_arrays(fast_ema_points, slow_ema_points)
+        signal_points = SignalTools::Technicals::EMA.new(macds, signal).calculate
+        divergences = differences_between_arrays(macds, signal_points)
+        {:signal_points => signal_points, :divergences => divergences}
+      end
+
+      # Returns an array with the differences between the first_points and second_points
+      def differences_between_arrays(first_points, second_points)
+        SignalTools.truncate_to_shortest!(first_points, second_points)
+        differences = []
+        first_points.each_with_index { |fp, index| differences << fp - second_points[index] }
+        differences
+      end
+    end
+  end
+end

data/lib/signal_tools/technicals/slow_stochastic.rb

@@ -0,0 +1,31 @@
+require './lib/signal_tools/technicals/stochastic'
+
+module SignalTools::Technicals
+  class SlowStochastic
+    include Stochastic
+
+    SMA_DEFAULT = 3
+
+    def initialize(stock_data, k_period, d_period)
+      @d_period = d_period
+      @k_period = k_period
+      @stock_data = stock_data
+    end
+
+    def calculate
+      # trim_data_to_range!(slow_stochastic_points(k_period, d_period))
+      slow_stochastic_points
+    end
+
+    def slow_stochastic_points
+      fast_points = fast_stochastic_points
+      k_points = slow_k_points(fast_points[:k])
+      slow_d_points = calculate_d_points(k_points, d_period)
+      k_d_points(k_points, slow_d_points)
+    end
+
+    def slow_k_points(fast_k_points)
+      collection_for_array(fast_k_points, SMA_DEFAULT, :average)
+    end
+  end
+end

data/lib/signal_tools/technicals/stochastic.rb

@@ -0,0 +1,36 @@
+require './lib/signal_tools/technicals/common'
+
+module SignalTools::Technicals::Stochastic
+  include ::SignalTools::Technicals::Common
+
+  attr_reader :d_period, :k_period, :stock_data
+
+  def calculate_d_points(k_points, period)
+    collection_for_array(k_points, period, :average)
+  end
+
+  def k_d_points(k_points, d_points)
+    raise unless k_points.size > d_points.size
+    SignalTools.truncate_to_shortest!(k_points, d_points)
+    {:k => k_points, :d => d_points}
+  end
+
+  def fast_stochastic_points
+    k_points = calculate_fast_stochastic_k_points
+    d_points = calculate_d_points(k_points, d_period)
+    k_d_points(k_points, d_points)
+  end
+
+  def calculate_fast_stochastic_k_points
+    index = 0
+    points = []
+    while((index + k_period) <= stock_data.close_prices.size)
+      today_cp = stock_data.close_prices[index + k_period - 1]
+      low_price = get_for_period(stock_data.low_prices, index, index + k_period - 1, :min)
+      high_price = get_for_period(stock_data.high_prices, index, index + k_period - 1, :max)
+      points << (today_cp - low_price) / (high_price - low_price)
+      index += 1
+    end
+    points
+  end
+end

data/lib/signal_tools/technicals/true_range.rb

@@ -0,0 +1,25 @@
+module SignalTools
+  module Technicals
+    module TrueRange
+      # Takes historical data and computes the true ranges.
+      def true_ranges(stock_data)
+        trs = [stock_data.high_prices.first - stock_data.low_prices.first]
+        index = 1
+        while index < (stock_data.high_prices.size)
+          trs << true_range(stock_data.raw_data[index], stock_data.raw_data[index-1])
+          index += 1
+        end
+        trs
+      end
+
+      # Takes today's data and yesterday's data and computes the true range.
+      def true_range(today, yesterday)
+        [
+          today[SignalTools::StockData::Indexes[:high]] - today[SignalTools::StockData::Indexes[:low]],
+          (yesterday[SignalTools::StockData::Indexes[:close]] - today[SignalTools::StockData::Indexes[:high]]).abs,
+          (yesterday[SignalTools::StockData::Indexes[:close]] - today[SignalTools::StockData::Indexes[:low]]).abs
+        ].max
+      end
+    end
+  end
+end

data/test/lib/signal_tools/technicals/test_average_directional_index.rb

@@ -0,0 +1,19 @@
+require './test/test_helper'
+
+class TestAverageDirectionalIndex < Minitest::Test
+  def setup
+    ticker = "TESTING"
+    @days = 90
+
+    YahooFinance.stub(:get_historical_quotes, data_for_tests(@days)) do
+      @stock = SignalTools::Stock.new(ticker)
+    end
+
+    @stock_data = @stock.stock_data
+  end
+
+  def test_calculate
+    assert_equal "0.491321", "%.6f" % SignalTools::Technicals::AverageDirectionalIndex.new(@stock_data, 14).calculate[-1]
+    assert_equal "0.496588", "%.6f" % SignalTools::Technicals::AverageDirectionalIndex.new(@stock_data, 14).calculate[-5]
+  end
+end

data/test/lib/signal_tools/technicals/test_average_true_range.rb

@@ -0,0 +1,21 @@
+require './test/test_helper'
+
+class TestAverageTrueRange < Minitest::Test
+  def setup
+    ticker = "TESTING"
+    @days = 90
+
+    YahooFinance.stub(:get_historical_quotes, data_for_tests(@days)) do
+      @stock = SignalTools::Stock.new(ticker)
+    end
+
+    @stock_data = @stock.stock_data
+  end
+
+  def test_calculate
+    assert_equal "3.195750", "%.6f" % SignalTools::Technicals::AverageTrueRange.new(@stock_data, 14).calculate[-1]
+    assert_equal "3.438910", "%.6f" % SignalTools::Technicals::AverageTrueRange.new(@stock_data, 14).calculate[-5]
+    assert_equal "3.208282", "%.6f" % SignalTools::Technicals::AverageTrueRange.new(@stock_data, 15).calculate[-1]
+    assert_equal "3.434397", "%.6f" % SignalTools::Technicals::AverageTrueRange.new(@stock_data, 15).calculate[-5]
+  end
+end

data/test/lib/signal_tools/technicals/test_ema.rb

@@ -0,0 +1,21 @@
+require './test/test_helper'
+
+class TestEMA < Minitest::Test
+  def setup
+    ticker = "TESTING"
+    @days = 90
+
+    YahooFinance.stub(:get_historical_quotes, data_for_tests(@days)) do
+      @stock = SignalTools::Stock.new(ticker)
+    end
+
+    @close_prices = @stock.stock_data.close_prices
+  end
+
+  def test_calculate
+    assert_equal "2.344948", "%.6f" % SignalTools::Technicals::EMA.new(@close_prices, 10, :default).calculate[-1]
+    assert_equal "2.736776", "%.6f" % SignalTools::Technicals::EMA.new(@close_prices, 10, :default).calculate[-5]
+    assert_equal "2.556322", "%.6f" % SignalTools::Technicals::EMA.new(@close_prices, 25, :default).calculate[-1]
+    assert_equal "2.705835", "%.6f" % SignalTools::Technicals::EMA.new(@close_prices, 25, :default).calculate[-5]
+  end
+end

data/test/lib/signal_tools/technicals/test_fast_stochastic.rb

@@ -0,0 +1,26 @@
+require './test/test_helper'
+
+class TestFastStochastic < Minitest::Test
+  def setup
+    ticker = "TESTING"
+    @days = 90
+
+    YahooFinance.stub(:get_historical_quotes, data_for_tests(@days)) do
+      @stock = SignalTools::Stock.new(ticker)
+    end
+
+    @stock_data = @stock.stock_data
+  end
+
+  def test_calculate
+    assert_equal "0.057143", "%.6f" % SignalTools::Technicals::FastStochastic.new(@stock_data, 14, 5).calculate[:k][-1]
+    assert_equal "0.571429", "%.6f" % SignalTools::Technicals::FastStochastic.new(@stock_data, 14, 5).calculate[:k][-5]
+    assert_equal "0.314286", "%.6f" % SignalTools::Technicals::FastStochastic.new(@stock_data, 14, 5).calculate[:d][-1]
+    assert_equal "0.314286", "%.6f" % SignalTools::Technicals::FastStochastic.new(@stock_data, 14, 5).calculate[:d][-5]
+
+    assert_equal "0.057143", "%.6f" % SignalTools::Technicals::FastStochastic.new(@stock_data, 12, 3).calculate[:k][-1]
+    assert_equal "0.571429", "%.6f" % SignalTools::Technicals::FastStochastic.new(@stock_data, 12, 3).calculate[:k][-5]
+    assert_equal "0.185714", "%.6f" % SignalTools::Technicals::FastStochastic.new(@stock_data, 12, 3).calculate[:d][-1]
+    assert_equal "0.271429", "%.6f" % SignalTools::Technicals::FastStochastic.new(@stock_data, 12, 3).calculate[:d][-5]
+  end
+end

data/test/lib/signal_tools/technicals/test_macd.rb

@@ -0,0 +1,26 @@
+require './test/test_helper'
+
+class TestMACD < Minitest::Test
+  def setup
+    ticker = "TESTING"
+    @days = 90
+
+    YahooFinance.stub(:get_historical_quotes, data_for_tests(@days)) do
+      @data = SignalTools::Stock.new(ticker)
+    end
+
+    @data = @data.stock_data.close_prices
+  end
+
+  def test_calculate
+    assert_equal "-0.034645", "%.6f" % SignalTools::Technicals::MACD.new(@data, 8, 17, 9).calculate[:signal_points][-1]
+    assert_equal "-0.018762", "%.6f" % SignalTools::Technicals::MACD.new(@data, 8, 17, 9).calculate[:signal_points][-5]
+    assert_equal "-0.195043", "%.6f" % SignalTools::Technicals::MACD.new(@data, 8, 17, 9).calculate[:divergences][-1]
+    assert_equal "0.063532",  "%.6f" % SignalTools::Technicals::MACD.new(@data, 8, 17, 9).calculate[:divergences][-5]
+
+    assert_equal "-0.022654", "%.6f" % SignalTools::Technicals::MACD.new(@data, 12, 26, 9).calculate[:signal_points][-1]
+    assert_equal "-0.014099", "%.6f" % SignalTools::Technicals::MACD.new(@data, 12, 26, 9).calculate[:signal_points][-5]
+    assert_equal "-0.136291", "%.6f" % SignalTools::Technicals::MACD.new(@data, 12, 26, 9).calculate[:divergences][-1]
+    assert_equal "0.034219",  "%.6f" % SignalTools::Technicals::MACD.new(@data, 12, 26, 9).calculate[:divergences][-5]
+  end
+end

data/test/lib/signal_tools/technicals/test_slow_stochastic.rb

@@ -0,0 +1,26 @@
+require './test/test_helper'
+
+class TestSlowStochastic < Minitest::Test
+  def setup
+    ticker = "TESTING"
+    @days = 90
+
+    YahooFinance.stub(:get_historical_quotes, data_for_tests(@days)) do
+      @stock = SignalTools::Stock.new(ticker)
+    end
+
+    @stock_data = @stock.stock_data
+  end
+
+  def test_calculate
+    assert_equal "0.185714", "%.6f" % SignalTools::Technicals::SlowStochastic.new(@stock_data, 14, 5).calculate[:k][-1]
+    assert_equal "0.271429", "%.6f" % SignalTools::Technicals::SlowStochastic.new(@stock_data, 14, 5).calculate[:k][-5]
+    assert_equal "0.314286", "%.6f" % SignalTools::Technicals::SlowStochastic.new(@stock_data, 14, 5).calculate[:d][-1]
+    assert_equal "0.314286", "%.6f" % SignalTools::Technicals::SlowStochastic.new(@stock_data, 14, 5).calculate[:d][-5]
+
+    assert_equal "0.185714", "%.6f" % SignalTools::Technicals::SlowStochastic.new(@stock_data, 12, 3).calculate[:k][-1]
+    assert_equal "0.271429", "%.6f" % SignalTools::Technicals::SlowStochastic.new(@stock_data, 12, 3).calculate[:k][-5]
+    assert_equal "0.314286", "%.6f" % SignalTools::Technicals::SlowStochastic.new(@stock_data, 12, 3).calculate[:d][-1]
+    assert_equal "0.257143", "%.6f" % SignalTools::Technicals::SlowStochastic.new(@stock_data, 12, 3).calculate[:d][-5]
+  end
+end

data/test/test_helper.rb

@@ -1,25 +1,21 @@
-require 'rubygems'
-require 'test/unit'
-require 'flexmock/test_unit'
+require 'minitest/autorun'
 
 $LOAD_PATH.unshift(File.join(File.dirname(__FILE__), '..', 'lib'))
 $LOAD_PATH.unshift(File.dirname(__FILE__))
 require 'signal_tools'
 
-class Test::Unit::TestCase
-  def data_for_tests(period)
-    repeat = 5
-    historical_data = []
-    (0...SignalTools::StockData::Extra_Days+period).each do |i|
-      seed = i % repeat + 1
-      historical_data << [
-        (Date.today-i).to_s,
-        (seed * 0.8).to_s, #Open
-        (seed * 1.5).to_s, #High
-        (seed * 0.5).to_s, #Low
-        (seed * 0.9).to_s  #Close
-      ]
-    end
-    historical_data
+def data_for_tests(period)
+  repeat = 5
+  historical_data = []
+  (0...SignalTools::StockData::Extra_Days+period).each do |i|
+    seed = i % repeat + 1
+    historical_data << [
+      (Date.today-i).to_s,
+      (seed * 0.8).to_s, #Open
+      (seed * 1.5).to_s, #High
+      (seed * 0.5).to_s, #Low
+      (seed * 0.9).to_s  #Close
+    ]
   end
-end
+  historical_data
+end

data/test/test_signal_tools.rb

@@ -1,7 +1,6 @@
-require 'test_helper'
-require 'signal_tools'
+require './test/test_helper'
 
-class TestSignalTools < Test::Unit::TestCase
+class TestSignalTools < Minitest::Test
   def setup
     @array1 = [1,2,3,4,5,6,7,8,9,10]
   end

data/test/test_stock.rb

@@ -1,67 +1,13 @@
-require 'test_helper'
-require 'signal_tools'
+require './test/test_helper'
 
-class TestStock < Test::Unit::TestCase
+class TestStock < Minitest::Test
   def setup
     ticker = "TESTING"
     @days = 90
-    flexmock(YahooFinance).should_receive(:get_historical_quotes).with_any_args.and_return(data_for_tests(@days))
-    @stock = SignalTools::Stock.new(ticker)
-  end
-
-  def test_ema
-    assert_equal "2.344948", "%.6f" % @stock.ema[-1]
-    assert_equal "2.736776", "%.6f" % @stock.ema[-5]
-    assert_equal "2.556322", "%.6f" % @stock.ema(25)[-1]
-    assert_equal "2.705835", "%.6f" % @stock.ema(25)[-5]
-  end
-
-  def test_macd
-    assert_equal "-0.034645", "%.6f" % @stock.macd[:signal_points][-1]
-    assert_equal "-0.018762", "%.6f" % @stock.macd[:signal_points][-5]
-    assert_equal "-0.195043", "%.6f" % @stock.macd[:divergences][-1]
-    assert_equal "0.063532",  "%.6f" % @stock.macd[:divergences][-5]
-
-    assert_equal "-0.022654", "%.6f" % @stock.macd(12, 26, 9)[:signal_points][-1]
-    assert_equal "-0.014099", "%.6f" % @stock.macd(12, 26, 9)[:signal_points][-5]
-    assert_equal "-0.136291", "%.6f" % @stock.macd(12, 26, 9)[:divergences][-1]
-    assert_equal "0.034219",  "%.6f" % @stock.macd(12, 26, 9)[:divergences][-5]
-  end
-
-  def test_fast_stochastic
-    assert_equal "0.057143", "%.6f" % @stock.fast_stochastic[:k][-1]
-    assert_equal "0.571429", "%.6f" % @stock.fast_stochastic[:k][-5]
-    assert_equal "0.314286", "%.6f" % @stock.fast_stochastic[:d][-1]
-    assert_equal "0.314286", "%.6f" % @stock.fast_stochastic[:d][-5]
-
-    assert_equal "0.057143", "%.6f" % @stock.fast_stochastic(12, 3)[:k][-1]
-    assert_equal "0.571429", "%.6f" % @stock.fast_stochastic(12, 3)[:k][-5]
-    assert_equal "0.185714", "%.6f" % @stock.fast_stochastic(12, 3)[:d][-1]
-    assert_equal "0.271429", "%.6f" % @stock.fast_stochastic(12, 3)[:d][-5]
-  end
-
-  def test_slow_stochastic
-    assert_equal "0.185714", "%.6f" % @stock.slow_stochastic[:k][-1]
-    assert_equal "0.271429", "%.6f" % @stock.slow_stochastic[:k][-5]
-    assert_equal "0.314286", "%.6f" % @stock.slow_stochastic[:d][-1]
-    assert_equal "0.314286", "%.6f" % @stock.slow_stochastic[:d][-5]
-
-    assert_equal "0.185714", "%.6f" % @stock.slow_stochastic(12, 3)[:k][-1]
-    assert_equal "0.271429", "%.6f" % @stock.slow_stochastic(12, 3)[:k][-5]
-    assert_equal "0.314286", "%.6f" % @stock.slow_stochastic(12, 3)[:d][-1]
-    assert_equal "0.257143", "%.6f" % @stock.slow_stochastic(12, 3)[:d][-5]
-  end
-
-  def test_atr
-    assert_equal "3.195750", "%.6f" % @stock.atr[-1]
-    assert_equal "3.438910", "%.6f" % @stock.atr[-5]
-    assert_equal "3.208282", "%.6f" % @stock.atr(15)[-1]
-    assert_equal "3.434397", "%.6f" % @stock.atr(15)[-5]
-  end
 
-  def test_adx
-    assert_equal "0.491321", "%.6f" % @stock.adx[-1]
-    assert_equal "0.496588", "%.6f" % @stock.adx[-5]
+    YahooFinance.stub(:get_historical_quotes, data_for_tests(@days)) do
+      @stock = SignalTools::Stock.new(ticker)
+    end
   end
 
   def test_stock_should_have_correct_number_of_data_elements
@@ -70,7 +16,7 @@ class TestStock < Test::Unit::TestCase
     assert_equal(@days, @stock.macd[:divergences].size)
     assert_equal(@days, @stock.fast_stochastic[:k].size)
     assert_equal(@days, @stock.slow_stochastic[:k].size)
-    assert_equal(@days, @stock.atr.size)
-    assert_equal(@days, @stock.adx.size)
+    assert_equal(@days, @stock.average_true_range.size)
+    assert_equal(@days, @stock.average_directional_index.size)
   end
 end

data/test/test_stock_data.rb

@@ -1,15 +1,16 @@
-require 'test_helper'
-require 'signal_tools'
+require './test/test_helper'
 
-class TestStockData < Test::Unit::TestCase
+class TestStockData < Minitest::Test
   def setup
     ticker = "TESTING"
     @days = 90
     @total_days = @days + SignalTools::StockData::Extra_Days
     @from_date = Date.today - @days
     @to_date = Date.today
-    flexmock(YahooFinance).should_receive(:get_historical_quotes).with_any_args.and_return(data_for_tests(@days))
-    @stock_data = SignalTools::StockData.new(ticker, @from_date, @to_date)
+
+    YahooFinance.stub(:get_historical_quotes, data_for_tests(@days)) do
+      @stock_data = SignalTools::StockData.new(ticker, @from_date, @to_date)
+    end
   end
 
   def test_dates

metadata

@@ -1,27 +1,55 @@
 --- !ruby/object:Gem::Specification
 name: signal_tools
 version: !ruby/object:Gem::Version
-  version: 0.2.2
-  prerelease: 
+  version: 0.3.1
 platform: ruby
 authors:
 - Matt White
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2011-09-15 00:00:00.000000000Z
+date: 2015-05-28 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: yahoofinance
-  requirement: &11998940 !ruby/object:Gem::Requirement
-    none: false
+  requirement: !ruby/object:Gem::Requirement
     requirements:
-    - - ! '>='
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: 1.2.0
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: 1.2.0
   type: :runtime
   prerelease: false
-  version_requirements: *11998940
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 1.2.0
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: 1.2.0
+- !ruby/object:Gem::Dependency
+  name: minitest
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 5.5.0
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: 5.5.0
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 5.5.0
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: 5.5.0
 description: Gem to create technical analysis data for a given stock (like MACD, stochastic,
   and exponential moving averages).
 email: mattw922@gmail.com
@@ -29,39 +57,54 @@ executables: []
 extensions: []
 extra_rdoc_files: []
 files:
+- LICENSE
+- README.rdoc
 - Rakefile
 - lib/signal_tools.rb
 - lib/signal_tools/stock.rb
 - lib/signal_tools/stock_data.rb
-- test/test_tickers
-- test/test_stock.rb
+- lib/signal_tools/technicals/average_directional_index.rb
+- lib/signal_tools/technicals/average_true_range.rb
+- lib/signal_tools/technicals/common.rb
+- lib/signal_tools/technicals/ema.rb
+- lib/signal_tools/technicals/fast_stochastic.rb
+- lib/signal_tools/technicals/macd.rb
+- lib/signal_tools/technicals/slow_stochastic.rb
+- lib/signal_tools/technicals/stochastic.rb
+- lib/signal_tools/technicals/true_range.rb
+- test/lib/signal_tools/technicals/test_average_directional_index.rb
+- test/lib/signal_tools/technicals/test_average_true_range.rb
+- test/lib/signal_tools/technicals/test_ema.rb
+- test/lib/signal_tools/technicals/test_fast_stochastic.rb
+- test/lib/signal_tools/technicals/test_macd.rb
+- test/lib/signal_tools/technicals/test_slow_stochastic.rb
+- test/test_helper.rb
 - test/test_signal_tools.rb
+- test/test_stock.rb
 - test/test_stock_data.rb
-- test/test_helper.rb
-- README.rdoc
-- LICENSE
+- test/test_tickers
 homepage: http://github.com/whitethunder/signal_tools
-licenses: []
+licenses:
+- MIT
+metadata: {}
 post_install_message: 
 rdoc_options: []
 require_paths:
 - lib
 required_ruby_version: !ruby/object:Gem::Requirement
-  none: false
   requirements:
-  - - ! '>='
+  - - ">="
     - !ruby/object:Gem::Version
       version: '0'
 required_rubygems_version: !ruby/object:Gem::Requirement
-  none: false
   requirements:
-  - - ! '>='
+  - - ">="
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
 rubyforge_project: 
-rubygems_version: 1.8.8
+rubygems_version: 2.4.5
 signing_key: 
-specification_version: 3
+specification_version: 4
 summary: Create technical analysis data for a given stock.
 test_files: []