technical-analysis 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +7 -0
- data/lib/technical-analysis.rb +3 -0
- data/lib/technical_analysis.rb +41 -0
- data/lib/technical_analysis/helpers/array_helper.rb +27 -0
- data/lib/technical_analysis/helpers/stock_calculation.rb +25 -0
- data/lib/technical_analysis/helpers/validation.rb +33 -0
- data/lib/technical_analysis/indicators/adi.rb +101 -0
- data/lib/technical_analysis/indicators/adtv.rb +98 -0
- data/lib/technical_analysis/indicators/adx.rb +168 -0
- data/lib/technical_analysis/indicators/ao.rb +105 -0
- data/lib/technical_analysis/indicators/atr.rb +109 -0
- data/lib/technical_analysis/indicators/bb.rb +126 -0
- data/lib/technical_analysis/indicators/cci.rb +105 -0
- data/lib/technical_analysis/indicators/cmf.rb +105 -0
- data/lib/technical_analysis/indicators/cr.rb +95 -0
- data/lib/technical_analysis/indicators/dc.rb +108 -0
- data/lib/technical_analysis/indicators/dlr.rb +97 -0
- data/lib/technical_analysis/indicators/dpo.rb +106 -0
- data/lib/technical_analysis/indicators/dr.rb +96 -0
- data/lib/technical_analysis/indicators/eom.rb +104 -0
- data/lib/technical_analysis/indicators/fi.rb +95 -0
- data/lib/technical_analysis/indicators/ichimoku.rb +179 -0
- data/lib/technical_analysis/indicators/indicator.rb +138 -0
- data/lib/technical_analysis/indicators/kc.rb +124 -0
- data/lib/technical_analysis/indicators/kst.rb +132 -0
- data/lib/technical_analysis/indicators/macd.rb +144 -0
- data/lib/technical_analysis/indicators/mfi.rb +119 -0
- data/lib/technical_analysis/indicators/mi.rb +121 -0
- data/lib/technical_analysis/indicators/nvi.rb +102 -0
- data/lib/technical_analysis/indicators/obv.rb +104 -0
- data/lib/technical_analysis/indicators/obv_mean.rb +110 -0
- data/lib/technical_analysis/indicators/rsi.rb +133 -0
- data/lib/technical_analysis/indicators/sma.rb +98 -0
- data/lib/technical_analysis/indicators/sr.rb +122 -0
- data/lib/technical_analysis/indicators/trix.rb +127 -0
- data/lib/technical_analysis/indicators/tsi.rb +139 -0
- data/lib/technical_analysis/indicators/uo.rb +130 -0
- data/lib/technical_analysis/indicators/vi.rb +117 -0
- data/lib/technical_analysis/indicators/vpt.rb +95 -0
- data/lib/technical_analysis/indicators/wr.rb +103 -0
- data/spec/helpers/array_helper_spec.rb +31 -0
- data/spec/helpers/validaton_spec.rb +22 -0
- data/spec/spec_helper.rb +26 -0
- data/spec/ta_test_data.csv +64 -0
- data/spec/technical_analysis/indicators/adi_spec.rb +116 -0
- data/spec/technical_analysis/indicators/adtv_spec.rb +98 -0
- data/spec/technical_analysis/indicators/adx_spec.rb +92 -0
- data/spec/technical_analysis/indicators/ao_spec.rb +86 -0
- data/spec/technical_analysis/indicators/atr_spec.rb +105 -0
- data/spec/technical_analysis/indicators/bb_spec.rb +100 -0
- data/spec/technical_analysis/indicators/cci_spec.rb +100 -0
- data/spec/technical_analysis/indicators/cmf_spec.rb +100 -0
- data/spec/technical_analysis/indicators/cr_spec.rb +119 -0
- data/spec/technical_analysis/indicators/dc_spec.rb +100 -0
- data/spec/technical_analysis/indicators/dlr_spec.rb +119 -0
- data/spec/technical_analysis/indicators/dpo_spec.rb +90 -0
- data/spec/technical_analysis/indicators/dr_spec.rb +119 -0
- data/spec/technical_analysis/indicators/eom_spec.rb +105 -0
- data/spec/technical_analysis/indicators/fi_spec.rb +118 -0
- data/spec/technical_analysis/indicators/ichimoku_spec.rb +95 -0
- data/spec/technical_analysis/indicators/indicator_spec.rb +120 -0
- data/spec/technical_analysis/indicators/kc_spec.rb +110 -0
- data/spec/technical_analysis/indicators/kst_spec.rb +78 -0
- data/spec/technical_analysis/indicators/macd_spec.rb +86 -0
- data/spec/technical_analysis/indicators/mfi_spec.rb +105 -0
- data/spec/technical_analysis/indicators/mi_spec.rb +79 -0
- data/spec/technical_analysis/indicators/nvi_spec.rb +119 -0
- data/spec/technical_analysis/indicators/obv_mean_spec.rb +109 -0
- data/spec/technical_analysis/indicators/obv_spec.rb +119 -0
- data/spec/technical_analysis/indicators/rsi_spec.rb +105 -0
- data/spec/technical_analysis/indicators/sma_spec.rb +115 -0
- data/spec/technical_analysis/indicators/sr_spec.rb +104 -0
- data/spec/technical_analysis/indicators/trix_spec.rb +76 -0
- data/spec/technical_analysis/indicators/tsi_spec.rb +87 -0
- data/spec/technical_analysis/indicators/uo_spec.rb +91 -0
- data/spec/technical_analysis/indicators/vi_spec.rb +105 -0
- data/spec/technical_analysis/indicators/vpt_spec.rb +118 -0
- data/spec/technical_analysis/indicators/wr_spec.rb +106 -0
- metadata +177 -0
checksums.yaml
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---
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SHA1:
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metadata.gz: f408c4203ba656b1aa458266b8ed6ec656f91f2e
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data.tar.gz: 18c7d6c4465b9ddbf6627508672e3a8f3295a597
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SHA512:
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metadata.gz: dcb6a96e644cc93c7f48866aa067c6cac7ca7c226cfeb3a71bd4a1789f258dee846b19c774a95560001cff93a8e6c693d4386a3247ea7aebb404beb37121f7bb
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data.tar.gz: 42e5e7bbfedb0f48a92b5107edfa2fda26c616cdb67bd91984e53fbd47f145fb50323da63268b34722202c71029d75fabfd94dba0136497baf508e874289c877
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# Helpers
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require 'technical_analysis/helpers/array_helper'
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require 'technical_analysis/helpers/stock_calculation'
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require 'technical_analysis/helpers/validation'
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# Indicators
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require 'technical_analysis/indicators/indicator'
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require 'technical_analysis/indicators/adi'
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require 'technical_analysis/indicators/adtv'
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require 'technical_analysis/indicators/adx'
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require 'technical_analysis/indicators/ao'
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require 'technical_analysis/indicators/atr'
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require 'technical_analysis/indicators/bb'
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require 'technical_analysis/indicators/cci'
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require 'technical_analysis/indicators/cmf'
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require 'technical_analysis/indicators/cr'
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require 'technical_analysis/indicators/dc'
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require 'technical_analysis/indicators/dlr'
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require 'technical_analysis/indicators/dpo'
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require 'technical_analysis/indicators/dr'
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require 'technical_analysis/indicators/eom'
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require 'technical_analysis/indicators/fi'
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require 'technical_analysis/indicators/ichimoku'
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require 'technical_analysis/indicators/kc'
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require 'technical_analysis/indicators/kst'
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require 'technical_analysis/indicators/macd'
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require 'technical_analysis/indicators/mfi'
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require 'technical_analysis/indicators/mi'
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require 'technical_analysis/indicators/nvi'
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require 'technical_analysis/indicators/obv'
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require 'technical_analysis/indicators/obv_mean'
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require 'technical_analysis/indicators/rsi'
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require 'technical_analysis/indicators/sma'
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require 'technical_analysis/indicators/sr'
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require 'technical_analysis/indicators/trix'
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require 'technical_analysis/indicators/tsi'
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require 'technical_analysis/indicators/uo'
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require 'technical_analysis/indicators/vi'
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require 'technical_analysis/indicators/vpt'
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require 'technical_analysis/indicators/wr'
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module TechnicalAnalysis
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class ArrayHelper
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def self.sum(data)
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data.inject(0, :+)
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end
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def self.mean(data)
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sum(data) / data.size.to_f
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end
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def self.average(data)
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sum(data) / data.size.to_f
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end
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def self.sample_variance(data)
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m = mean(data)
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sum = data.inject(0) { |accum, i| accum + (i - m)**2 }
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sum / (data.size - 1).to_f
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end
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def self.standard_deviation(data)
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Math.sqrt(sample_variance(data))
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end
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end
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end
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module TechnicalAnalysis
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class StockCalculation
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def self.true_range(current_high, current_low, previous_close)
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[
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(current_high - current_low),
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(current_high - previous_close).abs,
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(current_low - previous_close).abs
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].max
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end
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def self.typical_price(price)
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(price[:high] + price[:low] + price[:close]) / 3.0
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end
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def self.ema(current_value, data, period, prev_value)
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if prev_value.nil?
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ArrayHelper.average(data)
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else
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(current_value - prev_value) * (2.0 / (period + 1.0)) + prev_value
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end
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end
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end
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end
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module TechnicalAnalysis
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class Validation
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def self.validate_numeric_data(data, *keys)
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keys.each do |key|
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unless data.all? { |v| v[key].is_a? Numeric }
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raise ValidationError.new "Invalid Data. '#{key}' is not valid price data."
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end
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end
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end
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def self.validate_length(data, size)
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raise ValidationError.new "Not enough data for that period" if data.size < size
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end
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def self.validate_options(options, valid_options)
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raise ValidationError.new "Options must be a hash." unless options.respond_to? :keys
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raise ValidationError.new "No valid options provided." unless valid_options
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return true if (options.keys - valid_options).empty?
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raise ValidationError.new "Invalid options provided. Valid options are #{valid_options.join(", ")}"
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end
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def self.validate_date_time_key(data)
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unless data.all? { |row| row.keys.include? :date_time }
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raise ValidationError.new "Dataset must include date_time field with timestamps"
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end
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end
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class ValidationError < StandardError; end
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end
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end
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module TechnicalAnalysis
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# Accumulation/Distribution Index
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class Adi < Indicator
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# Returns the symbol of the technical indicator
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#
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# @return [String] A string of the symbol of the technical indicator
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def self.indicator_symbol
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"adi"
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end
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# Returns the name of the technical indicator
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#
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# @return [String] A string of the name of the technical indicator
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def self.indicator_name
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"Accumulation/Distribution Index"
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end
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# Returns an array of valid keys for options for this technical indicator
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#
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# @return [Array] An array of keys as symbols for valid options for this technical indicator
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def self.valid_options
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[]
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end
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# Validates the provided options for this technical indicator
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#
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# @param options [Hash] The options for the technical indicator to be validated
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#
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# @return [Boolean] Returns true if options are valid or raises a ValidationError if they're not
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def self.validate_options(options)
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return true if options == {}
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raise Validation::ValidationError.new "This indicator doesn't accept any options."
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end
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# Calculates the minimum number of observations needed to calculate the technical indicator
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#
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# @param options [Hash] The options for the technical indicator
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#
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# @return [Integer] Returns the minimum number of observations needed to calculate the technical
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# indicator based on the options provided
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def self.min_data_size(**params)
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1
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end
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# Calculates the Accumulation/Distribution Index (ADI) for the given data
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# https://en.wikipedia.org/wiki/Accumulation/distribution_index
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#
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# @param data [Array] Array of hashes with keys (:date_time, :high, :low, :close, :volume)
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# @return [Array<AdiValue>] An array of AdiValue instances
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def self.calculate(data)
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Validation.validate_numeric_data(data, :high, :low, :close, :volume)
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Validation.validate_date_time_key(data)
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data = data.sort_by { |row| row[:date_time] }
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ad = 0
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clv = 0
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output = []
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prev_ad = 0
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data.each_with_index do |values, i|
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if values[:high] == values[:low]
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clv = 0
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else
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clv = ((values[:close] - values[:low]) - (values[:high] - values[:close])) / (values[:high] - values[:low])
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end
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ad = prev_ad + (clv * values[:volume])
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prev_ad = ad
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date_time = values[:date_time]
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output << AdiValue.new(date_time: date_time, adi: ad)
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end
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output.sort_by(&:date_time).reverse
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end
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end
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# The value class to be returned by calculations
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class AdiValue
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# @return [String] the date_time of the obversation as it was provided
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attr_accessor :date_time
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# @return [Float] the adi calculation value
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attr_accessor :adi
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def initialize(date_time: nil, adi: nil)
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@date_time = date_time
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@adi = adi
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end
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# @return [Hash] the attributes as a hash
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def to_hash
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{ date_time: @date_time, adi: @adi }
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end
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end
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end
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module TechnicalAnalysis
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# Average Daily Trading Volume
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class Adtv < Indicator
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# Returns the symbol of the technical indicator
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#
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# @return [String] A string of the symbol of the technical indicator
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def self.indicator_symbol
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"adtv"
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end
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# Returns the name of the technical indicator
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#
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# @return [String] A string of the name of the technical indicator
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def self.indicator_name
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"Average Daily Trading Volume"
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end
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# Returns an array of valid keys for options for this technical indicator
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#
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# @return [Array] An array of keys as symbols for valid options for this technical indicator
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def self.valid_options
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%i(period volume_key)
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end
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# Validates the provided options for this technical indicator
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#
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# @param options [Hash] The options for the technical indicator to be validated
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#
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# @return [Boolean] Returns true if options are valid or raises a ValidationError if they're not
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def self.validate_options(options)
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Validation.validate_options(options, valid_options)
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end
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# Calculates the minimum number of observations needed to calculate the technical indicator
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#
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# @param options [Hash] The options for the technical indicator
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#
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# @return [Integer] Returns the minimum number of observations needed to calculate the technical
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# indicator based on the options provided
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def self.min_data_size(period: 22, **params)
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period.to_i
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end
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# Calculates the average daily trading volume (ADTV) for the data over the given period
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# https://www.investopedia.com/terms/a/averagedailytradingvolume.asp
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#
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# @param data [Array] Array of hashes with keys (:date_time, :value)
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# @param period [Integer] The given number of days used to calculate the ADTV
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# @param volume_key [Symbol] The hash key for the volume data. Default :value
|
51
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+
#
|
52
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+
# @return [Array<AdtvValue>] An array of AdtvValue instances
|
53
|
+
def self.calculate(data, period: 22, volume_key: :value)
|
54
|
+
period = period.to_i
|
55
|
+
volume_key = volume_key.to_sym
|
56
|
+
Validation.validate_numeric_data(data, volume_key)
|
57
|
+
Validation.validate_length(data, min_data_size(period: period))
|
58
|
+
Validation.validate_date_time_key(data)
|
59
|
+
|
60
|
+
data = data.sort_by { |row| row[:date_time] }
|
61
|
+
|
62
|
+
output = []
|
63
|
+
period_values = []
|
64
|
+
|
65
|
+
data.each do |v|
|
66
|
+
period_values << v[volume_key]
|
67
|
+
if period_values.size == period
|
68
|
+
output << AdtvValue.new(date_time: v[:date_time], adtv: ArrayHelper.average(period_values))
|
69
|
+
period_values.shift
|
70
|
+
end
|
71
|
+
end
|
72
|
+
|
73
|
+
output.sort_by(&:date_time).reverse
|
74
|
+
end
|
75
|
+
|
76
|
+
end
|
77
|
+
|
78
|
+
# The value class to be returned by calculations
|
79
|
+
class AdtvValue
|
80
|
+
|
81
|
+
# @return [String] the date_time of the obversation as it was provided
|
82
|
+
attr_accessor :date_time
|
83
|
+
|
84
|
+
# @return [Float] the adtv calculation value
|
85
|
+
attr_accessor :adtv
|
86
|
+
|
87
|
+
def initialize(date_time: nil, adtv: nil)
|
88
|
+
@date_time = date_time
|
89
|
+
@adtv = adtv
|
90
|
+
end
|
91
|
+
|
92
|
+
# @return [Hash] the attributes as a hash
|
93
|
+
def to_hash
|
94
|
+
{ date_time: @date_time, adtv: @adtv }
|
95
|
+
end
|
96
|
+
|
97
|
+
end
|
98
|
+
end
|
@@ -0,0 +1,168 @@
|
|
1
|
+
module TechnicalAnalysis
|
2
|
+
# Average Direcitonal Index
|
3
|
+
class Adx < Indicator
|
4
|
+
|
5
|
+
# Returns the symbol of the technical indicator
|
6
|
+
#
|
7
|
+
# @return [String] A string of the symbol of the technical indicator
|
8
|
+
def self.indicator_symbol
|
9
|
+
"adx"
|
10
|
+
end
|
11
|
+
|
12
|
+
# Returns the name of the technical indicator
|
13
|
+
#
|
14
|
+
# @return [String] A string of the name of the technical indicator
|
15
|
+
def self.indicator_name
|
16
|
+
"Average Directional Index"
|
17
|
+
end
|
18
|
+
|
19
|
+
# Returns an array of valid keys for options for this technical indicator
|
20
|
+
#
|
21
|
+
# @return [Array] An array of keys as symbols for valid options for this technical indicator
|
22
|
+
def self.valid_options
|
23
|
+
%i(period)
|
24
|
+
end
|
25
|
+
|
26
|
+
# Validates the provided options for this technical indicator
|
27
|
+
#
|
28
|
+
# @param options [Hash] The options for the technical indicator to be validated
|
29
|
+
#
|
30
|
+
# @return [Boolean] Returns true if options are valid or raises a ValidationError if they're not
|
31
|
+
def self.validate_options(options)
|
32
|
+
Validation.validate_options(options, valid_options)
|
33
|
+
end
|
34
|
+
|
35
|
+
# Calculates the minimum number of observations needed to calculate the technical indicator
|
36
|
+
#
|
37
|
+
# @param options [Hash] The options for the technical indicator
|
38
|
+
#
|
39
|
+
# @return [Integer] Returns the minimum number of observations needed to calculate the technical
|
40
|
+
# indicator based on the options provided
|
41
|
+
def self.min_data_size(period: 14)
|
42
|
+
period.to_i * 2
|
43
|
+
end
|
44
|
+
|
45
|
+
# Calculates the average directional index (ADX) for the data over the given period
|
46
|
+
# https://en.wikipedia.org/wiki/Average_directional_movement_index
|
47
|
+
#
|
48
|
+
# @param data [Array] Array of hashes with keys (:date_time, :high, :low, :close)
|
49
|
+
# @param period [Integer] The given period to calculate the ADX
|
50
|
+
#
|
51
|
+
# @return [Array<AdxValue>] An array of AdxValue instances
|
52
|
+
def self.calculate(data, period: 14)
|
53
|
+
period = period.to_i
|
54
|
+
Validation.validate_numeric_data(data, :high, :low, :close)
|
55
|
+
Validation.validate_length(data, min_data_size(period: period))
|
56
|
+
Validation.validate_date_time_key(data)
|
57
|
+
|
58
|
+
data = data.sort_by { |row| row[:date_time] }
|
59
|
+
|
60
|
+
dx_values = []
|
61
|
+
output = []
|
62
|
+
periodic_values = []
|
63
|
+
prev_adx = nil
|
64
|
+
prev_price = data.shift
|
65
|
+
smoothed_values = []
|
66
|
+
|
67
|
+
data.each do |v|
|
68
|
+
tr = StockCalculation.true_range(v[:high], v[:low], prev_price[:close])
|
69
|
+
|
70
|
+
dm_pos, dm_neg = calculate_dm(v, prev_price)
|
71
|
+
|
72
|
+
periodic_values << { tr: tr, dm_pos: dm_pos, dm_neg: dm_neg }
|
73
|
+
|
74
|
+
if periodic_values.size == period
|
75
|
+
tr_period, dm_pos_period, dm_neg_period = smooth_periodic_values(period, periodic_values, smoothed_values)
|
76
|
+
smoothed_values << { tr: tr_period, dm_pos: dm_pos_period, dm_neg: dm_neg_period }
|
77
|
+
|
78
|
+
di_pos = (dm_pos_period / tr_period) * 100.00
|
79
|
+
di_neg = (dm_neg_period / tr_period) * 100.00
|
80
|
+
dx = ((dm_pos_period - dm_neg_period).abs / (dm_pos_period + dm_neg_period) * 100.00)
|
81
|
+
|
82
|
+
dx_values << dx
|
83
|
+
|
84
|
+
if dx_values.size == period
|
85
|
+
if prev_adx.nil?
|
86
|
+
adx = ArrayHelper.average(dx_values)
|
87
|
+
else
|
88
|
+
adx = ((prev_adx * 13) + dx) / period.to_f
|
89
|
+
end
|
90
|
+
|
91
|
+
output << AdxValue.new(date_time: v[:date_time], adx: adx, di_pos: di_pos, di_neg: di_neg)
|
92
|
+
|
93
|
+
prev_adx = adx
|
94
|
+
dx_values.shift
|
95
|
+
end
|
96
|
+
|
97
|
+
periodic_values.shift
|
98
|
+
end
|
99
|
+
|
100
|
+
prev_price = v
|
101
|
+
end
|
102
|
+
|
103
|
+
output.sort_by(&:date_time).reverse
|
104
|
+
end
|
105
|
+
|
106
|
+
private_class_method def self.calculate_dm(current_price, prev_price)
|
107
|
+
if current_price[:high] - prev_price[:high] > prev_price[:low] - current_price[:low]
|
108
|
+
dm_pos = [(current_price[:high] - prev_price[:high]), 0].max
|
109
|
+
dm_neg = 0
|
110
|
+
elsif prev_price[:low] - current_price[:low] > current_price[:high] - prev_price[:high]
|
111
|
+
dm_pos = 0
|
112
|
+
dm_neg = [(prev_price[:low] - current_price[:low]), 0].max
|
113
|
+
else
|
114
|
+
dm_pos = 0
|
115
|
+
dm_neg = 0
|
116
|
+
end
|
117
|
+
|
118
|
+
[dm_pos, dm_neg]
|
119
|
+
end
|
120
|
+
|
121
|
+
private_class_method def self.smooth_periodic_values(period, periodic_values, smoothed_values)
|
122
|
+
if smoothed_values.empty?
|
123
|
+
tr_period = ArrayHelper.sum(periodic_values.map { |pv| pv[:tr] })
|
124
|
+
dm_pos_period = ArrayHelper.sum(periodic_values.map { |pv| pv[:dm_pos] })
|
125
|
+
dm_neg_period = ArrayHelper.sum(periodic_values.map { |pv| pv[:dm_neg] })
|
126
|
+
else
|
127
|
+
prev_value = smoothed_values.last
|
128
|
+
current_value = periodic_values.last
|
129
|
+
|
130
|
+
tr_period = prev_value[:tr] - (prev_value[:tr] / period) + current_value[:tr]
|
131
|
+
dm_pos_period = prev_value[:dm_pos] - (prev_value[:dm_pos] / period) + current_value[:dm_pos]
|
132
|
+
dm_neg_period = prev_value[:dm_neg] - (prev_value[:dm_neg] / period) + current_value[:dm_neg]
|
133
|
+
end
|
134
|
+
|
135
|
+
[tr_period, dm_pos_period, dm_neg_period]
|
136
|
+
end
|
137
|
+
|
138
|
+
# The value class to be returned by calculations
|
139
|
+
class AdxValue
|
140
|
+
|
141
|
+
# @return [String] the date_time of the obversation as it was provided
|
142
|
+
attr_accessor :date_time
|
143
|
+
|
144
|
+
# @return [Float] the adx calculation value
|
145
|
+
attr_accessor :adx
|
146
|
+
|
147
|
+
# @return [Float] the positive directional indicator calculation value
|
148
|
+
attr_accessor :di_pos
|
149
|
+
|
150
|
+
# @return [Float] the negative directional indicator calculation value
|
151
|
+
attr_accessor :di_neg
|
152
|
+
|
153
|
+
def initialize(date_time: nil, adx: nil, di_pos: nil, di_neg: nil)
|
154
|
+
@date_time = date_time
|
155
|
+
@adx = adx
|
156
|
+
@di_pos = di_pos
|
157
|
+
@di_neg = di_neg
|
158
|
+
end
|
159
|
+
|
160
|
+
# @return [Hash] the attributes as a hash
|
161
|
+
def to_hash
|
162
|
+
{ date_time: @date_time, adx: @adx, di_pos: @di_pos, di_neg: @di_neg }
|
163
|
+
end
|
164
|
+
|
165
|
+
end
|
166
|
+
|
167
|
+
end
|
168
|
+
end
|