technical-analysis 0.1.0

data/spec/technical_analysis/indicators/cci_spec.rb

@@ -0,0 +1,100 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "CCI" do
+    input_data = SpecHelper.get_test_data(:high, :low, :close)
+    indicator = TechnicalAnalysis::Cci
+
+    describe 'Commodity Channel Index' do
+      it 'Calculates CCI (20 day)' do
+        output = indicator.calculate(input_data, period: 20, constant: 0.015)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :cci=>-48.14847062019609},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :cci=>-72.7408611895969},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :cci=>-103.45330536502108},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :cci=>-119.01911861945885},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :cci=>-162.69069349674928},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :cci=>-62.42850721332871},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :cci=>-62.94237272962061},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :cci=>-82.72457326337747},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :cci=>-109.82143904961333},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :cci=>-130.89740843118958},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :cci=>-205.86763488625635},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :cci=>-204.3001270602558},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :cci=>-175.655233047097},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :cci=>-145.86611021295013},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :cci=>-108.36683776743406},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :cci=>-123.22931274779911},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :cci=>-114.79798652194032},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :cci=>-77.37092752385674},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :cci=>-93.5619842292165},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :cci=>-105.1287325078536},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :cci=>-118.83020945347108},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :cci=>-102.13101656480995},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :cci=>-87.66403875835518},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :cci=>-60.69535791887537},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :cci=>-32.43699792850786},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :cci=>-68.8774176049022},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :cci=>-67.42425893465922},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :cci=>-79.16162769465076},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :cci=>-117.06521007698558},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :cci=>-130.57777507098388},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :cci=>-145.81148745067057},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :cci=>-143.70909871161282},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :cci=>-166.092016017792},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :cci=>-129.79321417259732},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :cci=>-109.8703962546515},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :cci=>-144.29736082195598},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :cci=>-176.53554346437872},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :cci=>-170.11758119513328},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :cci=>-179.88996064655686},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :cci=>-121.3842764199079},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :cci=>-88.26723659204252},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :cci=>-107.40409620543349},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :cci=>-198.71238766942466},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :cci=>-281.5255251804358}
+        ]
+
+        expect(normalized_output).to eq(expected_output)
+      end
+
+      it "Throws exception if not enough data" do
+        expect {indicator.calculate(input_data, period: input_data.size+1)}.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Returns the symbol' do
+        indicator_symbol = indicator.indicator_symbol
+        expect(indicator_symbol).to eq('cci')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Commodity Channel Index')
+      end
+
+      it 'Returns the valid options' do
+        valid_options = indicator.valid_options
+        expect(valid_options).to eq(%i(period constant))
+      end
+
+      it 'Validates options' do
+        valid_options = { period: 22 }
+        options_validated = indicator.validate_options(valid_options)
+        expect(options_validated).to eq(true)
+      end
+
+      it 'Throws exception for invalid options' do
+        invalid_options = { test: 10 }
+        expect { indicator.validate_options(invalid_options) }.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Calculates minimum data size' do
+        options = { period: 4 }
+        expect(indicator.min_data_size(options)).to eq(4)
+      end
+    end
+  end
+end

data/spec/technical_analysis/indicators/cmf_spec.rb

@@ -0,0 +1,100 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "CMF" do
+    input_data = SpecHelper.get_test_data(:high, :low, :close, :volume)
+    indicator = TechnicalAnalysis::Cmf
+
+    describe 'Chaikin Money Flow' do
+      it 'Calculates CMF (20 day)' do
+        output = indicator.calculate(input_data, period: 20)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :cmf=>-0.14148236474171028},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :cmf=>-0.10900349402409147},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :cmf=>-0.16209459049078995},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :cmf=>-0.14338098793972473},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :cmf=>-0.23384083275693518},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :cmf=>-0.1171779554311941},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :cmf=>-0.1421967277504723},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :cmf=>-0.14870217725852253},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :cmf=>-0.09771633750350824},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :cmf=>-0.11185040161958644},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :cmf=>-0.13433878933016613},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :cmf=>-0.12311876857928804},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :cmf=>-0.08053545285645361},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :cmf=>-0.07883316711924936},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :cmf=>-0.08160027269601758},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :cmf=>-0.0635610565928198},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :cmf=>0.008829457014340984},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :cmf=>-0.005177700749048257},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :cmf=>-0.041279122544240626},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :cmf=>-0.05299093511730075},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :cmf=>-0.02994416009907359},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :cmf=>-0.09289096149170357},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :cmf=>-0.008556645577315109},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :cmf=>-0.044697234566322144},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :cmf=>0.006195178249247199},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :cmf=>-0.08707816577338795},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :cmf=>-0.02808273355873217},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :cmf=>-0.008559410227273146},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :cmf=>-0.039334642581608396},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :cmf=>-0.07707518115228632},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :cmf=>-0.12097582444999905},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :cmf=>-0.0864519745264971},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :cmf=>-0.09451983283878523},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :cmf=>-0.02107439975862456},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :cmf=>0.004132959703610273},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :cmf=>-0.016262278292090777},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :cmf=>-0.06224056395025631},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :cmf=>-0.00325588286845078},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :cmf=>0.06492697386482489},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :cmf=>0.08638139363431603},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :cmf=>0.11517576782439708},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :cmf=>0.0839939173853672},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :cmf=>-0.002328367522189358},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :cmf=>0.010519910116535688}
+        ]
+
+        expect(normalized_output).to eq(expected_output)
+      end
+
+      it "Throws exception if not enough data" do
+        expect {indicator.calculate(input_data, period: input_data.size+1)}.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Returns the symbol' do
+        indicator_symbol = indicator.indicator_symbol
+        expect(indicator_symbol).to eq('cmf')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Chaikin Money Flow')
+      end
+
+      it 'Returns the valid options' do
+        valid_options = indicator.valid_options
+        expect(valid_options).to eq(%i(period))
+      end
+
+      it 'Validates options' do
+        valid_options = { period: 22 }
+        options_validated = indicator.validate_options(valid_options)
+        expect(options_validated).to eq(true)
+      end
+
+      it 'Throws exception for invalid options' do
+        invalid_options = { test: 10 }
+        expect { indicator.validate_options(invalid_options) }.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Calculates minimum data size' do
+        options = { period: 4 }
+        expect(indicator.min_data_size(options)).to eq(4)
+      end
+    end
+  end
+end

data/spec/technical_analysis/indicators/cr_spec.rb

@@ -0,0 +1,119 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "CR" do
+    input_data = SpecHelper.get_test_data(:close)
+    indicator = TechnicalAnalysis::Cr
+
+    describe 'Cumulative Return' do
+      it 'Calculates CR' do
+        output = indicator.calculate(input_data, price_key: :close)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :cr=>-0.3242385507118614},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :cr=>-0.33552254595142594},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :cr=>-0.34795257195750867},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :cr=>-0.34649799444615864},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :cr=>-0.3732534050337198},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :cr=>-0.30391854365936444},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :cr=>-0.30471194957464626},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :cr=>-0.3113677436417332},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :cr=>-0.3117203684929695},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :cr=>-0.3072244016397056},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :cr=>-0.35280116366200903},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :cr=>-0.3356107021642351},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :cr=>-0.3087230572574602},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :cr=>-0.29082734605721344},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :cr=>-0.2679948869396571},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :cr=>-0.277383523603826},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :cr=>-0.2705954952175255},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :cr=>-0.2464847710142373},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :cr=>-0.2546392206990788},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :cr=>-0.2567108917000926},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :cr=>-0.2524353153788514},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :cr=>-0.25732798518975625},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :cr=>-0.22986732489972234},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :cr=>-0.2211839379380262},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :cr=>-0.185348437431128},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :cr=>-0.2128531758275664},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :cr=>-0.20857759950632518},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :cr=>-0.20245074271609295},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :cr=>-0.23198307400714063},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :cr=>-0.2303081059637678},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :cr=>-0.24057830475602773},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :cr=>-0.22078723498038524},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :cr=>-0.21990567285229431},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :cr=>-0.18076431436505483},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :cr=>-0.14695640675276592},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :cr=>-0.15630096531053028},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :cr=>-0.17662097236302726},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :cr=>-0.15268656058535732},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :cr=>-0.14413540794287485},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :cr=>-0.09873495834618948},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :cr=>-0.08101555957156079},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :cr=>-0.07458015603649674},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :cr=>-0.10182042579450784},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :cr=>-0.11142945299069952},
+          {:date_time=>"2018-11-02T00:00:00.000Z", :cr=>-0.0854674483184203},
+          {:date_time=>"2018-11-01T00:00:00.000Z", :cr=>-0.020496319478115244},
+          {:date_time=>"2018-10-31T00:00:00.000Z", :cr=>-0.035306563230043594},
+          {:date_time=>"2018-10-30T00:00:00.000Z", :cr=>-0.05981399039097277},
+          {:date_time=>"2018-10-29T00:00:00.000Z", :cr=>-0.06448626966985496},
+          {:date_time=>"2018-10-26T00:00:00.000Z", :cr=>-0.046590558469608113},
+          {:date_time=>"2018-10-25T00:00:00.000Z", :cr=>-0.031163221228016014},
+          {:date_time=>"2018-10-24T00:00:00.000Z", :cr=>-0.05192400934455856},
+          {:date_time=>"2018-10-23T00:00:00.000Z", :cr=>-0.018248336051483294},
+          {:date_time=>"2018-10-22T00:00:00.000Z", :cr=>-0.027416582183629384},
+          {:date_time=>"2018-10-19T00:00:00.000Z", :cr=>-0.03332304844183895},
+          {:date_time=>"2018-10-18T00:00:00.000Z", :cr=>-0.04782474544893549},
+          {:date_time=>"2018-10-17T00:00:00.000Z", :cr=>-0.025036364437783783},
+          {:date_time=>"2018-10-16T00:00:00.000Z", :cr=>-0.02080486622294706},
+          {:date_time=>"2018-10-15T00:00:00.000Z", :cr=>-0.041918279190725924},
+          {:date_time=>"2018-10-12T00:00:00.000Z", :cr=>-0.02098117864856522},
+          {:date_time=>"2018-10-11T00:00:00.000Z", :cr=>-0.054745008154449756},
+          {:date_time=>"2018-10-10T00:00:00.000Z", :cr=>-0.04632608983118081},
+          {:date_time=>"2018-10-09T00:00:00.000Z", :cr=>0.0}
+        ]
+
+        expect(normalized_output).to eq(expected_output)
+      end
+
+      it "Throws exception if not enough data" do
+        expect {indicator.calculate([], price_key: :close)}.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Returns the symbol' do
+        indicator_symbol = indicator.indicator_symbol
+        expect(indicator_symbol).to eq('cr')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Cumulative Return')
+      end
+
+      it 'Returns the valid options' do
+        valid_options = indicator.valid_options
+        expect(valid_options).to eq(%i(price_key))
+      end
+
+      it 'Validates options' do
+        valid_options = { price_key: :close }
+        options_validated = indicator.validate_options(valid_options)
+        expect(options_validated).to eq(true)
+      end
+
+      it 'Throws exception for invalid options' do
+        invalid_options = { test: 10 }
+        expect { indicator.validate_options(invalid_options) }.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Calculates minimum data size' do
+        options = {}
+        expect(indicator.min_data_size(options)).to eq(1)
+      end
+    end
+  end
+end

data/spec/technical_analysis/indicators/dc_spec.rb

@@ -0,0 +1,100 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "DC" do
+    input_data = SpecHelper.get_test_data(:close)
+    indicator = TechnicalAnalysis::Dc
+
+    describe 'Donchian Channel' do
+      it 'Calculates DC (20 day)' do
+        output = indicator.calculate(input_data, period: 20, price_key: :close)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :lower_bound=>142.19, :upper_bound=>170.95},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :lower_bound=>142.19, :upper_bound=>170.95},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :lower_bound=>142.19, :upper_bound=>170.95},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :lower_bound=>142.19, :upper_bound=>174.72},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :lower_bound=>142.19, :upper_bound=>176.69},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :lower_bound=>146.83, :upper_bound=>184.82},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :lower_bound=>146.83, :upper_bound=>184.82},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :lower_bound=>146.83, :upper_bound=>184.82},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :lower_bound=>146.83, :upper_bound=>184.82},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :lower_bound=>146.83, :upper_bound=>184.82},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :lower_bound=>146.83, :upper_bound=>184.82},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :lower_bound=>150.73, :upper_bound=>184.82},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :lower_bound=>156.83, :upper_bound=>184.82},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :lower_bound=>160.89, :upper_bound=>184.82},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :lower_bound=>163.94, :upper_bound=>185.86},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :lower_bound=>163.94, :upper_bound=>193.53},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :lower_bound=>165.48, :upper_bound=>193.53},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :lower_bound=>168.49, :upper_bound=>193.53},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :lower_bound=>168.49, :upper_bound=>193.53},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :lower_bound=>168.49, :upper_bound=>194.17},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :lower_bound=>168.49, :upper_bound=>204.47},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :lower_bound=>168.49, :upper_bound=>208.49},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :lower_bound=>172.29, :upper_bound=>209.95},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :lower_bound=>172.29, :upper_bound=>209.95},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :lower_bound=>172.29, :upper_bound=>209.95},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :lower_bound=>172.29, :upper_bound=>209.95},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :lower_bound=>172.29, :upper_bound=>222.22},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :lower_bound=>172.29, :upper_bound=>222.22},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :lower_bound=>172.29, :upper_bound=>222.22},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :lower_bound=>172.29, :upper_bound=>222.22},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :lower_bound=>172.29, :upper_bound=>222.22},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :lower_bound=>176.78, :upper_bound=>222.22},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :lower_bound=>176.98, :upper_bound=>222.22},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :lower_bound=>185.86, :upper_bound=>222.73},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :lower_bound=>186.8, :upper_bound=>222.73},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :lower_bound=>186.8, :upper_bound=>222.73},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :lower_bound=>186.8, :upper_bound=>222.73},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :lower_bound=>192.23, :upper_bound=>222.73},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :lower_bound=>194.17, :upper_bound=>222.73},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :lower_bound=>201.59, :upper_bound=>222.73},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :lower_bound=>201.59, :upper_bound=>222.73},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :lower_bound=>201.59, :upper_bound=>222.73},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :lower_bound=>201.59, :upper_bound=>222.73},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :lower_bound=>201.59, :upper_bound=>226.87}
+        ]
+
+        expect(normalized_output).to eq(expected_output)
+      end
+
+      it "Throws exception if not enough data" do
+        expect {indicator.calculate(input_data, period: input_data.size+1, price_key: :close)}.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Returns the symbol' do
+        indicator_symbol = indicator.indicator_symbol
+        expect(indicator_symbol).to eq('dc')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Donchian Channel')
+      end
+
+      it 'Returns the valid options' do
+        valid_options = indicator.valid_options
+        expect(valid_options).to eq(%i(period price_key))
+      end
+
+      it 'Validates options' do
+        valid_options = { period: 22, price_key: :close }
+        options_validated = indicator.validate_options(valid_options)
+        expect(options_validated).to eq(true)
+      end
+
+      it 'Throws exception for invalid options' do
+        invalid_options = { test: 10 }
+        expect { indicator.validate_options(invalid_options) }.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Calculates minimum data size' do
+        options = { period: 4 }
+        expect(indicator.min_data_size(options)).to eq(4)
+      end
+    end
+  end
+end

data/spec/technical_analysis/indicators/dlr_spec.rb

@@ -0,0 +1,119 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "DLR" do
+    input_data = SpecHelper.get_test_data(:close)
+    indicator = TechnicalAnalysis::Dlr
+
+    describe 'Daily Log Return' do
+      it 'Calculates Daily Log Return' do
+        output = indicator.calculate(input_data, price_key: :close)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :dlr=>0.01683917971506794},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :dlr=>0.01888364670315034},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :dlr=>-0.0022283003244291597},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :dlr=>0.04180329782029066},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :dlr=>-0.10492438427688831},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :dlr=>0.0011404677153263752},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :dlr=>0.009618827546033224},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :dlr=>0.0005121966947240164},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :dlr=>-0.006510938359150324},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :dlr=>0.06805256711339175},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :dlr=>-0.026214701847591528},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :dlr=>-0.039672259323895565},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :dlr=>-0.02555848551661011},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :dlr=>-0.03168848455571821},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :dlr=>0.012908878993777004},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :dlr=>-0.0093498343683261},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :dlr=>-0.032520774492099586},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :dlr=>0.010880860180775654},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :dlr=>0.002783290222441408},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :dlr=>-0.00573575767570937},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :dlr=>0.00656632250750863},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :dlr=>-0.03630829170624626},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :dlr=>-0.011212092072018474},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :dlr=>-0.044985593831335616},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :dlr=>0.034345698370823956},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :dlr=>-0.005417040583021469},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :dlr=>-0.007711763925503673},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :dlr=>0.037731825412945244},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :dlr=>-0.002178525198011193},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :dlr=>0.013433080838346925},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :dlr=>-0.02572691808848715},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :dlr=>-0.0011307102064021337},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :dlr=>-0.04895697028998929},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :dlr=>-0.04043883708306672},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :dlr=>0.011014814954241668},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :dlr=>0.024379198463276127},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :dlr=>-0.028654045970026604},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :dlr=>-0.010041492241593453},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :dlr=>-0.051687201448600596},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :dlr=>-0.01946981300300202},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :dlr=>-0.006978328672237313},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :dlr=>0.029877500317357083},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :dlr=>0.010755975020512992},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :dlr=>-0.028799017690867113},
+          {:date_time=>"2018-11-02T00:00:00.000Z", :dlr=>-0.0686329326726632},
+          {:date_time=>"2018-11-01T00:00:00.000Z", :dlr=>0.015235626165565584},
+          {:date_time=>"2018-10-31T00:00:00.000Z", :dlr=>0.025732630512992103},
+          {:date_time=>"2018-10-30T00:00:00.000Z", :dlr=>0.004981915647820579},
+          {:date_time=>"2018-10-29T00:00:00.000Z", :dlr=>-0.018948623129528868},
+          {:date_time=>"2018-10-26T00:00:00.000Z", :dlr=>-0.0160517090105079},
+          {:date_time=>"2018-10-25T00:00:00.000Z", :dlr=>0.021661496781179467},
+          {:date_time=>"2018-10-24T00:00:00.000Z", :dlr=>-0.03490373037505153},
+          {:date_time=>"2018-10-23T00:00:00.000Z", :dlr=>0.009382539847836957},
+          {:date_time=>"2018-10-22T00:00:00.000Z", :dlr=>0.006091481696142526},
+          {:date_time=>"2018-10-19T00:00:00.000Z", :dlr=>0.01511525802908552},
+          {:date_time=>"2018-10-18T00:00:00.000Z", :dlr=>-0.023651064679340767},
+          {:date_time=>"2018-10-17T00:00:00.000Z", :dlr=>-0.0043307687122485835},
+          {:date_time=>"2018-10-16T00:00:00.000Z", :dlr=>0.02179786426382509},
+          {:date_time=>"2018-10-15T00:00:00.000Z", :dlr=>-0.021617789532325248},
+          {:date_time=>"2018-10-12T00:00:00.000Z", :dlr=>0.03509614368752819},
+          {:date_time=>"2018-10-11T00:00:00.000Z", :dlr=>-0.008867076040336814},
+          {:date_time=>"2018-10-10T00:00:00.000Z", :dlr=>-0.047433479205543055},
+          {:date_time=>"2018-10-09T00:00:00.000Z", :dlr=>0.0}
+        ]
+
+        expect(normalized_output).to eq(expected_output)
+      end
+
+      it "Throws exception if not enough data" do
+        expect {indicator.calculate([], price_key: :close)}.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Returns the symbol' do
+        indicator_symbol = indicator.indicator_symbol
+        expect(indicator_symbol).to eq('dlr')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Daily Log Return')
+      end
+
+      it 'Returns the valid options' do
+        valid_options = indicator.valid_options
+        expect(valid_options).to eq(%i(price_key))
+      end
+
+      it 'Validates options' do
+        valid_options = { price_key: :close }
+        options_validated = indicator.validate_options(valid_options)
+        expect(options_validated).to eq(true)
+      end
+
+      it 'Throws exception for invalid options' do
+        invalid_options = { test: 10 }
+        expect { indicator.validate_options(invalid_options) }.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Calculates minimum data size' do
+        options = {}
+        expect(indicator.min_data_size(options)).to eq(1)
+      end
+    end
+  end
+end