technical-analysis 0.1.0

data/lib/technical_analysis/indicators/ao.rb

@@ -0,0 +1,105 @@
+module TechnicalAnalysis
+  # Awesome Oscillator
+  class Ao < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "ao"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Awesome Oscillator"
+    end
+
+    # Returns an array of valid keys for options for this technical indicator
+    #
+    # @return [Array] An array of keys as symbols for valid options for this technical indicator
+    def self.valid_options
+      %i(short_period long_period)
+    end
+
+    # Validates the provided options for this technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator to be validated
+    #
+    # @return [Boolean] Returns true if options are valid or raises a ValidationError if they're not
+    def self.validate_options(options)
+      Validation.validate_options(options, valid_options)
+    end
+
+    # Calculates the minimum number of observations needed to calculate the technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator
+    #
+    # @return [Integer] Returns the minimum number of observations needed to calculate the technical
+    #    indicator based on the options provided
+    def self.min_data_size(long_period: 34, **params)
+      long_period.to_i
+    end
+
+    # Calculates the awesome oscillator for the data over the given period
+    # https://www.tradingview.com/wiki/Awesome_Oscillator_(AO)
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :high, :low)
+    # @param short_period [Integer] The given period to calculate the short period SMA
+    # @param long_period [Integer] The given period to calculate the long period SMA
+    #
+    # @return [Array<AoValue>] An array of AoValue instances
+    def self.calculate(data, short_period: 5, long_period: 34)
+      short_period = short_period.to_i
+      long_period = long_period.to_i
+      Validation.validate_numeric_data(data, :high, :low)
+      Validation.validate_length(data, min_data_size(long_period: long_period))
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      midpoint_values = []
+      output = []
+
+      data.each do |v|
+        midpoint = (v[:high] + v[:low]) / 2
+        midpoint_values << midpoint
+
+        if midpoint_values.size == long_period
+          short_period_sma = ArrayHelper.average(midpoint_values.last(short_period))
+          long_period_sma = ArrayHelper.average(midpoint_values)
+          value = short_period_sma - long_period_sma
+
+          output << AoValue.new(date_time: v[:date_time], ao: value)
+
+          midpoint_values.shift
+        end
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class AoValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the ao calculation value
+    attr_accessor :ao
+
+    def initialize(date_time: nil, ao: nil)
+      @date_time = date_time
+      @ao = ao
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, ao: @ao }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/atr.rb

@@ -0,0 +1,109 @@
+module TechnicalAnalysis
+  # Average True Range
+  class Atr < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "atr"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Average True Range"
+    end
+
+    # Returns an array of valid keys for options for this technical indicator
+    #
+    # @return [Array] An array of keys as symbols for valid options for this technical indicator
+    def self.valid_options
+      %i(period)
+    end
+
+    # Validates the provided options for this technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator to be validated
+    #
+    # @return [Boolean] Returns true if options are valid or raises a ValidationError if they're not
+    def self.validate_options(options)
+      Validation.validate_options(options, valid_options)
+    end
+
+    # Calculates the minimum number of observations needed to calculate the technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator
+    #
+    # @return [Integer] Returns the minimum number of observations needed to calculate the technical
+    #    indicator based on the options provided
+    def self.min_data_size(period: 14)
+      period.to_i + 1
+    end
+
+    # Calculates the average true range (ATR) for the data over the given period
+    # https://en.wikipedia.org/wiki/Average_true_range
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :high, :low, :close)
+    # @param period [Integer] The given period to calculate the ATR
+    #
+    # @return [Array<AtrValue>] An array of AtrValue instances
+    def self.calculate(data, period: 14)
+      period = period.to_i
+      Validation.validate_numeric_data(data, :high, :low, :close)
+      Validation.validate_length(data, min_data_size(period: period))
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      output = []
+      period_values = []
+      prev_price = data.shift
+
+      data.each do |v|
+        tr = StockCalculation.true_range(v[:high], v[:low], prev_price[:close])
+
+        period_values << tr
+
+        if period_values.size == period
+          if output.empty?
+            atr = ArrayHelper.average(period_values)
+          else
+            atr = (output.last.atr * (period - 1.0) + tr) / period.to_f
+          end
+
+          output << AtrValue.new(date_time: v[:date_time], atr: atr)
+
+          period_values.shift
+        end
+
+        prev_price = v
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class AtrValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the atr calculation value
+    attr_accessor :atr
+
+    def initialize(date_time: nil, atr: nil)
+      @date_time = date_time
+      @atr = atr
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, atr: @atr }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/bb.rb

@@ -0,0 +1,126 @@
+module TechnicalAnalysis
+  # Bollinger Bands
+  class Bb < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "bb"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Bollinger Bands"
+    end
+
+    # Returns an array of valid keys for options for this technical indicator
+    #
+    # @return [Array] An array of keys as symbols for valid options for this technical indicator
+    def self.valid_options
+      %i(period standard_deviations price_key)
+    end
+
+    # Validates the provided options for this technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator to be validated
+    #
+    # @return [Boolean] Returns true if options are valid or raises a ValidationError if they're not
+    def self.validate_options(options)
+      Validation.validate_options(options, valid_options)
+    end
+
+    # Calculates the minimum number of observations needed to calculate the technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator
+    #
+    # @return [Integer] Returns the minimum number of observations needed to calculate the technical
+    #    indicator based on the options provided
+    def self.min_data_size(period: 20, **params)
+      period.to_i
+    end
+
+    # Calculates the bollinger bands (BB) for the data over the given period
+    # https://en.wikipedia.org/wiki/Bollinger_Bands
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :value)
+    # @param period [Integer] The given period to calculate the BB
+    # @param standard_deviations [Float] The given standard deviations to calculate the upper and
+    #   lower bands of the BB
+    # @param price_key [Symbol] The hash key for the price data. Default :value
+    #
+    # @return [Array<BbValue>] An array of BbValue instances
+    def self.calculate(data, period: 20, standard_deviations: 2, price_key: :value)
+      period = period.to_i
+      standard_deviations = standard_deviations.to_f
+      price_key = price_key.to_sym
+      Validation.validate_numeric_data(data, price_key)
+      Validation.validate_length(data, min_data_size(period: period))
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      output = []
+      period_values = []
+
+      data.each do |v|
+        period_values << v[price_key]
+
+        if period_values.size == period
+          mb = ArrayHelper.average(period_values)
+          sd = ArrayHelper.standard_deviation(period_values)
+          ub = mb + standard_deviations * sd
+          lb = mb - standard_deviations * sd
+
+          output << BbValue.new(
+            date_time: v[:date_time],
+            lower_band: lb,
+            middle_band: mb,
+            upper_band: ub
+          )
+
+          period_values.shift
+        end
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class BbValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the lower_band calculation value
+    attr_accessor :lower_band
+
+    # @return [Float] the middle_band calculation value
+    attr_accessor :middle_band
+
+    # @return [Float] the upper_band calculation value
+    attr_accessor :upper_band
+
+    def initialize(date_time: nil, lower_band: nil, middle_band: nil, upper_band: nil)
+      @date_time = date_time
+      @lower_band = lower_band
+      @middle_band = middle_band
+      @upper_band = upper_band
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      {
+        date_time: @date_time,
+        lower_band: @lower_band,
+        middle_band: @middle_band,
+        upper_band: @upper_band
+      }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/cci.rb

@@ -0,0 +1,105 @@
+module TechnicalAnalysis
+  class Cci < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "cci"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Commodity Channel Index"
+    end
+
+    # Returns an array of valid keys for options for this technical indicator
+    #
+    # @return [Array] An array of keys as symbols for valid options for this technical indicator
+    def self.valid_options
+      %i(period constant)
+    end
+
+    # Validates the provided options for this technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator to be validated
+    #
+    # @return [Boolean] Returns true if options are valid or raises a ValidationError if they're not
+    def self.validate_options(options)
+      Validation.validate_options(options, valid_options)
+    end
+
+    # Calculates the minimum number of observations needed to calculate the technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator
+    #
+    # @return [Integer] Returns the minimum number of observations needed to calculate the technical
+    #   indicator based on the options provided
+    def self.min_data_size(period: 20, **params)
+      period.to_i
+    end
+
+    # Calculates the commodity channel index (CCI) for the data over the given period
+    # https://en.wikipedia.org/wiki/Commodity_channel_index
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :high, :low, :close)
+    # @param period [Integer] The given period to calculate the CCI
+    # @param constant [Float] The given constant to ensure that approximately 70 to 80 percent of
+    #   CCI values would fall between −100 and +100
+    #
+    # @return [Array<CciValue>] An array of CciValue instances
+    def self.calculate(data, period: 20, constant: 0.015)
+      period = period.to_i
+      constant = constant.to_f
+      Validation.validate_numeric_data(data, :high, :low, :close)
+      Validation.validate_length(data, min_data_size(period: period))
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      output = []
+      typical_prices = []
+
+      data.each do |v|
+        typical_price = StockCalculation.typical_price(v)
+        typical_prices << typical_price
+
+        if typical_prices.size == period
+          period_sma = ArrayHelper.average(typical_prices)
+          mean_deviation = ArrayHelper.mean(typical_prices.map { |tp| (tp - period_sma).abs })
+          cci = (typical_price - period_sma) / (constant * mean_deviation)
+
+          output << CciValue.new(date_time: v[:date_time], cci: cci)
+
+          typical_prices.shift
+        end
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class CciValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the cci calculation value
+    attr_accessor :cci
+
+    def initialize(date_time: nil, cci: nil)
+      @date_time = date_time
+      @cci = cci
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, cci: @cci }
+    end
+
+  end
+end