technical-analysis 0.1.0

data/lib/technical_analysis/indicators/cmf.rb

@@ -0,0 +1,105 @@
+module TechnicalAnalysis
+  # Chaikin Money Flow
+  class Cmf < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "cmf"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Chaikin Money Flow"
+    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: 20)
+      period.to_i
+    end
+
+    # Calculates the chaikin money flow (CMF) for the data over the given period
+    # https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:chaikin_money_flow_cmf
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :high, :low, :close, :volume)
+    # @param period [Integer] The given period to calculate the CMF
+    #
+    # @return [Array<CmfValue>] An array of CmfValue instances
+    def self.calculate(data, period: 20)
+      period = period.to_i
+      Validation.validate_numeric_data(data, :high, :low, :close, :volume)
+      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|
+        multiplier = ((v[:close] - v[:low]) - (v[:high] - v[:close])) / (v[:high] - v[:low])
+        mf_volume = multiplier * v[:volume]
+
+        period_values << { volume: v[:volume], mf_volume: mf_volume }
+
+        if period_values.size == period
+          volume_sum = ArrayHelper.sum(period_values.map { |pv| pv[:volume] })
+          mf_volume_sum = ArrayHelper.sum(period_values.map { |pv| pv[:mf_volume] })
+          cmf = mf_volume_sum / volume_sum
+
+          output << CmfValue.new(date_time: v[:date_time], cmf: cmf)
+
+          period_values.shift
+        end
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class CmfValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the cmf calculation value
+    attr_accessor :cmf
+
+    def initialize(date_time: nil, cmf: nil)
+      @date_time = date_time
+      @cmf = cmf
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, cmf: @cmf }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/cr.rb

@@ -0,0 +1,95 @@
+module TechnicalAnalysis
+  # Cumulative Return
+  class Cr < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "cr"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Cumulative Return"
+    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(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(**params)
+      1
+    end
+
+    # Calculates the cumulative return (CR) for the data over the given period
+    # https://www.investopedia.com/terms/c/cumulativereturn.asp
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :value)
+    # @param price_key [Symbol] The hash key for the price data. Default :value
+    #
+    # @return [Array<CrValue>] An array of CrValue instances
+    def self.calculate(data, price_key: :value)
+      price_key = price_key.to_sym
+      Validation.validate_numeric_data(data, price_key)
+      Validation.validate_length(data, min_data_size({}))
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      output = []
+      start_price = data.first[price_key] 
+
+      data.each do |v|
+        output << CrValue.new(
+          date_time: v[:date_time],
+          cr: ((v[price_key] - start_price) / start_price)
+        )
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class CrValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the cr calculation value
+    attr_accessor :cr
+
+    def initialize(date_time: nil, cr: nil)
+      @date_time = date_time
+      @cr = cr
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, cr: @cr }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/dc.rb

@@ -0,0 +1,108 @@
+module TechnicalAnalysis
+  # Donchian Channel
+  class Dc < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "dc"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Donchian Channel"
+    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 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 donchian channel (DC) for the data over the given period
+    # https://en.wikipedia.org/wiki/Donchian_channel
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :value)
+    # @param period [Integer] The given period to calculate the DC
+    # @param price_key [Symbol] The hash key for the price data. Default :value
+    #
+    # @return [Array<DcValue>] An array of DcValue instances
+    def self.calculate(data, period: 20, price_key: :value)
+      period = period.to_i
+      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
+          output << DcValue.new(
+            date_time: v[:date_time],
+            upper_bound: period_values.max,
+            lower_bound: period_values.min
+          )
+
+          period_values.shift
+        end
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class DcValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the upper_bound calculation value
+    attr_accessor :upper_bound
+
+    # @return [Float] the lower_bound calculation value
+    attr_accessor :lower_bound
+
+    def initialize(date_time: nil, upper_bound: nil, lower_bound: ninl)
+      @date_time = date_time
+      @upper_bound = upper_bound
+      @lower_bound = lower_bound
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, upper_bound: @upper_bound, lower_bound: @lower_bound }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/dlr.rb

@@ -0,0 +1,97 @@
+module TechnicalAnalysis
+  # Daily Log Return
+  class Dlr < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "dlr"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Daily Log Return"
+    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(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(**params)
+      1
+    end
+
+    # Calculates the daily log return (percent expressed as a decimal) for the data over the given period
+    # https://www.quora.com/What-are-daily-log-returns-of-an-equity
+    # https://en.wikipedia.org/wiki/Rate_of_return#Logarithmic_or_continuously_compounded_return
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :value)
+    # @param price_key [Symbol] The hash key for the price data. Default :value
+    #
+    # @return [Array<DlrValue>] An array of DlrValue instances
+    def self.calculate(data, price_key: :value)
+      price_key = price_key.to_sym
+      Validation.validate_numeric_data(data, price_key)
+      Validation.validate_length(data, min_data_size({}))
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      output = []
+      prev_price = data.first[price_key].to_f
+
+      data.each do |v|
+        current_price = v[:close].to_f
+
+        output << DlrValue.new(date_time: v[:date_time], dlr: Math.log(current_price / prev_price))
+
+        prev_price = current_price
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class DlrValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the dlr calculation value
+    attr_accessor :dlr
+
+    def initialize(date_time: nil, dlr: nil)
+      @date_time = date_time
+      @dlr = dlr
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, dlr: @dlr }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/dpo.rb

@@ -0,0 +1,106 @@
+module TechnicalAnalysis
+  # Detrended Price Oscillator
+  class Dpo < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "dpo"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Detrended Price 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(period 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 + (period.to_i / 2)
+    end
+
+    # Calculates the detrended price oscillator for the data over the given period
+    # https://en.wikipedia.org/wiki/Detrended_price_oscillator
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :value)
+    # @param period [Integer] The given period to calculate the SMA
+    # @param price_key [Symbol] The hash key for the price data. Default :value
+    #
+    # @return [Array<DpoValue>]
+    def self.calculate(data, period: 20, price_key: :value)
+      period = period.to_i
+      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] }
+
+      index = period + (period / 2) - 1
+      midpoint_index = (period / 2) + 1
+      output = []
+
+      while index < data.size
+        current_record = data[index]
+        date_time = current_record[:date_time]
+        current_price = current_record[price_key]
+
+        sma_range = (index - midpoint_index - period + 2)..(index - midpoint_index + 1)
+        midpoint_period_sma = ArrayHelper.average(data[sma_range].map { |v| v[price_key] })
+
+        dpo = (current_price - midpoint_period_sma)
+
+        output << DpoValue.new(date_time: date_time, dpo: dpo)
+
+        index += 1
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class DpoValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the dpo calculation value
+    attr_accessor :dpo
+
+    def initialize(date_time: nil, dpo: nil)
+      @date_time = date_time
+      @dpo = dpo
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, dpo: @dpo }
+    end
+
+  end
+end