technical-analysis 0.1.0

data/lib/technical_analysis/indicators/mfi.rb

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+module TechnicalAnalysis
+  # Monoey Flow Index
+  class Mfi < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "mfi"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Money Flow 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)
+    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 money flow index (MFI) for the data over the given period
+    # https://en.wikipedia.org/wiki/Money_flow_index
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :high, :low, :close, :volume)
+    # @param period [Integer] The given period to calculate the MFI
+    #
+    # @return [Array<MfiValue>] An array of MfiValue instances
+    def self.calculate(data, period: 14)
+      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 = []
+      prev_typical_price = StockCalculation.typical_price(data.first)
+      raw_money_flows = []
+
+      data.shift
+
+      data.each do |v|
+        typical_price = StockCalculation.typical_price(v)
+
+        if typical_price < prev_typical_price
+          money_flow = (-1.0 * typical_price * v[:volume])
+        elsif typical_price > prev_typical_price
+          money_flow = (typical_price * v[:volume])
+        else
+          money_flow = 0.0
+        end
+
+        raw_money_flows << money_flow
+
+        if raw_money_flows.size == period
+          positive_period_flows = ArrayHelper.sum(raw_money_flows.map { |rmf| rmf.positive? ? rmf : 0 })
+          negative_period_flows = ArrayHelper.sum(raw_money_flows.map { |rmf| rmf.negative? ? rmf.abs : 0 })
+
+          money_flow_ratio = (positive_period_flows / negative_period_flows)
+          mfi = (100.00 - (100.00 / (1.0 + money_flow_ratio)))
+
+          output << MfiValue.new(date_time: v[:date_time], mfi: mfi)
+
+          raw_money_flows.shift
+        end
+
+        prev_typical_price = typical_price
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class MfiValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the mfi calculation value
+    attr_accessor :mfi
+
+    def initialize(date_time: nil, mfi: nil)
+      @date_time = date_time
+      @mfi = mfi
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, mfi: @mfi }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/mi.rb

@@ -0,0 +1,121 @@
+module TechnicalAnalysis
+  # Mass Index
+  class Mi < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "mi"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Mass 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(ema_period sum_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(ema_period: 9, sum_period: 25)
+      (ema_period.to_i * 2) + sum_period.to_i - 2
+    end
+
+    # Calculates the mass index (MI) for the data over the given period
+    # https://en.wikipedia.org/wiki/Mass_index
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :high, :low)
+    # @param ema_period [Integer] The given period to calculate the EMA and EMA of EMA
+    # @param sum_period [Integer] The given period to calculate the sum of EMA ratios
+    #
+    # @return [Array<MiValue>] An array of MiValue instances
+    def self.calculate(data, ema_period: 9, sum_period: 25)
+      ema_period = ema_period.to_i
+      sum_period = sum_period.to_i
+      Validation.validate_numeric_data(data, :high, :low)
+      Validation.validate_length(data, min_data_size(ema_period: ema_period, sum_period: sum_period))
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      double_emas = []
+      high_low_diffs = []
+      output = []
+      ratio_of_emas = []
+      single_emas = []
+
+      data.each do |v|
+        high_low_diff = v[:high] - v[:low]
+        high_low_diffs << high_low_diff
+
+        if high_low_diffs.size == ema_period
+          single_ema = StockCalculation.ema(high_low_diff, high_low_diffs, ema_period, single_emas.last)
+          single_emas << single_ema
+
+          if single_emas.size == ema_period
+            double_ema = StockCalculation.ema(single_emas.last, single_emas, ema_period, double_emas.last)
+            double_emas << double_ema
+
+            ratio_of_emas << (single_ema / double_ema)
+
+            if ratio_of_emas.size == sum_period
+              output << MiValue.new(date_time: v[:date_time], mi: ArrayHelper.sum(ratio_of_emas))
+
+              double_emas.shift
+              ratio_of_emas.shift
+            end
+
+            single_emas.shift
+          end
+
+          high_low_diffs.shift
+        end
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class MiValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the mi calculation value
+    attr_accessor :mi
+
+    def initialize(date_time: nil, mi: nil)
+      @date_time = date_time
+      @mi = mi
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, mi: @mi }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/nvi.rb

@@ -0,0 +1,102 @@
+module TechnicalAnalysis
+  # Negative Volume Index
+  class Nvi < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "nvi"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Negative Volume 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
+      []
+    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)
+      return true if options == {}
+      raise Validation::ValidationError.new "This indicator doesn't accept any 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 negative volume index (NVI) for the data
+    # https://en.wikipedia.org/wiki/Negative_volume_index
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :close, :volume)
+    #
+    # @return [Array<NviValue>] An array of NviValue instances
+    def self.calculate(data)
+      Validation.validate_numeric_data(data, :close, :volume)
+      Validation.validate_length(data, min_data_size({}))
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      nvi_cumulative = 1_000.00
+      output = []
+      prev_price = data.shift
+
+      output << NviValue.new(date_time: prev_price[:date_time], nvi: nvi_cumulative) # Start with default of 1_000
+
+      data.each do |v|
+        volume_change = ((v[:volume] - prev_price[:volume]) / prev_price[:volume])
+
+        if volume_change < 0
+          price_change = ((v[:close] - prev_price[:close]) / prev_price[:close]) * 100.00
+          nvi_cumulative += price_change
+        end
+
+        output << NviValue.new(date_time: v[:date_time], nvi: nvi_cumulative)
+        prev_price = v
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class NviValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the nvi calculation value
+    attr_accessor :nvi
+
+    def initialize(date_time: nil, nvi: nil)
+      @date_time = date_time
+      @nvi = nvi
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, nvi: @nvi }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/obv.rb

@@ -0,0 +1,104 @@
+module TechnicalAnalysis
+  # On-balance Volume
+  class Obv < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "obv"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "On-balance Volume"
+    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
+      []
+    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)
+      return true if options == {}
+      raise Validation::ValidationError.new "This indicator doesn't accept any 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 on-balance volume (OBV) for the data over the given period
+    # https://en.wikipedia.org/wiki/On-balance_volume
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :close, :volume)
+    #
+    # @return [Array<ObvValue>] An array of ObvValue instances
+    def self.calculate(data)
+      Validation.validate_numeric_data(data, :close, :volume)
+      Validation.validate_length(data, min_data_size({}))
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      current_obv = 0
+      output = []
+      prior_close = nil
+      prior_volume = nil
+
+      data.each do |v|
+        volume = v[:volume]
+        close = v[:close]
+
+        unless prior_close.nil?
+          current_obv += volume if close > prior_close
+          current_obv -= volume if close < prior_close
+        end
+
+        output << ObvValue.new(date_time: v[:date_time], obv: current_obv)
+
+        prior_volume = volume
+        prior_close = close
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class ObvValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the obv calculation value
+    attr_accessor :obv
+
+    def initialize(date_time: nil, obv: nil)
+      @date_time = date_time
+      @obv = obv
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, obv: @obv }
+    end
+
+  end
+end