technical-analysis 0.1.0

data/lib/technical_analysis/indicators/vpt.rb

@@ -0,0 +1,95 @@
+module TechnicalAnalysis
+  # Volume-price Trend
+  class Vpt < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "vpt"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Volume-price Trend"
+    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)
+      2
+    end
+
+    # Calculates the volume-price trend (VPT) for the data
+    # https://en.wikipedia.org/wiki/Volume%E2%80%93price_trend
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :close, :volume)
+    #
+    # @return [Array<VptValue>] An array of VptValue 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] }
+
+      output = []
+      prev_price = data.shift
+      prev_pvt = 0
+
+      data.each do |v|
+        pvt = prev_pvt + (((v[:close] - prev_price[:close]) / prev_price[:close]) * v[:volume])
+        output << VptValue.new(date_time: v[:date_time], vpt: pvt)
+        prev_price = v
+        prev_pvt = pvt
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class VptValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the vpt calculation value
+    attr_accessor :vpt
+
+    def initialize(date_time: nil, vpt: nil)
+      @date_time = date_time
+      @vpt = vpt
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, vpt: @vpt }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/wr.rb

@@ -0,0 +1,103 @@
+module TechnicalAnalysis
+  # Williams %R
+  class Wr < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "wr"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Williams %R"
+    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
+    end
+
+    # Calculates the Williams %R (WR) for the data over the given period
+    # https://en.wikipedia.org/wiki/Williams_%25R
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :high, :low, :close)
+    # @param period [Integer] The given look-back period to calculate the WR
+    #
+    # @return [Array<WrValue>] An array of WrValue 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 = []
+
+      data.each do |v|
+        period_values << { high: v[:high], low: v[:low] }
+
+        if period_values.size == period
+          lowest_low = period_values.map { |pv| pv[:low] }.min
+          highest_high = period_values.map { |pv| pv[:high] }.max
+
+          wr = (highest_high - v[:close]) / (highest_high - lowest_low) * -100
+
+          output << WrValue.new(date_time: v[:date_time], wr: wr)
+
+          period_values.shift
+        end
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class WrValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the wr calculation value
+    attr_accessor :wr
+
+    def initialize(date_time: nil, wr: nil)
+      @date_time = date_time
+      @wr = wr
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, wr: @wr }
+    end
+
+  end
+end

data/spec/helpers/array_helper_spec.rb

@@ -0,0 +1,31 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'ArrayHelper' do
+  array_of_numbers = [1, 3, 5, 7, 9].freeze
+
+  it 'Calculates sum' do
+    sum = TechnicalAnalysis::ArrayHelper.sum(array_of_numbers)
+    expect(sum).to eq(25)
+  end
+
+  it 'Calculates mean' do
+    mean = TechnicalAnalysis::ArrayHelper.mean(array_of_numbers)
+    expect(mean).to eq(5)
+  end
+
+  it 'Calculates average' do
+    average = TechnicalAnalysis::ArrayHelper.average(array_of_numbers)
+    expect(average).to eq(5)
+  end
+
+  it 'Calculates sample_variance' do
+    sample_variance = TechnicalAnalysis::ArrayHelper.sample_variance(array_of_numbers)
+    expect(sample_variance).to eq(10.0)
+  end
+
+  it 'Calculates standard_deviation' do
+    standard_deviation = TechnicalAnalysis::ArrayHelper.standard_deviation(array_of_numbers)
+    expect(standard_deviation).to eq(3.1622776601683795)
+  end
+end

data/spec/helpers/validaton_spec.rb

@@ -0,0 +1,22 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Validation' do
+  describe "date_time validation" do
+    input_data = SpecHelper.get_test_data(:close)
+
+    it 'Throws exception for invalid timestamp key' do
+      bad_date_time_key_data = input_data.each { |row| row[:bad_timestamp_key] = row.delete :date_time }
+      expect { TechnicalAnalysis::Validation.validate_date_time_key(bad_date_time_key_data) }.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+    end
+  end
+
+  describe "numeric validation" do
+    input_data = SpecHelper.get_test_data(:close)
+
+    it 'Throws exception for non numeric price data' do
+      non_numeric_data = input_data.each { |row| row[:close] = row.delete(:close).to_s }
+      expect { TechnicalAnalysis::Validation.validate_numeric_data(non_numeric_data, :close) }.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+    end
+  end
+end

data/spec/spec_helper.rb

@@ -0,0 +1,26 @@
+require 'csv'
+
+class SpecHelper
+
+  TEST_DATA_PATH = File.join(File.dirname(__FILE__),'ta_test_data.csv')
+  FLOAT_KEYS = [:open, :high, :low, :close].freeze
+  INTEGER_KEYS = [:volume].freeze
+
+  def self.get_test_data(*columns)
+    @data = CSV.read(TEST_DATA_PATH, headers: true)
+    columns = columns.map(&:to_sym)
+    output = []
+    @data.each do |v|
+      col_hash = { date_time: v["date_time"] }
+      columns.each do |col|
+        value = v[col.to_s]
+        value = value.to_f if FLOAT_KEYS.include?(col)
+        value = value.to_i if INTEGER_KEYS.include?(col)
+        col_hash[col] = value
+      end
+      output << col_hash
+    end
+    output
+  end
+
+end

data/spec/ta_test_data.csv

@@ -0,0 +1,64 @@
+date_time,close,volume,open,high,low
+"2019-01-09T00:00:00.000Z",153.3100,45034370.0000,151.2900,154.5300,149.6300
+"2019-01-08T00:00:00.000Z",150.7500,40622910.0000,149.5600,151.8200,148.5200
+"2019-01-07T00:00:00.000Z",147.9300,54571440.0000,148.7000,148.8300,145.9000
+"2019-01-04T00:00:00.000Z",148.2600,57423650.0000,144.5300,148.5499,143.8000
+"2019-01-03T00:00:00.000Z",142.1900,91106840.0000,143.9800,145.7200,142.0000
+"2019-01-02T00:00:00.000Z",157.9200,35637070.0000,154.8900,158.8500,154.2300
+"2018-12-31T00:00:00.000Z",157.7400,34499390.0000,158.5300,159.3600,156.4800
+"2018-12-28T00:00:00.000Z",156.2300,41740600.0000,157.5000,158.5200,154.5500
+"2018-12-27T00:00:00.000Z",156.1500,51608850.0000,155.8400,156.7700,150.0700
+"2018-12-26T00:00:00.000Z",157.1700,58133850.0000,148.3000,157.2300,146.7200
+"2018-12-24T00:00:00.000Z",146.8300,37169230.0000,148.1500,151.5500,146.5900
+"2018-12-21T00:00:00.000Z",150.7300,95497900.0000,156.8600,158.1600,149.6300
+"2018-12-20T00:00:00.000Z",156.8300,64398230.0000,160.4000,162.1100,155.3000
+"2018-12-19T00:00:00.000Z",160.8900,47597670.0000,166.0000,167.4500,159.0900
+"2018-12-18T00:00:00.000Z",166.0700,33753490.0000,165.3800,167.5300,164.3900
+"2018-12-17T00:00:00.000Z",163.9400,43250420.0000,165.4500,168.3500,162.7300
+"2018-12-14T00:00:00.000Z",165.4800,40620360.0000,169.0000,169.0800,165.2800
+"2018-12-13T00:00:00.000Z",170.9500,31754210.0000,170.4900,172.5700,169.5500
+"2018-12-12T00:00:00.000Z",169.1000,35474680.0000,170.4000,171.9200,169.0200
+"2018-12-11T00:00:00.000Z",168.6300,45968040.0000,171.6600,171.7900,167.0000
+"2018-12-10T00:00:00.000Z",169.6000,61759000.0000,165.0000,170.0900,163.3300
+"2018-12-07T00:00:00.000Z",168.4900,41678680.0000,173.4900,174.4900,168.3000
+"2018-12-06T00:00:00.000Z",174.7200,42704910.0000,171.7600,174.7800,170.4200
+"2018-12-04T00:00:00.000Z",176.6900,41141250.0000,180.9500,182.3899,176.2700
+"2018-12-03T00:00:00.000Z",184.8200,40537700.0000,184.4600,184.9400,181.2100
+"2018-11-30T00:00:00.000Z",178.5800,39424260.0000,180.2900,180.3300,177.0300
+"2018-11-29T00:00:00.000Z",179.5500,41523580.0000,182.6600,182.8000,177.7000
+"2018-11-28T00:00:00.000Z",180.9400,45941750.0000,176.7300,181.2900,174.9300
+"2018-11-27T00:00:00.000Z",174.2400,41156140.0000,171.5100,174.7700,170.8800
+"2018-11-26T00:00:00.000Z",174.6200,44662320.0000,174.2400,174.9500,170.2600
+"2018-11-23T00:00:00.000Z",172.2900,23623970.0000,174.9400,176.5950,172.1000
+"2018-11-21T00:00:00.000Z",176.7800,31096240.0000,179.7300,180.2700,176.5500
+"2018-11-20T00:00:00.000Z",176.9800,67678680.0000,178.3700,181.4700,175.5100
+"2018-11-19T00:00:00.000Z",185.8600,41626820.0000,190.0000,190.7000,184.9900
+"2018-11-16T00:00:00.000Z",193.5300,36191330.0000,190.5000,194.9695,189.4600
+"2018-11-15T00:00:00.000Z",191.4100,46271660.0000,188.3900,191.9700,186.9000
+"2018-11-14T00:00:00.000Z",186.8000,60547340.0000,193.9000,194.4800,185.9300
+"2018-11-13T00:00:00.000Z",192.2300,46725710.0000,191.6300,197.1800,191.4501
+"2018-11-12T00:00:00.000Z",194.1700,50991030.0000,199.0000,199.8500,193.7900
+"2018-11-09T00:00:00.000Z",204.4700,34317760.0000,205.5500,206.0100,202.2500
+"2018-11-08T00:00:00.000Z",208.4900,25289270.0000,209.9800,210.1200,206.7500
+"2018-11-07T00:00:00.000Z",209.9500,33291640.0000,205.9700,210.0600,204.1300
+"2018-11-06T00:00:00.000Z",203.7700,31774720.0000,201.9200,204.7200,201.6900
+"2018-11-05T00:00:00.000Z",201.5900,66072170.0000,204.3000,204.3900,198.1700
+"2018-11-02T00:00:00.000Z",207.4800,91046560.0000,209.5500,213.6500,205.4300
+"2018-11-01T00:00:00.000Z",222.2200,52954070.0000,219.0500,222.3600,216.8100
+"2018-10-31T00:00:00.000Z",218.8600,38016810.0000,216.8800,220.4500,216.6200
+"2018-10-30T00:00:00.000Z",213.3000,36487930.0000,211.1500,215.1800,209.2700
+"2018-10-29T00:00:00.000Z",212.2400,45713690.0000,219.1900,219.6900,206.0900
+"2018-10-26T00:00:00.000Z",216.3000,47191700.0000,215.9000,220.1900,212.6700
+"2018-10-25T00:00:00.000Z",219.8000,29027340.0000,217.7100,221.3800,216.7500
+"2018-10-24T00:00:00.000Z",215.0900,39992120.0000,222.6000,224.2300,214.5400
+"2018-10-23T00:00:00.000Z",222.7300,38681170.0000,215.8300,223.2500,214.7000
+"2018-10-22T00:00:00.000Z",220.6500,28751540.0000,219.7900,223.3600,218.9400
+"2018-10-19T00:00:00.000Z",219.3100,32874330.0000,218.0600,221.2600,217.4300
+"2018-10-18T00:00:00.000Z",216.0200,32389280.0000,217.8600,219.7400,213.0000
+"2018-10-17T00:00:00.000Z",221.1900,22692880.0000,222.3000,222.6400,219.3400
+"2018-10-16T00:00:00.000Z",222.1500,28802550.0000,218.9300,222.9900,216.7627
+"2018-10-15T00:00:00.000Z",217.3600,30280450.0000,221.1600,221.8300,217.2700
+"2018-10-12T00:00:00.000Z",222.1100,39494770.0000,220.4200,222.8800,216.8400
+"2018-10-11T00:00:00.000Z",214.4500,52902320.0000,214.5200,219.5000,212.3200
+"2018-10-10T00:00:00.000Z",216.3600,41084070.0000,225.4600,226.3500,216.0500
+"2018-10-09T00:00:00.000Z",226.8700,26656630.0000,223.6400,227.2700,222.2462

data/spec/technical_analysis/indicators/adi_spec.rb

@@ -0,0 +1,116 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "ADI" do
+    indicator = TechnicalAnalysis::Adi
+
+    describe 'Accumulation/Distribution Index' do
+      it 'Calculates ADI' do
+
+        input_data = SpecHelper.get_test_data(:volume, :high, :low, :close)
+        output = indicator.calculate(input_data)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :adi=>-112451134.66006838},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :adi=>-135060226.53761944},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :adi=>-149339794.90125585},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :adi=>-170386118.17770624},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :adi=>-220800308.5532927},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :adi=>-139000081.24146464},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :adi=>-160289759.42328274},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :adi=>-155977335.67328295},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :adi=>-149563792.60023466},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :adi=>-191621153.9435182},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :adi=>-249091249.23371798},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :adi=>-215519041.4917826},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :adi=>-144651314.99705797},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :adi=>-109189734.6005822},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :adi=>-82088668.90680213},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :adi=>-84453563.11062376},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :adi=>-59826989.44514345},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :adi=>-23482456.813564237},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :adi=>-21169236.217537448},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :adi=>12348220.058324995},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :adi=>27031122.187761355},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :adi=>-25774650.00158758},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :adi=>13345403.439446371},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :adi=>-28184142.065140743},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :adi=>7310177.429459017},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :adi=>-30619198.70995107},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :adi=>-28229849.61904212},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :adi=>-16831219.815120786},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :adi=>-57716487.89688186},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :adi=>-87657844.24649628},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :adi=>-126035061.64521725},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :adi=>-104408223.70305927},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :adi=>-77157217.68155372},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :adi=>-42863658.35269459},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :adi=>-13921718.702957403},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :adi=>-31201198.431607798},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :adi=>-67251111.0548819},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :adi=>-19025685.861899547},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :adi=>14980297.36136794},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :adi=>59576412.70790268},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :adi=>53370009.30364728},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :adi=>52544543.51729703},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :adi=>20488006.51898352},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :adi=>8638028.433174696},
+          {:date_time=>"2018-11-02T00:00:00.000Z", :adi=>2052056.5039138943},
+          {:date_time=>"2018-11-01T00:00:00.000Z", :adi=>47686098.74235708},
+          {:date_time=>"2018-10-31T00:00:00.000Z", :adi=>-2596414.5729579534},
+          {:date_time=>"2018-10-30T00:00:00.000Z", :adi=>-9048353.606900878},
+          {:date_time=>"2018-10-29T00:00:00.000Z", :adi=>-22322304.45292461},
+          {:date_time=>"2018-10-26T00:00:00.000Z", :adi=>-17952613.497042313},
+          {:date_time=>"2018-10-25T00:00:00.000Z", :adi=>-16320985.571510637},
+          {:date_time=>"2018-10-24T00:00:00.000Z", :adi=>-25537009.286413625},
+          {:date_time=>"2018-10-23T00:00:00.000Z", :adi=>9915241.57013943},
+          {:date_time=>"2018-10-22T00:00:00.000Z", :adi=>-24060850.441556394},
+          {:date_time=>"2018-10-19T00:00:00.000Z", :adi=>-17555977.138388995},
+          {:date_time=>"2018-10-18T00:00:00.000Z", :adi=>-16955140.819851194},
+          {:date_time=>"2018-10-17T00:00:00.000Z", :adi=>-13591269.009762233},
+          {:date_time=>"2018-10-16T00:00:00.000Z", :adi=>-16341921.130974408},
+          {:date_time=>"2018-10-15T00:00:00.000Z", :adi=>-37374123.7894299},
+          {:date_time=>"2018-10-12T00:00:00.000Z", :adi=>-8288954.710482582},
+          {:date_time=>"2018-10-11T00:00:00.000Z", :adi=>-37713866.134323865},
+          {:date_time=>"2018-10-10T00:00:00.000Z", :adi=>-16199273.599504825},
+          {:date_time=>"2018-10-09T00:00:00.000Z", :adi=>22411774.711174767}
+        ]
+
+        expect(normalized_output).to eq(expected_output)
+      end
+
+      it 'Returns the symbol' do
+        indicator_symbol = indicator.indicator_symbol
+        expect(indicator_symbol).to eq('adi')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Accumulation/Distribution Index')
+      end
+
+      it 'Returns the valid options' do
+        valid_options = indicator.valid_options
+        expect(valid_options).to eq([])
+      end
+
+      it 'Validates options' do
+        valid_options = {}
+        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