technical-analysis 0.1.1 → 0.2.4

checksums.yaml

@@ -1,7 +1,7 @@
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data/lib/technical_analysis.rb

@@ -19,6 +19,7 @@ require 'technical_analysis/indicators/dc'
 require 'technical_analysis/indicators/dlr'
 require 'technical_analysis/indicators/dpo'
 require 'technical_analysis/indicators/dr'
+require 'technical_analysis/indicators/ema'
 require 'technical_analysis/indicators/eom'
 require 'technical_analysis/indicators/fi'
 require 'technical_analysis/indicators/ichimoku'
@@ -38,4 +39,6 @@ require 'technical_analysis/indicators/tsi'
 require 'technical_analysis/indicators/uo'
 require 'technical_analysis/indicators/vi'
 require 'technical_analysis/indicators/vpt'
+require 'technical_analysis/indicators/vwap'
+require 'technical_analysis/indicators/wma'
 require 'technical_analysis/indicators/wr'

data/lib/technical_analysis/helpers/stock_calculation.rb

@@ -21,5 +21,13 @@ module TechnicalAnalysis
       end
     end
 
+    def self.wma(data)
+      intermediate_values = []
+      data.each_with_index do |datum, i|
+        intermediate_values << datum * (i + 1)/(data.size * (data.size + 1)/2).to_f
+      end
+      ArrayHelper.sum(intermediate_values)
+    end
+
   end
 end

data/lib/technical_analysis/helpers/validation.rb

@@ -20,10 +20,10 @@ module TechnicalAnalysis
       return true if (options.keys - valid_options).empty?
       raise ValidationError.new "Invalid options provided. Valid options are #{valid_options.join(", ")}"
     end
-  
-    def self.validate_date_time_key(data)
-      unless data.all? { |row| row.keys.include? :date_time }
-        raise ValidationError.new "Dataset must include date_time field with timestamps"
+
+    def self.validate_date_time_key(data, date_time_key=:date_time)
+      unless data.all? { |row| row.keys.include? date_time_key }
+        raise ValidationError.new "Dataset must include '#{date_time_key}' field with timestamps"
       end
     end
 

data/lib/technical_analysis/indicators/adx.rb

@@ -85,7 +85,7 @@ module TechnicalAnalysis
             if prev_adx.nil?
               adx = ArrayHelper.average(dx_values)
             else
-              adx = ((prev_adx * 13) + dx) / period.to_f
+              adx = ((prev_adx * (period - 1)) + dx) / period.to_f
             end
 
             output << AdxValue.new(date_time: v[:date_time], adx: adx, di_pos: di_pos, di_neg: di_neg)

data/lib/technical_analysis/indicators/ema.rb

@@ -0,0 +1,103 @@
+module TechnicalAnalysis
+  # Exponential Moving Average
+  class Ema < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "ema"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Exponential Moving Average"
+    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 date_time_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: 30, **params)
+      period.to_i
+    end
+
+    # Calculates the exponential moving average (EMA) for the data over the given period
+    # https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :value)
+    # @param period [Integer] The given period to calculate the EMA
+    # @param price_key [Symbol] The hash key for the price data. Default :value
+    # @param date_time_key [Symbol] The hash key for the date time data. Default :date_time
+    #
+    # @return [Array<EmaValue>] An array of EmaValue instances
+    def self.calculate(data, period: 30, price_key: :value, date_time_key: :date_time)
+      period = period.to_i
+      price_key = price_key.to_sym
+      date_time_key = date_time_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, date_time_key)
+
+      data = data.sort_by { |row| row[date_time_key] }
+
+      output = []
+      period_values = []
+      previous_ema = nil
+
+      data.each do |v|
+        period_values << v[price_key]
+        if period_values.size == period
+          ema = StockCalculation.ema(v[price_key], period_values, period, previous_ema)
+          previous_ema = ema
+
+          output << EmaValue.new(date_time: v[date_time_key], ema: ema)
+          period_values.shift
+        end
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class EmaValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the ema calculation value
+    attr_accessor :ema
+
+    def initialize(date_time: nil, ema: nil)
+      @date_time = date_time
+      @ema = ema
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, ema: @ema }
+    end
+  end
+end

data/lib/technical_analysis/indicators/indicator.rb

@@ -49,6 +49,7 @@ module TechnicalAnalysis
         TechnicalAnalysis::Uo,
         TechnicalAnalysis::Vi,
         TechnicalAnalysis::Vpt,
+        TechnicalAnalysis::Vwap,
         TechnicalAnalysis::Wr,
       ]
     end

data/lib/technical_analysis/indicators/rsi.rb

@@ -20,7 +20,7 @@ module TechnicalAnalysis
     #
     # @return [Array] An array of keys as symbols for valid options for this technical indicator
     def self.valid_options
-      %i(period price_key)
+      %i(period price_key date_time_key)
     end
 
     # Validates the provided options for this technical indicator
@@ -48,16 +48,17 @@ module TechnicalAnalysis
     # @param data [Array] Array of hashes with keys (:date_time, :value)
     # @param period [Integer] The given period to calculate the RSI
     # @param price_key [Symbol] The hash key for the price data. Default :value
+    # @param date_time_key [Symbol] The hash key for the date time data. Default :date_time
     #
     # @return [Array<RsiValue>] An array of RsiValue instances
-    def self.calculate(data, period: 14, price_key: :value)
+    def self.calculate(data, period: 14, price_key: :value, date_time_key: :date_time)
       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)
+      Validation.validate_date_time_key(data, date_time_key)
 
-      data = data.sort_by { |row| row[:date_time] }
+      data = data.sort_by { |row| row[date_time_key] }
 
       output = []
       prev_price = data.shift[price_key]
@@ -96,7 +97,7 @@ module TechnicalAnalysis
             rsi = (100.00 - (100.00 / (1.00 + rs)))
           end
 
-          output << RsiValue.new(date_time: v[:date_time], rsi: rsi)
+          output << RsiValue.new(date_time: v[date_time_key], rsi: rsi)
 
           prev_avg = { gain: avg_gain, loss: avg_loss }
           price_changes.shift

data/lib/technical_analysis/indicators/sma.rb

@@ -20,7 +20,7 @@ module TechnicalAnalysis
     #
     # @return [Array] An array of keys as symbols for valid options for this technical indicator
     def self.valid_options
-      %i(period price_key)
+      %i(period price_key date_time_key)
     end
 
     # Validates the provided options for this technical indicator
@@ -48,16 +48,18 @@ module TechnicalAnalysis
     # @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
+    # @param date_time_key [Symbol] The hash key for the date time data. Default :date_time
     #
     # @return [Array<SmaValue>] An array of SmaValue instances
-    def self.calculate(data, period: 30, price_key: :value)
+    def self.calculate(data, period: 30, price_key: :value, date_time_key: :date_time)
       period = period.to_i
       price_key = price_key.to_sym
+      date_time_key = date_time_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)
+      Validation.validate_date_time_key(data, date_time_key)
 
-      data = data.sort_by { |row| row[:date_time] }
+      data = data.sort_by { |row| row[date_time_key] }
 
       output = []
       period_values = []
@@ -65,7 +67,7 @@ module TechnicalAnalysis
       data.each do |v|
         period_values << v[price_key]
         if period_values.size == period
-          output << SmaValue.new(date_time: v[:date_time], sma: ArrayHelper.average(period_values))
+          output << SmaValue.new(date_time: v[date_time_key], sma: ArrayHelper.average(period_values))
           period_values.shift
         end
       end

data/lib/technical_analysis/indicators/vwap.rb

@@ -0,0 +1,97 @@
+module TechnicalAnalysis
+  # Volume Weighted Average Price
+  class Vwap < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "vwap"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Volume Weighted Average Price"
+    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 volume weighted average price (VWAP) for the data
+    # https://en.wikipedia.org/wiki/Volume-weighted_average_price
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :high, :low, :close, :volume)
+    #
+    # @return [Array<VwapValue>] An array of VwapValue instances
+    def self.calculate(data)
+      Validation.validate_numeric_data(data, :high, :low, :close, :volume)
+      Validation.validate_length(data, min_data_size)
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      output = []
+      cumm_volume = 0
+      cumm_volume_x_typical_price = 0
+
+      data.each do |v|
+        typical_price = StockCalculation.typical_price(v)
+        cumm_volume_x_typical_price += v[:volume] * typical_price
+        cumm_volume += v[:volume]
+        vwap = cumm_volume_x_typical_price.to_f / cumm_volume.to_f
+
+        output << VwapValue.new(date_time: v[:date_time], vwap: vwap)
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class VwapValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the vwap calculation value
+    attr_accessor :vwap
+
+    def initialize(date_time: nil, vwap: nil)
+      @date_time = date_time
+      @vwap = vwap
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, vwap: @vwap }
+    end
+
+  end
+end

data/lib/technical_analysis/indicators/wma.rb

@@ -0,0 +1,100 @@
+module TechnicalAnalysis
+  # Weighted Moving Average
+  class Wma < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "wma"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Weighted Moving Average"
+    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 date_time_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: 30, **params)
+      period.to_i
+    end
+
+    # Calculates the weighted moving average (WMA) for the data over the given period
+    # https://en.wikipedia.org/wiki/Moving_average#Weighted_moving_average
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :value)
+    # @param period [Integer] The given period to calculate the WMA
+    # @param price_key [Symbol] The hash key for the price data. Default :value
+    # @param date_time_key [Symbol] The hash key for the date time data. Default :date_time
+    #
+    # @return [Array<WmaValue>] An array of WmaValue instances
+    def self.calculate(data, period: 30, price_key: :value, date_time_key: :date_time)
+      period = period.to_i
+      price_key = price_key.to_sym
+      date_time_key = date_time_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, date_time_key)
+
+      data = data.sort_by { |row| row[date_time_key] }
+
+      output = []
+      period_values = []
+      previous_wma = nil
+
+      data.each do |v|
+        period_values << v[price_key]
+        if period_values.size == period
+          wma = StockCalculation.wma(period_values)
+          output << WmaValue.new(date_time: v[date_time_key], wma: wma)
+          period_values.shift
+        end
+      end
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class WmaValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the wma calculation value
+    attr_accessor :wma
+
+    def initialize(date_time: nil, wma: nil)
+      @date_time = date_time
+      @wma = wma
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, wma: @wma }
+    end
+  end
+end

data/spec/spec_helper.rb

@@ -6,12 +6,12 @@ class SpecHelper
   FLOAT_KEYS = [:open, :high, :low, :close].freeze
   INTEGER_KEYS = [:volume].freeze
 
-  def self.get_test_data(*columns)
+  def self.get_test_data(*columns, date_time_key: :date_time)
     @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"] }
+      col_hash = { date_time_key => v["date_time"] }
       columns.each do |col|
         value = v[col.to_s]
         value = value.to_f if FLOAT_KEYS.include?(col)

data/spec/technical_analysis/indicators/ema_spec.rb

@@ -0,0 +1,115 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "EMA" do
+    input_data = SpecHelper.get_test_data(:close, date_time_key: :timestep)
+    indicator = TechnicalAnalysis::Ema
+
+    describe 'Exponential Moving Average' do
+      it 'Calculates EMA (5 day)' do
+        output = indicator.calculate(input_data, period: 5, price_key: :close, date_time_key: :timestep)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :ema=>151.1937160522574},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :ema=>150.1355740783861},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :ema=>149.82836111757913},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :ema=>150.77754167636868},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :ema=>152.03631251455303},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :ema=>156.95946877182956},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :ema=>156.47920315774434},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :ema=>155.8488047366165},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :ema=>155.65820710492477},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :ema=>155.41231065738714},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :ema=>154.53346598608073},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :ema=>158.3851989791211},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :ema=>162.21279846868165},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :ema=>164.90419770302248},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :ema=>166.91129655453372},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :ema=>167.3319448318006},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :ema=>169.02791724770088},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :ema=>170.80187587155132},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :ema=>170.72781380732698},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :ema=>171.54172071099046},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :ema=>172.99758106648568},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :ema=>174.69637159972854},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :ema=>177.7995573995928},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :ema=>179.33933609938921},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :ema=>180.6640041490838},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :ema=>178.58600622362573},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :ema=>178.5890093354386},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :ema=>178.10851400315786},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :ema=>176.69277100473678},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :ema=>177.91915650710516},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :ema=>179.56873476065772},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :ema=>183.20810214098657},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :ema=>186.42215321147984},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :ema=>191.14322981721975},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :ema=>193.7848447258296},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :ema=>193.9122670887444},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :ema=>195.1634006331166},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :ema=>199.34510094967487},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :ema=>202.90265142451233},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :ema=>207.26897713676848},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :ema=>208.66846570515273},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :ema=>208.75769855772907},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :ema=>208.16154783659363},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :ema=>210.35732175489045},
+          {:date_time=>"2018-11-02T00:00:00.000Z", :ema=>214.7409826323357},
+          {:date_time=>"2018-11-01T00:00:00.000Z", :ema=>218.37147394850354},
+          {:date_time=>"2018-10-31T00:00:00.000Z", :ema=>216.44721092275532},
+          {:date_time=>"2018-10-30T00:00:00.000Z", :ema=>215.24081638413296},
+          {:date_time=>"2018-10-29T00:00:00.000Z", :ema=>216.21122457619944},
+          {:date_time=>"2018-10-26T00:00:00.000Z", :ema=>218.19683686429914},
+          {:date_time=>"2018-10-25T00:00:00.000Z", :ema=>219.1452552964487},
+          {:date_time=>"2018-10-24T00:00:00.000Z", :ema=>218.81788294467307},
+          {:date_time=>"2018-10-23T00:00:00.000Z", :ema=>220.6818244170096},
+          {:date_time=>"2018-10-22T00:00:00.000Z", :ema=>219.65773662551442},
+          {:date_time=>"2018-10-19T00:00:00.000Z", :ema=>219.1616049382716},
+          {:date_time=>"2018-10-18T00:00:00.000Z", :ema=>219.0874074074074},
+          {:date_time=>"2018-10-17T00:00:00.000Z", :ema=>220.6211111111111},
+          {:date_time=>"2018-10-16T00:00:00.000Z", :ema=>220.33666666666667},
+          {:date_time=>"2018-10-15T00:00:00.000Z", :ema=>219.43}
+        ]
+
+        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('ema')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Exponential Moving Average')
+      end
+
+      it 'Returns the valid options' do
+        valid_options = indicator.valid_options
+        expect(valid_options).to eq(%i(period price_key date_time_key))
+      end
+
+      it 'Validates options' do
+        valid_options = { period: 22, price_key: :close, date_time_key: :timestep }
+        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/indicator_spec.rb

@@ -38,7 +38,7 @@ describe 'Indicators' do
 
       it 'Calculates valid_options' do
         valid_options = indicator.calculate('sma', [], :valid_options, { period: 20, price_key: :close })
-        expect(valid_options).to eq(%i(period price_key))
+        expect(valid_options).to eq(%i(period price_key date_time_key))
       end
 
       it 'Calculates validate_options' do

data/spec/technical_analysis/indicators/rsi_spec.rb

@@ -3,12 +3,12 @@ require 'spec_helper'
 
 describe 'Indicators' do
   describe "RSI" do
-    input_data = SpecHelper.get_test_data(:close)
+    input_data = SpecHelper.get_test_data(:close, date_time_key: :timestep)
     indicator = TechnicalAnalysis::Rsi
 
     describe 'Relative Strength Index' do
       it 'Calculates RSI (14 day)' do
-        output = indicator.calculate(input_data, period: 14, price_key: :close)
+        output = indicator.calculate(input_data, period: 14, price_key: :close, date_time_key: :timestep)
         normalized_output = output.map(&:to_hash)
 
         expected_output = [
@@ -67,7 +67,7 @@ describe 'Indicators' do
       end
 
       it "Throws exception if not enough data" do
-        expect {indicator.calculate(input_data, period: input_data.size+2, price_key: :close)}.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+        expect {indicator.calculate(input_data, period: input_data.size+2, price_key: :close, date_time_key: :time)}.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
       end
 
       it 'Returns the symbol' do
@@ -82,11 +82,11 @@ describe 'Indicators' do
 
       it 'Returns the valid options' do
         valid_options = indicator.valid_options
-        expect(valid_options).to eq(%i(period price_key))
+        expect(valid_options).to eq(%i(period price_key date_time_key))
       end
 
       it 'Validates options' do
-        valid_options = { period: 22, price_key: :close }
+        valid_options = { period: 22, price_key: :close, date_time_key: :timespec }
         options_validated = indicator.validate_options(valid_options)
         expect(options_validated).to eq(true)
       end

data/spec/technical_analysis/indicators/sma_spec.rb

@@ -3,12 +3,12 @@ require 'spec_helper'
 
 describe 'Indicators' do
   describe "SMA" do
-    input_data = SpecHelper.get_test_data(:close)
+    input_data = SpecHelper.get_test_data(:close, date_time_key: :timestep)
     indicator = TechnicalAnalysis::Sma
 
     describe 'Simple Moving Average' do
       it 'Calculates SMA (5 day)' do
-        output = indicator.calculate(input_data, period: 5, price_key: :close)
+        output = indicator.calculate(input_data, period: 5, price_key: :close, date_time_key: :timestep)
         normalized_output = output.map(&:to_hash)
 
         expected_output = [
@@ -92,11 +92,11 @@ describe 'Indicators' do
 
       it 'Returns the valid options' do
         valid_options = indicator.valid_options
-        expect(valid_options).to eq(%i(period price_key))
+        expect(valid_options).to eq(%i(period price_key date_time_key))
       end
 
       it 'Validates options' do
-        valid_options = { period: 22, price_key: :close }
+        valid_options = { period: 22, price_key: :close, date_time_key: :timestep }
         options_validated = indicator.validate_options(valid_options)
         expect(options_validated).to eq(true)
       end

data/spec/technical_analysis/indicators/vwap_spec.rb

@@ -0,0 +1,119 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "VWAP" do
+    input_data = SpecHelper.get_test_data(:volume, :high, :low, :close)
+    indicator = TechnicalAnalysis::Vwap
+
+    describe 'Volume Weighted Average Price' do
+      it 'Calculates VWAP' do
+        output = indicator.calculate(input_data)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :vwap=>183.55426863053765},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :vwap=>184.06635227887782},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :vwap=>184.57507590747517},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :vwap=>185.3413093796368},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :vwap=>186.19781421865375},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :vwap=>187.76843731172002},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :vwap=>188.21552447966795},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :vwap=>188.64862275471472},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :vwap=>189.2144975598256},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :vwap=>189.9889456493791},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :vwap=>190.91953458787302},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :vwap=>191.6297166885398},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :vwap=>193.36567531270202},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :vwap=>194.463693818502},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :vwap=>195.21670632642397},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :vwap=>195.7127882800064},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :vwap=>196.3956319251192},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :vwap=>197.03092567150182},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :vwap=>197.47196479514173},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :vwap=>198.00221355940155},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :vwap=>198.7429667210245},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :vwap=>199.85255982037654},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :vwap=>200.57927838438474},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :vwap=>201.28731920049952},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :vwap=>201.8731568533139},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :vwap=>202.34554208942396},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :vwap=>202.95867828112358},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :vwap=>203.60135199869035},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :vwap=>204.38651817163168},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :vwap=>205.30361785858756},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :vwap=>206.36274937523916},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :vwap=>206.94494917055295},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :vwap=>207.6427516507437},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :vwap=>209.27699957144853},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :vwap=>210.05211892678065},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :vwap=>210.59952347188045},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :vwap=>211.4589551886514},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :vwap=>212.75803369499064},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :vwap=>213.6551619737374},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :vwap=>214.61043573066618},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :vwap=>215.00076838969952},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :vwap=>215.18761540540189},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :vwap=>215.4663555747261},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :vwap=>215.93354729003553},
+          {:date_time=>"2018-11-02T00:00:00.000Z", :vwap=>217.20680955786048},
+          {:date_time=>"2018-11-01T00:00:00.000Z", :vwap=>218.35223508156088},
+          {:date_time=>"2018-10-31T00:00:00.000Z", :vwap=>218.1692825392702},
+          {:date_time=>"2018-10-30T00:00:00.000Z", :vwap=>218.13783195840017},
+          {:date_time=>"2018-10-29T00:00:00.000Z", :vwap=>218.5155747290589},
+          {:date_time=>"2018-10-26T00:00:00.000Z", :vwap=>219.05970452474796},
+          {:date_time=>"2018-10-25T00:00:00.000Z", :vwap=>219.3440526461074},
+          {:date_time=>"2018-10-24T00:00:00.000Z", :vwap=>219.34643675779574},
+          {:date_time=>"2018-10-23T00:00:00.000Z", :vwap=>219.4951598586493},
+          {:date_time=>"2018-10-22T00:00:00.000Z", :vwap=>219.41092910048724},
+          {:date_time=>"2018-10-19T00:00:00.000Z", :vwap=>219.26375336145847},
+          {:date_time=>"2018-10-18T00:00:00.000Z", :vwap=>219.25541442468506},
+          {:date_time=>"2018-10-17T00:00:00.000Z", :vwap=>219.65735634491844},
+          {:date_time=>"2018-10-16T00:00:00.000Z", :vwap=>219.5125052055069},
+          {:date_time=>"2018-10-15T00:00:00.000Z", :vwap=>219.34283327445593},
+          {:date_time=>"2018-10-12T00:00:00.000Z", :vwap=>219.44169580294155},
+          {:date_time=>"2018-10-11T00:00:00.000Z", :vwap=>219.0592293697168},
+          {:date_time=>"2018-10-10T00:00:00.000Z", :vwap=>221.89869420553177},
+          {:date_time=>"2018-10-09T00:00:00.000Z", :vwap=>225.4620666666667}
+        ]
+
+        expect(normalized_output).to eq(expected_output)
+      end
+
+      it "Throws exception if not enough data" do
+        expect {indicator.calculate([])}.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Returns the symbol' do
+        indicator_symbol = indicator.indicator_symbol
+        expect(indicator_symbol).to eq('vwap')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Volume Weighted Average Price')
+      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

data/spec/technical_analysis/indicators/wma_spec.rb

@@ -0,0 +1,115 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "WMA" do
+    input_data = SpecHelper.get_test_data(:close, date_time_key: :timestep)
+    indicator = TechnicalAnalysis::Wma
+
+    describe 'Weighted Moving Average' do
+      it 'Calculates WMA (5 day)' do
+        output = indicator.calculate(input_data, period: 5, price_key: :close, date_time_key: :timestep)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :wma=>150.13666666666666},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :wma=>148.83666666666667},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :wma=>148.856},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :wma=>150.36866666666666},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :wma=>152.29733333333334},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :wma=>157.248},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :wma=>156.216},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :wma=>154.77666666666667},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :wma=>153.88066666666668},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :wma=>153.3273333333333},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :wma=>153.02733333333333},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :wma=>157.31466666666668},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :wma=>161.28533333333334},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :wma=>164.164},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :wma=>166.23666666666665},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :wma=>166.75333333333333},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :wma=>168.35733333333334},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :wma=>169.64866666666666},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :wma=>169.368},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :wma=>170.21},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :wma=>172.288},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :wma=>174.64133333333334},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :wma=>178.102},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :wma=>179.9006666666667},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :wma=>180.87933333333334},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :wma=>178.468},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :wma=>177.71733333333333},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :wma=>176.45866666666666},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :wma=>174.47266666666667},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :wma=>175.49466666666666},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :wma=>177.65066666666667},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :wma=>181.858},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :wma=>185.23666666666668},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :wma=>189.56533333333334},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :wma=>191.488},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :wma=>191.58333333333331},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :wma=>193.524},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :wma=>198.54466666666667},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :wma=>202.52466666666666},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :wma=>206.35266666666666},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :wma=>206.948},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :wma=>207.11866666666668},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :wma=>207.39666666666665},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :wma=>210.37},
+          {:date_time=>"2018-11-02T00:00:00.000Z", :wma=>214.78},
+          {:date_time=>"2018-11-01T00:00:00.000Z", :wma=>217.81466666666665},
+          {:date_time=>"2018-10-31T00:00:00.000Z", :wma=>215.7746666666667},
+          {:date_time=>"2018-10-30T00:00:00.000Z", :wma=>214.60333333333332},
+          {:date_time=>"2018-10-29T00:00:00.000Z", :wma=>215.91400000000002},
+          {:date_time=>"2018-10-26T00:00:00.000Z", :wma=>218.13866666666667},
+          {:date_time=>"2018-10-25T00:00:00.000Z", :wma=>219.21066666666667},
+          {:date_time=>"2018-10-24T00:00:00.000Z", :wma=>218.86400000000003},
+          {:date_time=>"2018-10-23T00:00:00.000Z", :wma=>220.49400000000003},
+          {:date_time=>"2018-10-22T00:00:00.000Z", :wma=>219.53866666666664},
+          {:date_time=>"2018-10-19T00:00:00.000Z", :wma=>219.05733333333333},
+          {:date_time=>"2018-10-18T00:00:00.000Z", :wma=>219.20933333333335},
+          {:date_time=>"2018-10-17T00:00:00.000Z", :wma=>220.35333333333335},
+          {:date_time=>"2018-10-16T00:00:00.000Z", :wma=>219.452},
+          {:date_time=>"2018-10-15T00:00:00.000Z", :wma=>218.54533333333333}
+        ]
+
+        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('wma')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Weighted Moving Average')
+      end
+
+      it 'Returns the valid options' do
+        valid_options = indicator.valid_options
+        expect(valid_options).to eq(%i(period price_key date_time_key))
+      end
+
+      it 'Validates options' do
+        valid_options = { period: 22, price_key: :close, date_time_key: :timestep }
+        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

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: technical-analysis
 version: !ruby/object:Gem::Version
-  version: 0.1.1
+  version: 0.2.4
 platform: ruby
 authors:
 - Intrinio
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2019-03-06 00:00:00.000000000 Z
+date: 2020-08-11 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -30,14 +30,14 @@ dependencies:
     requirements:
     - - "~>"
       - !ruby/object:Gem::Version
-        version: '10.0'
+        version: '12.3'
   type: :development
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
     - - "~>"
       - !ruby/object:Gem::Version
-        version: '10.0'
+        version: '12.3'
 - !ruby/object:Gem::Dependency
   name: rspec
   requirement: !ruby/object:Gem::Requirement
@@ -58,14 +58,14 @@ dependencies:
     requirements:
     - - "~>"
       - !ruby/object:Gem::Version
-        version: 0.9.6
+        version: 0.9.20
   type: :development
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
     - - "~>"
       - !ruby/object:Gem::Version
-        version: 0.9.6
+        version: 0.9.20
 description: A Ruby library for performing technical analysis on stock prices and
   other data sets.
 email:
@@ -92,6 +92,7 @@ files:
 - lib/technical_analysis/indicators/dlr.rb
 - lib/technical_analysis/indicators/dpo.rb
 - lib/technical_analysis/indicators/dr.rb
+- lib/technical_analysis/indicators/ema.rb
 - lib/technical_analysis/indicators/eom.rb
 - lib/technical_analysis/indicators/fi.rb
 - lib/technical_analysis/indicators/ichimoku.rb
@@ -112,6 +113,8 @@ files:
 - lib/technical_analysis/indicators/uo.rb
 - lib/technical_analysis/indicators/vi.rb
 - lib/technical_analysis/indicators/vpt.rb
+- lib/technical_analysis/indicators/vwap.rb
+- lib/technical_analysis/indicators/wma.rb
 - lib/technical_analysis/indicators/wr.rb
 - spec/helpers/array_helper_spec.rb
 - spec/helpers/validaton_spec.rb
@@ -130,6 +133,7 @@ files:
 - spec/technical_analysis/indicators/dlr_spec.rb
 - spec/technical_analysis/indicators/dpo_spec.rb
 - spec/technical_analysis/indicators/dr_spec.rb
+- spec/technical_analysis/indicators/ema_spec.rb
 - spec/technical_analysis/indicators/eom_spec.rb
 - spec/technical_analysis/indicators/fi_spec.rb
 - spec/technical_analysis/indicators/ichimoku_spec.rb
@@ -150,6 +154,8 @@ files:
 - spec/technical_analysis/indicators/uo_spec.rb
 - spec/technical_analysis/indicators/vi_spec.rb
 - spec/technical_analysis/indicators/vpt_spec.rb
+- spec/technical_analysis/indicators/vwap_spec.rb
+- spec/technical_analysis/indicators/wma_spec.rb
 - spec/technical_analysis/indicators/wr_spec.rb
 homepage: https://github.com/intrinio/technical-analysis
 licenses: []