technical-analysis 0.2.0 → 0.2.1

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'

data/lib/technical_analysis/indicators/ema.rb

@@ -0,0 +1,101 @@
+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)
+    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
+    #
+    # @return [Array<EmaValue>] An array of EmaValue instances
+    def self.calculate(data, period: 30, 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 = []
+      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], 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/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)
+    indicator = TechnicalAnalysis::Ema
+
+    describe 'Exponential Moving Average' do
+      it 'Calculates EMA (5 day)' do
+        output = indicator.calculate(input_data, period: 5, price_key: :close)
+        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))
+      end
+
+      it 'Validates options' do
+        valid_options = { period: 22, price_key: :close }
+        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: 0.2.0
+  version: 0.2.1
 platform: ruby
 authors:
 - Intrinio
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2019-03-19 00:00:00.000000000 Z
+date: 2020-02-27 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -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
@@ -131,6 +132,7 @@ 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