technical-analysis 0.2.3 → 0.2.4

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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+  metadata.gz: 242a71fb8aedb7315b625ded3707bb7c3b1fbf3e
+  data.tar.gz: dd8f5b9980aa256206126ba688537f092ba8c72a
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data/lib/technical_analysis.rb

@@ -40,4 +40,5 @@ 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/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/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/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/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: 0.2.3
+  version: 0.2.4
 platform: ruby
 authors:
 - Intrinio
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2020-08-03 00:00:00.000000000 Z
+date: 2020-08-11 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -114,6 +114,7 @@ files:
 - 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
@@ -154,6 +155,7 @@ files:
 - 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: []