timeseries 0.0.1
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- data/.gitignore +17 -0
- data/.rspec +3 -0
- data/.rvmrc +48 -0
- data/Gemfile +4 -0
- data/LICENSE.txt +22 -0
- data/README.md +29 -0
- data/Rakefile +1 -0
- data/lib/timeseries.rb +7 -0
- data/lib/timeseries/data_point.rb +11 -0
- data/lib/timeseries/series.rb +130 -0
- data/lib/timeseries/version.rb +3 -0
- data/spec/data_point_spec.rb +10 -0
- data/spec/series_spec.rb +72 -0
- data/spec/spec_helper.rb +7 -0
- data/timeseries.gemspec +27 -0
- metadata +151 -0
data/.gitignore
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data/.rspec
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data/.rvmrc
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#!/usr/bin/env bash
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# This is an RVM Project .rvmrc file, used to automatically load the ruby
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# development environment upon cd'ing into the directory
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# First we specify our desired <ruby>[@<gemset>], the @gemset name is optional,
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# Only full ruby name is supported here, for short names use:
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# echo "rvm use 2.0.0" > .rvmrc
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environment_id="ruby-2.0.0-p0@timeseries"
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# Uncomment the following lines if you want to verify rvm version per project
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# rvmrc_rvm_version="1.17.6 (stable)" # 1.10.1 seams as a safe start
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# eval "$(echo ${rvm_version}.${rvmrc_rvm_version} | awk -F. '{print "[[ "$1*65536+$2*256+$3" -ge "$4*65536+$5*256+$6" ]]"}' )" || {
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# echo "This .rvmrc file requires at least RVM ${rvmrc_rvm_version}, aborting loading."
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# return 1
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# }
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# First we attempt to load the desired environment directly from the environment
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# file. This is very fast and efficient compared to running through the entire
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# CLI and selector. If you want feedback on which environment was used then
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# insert the word 'use' after --create as this triggers verbose mode.
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if [[ -d "${rvm_path:-$HOME/.rvm}/environments"
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&& -s "${rvm_path:-$HOME/.rvm}/environments/$environment_id" ]]
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then
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\. "${rvm_path:-$HOME/.rvm}/environments/$environment_id"
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[[ -s "${rvm_path:-$HOME/.rvm}/hooks/after_use" ]] &&
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\. "${rvm_path:-$HOME/.rvm}/hooks/after_use" || true
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else
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# If the environment file has not yet been created, use the RVM CLI to select.
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rvm --create "$environment_id" || {
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echo "Failed to create RVM environment '${environment_id}'."
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return 1
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}
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fi
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# If you use bundler, this might be useful to you:
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# if [[ -s Gemfile ]] && {
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# ! builtin command -v bundle >/dev/null ||
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# builtin command -v bundle | GREP_OPTIONS= \grep $rvm_path/bin/bundle >/dev/null
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# }
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# then
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# printf "%b" "The rubygem 'bundler' is not installed. Installing it now.\n"
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# gem install bundler
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# fi
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# if [[ -s Gemfile ]] && builtin command -v bundle >/dev/null
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# then
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# bundle install | GREP_OPTIONS= \grep -vE '^Using|Your bundle is complete'
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# fi
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data/Gemfile
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data/LICENSE.txt
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Copyright (c) 2013 Nick O'Neill
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MIT License
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Permission is hereby granted, free of charge, to any person obtaining
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a copy of this software and associated documentation files (the
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"Software"), to deal in the Software without restriction, including
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without limitation the rights to use, copy, modify, merge, publish,
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distribute, sublicense, and/or sell copies of the Software, and to
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permit persons to whom the Software is furnished to do so, subject to
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the following conditions:
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The above copyright notice and this permission notice shall be
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included in all copies or substantial portions of the Software.
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THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
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MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
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LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
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OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
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WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
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data/README.md
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# Timeseries
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TODO: Write a gem description
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## Installation
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Add this line to your application's Gemfile:
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gem 'timeseries'
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And then execute:
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$ bundle
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Or install it yourself as:
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$ gem install timeseries
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## Usage
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TODO: Write usage instructions here
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## Contributing
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1. Fork it
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2. Create your feature branch (`git checkout -b my-new-feature`)
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3. Commit your changes (`git commit -am 'Add some feature'`)
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4. Push to the branch (`git push origin my-new-feature`)
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5. Create new Pull Request
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data/Rakefile
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require "bundler/gem_tasks"
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data/lib/timeseries.rb
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module Timeseries
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class DataPoint
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attr_accessor :date , :value
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def initialize date = DateTime.new , value = 0
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raise ArgumentError , "Must use ruby DateTime format for DataPoint dates" unless date.class == DateTime
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@date = date
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@value = value
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end
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end
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end
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require 'active_support/core_ext'
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require 'timeseries/data_point'
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module Timeseries
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# Series - a time-ordered array of values
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# equations from here: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages
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class Series < Array
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def initialize *args
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super
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each { |item| raise ArgumentError , 'Invalid item added to Series, must be Timeseries::DataPoint' unless item.class == Timeseries::DataPoint }
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end
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# Returns
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def sum_range offset = 0 , time_period = 7
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self[offset,time_period].inject(0) { |total,dp| total.to_f + dp.value.to_f }
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end
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def sum
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inject(0) { |total,dp| total.to_f + dp.value.to_f }
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end
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# Generates time series where the DataPoint object values are moving averages
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#
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# @return [Timeseries::Series] moving average series
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def moving_average time_period = 7
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moving_averages = zero_empty_dates.each_with_index.map do |c,i|
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dp = DataPoint.new
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dp.value = single_day_moving_average( i , time_period )
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dp.date = c.date
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dp
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end
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Timeseries::Series.new( moving_averages )
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end
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# Gets the moving average for a single day in the series
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#
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# @return [Float] moving average
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def single_day_moving_average offset = 0 , time_period = 7
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self.sum_range( offset , time_period ) / time_period.to_f
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end
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# Generates time series where the DataPoint object values are exponential moving averages
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#
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# @return [TimeSeries::Series] exponential moving average series
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def exponential_moving_average time_period = 7
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averages = self.each_with_index.map do |dp,i|
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Timeseries::DataPoint.new( dp.date , ema( time_period , i ) )
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end
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Timeseries::Series.new( averages )
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end
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# Sorting methods
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def method_missing(name , *args)
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# sort DataPoints ascending or descending based on attribute (date or value)
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if /^sort_by_(\w+)_([^!]+)(!?)$/.match(name)
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sort_field = $1.to_sym
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sort_dir = $2
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bang = $3
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return Timeseries::Series.new( self.send("sort#{bang}".to_sym) { |a,b| a.send(sort_field) <=> b.send(sort_field) } ) if sort_dir =~ /^asc/
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return Timeseries::Series.new( self.send("sort#{bang}".to_sym) { |a,b| b.send(sort_field) <=> a.send(sort_field) } ) if sort_dir =~ /^desc/
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elsif /^([^_]+)_day_((?:exponential_)?moving_average)$/.match(name)
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case $1
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when 'seven'
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return send($2.to_sym , 7)
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end
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end
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super
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end
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# Generates a daily summation of the series
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#
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# @return [Timeseries::Series] a daily version of the current series
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def daily
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grouped = group_by { |dp| dp.date.jd }
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daily_series = grouped.map { |k,v| Timeseries::DataPoint.new( v[0].date , v.inject(0) { |sum,c| sum.to_f + c.value.to_f } ) }
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Timeseries::Series.new( daily_series )
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end
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# Modifies the existing series to become a daily series
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# KEEP IN MIND: This will overwrite existing values if you have multiple DataPoints for individual days
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#
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# @return [Timeseries::Series] self
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def daily!
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self.replace( daily )
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end
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# Fills in 0 for any empty dates
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#
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# @return [Timeseries::Series] an 0 filled time series
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def zero_empty_dates
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incomplete_series = daily.sort_by_date_descending!
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daily_series = Timeseries::Series.new
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return daily_series if incomplete_series.length < 2
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( incomplete_series.last.date.jd .. incomplete_series.first.date.jd ).map do |jd_date|
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match = incomplete_series.find { |dp| dp.date.jd == jd_date }
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value = ( match == nil ) ? 0 : match.value
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date = DateTime.jd( jd_date ).midnight
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daily_series.unshift( Timeseries::DataPoint.new( date , value ) )
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end
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daily_series
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end
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private
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def ema time_period = 7 , offset = 0
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# equation:
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# Multiplier: (2 / (Time periods + 1) ) = (2 / (10 + 1) ) = 0.1818 (18.18%)
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# EMA: {value - EMA(previous day)} x multiplier + EMA(previous day).
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return nil if offset > ( self.length - time_period )
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# Exponential moving average always uses simple moving average as first value
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return single_day_moving_average( offset , time_period ) if offset == ( self.length - time_period )
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# generate the ema for the given day
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previous_day = offset + 1
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yesterday_ema = ema( time_period , previous_day )
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( self[offset].value - yesterday_ema ) * exponential_multiplier( time_period ) + yesterday_ema
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end
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def data_points_for_jd_day day
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find_all { |dp| dp.date.jd == day }
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end
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def exponential_multiplier time_period = 7
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( 2 / ( time_period.to_f + 1.0 ) )
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end
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end
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end
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data/spec/series_spec.rb
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require 'spec_helper'
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describe Timeseries::Series do
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before do
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@datapoints = (0..10).map{ |i| Timeseries::DataPoint.new( DateTime.now - i , i + 1 ) }
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end
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it "can be initialized with an array of DataPoint objects" do
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expect {
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Timeseries::Series.new( [ Timeseries::DataPoint.new( DateTime.now , 123 ) ] )
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}.to_not raise_error
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end
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it "raises error for non-DataPoint objects" do
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expect {
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Timeseries::Series.new( [123] )
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}.to raise_error(ArgumentError)
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end
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context "instance methods" do
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before do
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@series = Timeseries::Series.new( @datapoints )
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end
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describe "#sum_range" do
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it "sums the range requested" do
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# sums @datapoints[0,7]
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@series.sum_range( 0 , 7 ).should eq 28
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end
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end
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describe "#sum" do
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it "returns the sum of all the datapoints" do
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@series.sum.should eq 66
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end
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end
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describe "#moving_average" do
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it "zeros any empty days" do
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Timeseries::Series.any_instance.should_receive(:zero_empty_dates).and_return(Timeseries::Series.new)
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@series.moving_average(7)
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end
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it "returns a Timeseries::Series" do
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@series.moving_average(2).should be_an_instance_of( Timeseries::Series )
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end
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it "returns moving average for the given number of days" do
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@series.moving_average(2)[0].value.should eq 1.5
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end
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end
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describe "#single_day_moving_average" do
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end
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describe "#exponential_moving_average" do
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end
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describe "#daily" do
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end
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describe "#daily!" do
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end
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describe "#zero_empty_dates" do
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it "fills in empty days as 0" do
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@series.delete_at( 1 )
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@series.zero_empty_dates[1].value.should eq 0
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end
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end
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end
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end
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data/spec/spec_helper.rb
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data/timeseries.gemspec
ADDED
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# coding: utf-8
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lib = File.expand_path('../lib', __FILE__)
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$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
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require 'timeseries/version'
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Gem::Specification.new do |spec|
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spec.name = "timeseries"
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spec.version = Timeseries::VERSION
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spec.authors = ["Nick O'Neill"]
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spec.email = ["mr.nick.oneill@gmail.com"]
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spec.description = "A time series gem used by StartupStats apps"
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spec.summary = spec.description
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spec.homepage = "https://github.com/Holler/timeseries"
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spec.license = "MIT"
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spec.files = `git ls-files`.split($/)
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spec.executables = spec.files.grep(%r{^bin/}) { |f| File.basename(f) }
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spec.test_files = spec.files.grep(%r{^(test|spec|features)/})
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spec.require_paths = ["lib"]
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spec.add_development_dependency "bundler", "~> 1.3"
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spec.add_development_dependency "rake"
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spec.add_development_dependency "rspec"
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spec.add_development_dependency "yard", "~> 0.7.3"
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spec.add_dependency "activesupport"
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end
|
metadata
ADDED
@@ -0,0 +1,151 @@
|
|
1
|
+
--- !ruby/object:Gem::Specification
|
2
|
+
name: timeseries
|
3
|
+
version: !ruby/object:Gem::Version
|
4
|
+
version: 0.0.1
|
5
|
+
prerelease:
|
6
|
+
platform: ruby
|
7
|
+
authors:
|
8
|
+
- Nick O'Neill
|
9
|
+
autorequire:
|
10
|
+
bindir: bin
|
11
|
+
cert_chain: []
|
12
|
+
date: 2013-03-20 00:00:00.000000000 Z
|
13
|
+
dependencies:
|
14
|
+
- !ruby/object:Gem::Dependency
|
15
|
+
name: bundler
|
16
|
+
requirement: !ruby/object:Gem::Requirement
|
17
|
+
none: false
|
18
|
+
requirements:
|
19
|
+
- - ~>
|
20
|
+
- !ruby/object:Gem::Version
|
21
|
+
version: '1.3'
|
22
|
+
type: :development
|
23
|
+
prerelease: false
|
24
|
+
version_requirements: !ruby/object:Gem::Requirement
|
25
|
+
none: false
|
26
|
+
requirements:
|
27
|
+
- - ~>
|
28
|
+
- !ruby/object:Gem::Version
|
29
|
+
version: '1.3'
|
30
|
+
- !ruby/object:Gem::Dependency
|
31
|
+
name: rake
|
32
|
+
requirement: !ruby/object:Gem::Requirement
|
33
|
+
none: false
|
34
|
+
requirements:
|
35
|
+
- - '>='
|
36
|
+
- !ruby/object:Gem::Version
|
37
|
+
version: '0'
|
38
|
+
type: :development
|
39
|
+
prerelease: false
|
40
|
+
version_requirements: !ruby/object:Gem::Requirement
|
41
|
+
none: false
|
42
|
+
requirements:
|
43
|
+
- - '>='
|
44
|
+
- !ruby/object:Gem::Version
|
45
|
+
version: '0'
|
46
|
+
- !ruby/object:Gem::Dependency
|
47
|
+
name: rspec
|
48
|
+
requirement: !ruby/object:Gem::Requirement
|
49
|
+
none: false
|
50
|
+
requirements:
|
51
|
+
- - '>='
|
52
|
+
- !ruby/object:Gem::Version
|
53
|
+
version: '0'
|
54
|
+
type: :development
|
55
|
+
prerelease: false
|
56
|
+
version_requirements: !ruby/object:Gem::Requirement
|
57
|
+
none: false
|
58
|
+
requirements:
|
59
|
+
- - '>='
|
60
|
+
- !ruby/object:Gem::Version
|
61
|
+
version: '0'
|
62
|
+
- !ruby/object:Gem::Dependency
|
63
|
+
name: yard
|
64
|
+
requirement: !ruby/object:Gem::Requirement
|
65
|
+
none: false
|
66
|
+
requirements:
|
67
|
+
- - ~>
|
68
|
+
- !ruby/object:Gem::Version
|
69
|
+
version: 0.7.3
|
70
|
+
type: :development
|
71
|
+
prerelease: false
|
72
|
+
version_requirements: !ruby/object:Gem::Requirement
|
73
|
+
none: false
|
74
|
+
requirements:
|
75
|
+
- - ~>
|
76
|
+
- !ruby/object:Gem::Version
|
77
|
+
version: 0.7.3
|
78
|
+
- !ruby/object:Gem::Dependency
|
79
|
+
name: activesupport
|
80
|
+
requirement: !ruby/object:Gem::Requirement
|
81
|
+
none: false
|
82
|
+
requirements:
|
83
|
+
- - '>='
|
84
|
+
- !ruby/object:Gem::Version
|
85
|
+
version: '0'
|
86
|
+
type: :runtime
|
87
|
+
prerelease: false
|
88
|
+
version_requirements: !ruby/object:Gem::Requirement
|
89
|
+
none: false
|
90
|
+
requirements:
|
91
|
+
- - '>='
|
92
|
+
- !ruby/object:Gem::Version
|
93
|
+
version: '0'
|
94
|
+
description: A time series gem used by StartupStats apps
|
95
|
+
email:
|
96
|
+
- mr.nick.oneill@gmail.com
|
97
|
+
executables: []
|
98
|
+
extensions: []
|
99
|
+
extra_rdoc_files: []
|
100
|
+
files:
|
101
|
+
- .gitignore
|
102
|
+
- .rspec
|
103
|
+
- .rvmrc
|
104
|
+
- Gemfile
|
105
|
+
- LICENSE.txt
|
106
|
+
- README.md
|
107
|
+
- Rakefile
|
108
|
+
- lib/timeseries.rb
|
109
|
+
- lib/timeseries/data_point.rb
|
110
|
+
- lib/timeseries/series.rb
|
111
|
+
- lib/timeseries/version.rb
|
112
|
+
- spec/data_point_spec.rb
|
113
|
+
- spec/series_spec.rb
|
114
|
+
- spec/spec_helper.rb
|
115
|
+
- timeseries.gemspec
|
116
|
+
homepage: https://github.com/Holler/timeseries
|
117
|
+
licenses:
|
118
|
+
- MIT
|
119
|
+
post_install_message:
|
120
|
+
rdoc_options: []
|
121
|
+
require_paths:
|
122
|
+
- lib
|
123
|
+
required_ruby_version: !ruby/object:Gem::Requirement
|
124
|
+
none: false
|
125
|
+
requirements:
|
126
|
+
- - '>='
|
127
|
+
- !ruby/object:Gem::Version
|
128
|
+
version: '0'
|
129
|
+
segments:
|
130
|
+
- 0
|
131
|
+
hash: -667150900491174156
|
132
|
+
required_rubygems_version: !ruby/object:Gem::Requirement
|
133
|
+
none: false
|
134
|
+
requirements:
|
135
|
+
- - '>='
|
136
|
+
- !ruby/object:Gem::Version
|
137
|
+
version: '0'
|
138
|
+
segments:
|
139
|
+
- 0
|
140
|
+
hash: -667150900491174156
|
141
|
+
requirements: []
|
142
|
+
rubyforge_project:
|
143
|
+
rubygems_version: 1.8.25
|
144
|
+
signing_key:
|
145
|
+
specification_version: 3
|
146
|
+
summary: A time series gem used by StartupStats apps
|
147
|
+
test_files:
|
148
|
+
- spec/data_point_spec.rb
|
149
|
+
- spec/series_spec.rb
|
150
|
+
- spec/spec_helper.rb
|
151
|
+
has_rdoc:
|