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ADI Indicator and Spec Data updates. #1

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Start of ADI indicator
jfeust Jan 5, 2019
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jfeust Jan 10, 2019
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jfeust Jan 10, 2019
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3 changes: 2 additions & 1 deletion lib/technical_analysis.rb
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Expand Up @@ -5,4 +5,5 @@
require 'technical_analysis/helpers/validation'

# Indicators
require 'technical_analysis/indicators/sma'
require 'technical_analysis/indicators/sma'
require 'technical_analysis/indicators/adi'
8 changes: 8 additions & 0 deletions lib/technical_analysis/helpers/array.rb
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Expand Up @@ -2,4 +2,12 @@ class Array
def sum
self.inject(0, :+)
end

def sort_by_hash_date_asc
self.sort_by {|row| row[:date]}
end

def sort_by_hash_date_desc
sort_by_hash_date_asc.reverse
end
end
8 changes: 5 additions & 3 deletions lib/technical_analysis/helpers/validation.rb
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@@ -1,8 +1,10 @@
class Validation

def self.validate_price_data(data)
unless data.values.all? { |v| v.class == Float || v.class == Integer}
raise ValidationError.new "Invalid Data. Price is not a number"
def self.validate_numeric_data(data, *keys)
keys.each do |key|
unless data.all? { |v| v[key].is_a? Numeric}
raise ValidationError.new "Invalid Data. '#{key}' is not valid price data."
end
end
end

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33 changes: 33 additions & 0 deletions lib/technical_analysis/indicators/adi.rb
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@@ -0,0 +1,33 @@
module TechnicalAnalysis
class Adi
# Calculates the Accumulation/Distribution Index for the given data
# https://en.wikipedia.org/wiki/Accumulation/distribution_index
#
# @param data [Array] Array of hashes with keys (:date, :high, :low, :close, :volume)
# @return [Hash] A hash of the results with keys (:date, :value)
def self.calculate(data)
Validation.validate_numeric_data(data, :high, :low, :close, :volume)

data = data.sort_by_hash_date_asc

ads = []

clv = 0
ad = 0
prev_ad = 0
data.each_with_index do |values, i|
if values[:high] == values[:low]
clv = 0
else
clv = ((values[:close] - values[:low]) - (values[:high] - values[:close])) / (values[:high] - values[:low])
end

ad = prev_ad + (clv * values[:volume])
prev_ad = ad

ads << {date: values[:date], value: ad}
end
ads
end
end
end
21 changes: 11 additions & 10 deletions lib/technical_analysis/indicators/sma.rb
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Expand Up @@ -3,21 +3,22 @@ class Sma
# Calculates the simple moving average for the data over the given period
# https://en.wikipedia.org/wiki/Moving_average#Simple_moving_average
#
# @param data [Hash] Date strings to price values
# @param data [Array] Array of hashes with keys (:date, :value)
# @param period [Integer] The given period to calculate the SMA
# @return [Hash] A hash of date strings to SMA values
def self.calculate(data, period: 30)
Validation.validate_price_data(data)
# @param price_key [Symbol] The hash key for the price data. Default :value
# @return [Hash] A hash of the results with keys (:date, :value)
def self.calculate(data, period: 30, price_key: :value)
Validation.validate_numeric_data(data, price_key)
Validation.validate_length(data, period)

output = {}
period_values = []
data = data.sort.to_h # Sort data by descending dates
data = data.sort_by_hash_date_asc # Sort data by descending dates

data.each do |date, price|
period_values << price
output = []
period_values = []
data.each do |v|
period_values << v[price_key]
if period_values.size == period
output[date] = period_values.sum / period.to_f
output << {date: v[:date], value: period_values.sum / period.to_f}
period_values.shift
end
end
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26 changes: 26 additions & 0 deletions spec/spec_helper.rb
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require 'csv'

class SpecHelper
TEST_DATA_PATH = File.join(File.dirname(__FILE__),'ta_test_data.csv')
FLOAT_KEYS = [:open, :high, :low, :close]
INTEGER_KEYS = [:volume]

def self.get_test_data(*columns)
@data = CSV.read(TEST_DATA_PATH, headers: true)
columns = columns.map(&:to_sym)
output = []
@data.each do |v|
col_hash = {date: v["date"]}
columns.each do |col|
value = v[col.to_s]
value = value.to_f if FLOAT_KEYS.include?(col)
value = value.to_i if INTEGER_KEYS.include?(col)
col_hash[col] = value
end
output << col_hash
end
output
end
end


64 changes: 64 additions & 0 deletions spec/ta_test_data.csv
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date,close,volume,open,high,low
"2019/01/09",153.3100,45034370.0000,151.2900,154.5300,149.6300
"2019/01/08",150.7500,40622910.0000,149.5600,151.8200,148.5200
"2019/01/07",147.9300,54571440.0000,148.7000,148.8300,145.9000
"2019/01/04",148.2600,57423650.0000,144.5300,148.5499,143.8000
"2019/01/03",142.1900,91106840.0000,143.9800,145.7200,142.0000
"2019/01/02",157.9200,35637070.0000,154.8900,158.8500,154.2300
"2018/12/31",157.7400,34499390.0000,158.5300,159.3600,156.4800
"2018/12/28",156.2300,41740600.0000,157.5000,158.5200,154.5500
"2018/12/27",156.1500,51608850.0000,155.8400,156.7700,150.0700
"2018/12/26",157.1700,58133850.0000,148.3000,157.2300,146.7200
"2018/12/24",146.8300,37169230.0000,148.1500,151.5500,146.5900
"2018/12/21",150.7300,95497900.0000,156.8600,158.1600,149.6300
"2018/12/20",156.8300,64398230.0000,160.4000,162.1100,155.3000
"2018/12/19",160.8900,47597670.0000,166.0000,167.4500,159.0900
"2018/12/18",166.0700,33753490.0000,165.3800,167.5300,164.3900
"2018/12/17",163.9400,43250420.0000,165.4500,168.3500,162.7300
"2018/12/14",165.4800,40620360.0000,169.0000,169.0800,165.2800
"2018/12/13",170.9500,31754210.0000,170.4900,172.5700,169.5500
"2018/12/12",169.1000,35474680.0000,170.4000,171.9200,169.0200
"2018/12/11",168.6300,45968040.0000,171.6600,171.7900,167.0000
"2018/12/10",169.6000,61759000.0000,165.0000,170.0900,163.3300
"2018/12/07",168.4900,41678680.0000,173.4900,174.4900,168.3000
"2018/12/06",174.7200,42704910.0000,171.7600,174.7800,170.4200
"2018/12/04",176.6900,41141250.0000,180.9500,182.3899,176.2700
"2018/12/03",184.8200,40537700.0000,184.4600,184.9400,181.2100
"2018/11/30",178.5800,39424260.0000,180.2900,180.3300,177.0300
"2018/11/29",179.5500,41523580.0000,182.6600,182.8000,177.7000
"2018/11/28",180.9400,45941750.0000,176.7300,181.2900,174.9300
"2018/11/27",174.2400,41156140.0000,171.5100,174.7700,170.8800
"2018/11/26",174.6200,44662320.0000,174.2400,174.9500,170.2600
"2018/11/23",172.2900,23623970.0000,174.9400,176.5950,172.1000
"2018/11/21",176.7800,31096240.0000,179.7300,180.2700,176.5500
"2018/11/20",176.9800,67678680.0000,178.3700,181.4700,175.5100
"2018/11/19",185.8600,41626820.0000,190.0000,190.7000,184.9900
"2018/11/16",193.5300,36191330.0000,190.5000,194.9695,189.4600
"2018/11/15",191.4100,46271660.0000,188.3900,191.9700,186.9000
"2018/11/14",186.8000,60547340.0000,193.9000,194.4800,185.9300
"2018/11/13",192.2300,46725710.0000,191.6300,197.1800,191.4501
"2018/11/12",194.1700,50991030.0000,199.0000,199.8500,193.7900
"2018/11/09",204.4700,34317760.0000,205.5500,206.0100,202.2500
"2018/11/08",208.4900,25289270.0000,209.9800,210.1200,206.7500
"2018/11/07",209.9500,33291640.0000,205.9700,210.0600,204.1300
"2018/11/06",203.7700,31774720.0000,201.9200,204.7200,201.6900
"2018/11/05",201.5900,66072170.0000,204.3000,204.3900,198.1700
"2018/11/02",207.4800,91046560.0000,209.5500,213.6500,205.4300
"2018/11/01",222.2200,52954070.0000,219.0500,222.3600,216.8100
"2018/10/31",218.8600,38016810.0000,216.8800,220.4500,216.6200
"2018/10/30",213.3000,36487930.0000,211.1500,215.1800,209.2700
"2018/10/29",212.2400,45713690.0000,219.1900,219.6900,206.0900
"2018/10/26",216.3000,47191700.0000,215.9000,220.1900,212.6700
"2018/10/25",219.8000,29027340.0000,217.7100,221.3800,216.7500
"2018/10/24",215.0900,39992120.0000,222.6000,224.2300,214.5400
"2018/10/23",222.7300,38681170.0000,215.8300,223.2500,214.7000
"2018/10/22",220.6500,28751540.0000,219.7900,223.3600,218.9400
"2018/10/19",219.3100,32874330.0000,218.0600,221.2600,217.4300
"2018/10/18",216.0200,32389280.0000,217.8600,219.7400,213.0000
"2018/10/17",221.1900,22692880.0000,222.3000,222.6400,219.3400
"2018/10/16",222.1500,28802550.0000,218.9300,222.9900,216.7627
"2018/10/15",217.3600,30280450.0000,221.1600,221.8300,217.2700
"2018/10/12",222.1100,39494770.0000,220.4200,222.8800,216.8400
"2018/10/11",214.4500,52902320.0000,214.5200,219.5000,212.3200
"2018/10/10",216.3600,41084070.0000,225.4600,226.3500,216.0500
"2018/10/09",226.8700,26656630.0000,223.6400,227.2700,222.2462
83 changes: 83 additions & 0 deletions spec/technical_analysis/indicators/adi_spec.rb
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require 'technical-analysis'
require 'spec_helper'

describe 'Indicators' do
describe "ADI" do

describe 'Accumulation/Distribution Index' do
it 'Calculates ADI' do

input_data = SpecHelper.get_test_data(:volume, :high, :low, :close)
output = TechnicalAnalysis::Adi.calculate(input_data)

expected_output = [
{:date=>"2018/10/09", :value=>22411774.711174767},
{:date=>"2018/10/10", :value=>-16199273.599504825},
{:date=>"2018/10/11", :value=>-37713866.134323865},
{:date=>"2018/10/12", :value=>-8288954.710482582},
{:date=>"2018/10/15", :value=>-37374123.7894299},
{:date=>"2018/10/16", :value=>-16341921.130974408},
{:date=>"2018/10/17", :value=>-13591269.009762233},
{:date=>"2018/10/18", :value=>-16955140.819851194},
{:date=>"2018/10/19", :value=>-17555977.138388995},
{:date=>"2018/10/22", :value=>-24060850.441556394},
{:date=>"2018/10/23", :value=>9915241.57013943},
{:date=>"2018/10/24", :value=>-25537009.286413625},
{:date=>"2018/10/25", :value=>-16320985.571510637},
{:date=>"2018/10/26", :value=>-17952613.497042313},
{:date=>"2018/10/29", :value=>-22322304.45292461},
{:date=>"2018/10/30", :value=>-9048353.606900878},
{:date=>"2018/10/31", :value=>-2596414.5729579534},
{:date=>"2018/11/01", :value=>47686098.74235708},
{:date=>"2018/11/02", :value=>2052056.5039138943},
{:date=>"2018/11/05", :value=>8638028.433174696},
{:date=>"2018/11/06", :value=>20488006.51898352},
{:date=>"2018/11/07", :value=>52544543.51729703},
{:date=>"2018/11/08", :value=>53370009.30364728},
{:date=>"2018/11/09", :value=>59576412.70790268},
{:date=>"2018/11/12", :value=>14980297.36136794},
{:date=>"2018/11/13", :value=>-19025685.861899547},
{:date=>"2018/11/14", :value=>-67251111.0548819},
{:date=>"2018/11/15", :value=>-31201198.431607798},
{:date=>"2018/11/16", :value=>-13921718.702957403},
{:date=>"2018/11/19", :value=>-42863658.35269459},
{:date=>"2018/11/20", :value=>-77157217.68155372},
{:date=>"2018/11/21", :value=>-104408223.70305927},
{:date=>"2018/11/23", :value=>-126035061.64521725},
{:date=>"2018/11/26", :value=>-87657844.24649628},
{:date=>"2018/11/27", :value=>-57716487.89688186},
{:date=>"2018/11/28", :value=>-16831219.815120786},
{:date=>"2018/11/29", :value=>-28229849.61904212},
{:date=>"2018/11/30", :value=>-30619198.70995107},
{:date=>"2018/12/03", :value=>7310177.429459017},
{:date=>"2018/12/04", :value=>-28184142.065140743},
{:date=>"2018/12/06", :value=>13345403.439446371},
{:date=>"2018/12/07", :value=>-25774650.00158758},
{:date=>"2018/12/10", :value=>27031122.187761355},
{:date=>"2018/12/11", :value=>12348220.058324995},
{:date=>"2018/12/12", :value=>-21169236.217537448},
{:date=>"2018/12/13", :value=>-23482456.813564237},
{:date=>"2018/12/14", :value=>-59826989.44514345},
{:date=>"2018/12/17", :value=>-84453563.11062376},
{:date=>"2018/12/18", :value=>-82088668.90680213},
{:date=>"2018/12/19", :value=>-109189734.6005822},
{:date=>"2018/12/20", :value=>-144651314.99705797},
{:date=>"2018/12/21", :value=>-215519041.4917826},
{:date=>"2018/12/24", :value=>-249091249.23371798},
{:date=>"2018/12/26", :value=>-191621153.9435182},
{:date=>"2018/12/27", :value=>-149563792.60023466},
{:date=>"2018/12/28", :value=>-155977335.67328295},
{:date=>"2018/12/31", :value=>-160289759.42328274},
{:date=>"2019/01/02", :value=>-139000081.24146464},
{:date=>"2019/01/03", :value=>-220800308.5532927},
{:date=>"2019/01/04", :value=>-170386118.17770624},
{:date=>"2019/01/07", :value=>-149339794.90125585},
{:date=>"2019/01/08", :value=>-135060226.53761944},
{:date=>"2019/01/09", :value=>-112451134.66006838}
]

expect(output).to eq(expected_output)
end
end
end
end
98 changes: 65 additions & 33 deletions spec/technical_analysis/indicators/sma_spec.rb
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require 'technical-analysis'
require 'spec_helper'

describe 'Indicators' do
describe "SMA" do
input_data = {
"2018-12-31": 157.74,
"2018-12-28": 156.23,
"2018-12-27": 156.15,
"2018-12-26": 157.17,
"2018-12-24": 146.83,
"2018-12-21": 150.73,
"2018-12-20": 156.83,
"2018-12-19": 160.89,
"2018-12-18": 166.07,
"2018-12-17": 163.94,
"2018-12-14": 165.48,
"2018-12-13": 170.95,
"2018-12-12": 169.1,
"2018-12-11": 168.63,
"2018-12-10": 169.6
}
input_data = SpecHelper.get_test_data(:close)

describe 'Simple Moving Average' do
it 'Calculates SMA (5 day)' do
output = TechnicalAnalysis::Sma.calculate(input_data, period: 5)
output = TechnicalAnalysis::Sma.calculate(input_data, period: 5, price_key: :close)

expected_output = {
:"2018-12-14"=>168.752,
:"2018-12-17"=>167.61999999999998,
:"2018-12-18"=>167.108,
:"2018-12-19"=>165.46599999999998,
:"2018-12-20"=>162.642,
:"2018-12-21"=>159.692,
:"2018-12-24"=>156.27,
:"2018-12-26"=>154.49,
:"2018-12-27"=>153.54199999999997,
:"2018-12-28"=>153.422,
:"2018-12-31"=>154.824
}
expected_output = [
{:date=>"2018/10/15", :value=>219.43},
{:date=>"2018/10/16", :value=>218.48600000000002},
{:date=>"2018/10/17", :value=>219.452},
{:date=>"2018/10/18", :value=>219.766},
{:date=>"2018/10/19", :value=>219.206},
{:date=>"2018/10/22", :value=>219.86400000000003},
{:date=>"2018/10/23", :value=>219.97999999999996},
{:date=>"2018/10/24", :value=>218.76},
{:date=>"2018/10/25", :value=>219.51600000000002},
{:date=>"2018/10/26", :value=>218.914},
{:date=>"2018/10/29", :value=>217.23200000000003},
{:date=>"2018/10/30", :value=>215.346},
{:date=>"2018/10/31", :value=>216.1},
{:date=>"2018/11/01", :value=>216.584},
{:date=>"2018/11/02", :value=>214.82000000000002},
{:date=>"2018/11/05", :value=>212.69},
{:date=>"2018/11/06", :value=>210.78400000000002},
{:date=>"2018/11/07", :value=>209.002},
{:date=>"2018/11/08", :value=>206.256},
{:date=>"2018/11/09", :value=>205.654},
{:date=>"2018/11/12", :value=>204.17000000000002},
{:date=>"2018/11/13", :value=>201.862},
{:date=>"2018/11/14", :value=>197.23200000000003},
{:date=>"2018/11/15", :value=>193.816},
{:date=>"2018/11/16", :value=>191.628},
{:date=>"2018/11/19", :value=>189.96599999999998},
{:date=>"2018/11/20", :value=>186.916},
{:date=>"2018/11/21", :value=>184.91199999999998},
{:date=>"2018/11/23", :value=>181.088},
{:date=>"2018/11/26", :value=>177.30599999999998},
{:date=>"2018/11/27", :value=>174.982},
{:date=>"2018/11/28", :value=>175.77400000000003},
{:date=>"2018/11/29", :value=>176.32799999999997},
{:date=>"2018/11/30", :value=>177.58599999999998},
{:date=>"2018/12/03", :value=>179.62600000000003},
{:date=>"2018/12/04", :value=>180.11600000000004},
{:date=>"2018/12/06", :value=>178.872},
{:date=>"2018/12/07", :value=>176.66},
{:date=>"2018/12/10", :value=>174.864},
{:date=>"2018/12/11", :value=>171.626},
{:date=>"2018/12/12", :value=>170.108},
{:date=>"2018/12/13", :value=>169.35399999999998},
{:date=>"2018/12/14", :value=>168.752},
{:date=>"2018/12/17", :value=>167.61999999999998},
{:date=>"2018/12/18", :value=>167.108},
{:date=>"2018/12/19", :value=>165.46599999999998},
{:date=>"2018/12/20", :value=>162.642},
{:date=>"2018/12/21", :value=>159.692},
{:date=>"2018/12/24", :value=>156.27},
{:date=>"2018/12/26", :value=>154.49},
{:date=>"2018/12/27", :value=>153.54199999999997},
{:date=>"2018/12/28", :value=>153.422},
{:date=>"2018/12/31", :value=>154.824},
{:date=>"2019/01/02", :value=>157.04199999999997},
{:date=>"2019/01/03", :value=>154.046},
{:date=>"2019/01/04", :value=>152.468},
{:date=>"2019/01/07", :value=>150.808},
{:date=>"2019/01/08", :value=>149.41},
{:date=>"2019/01/09", :value=>148.488}
]

expect(output).to eq(expected_output)
end

it "Throws exception if not enough data" do
calc = Calculate.new
expect {TechnicalAnalysis::Sma.calculate(input_data, period: 30)}.to raise_exception(Validation::ValidationError)
expect {TechnicalAnalysis::Sma.calculate(input_data, period: input_data.size+1, price_key: :close)}.to raise_exception(Validation::ValidationError)
end
end
end
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