technical-analysis

A Ruby library for performing technical analysis on stock prices and other data sets.

Indicators

The following technical indicators are supported:

• Accumulation/Distribution Index (ADI)
• Average Daily Trading Volume (ADTV)
• Average Directional Index (ADX)
• Awesome Oscillator (AO)
• Average True Range (ATR)
• Bollinger Bands (BB)
• Commodity Channel Index (CCI)
• Chaikin Money Flow (CMF)
• Cumulative Return (CR)
• Donchian Channel (DC)
• Daily Log Return (DLR)
• Detrended Price Oscillator (DPO)
• Daily Return (DR)
• Ease of Movement (EOM)
• Exponential Moving Average (EMA)
• Force Index (FI)
• Ichimoku Kinko Hyo (ICHIMOKU)
• Keltner Channel (KC)
• Know Sure Thing (KST)
• Moving Average Convergence Divergence (MACD)
• Money Flow Index (MFI)
• Mass Index (MI)
• Negative Volume Index (NVI)
• On-balance Volume (OBV)
• On-balance Volume Mean (OBV_MEAN)
• Relative Strength Index (RSI)
• Simple Moving Average (SMA)
• Stochastic Oscillator (SR)
• Triple Exponential Average (TRIX)
• True Strength Index (TSI)
• Ultimate Oscillator (UO)
• Vortex Indicator (VI)
• Volume-price Trend (VPT)
• Volume Weighted Average Price (VWAP)
• Weighted Moving Average (WMA)
• Williams %R (WR)

Install

Add the following line to Gemfile:

gem 'technical-analysis'

and run bundle install from your shell.

To install the gem manually from your shell, run:

gem install technical-analysis

Usage

First, for the sake of these code samples, we'll load some test data from spec/ta_test_data.csv. This is the same data used for the unit tests. The data will be an Array of Hashes.

input_data = SpecHelper.get_test_data(:close)
# [
#   { date_time: "2019-01-09T00:00:00.000Z", close: 153.3100 },
#   { date_time: "2019-01-08T00:00:00.000Z", close: 150.7500 },
#   ...
#   { date_time: "2018-10-09T00:00:00.000Z", close: 226.8700 }
# ]

Each technical indicator has the following methods:

• calculate - Each technical indicator returns an Array of values. These values are instances of a class specific to each indicator. It's typically in the format of SymbolValue. For example, Simple Moving Average (SMA) returns an Array of SmaValue instances. These classes contain the appropriate data fields for each technical indicator.
• indicator_symbol returns the symbol of the technical indicator as a String.
• indicator_name returns the name of the technical indicator as a String.
• valid_options returns an Array of keys (as Symbols) for valid options that the technical indicator accepts in its calculate method.
• validate_options returns true if the options provided are valid or raises a ValidationError.
• min_data_size returns the minimum number of observations needed (as an Integer) to calculate the technical indicator based on the options provided.

Class-Based Usage

You can call methods on the class of the specific technical indicator that you want to calculate. To calculate a Simple Moving Average, for example, you would just call calculate on the Simple Moving Average class like so:

input_data = SpecHelper.get_test_data(:close)

TechnicalAnalysis::Sma.calculate(input_data, period: 30, price_key: :close)

Here are examples of other methods for technical indicators:

TechnicalAnalysis::Sma.indicator_symbol
# "sma"

TechnicalAnalysis::Sma.indicator_name
# "Simple Moving Average"

TechnicalAnalysis::Sma.valid_options
# [:period, :price_key]

options = { period: 30, price_key: :close }
TechnicalAnalysis::Sma.validate_options(options)
# true

options = { period: 30, price_key: :close }
TechnicalAnalysis::Sma.min_data_size(options)
# 30

Generic Usage

You can also use the generic indicator class. The purpose of this class is to be a sort of master class that will find and call the correct indicator based on the params provided to it.

The calculate method on the Indicator class accepts:

• The indicator symbol as a String - "sma"
• The data to be used for calculations as an Array of Hashes - input_data
• The calculation to be performed as a Symbol - :technicals
• The options for the indicator as a Hash - options

input_data = SpecHelper.get_test_data(:close)
options = { period: 30, price_key: :close }

TechnicalAnalysis::Indicator.calculate('sma', input_data, :technicals, options)

Here's each example again using the generic indicator class:

input_data = SpecHelper.get_test_data(:close)

TechnicalAnalysis::Indicator.calculate('sma', input_data, :indicator_symbol)
# "sma"

TechnicalAnalysis::Indicator.calculate('sma', input_data, :indicator_name)
# "Simple Moving Average"

TechnicalAnalysis::Indicator.calculate('sma', input_data, :valid_options)
# [:period, :price_key]

options = { period: 30, price_key: :close }
TechnicalAnalysis::Indicator.calculate('sma', input_data, :validate_options, options)
# true

options = { period: 30, price_key: :close }
TechnicalAnalysis::Indicator.calculate('sma', input_data, :min_data_size, options)
# 30

Or you can use it to find the correct technical indicator class based on indicator symbol:

simple_moving_average = TechnicalAnalysis::Indicator.find("sma")
# TechnicalAnalysis::Sma

input_data = SpecHelper.get_test_data(:close)
simple_moving_average.calculate(input_data, period: 30, price_key: :close)

simple_moving_average.indicator_symbol
# "sma"

simple_moving_average.indicator_name
# "Simple Moving Average"

simple_moving_average.valid_options
# [:period, :price_key]

options = { period: 30, price_key: :close }
simple_moving_average.validate_options(options)
# true

options = { period: 30, price_key: :close }
simple_moving_average.min_data_size(options)
# 30

Further documentation

This gem is also documented using Yard. You can view the guides to help get you started.

Run Tests

rspec spec