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Merged
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Aug 11, 2020
Merged

+ Weighted Moving Average #43

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4f3b04d
+ Weighted Moving Average
thoran Jun 14, 2020
4088e63
+ empty lines as per review
thoran Jun 29, 2020
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1 change: 1 addition & 0 deletions lib/technical_analysis.rb
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Expand Up @@ -40,4 +40,5 @@
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'
8 changes: 8 additions & 0 deletions lib/technical_analysis/helpers/stock_calculation.rb
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Expand Up @@ -21,5 +21,13 @@ def self.ema(current_value, data, period, prev_value)
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
intermediate_values.sum
end

end
end
100 changes: 100 additions & 0 deletions lib/technical_analysis/indicators/wma.rb
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@@ -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
115 changes: 115 additions & 0 deletions spec/technical_analysis/indicators/wma_spec.rb
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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=>153.88066666666666},
{:date_time=>"2018-12-26T00:00:00.000Z", :wma=>153.32733333333334},
{:date_time=>"2018-12-24T00:00:00.000Z", :wma=>153.02733333333333},
{:date_time=>"2018-12-21T00:00:00.000Z", :wma=>157.31466666666665},
{: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=>168.35733333333332},
{: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=>172.28799999999998},
{: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=>179.90066666666667},
{:date_time=>"2018-12-03T00:00:00.000Z", :wma=>180.87933333333334},
{:date_time=>"2018-11-30T00:00:00.000Z", :wma=>178.46800000000002},
{:date_time=>"2018-11-29T00:00:00.000Z", :wma=>177.71733333333333},
{:date_time=>"2018-11-28T00:00:00.000Z", :wma=>176.4586666666667},
{: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=>191.58333333333334},
{: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=>207.11866666666666},
{: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=>214.60333333333335},
{: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=>218.864},
{:date_time=>"2018-10-23T00:00:00.000Z", :wma=>220.494},
{:date_time=>"2018-10-22T00:00:00.000Z", :wma=>219.53866666666667},
{: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=>218.54533333333336}
]

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