Indicators

A gem for calculating technical analysis indicators.

Current functionality demo of Indicators and Securities gems synergy can be tested at http://strangemuseum.heroku.com. Securities gem: https://rubygems.org/gems/securities

Installation

Add this line to your application's Gemfile:

gem 'indicators'

And then execute:

$ bundle

Or install it yourself as:

$ gem install indicators

Accepted Input

Array

my_data = Indicators::Data.new([1, 2, 3, 4, 5])

Then it returns data as an array with indicator values in index places:

i.e. my_data.calc(:type => :sma, :params => 2).output => [nil, 1.5, 2.5, 3.5, 4.5]

Securities gem hash

my_data = Indicators::Data.new(Securities::Stock.new(:symbol => 'AAPL', :start_date => '2012-08-25', :end_date => '2012-08-30').output)

my_data.calc(:type => :sma, :params => 3)

Output

.calc returns an object with such accessor methods

@abbr - indicator abbreviation (usually used when displaying information).
@params - given or defaulted parameters.
@output - indicator calculation result.

i.e. @abbr="SMA", @params=2, @output=[nil, 1.5, 2.5, 3.5, 4.5]

Supported Indicators

Simple Moving Average => :sma

my_data.calc(:type => :sma, :params => 5)

Exponental Moving Average => :ema

my_data.calc(:type => :ema, :params => 5)

Bollinger Bands => :bb

my_data.calc(:type => :bb, :params => [15, 3]) or my_data.calc(:type => :bb, :params => [15, 2.5])

Variables have to be specified as an array [periods, multiplier]. If multiplier isn't specified, it defaults to 2.

It returns output as an array for each data point [middle band, upper band, lower band].
i.e. my_data.calc(:type => :bb, :params => 3) => {"aapl"=>[nil, nil, [674.65, 676.8752190903368, 672.4247809096631]]} 

Moving Average Convergence Divergence => :macd

my_data.calc(:type => :macd, :params => [12, 26, 9])

Variables have to be specified as an array [faster periods, slower periods, signal line]. If slower periods isn't specified, it defaults to 26 and signal line to 9.

MACD output is [MACD line, signal line, MACD histogram].

Relative Strength Index => :rsi

my_data.calc(:type => :rsi, :params => 14)

The more data it has, the more accurate RSI is.

Full Stochastic Oscillator => :sto

my_data.calc(:type => :sto, :params => [14, 3, 5])

Variables have to be specified as an array [lookback period, the number of periods to slow %K, the number of periods for the %D moving average] => [%K1, %K2, %D].

Stochastic output is [fast %K, slow %K, full %D].

To Do

• A strategy backtesting tool.

Indicators:

• More moving averages (CMA, WMA, MMA).
• ROC.
• CCI.
• Williams %R.
• ADX.
• Parabolic SAR.
• StochRSI.

Contributing

1. Fork it
2. Create your feature branch (git checkout -b my-new-feature)
3. Commit your changes (git commit -am 'Added some feature')
4. Push to the branch (git push origin my-new-feature)
5. Create new Pull Request