Cotcube::Indicators

This gem containing the module 'Indicators' is part of the Cotcube suite. Its purpose is the application on indicators on a given time series. An example should help to understand how it works:

series = 10.times.map {|i| Hash[x: i, y: ((i**2 + 2.0)/(4*i + 1)).round(2)] } 
indicators = { 
  first: Cotcube::Indicators.change(key: :y),
  second: Cotcube::Indicators.change(key: :first, lookback: 2)
}
series.each  {|dataset| indicators.map{|key, lambada| dataset[key] = lambada.call(dataset).round(3) } }

This results in the following series (note that the applied function is arbitrary):

x	y	first	second
0	2.0	2.0	0.0
1	0.6	-1.4	-1.4
2	0.67	0.07	-1.93
3	0.85	0.18	1.58
4	1.06	0.21	0.14
5	1.29	0.23	0.05
6	1.52	0.23	0.02
7	1.76	0.24	0.01
8	2.0	0.24	0.01
9	2.24	0.24	0.0

where first displays the change of current y to its predecessor and second displays the change of first to its pre-predescessor.

What is this 'Carrier' thingy

It's just a super tiny helper class. Most indicators rely on a backward aggregation of data. For this purpose the Carrier class maintains an array of given length for its indicator, FIFOing out-aged data.

Currently available indicators

calc

This indicators is basically a helper. It allows arithmetical combination of 2 parameters (resp. calculation on one by omitting the other). The operation is passed as a block.

change

Returns the difference (i.e. change) between carrier.get.last and carrier.get.first, where in most occasions carrier.size would be 2--hence comparing a current value with it's predecessor.

When passed a block, the indicator returns a value only when the block evaluates truthy, otherwise it returns 0'

index

Returns an index-position of the current value within the carrier (i.e. 1.0 for being the highest, 0.0 for being the lowest value).

• When passed a block, the indicator returns a value only when the block evaluates truthy, otherwise it returns 0'
• When passed abs: true, the absolute value is processed.
• When passed reverse: true, the result will be inverted by 1.0 - result.

score

Returns a score position if the current value within the carrier (i.e. 1 for being the highest, carrier.size for being the lowest value).

• When passed abs: true, the absolute value is processed.
• When passed index: true, the score is converted to an index, so score 1 matches 1.0 and carrier.size matches 0.0.

true_range

Returns the true range of the current value and it predescessor. Only works when the series contains [:high, :low. :close] or effective alternatives are promoted as parameters. to get ATR combine this one with sma.

sma, ema, rsi

Returns the according classical indicator based on the provided :key and :length.

Installation

Add this line to your application's Gemfile:

gem 'cotcube-indicators'

And then execute:

$ bundle install

Or install it yourself as:

$ gem install cotcube-indicators

Development

After checking out the repo, run bin/setup to install dependencies. Then, run rake spec to run the tests. You can also run bin/console for an interactive prompt that will allow you to experiment.

To install this gem onto your local machine, run bundle exec rake install. To release a new version, update the version number in version.rb, and then run bundle exec rake release, which will create a git tag for the version, push git commits and tags, and push the .gem file to rubygems.org.

Contributing

Bug reports and pull requests are welcome on GitHub at https://github.com/[USERNAME]/cotcube-indicators.

License

The gem is available as open source under the terms of the MIT License.