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Optimize Bb#calculate. #55

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b68af12
Optimize Bb#calculate.
sadfuzzy Sep 7, 2024
8560410
Fix MarkDown warnings.
sadfuzzy Sep 7, 2024
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10 changes: 10 additions & 0 deletions README.md
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Original file line number Diff line number Diff line change
@@ -1,8 +1,11 @@
# 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)
Expand Down Expand Up @@ -57,6 +60,7 @@ 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`.

```ruby
Expand All @@ -70,6 +74,7 @@ input_data = SpecHelper.get_test_data(:close)
```

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.
Expand All @@ -78,6 +83,7 @@ Each technical indicator has the following methods:
- `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:

```ruby
Expand Down Expand Up @@ -108,9 +114,11 @@ TechnicalAnalysis::Sma.min_data_size(options)
```

### 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`
Expand Down Expand Up @@ -174,7 +182,9 @@ simple_moving_average.min_data_size(options)
```

## Further documentation

This gem is also documented using [Yard](https://yardoc.org/). You can view the [guides](https://yardoc.org/guides/index.html) to help get you started.

## Run Tests

`rspec spec`
4 changes: 2 additions & 2 deletions lib/technical_analysis/indicators/bb.rb
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Expand Up @@ -60,7 +60,7 @@ def self.calculate(data, period: 20, standard_deviations: 2, price_key: :value)
Validation.validate_length(data, min_data_size(period: period))
Validation.validate_date_time_key(data)

data = data.sort_by { |row| row[:date_time] }
data.sort_by! { |row| row[:date_time] } # Sort in place to save memory

output = []
period_values = []
Expand All @@ -85,7 +85,7 @@ def self.calculate(data, period: 20, standard_deviations: 2, price_key: :value)
end
end

output.sort_by(&:date_time).reverse
output.reverse!
end

end
Expand Down
172 changes: 89 additions & 83 deletions spec/technical_analysis/indicators/bb_spec.rb
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@@ -1,100 +1,106 @@
# frozen_string_literal: true
require 'technical-analysis'
require 'spec_helper'

describe 'Indicators' do
describe "BB" do
input_data = SpecHelper.get_test_data(:close)
indicator = TechnicalAnalysis::Bb
RSpec.describe 'Indicators::Bollinger Bands (BB)' do
let(:input_data) { SpecHelper.get_test_data(:close) }
let(:indicator) { TechnicalAnalysis::Bb }

describe 'Bollinger Bands' do
it 'Calculates BB (20, 2)' do
output = indicator.calculate(input_data, period: 20, standard_deviations: 2, price_key: :close)
normalized_output = output.map(&:to_hash)
describe 'Bollinger Bands' do
it 'calculates BB (20, 2)' do
output = indicator.calculate(input_data, period: 20, standard_deviations: 2, price_key: :close)
normalized_output = output.map(&:to_hash)

expected_output = [
{:date_time=>"2019-01-09T00:00:00.000Z", :lower_band=>141.02036711220762, :middle_band=>157.35499999999996, :upper_band=>173.6896328877923},
{:date_time=>"2019-01-08T00:00:00.000Z", :lower_band=>141.07714470666247, :middle_band=>158.1695, :upper_band=>175.26185529333753},
{:date_time=>"2019-01-07T00:00:00.000Z", :lower_band=>141.74551015326722, :middle_band=>159.05649999999997, :upper_band=>176.36748984673272},
{:date_time=>"2019-01-04T00:00:00.000Z", :lower_band=>142.5717393007821, :middle_band=>160.39600000000002, :upper_band=>178.22026069921793},
{:date_time=>"2019-01-03T00:00:00.000Z", :lower_band=>143.53956406332316, :middle_band=>161.8175, :upper_band=>180.09543593667684},
{:date_time=>"2019-01-02T00:00:00.000Z", :lower_band=>145.3682834538487, :middle_band=>163.949, :upper_band=>182.52971654615132},
{:date_time=>"2018-12-31T00:00:00.000Z", :lower_band=>145.53555575730587, :middle_band=>164.98199999999997, :upper_band=>184.42844424269407},
{:date_time=>"2018-12-28T00:00:00.000Z", :lower_band=>145.90334076589886, :middle_band=>166.0725, :upper_band=>186.24165923410112},
{:date_time=>"2018-12-27T00:00:00.000Z", :lower_band=>146.65592111904317, :middle_band=>167.308, :upper_band=>187.96007888095681},
{:date_time=>"2018-12-26T00:00:00.000Z", :lower_band=>148.0390209273478, :middle_band=>168.2125, :upper_band=>188.38597907265222},
{:date_time=>"2018-12-24T00:00:00.000Z", :lower_band=>149.41938426834125, :middle_band=>169.08499999999998, :upper_band=>188.7506157316587},
{:date_time=>"2018-12-21T00:00:00.000Z", :lower_band=>153.6905118237551, :middle_band=>170.35799999999998, :upper_band=>187.02548817624486},
{:date_time=>"2018-12-20T00:00:00.000Z", :lower_band=>157.58081627897096, :middle_band=>171.6605, :upper_band=>185.74018372102907},
{:date_time=>"2018-12-19T00:00:00.000Z", :lower_band=>160.2737711222648, :middle_band=>172.66799999999998, :upper_band=>185.06222887773515},
{:date_time=>"2018-12-18T00:00:00.000Z", :lower_band=>161.48722339827833, :middle_band=>173.91649999999998, :upper_band=>186.34577660172164},
{:date_time=>"2018-12-17T00:00:00.000Z", :lower_band=>160.6411151779543, :middle_band=>175.28949999999995, :upper_band=>189.9378848220456},
{:date_time=>"2018-12-14T00:00:00.000Z", :lower_band=>161.3586392867227, :middle_band=>176.66299999999998, :upper_band=>191.96736071327726},
{:date_time=>"2018-12-13T00:00:00.000Z", :lower_band=>162.73753871102127, :middle_band=>177.72899999999998, :upper_band=>192.7204612889787},
{:date_time=>"2018-12-12T00:00:00.000Z", :lower_band=>162.83769519003326, :middle_band=>178.79299999999998, :upper_band=>194.7483048099667},
{:date_time=>"2018-12-11T00:00:00.000Z", :lower_band=>163.37450359253498, :middle_band=>180.04649999999998, :upper_band=>196.71849640746498},
{:date_time=>"2018-12-10T00:00:00.000Z", :lower_band=>162.797082234342, :middle_band=>181.8385, :upper_band=>200.879917765658},
{:date_time=>"2018-12-07T00:00:00.000Z", :lower_band=>162.2270311355715, :middle_band=>183.783, :upper_band=>205.33896886442847},
{:date_time=>"2018-12-06T00:00:00.000Z", :lower_band=>162.58630667652835, :middle_band=>185.856, :upper_band=>209.12569332347164},
{:date_time=>"2018-12-04T00:00:00.000Z", :lower_band=>163.34919566513827, :middle_band=>187.30850000000004, :upper_band=>211.2678043348618},
{:date_time=>"2018-12-03T00:00:00.000Z", :lower_band=>164.3311203741903, :middle_band=>188.55350000000004, :upper_band=>212.77587962580978},
{:date_time=>"2018-11-30T00:00:00.000Z", :lower_band=>164.11704019466114, :middle_band=>189.68650000000005, :upper_band=>215.25595980533896},
{:date_time=>"2018-11-29T00:00:00.000Z", :lower_band=>163.04822623308377, :middle_band=>191.8685, :upper_band=>220.68877376691626},
{:date_time=>"2018-11-28T00:00:00.000Z", :lower_band=>163.2435966888823, :middle_band=>193.83400000000003, :upper_band=>224.42440331111777},
{:date_time=>"2018-11-27T00:00:00.000Z", :lower_band=>164.31484291109825, :middle_band=>195.45200000000006, :upper_band=>226.58915708890186},
{:date_time=>"2018-11-26T00:00:00.000Z", :lower_band=>167.03813268520582, :middle_band=>197.35200000000003, :upper_band=>227.66586731479424},
{:date_time=>"2018-11-23T00:00:00.000Z", :lower_band=>169.9836589081704, :middle_band=>199.436, :upper_band=>228.8883410918296},
{:date_time=>"2018-11-21T00:00:00.000Z", :lower_band=>173.9574856242928, :middle_band=>201.81150000000002, :upper_band=>229.66551437570726},
{:date_time=>"2018-11-20T00:00:00.000Z", :lower_band=>177.92765761752017, :middle_band=>203.72700000000003, :upper_band=>229.5263423824799},
{:date_time=>"2018-11-19T00:00:00.000Z", :lower_band=>182.16105406114465, :middle_band=>206.0145, :upper_band=>229.86794593885534},
{:date_time=>"2018-11-16T00:00:00.000Z", :lower_band=>185.04223870650642, :middle_band=>207.75399999999996, :upper_band=>230.4657612934935},
{:date_time=>"2018-11-15T00:00:00.000Z", :lower_band=>186.80906188255153, :middle_band=>209.04299999999998, :upper_band=>231.27693811744842},
{:date_time=>"2018-11-14T00:00:00.000Z", :lower_band=>189.47053333403466, :middle_band=>210.27349999999996, :upper_band=>231.07646666596526},
{:date_time=>"2018-11-13T00:00:00.000Z", :lower_band=>193.84357681067348, :middle_band=>211.993, :upper_band=>230.1424231893265},
{:date_time=>"2018-11-12T00:00:00.000Z", :lower_band=>197.38090736241395, :middle_band=>213.48899999999998, :upper_band=>229.597092637586},
{:date_time=>"2018-11-09T00:00:00.000Z", :lower_band=>201.29218743765117, :middle_band=>214.6485, :upper_band=>228.00481256234886},
{:date_time=>"2018-11-08T00:00:00.000Z", :lower_band=>202.68427348053234, :middle_band=>215.5305, :upper_band=>228.37672651946764},
{:date_time=>"2018-11-07T00:00:00.000Z", :lower_band=>203.4002295525166, :middle_band=>215.82850000000002, :upper_band=>228.25677044748343},
{:date_time=>"2018-11-06T00:00:00.000Z", :lower_band=>204.03232701561498, :middle_band=>216.14900000000003, :upper_band=>228.26567298438508},
{:date_time=>"2018-11-05T00:00:00.000Z", :lower_band=>205.76564218562143, :middle_band=>217.30400000000003, :upper_band=>228.84235781437863}
]
expected_output = [
['2019-01-09', 141.02036711220762, 157.35499999999996, 173.6896328877923],
['2019-01-08', 141.07714470666247, 158.1695, 175.26185529333753],
['2019-01-07', 141.74551015326722, 159.05649999999997, 176.36748984673272],
['2019-01-04', 142.5717393007821, 160.39600000000002, 178.22026069921793],
['2019-01-03', 143.53956406332316, 161.8175, 180.09543593667684],
['2019-01-02', 145.3682834538487, 163.949, 182.52971654615132],
['2018-12-31', 145.53555575730587, 164.98199999999997, 184.42844424269407],
['2018-12-28', 145.90334076589886, 166.0725, 186.24165923410112],
['2018-12-27', 146.65592111904317, 167.308, 187.96007888095681],
['2018-12-26', 148.0390209273478, 168.2125, 188.38597907265222],
['2018-12-24', 149.41938426834125, 169.08499999999998, 188.7506157316587],
['2018-12-21', 153.6905118237551, 170.35799999999998, 187.02548817624486],
['2018-12-20', 157.58081627897096, 171.6605, 185.74018372102907],
['2018-12-19', 160.2737711222648, 172.66799999999998, 185.06222887773515],
['2018-12-18', 161.48722339827833, 173.91649999999998, 186.34577660172164],
['2018-12-17', 160.6411151779543, 175.28949999999995, 189.9378848220456],
['2018-12-14', 161.3586392867227, 176.66299999999998, 191.96736071327726],
['2018-12-13', 162.73753871102127, 177.72899999999998, 192.7204612889787],
['2018-12-12', 162.83769519003326, 178.79299999999998, 194.7483048099667],
['2018-12-11', 163.37450359253498, 180.04649999999998, 196.71849640746498],
['2018-12-10', 162.797082234342, 181.8385, 200.879917765658],
['2018-12-07', 162.2270311355715, 183.783, 205.33896886442847],
['2018-12-06', 162.58630667652835, 185.856, 209.12569332347164],
['2018-12-04', 163.34919566513827, 187.30850000000004, 211.2678043348618],
['2018-12-03', 164.3311203741903, 188.55350000000004, 212.77587962580978],
['2018-11-30', 164.11704019466114, 189.68650000000005, 215.25595980533896],
['2018-11-29', 163.04822623308377, 191.8685, 220.68877376691626],
['2018-11-28', 163.2435966888823, 193.83400000000003, 224.42440331111777],
['2018-11-27', 164.31484291109825, 195.45200000000006, 226.58915708890186],
['2018-11-26', 167.03813268520582, 197.35200000000003, 227.66586731479424],
['2018-11-23', 169.9836589081704, 199.436, 228.8883410918296],
['2018-11-21', 173.9574856242928, 201.81150000000002, 229.66551437570726],
['2018-11-20', 177.92765761752017, 203.72700000000003, 229.5263423824799],
['2018-11-19', 182.16105406114465, 206.0145, 229.86794593885534],
['2018-11-16', 185.04223870650642, 207.75399999999996, 230.4657612934935],
['2018-11-15', 186.80906188255153, 209.04299999999998, 231.27693811744842],
['2018-11-14', 189.47053333403466, 210.27349999999996, 231.07646666596526],
['2018-11-13', 193.84357681067348, 211.993, 230.1424231893265],
['2018-11-12', 197.38090736241395, 213.48899999999998, 229.597092637586],
['2018-11-09', 201.29218743765117, 214.6485, 228.00481256234886],
['2018-11-08', 202.68427348053234, 215.5305, 228.37672651946764],
['2018-11-07', 203.4002295525166, 215.82850000000002, 228.25677044748343],
['2018-11-06', 204.03232701561498, 216.14900000000003, 228.26567298438508],
['2018-11-05', 205.76564218562143, 217.30400000000003, 228.84235781437863]
].map { |o| { date_time: "#{o[0]}T00:00:00.000Z", lower_band: o[1], middle_band: o[2], upper_band: o[3] } }

expect(normalized_output).to eq(expected_output)
end
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 '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('bb')
end
it 'returns the symbol' do
expect(indicator.indicator_symbol).to eq('bb')
end

it 'Returns the name' do
indicator_name = indicator.indicator_name
expect(indicator_name).to eq('Bollinger Bands')
end
it 'returns the name' do
expect(indicator.indicator_name).to eq('Bollinger Bands')
end

it 'Returns the valid options' do
valid_options = indicator.valid_options
expect(valid_options).to eq(%i(period standard_deviations price_key))
end
it 'returns the valid options' do
expect(indicator.valid_options).to eq(%i[period standard_deviations price_key])
end

it 'Validates options' do
valid_options = { period: 22 }
options_validated = indicator.validate_options(valid_options)
expect(options_validated).to eq(true)
end
it 'validates options' do
valid_options = { period: 22 }
expect(indicator.validate_options(valid_options)).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 '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)
it 'calculates minimum data size' do
options = { period: 4 }
expect(indicator.min_data_size(options)).to eq(4)
end

it 'performs calculations within acceptable time limit' do
time_limit = 0.5 # seconds

execution_time = Benchmark.realtime do
indicator.calculate(input_data, period: 20, standard_deviations: 2, price_key: :close)
end

expect(execution_time).to be < time_limit
end
end
end