momentum: Implement stochastic oscillator (#96)

docs/src/momentum.md

@@ -77,3 +77,16 @@ using MarketTechnicals
 
 roc(cl, 5)
 ```
+
+## Stochastic Oscillator
+
+```@docs
+stoch_osc
+```
+
+```@repl
+using MarketData
+using MarketTechnicals
+
+stoch_osc(ohlc)
+```

src/MarketTechnicals.jl

@@ -10,7 +10,7 @@ export sma, ema, kama,
        bollingerbands, truerange, atr, keltnerbands, chaikinvolatility, donchian_channels,
        obv, vwap, adl,
        doji,
-       rsi, macd, cci, roc, adx, chaikin_osc,
+       rsi, macd, cci, roc, adx, stoch_osc, chaikin_osc,
        floorpivots, woodiespivots,
        typical
 

src/momentum.jl

@@ -173,3 +173,48 @@ function adx{T,N}(ohlc::TimeArray{T,N}, n::Integer=14;
 
     rename(merge(adx, merge(dx, di)), ["adx", "dx", "+di", "-di"])
 end
+
+doc"""
+    stoch_osc(ohlc, n=14, fast_d=3, slow_d=3; h="High", l="Low", c="Close")
+
+**Stochastic Oscillator**
+
+A.k.a *%K%D*, or *KD*
+
+**Parameter**
+
+- `n`: period of fast(raw) `%K`
+
+- `fast_d`: MA period of fast `%D`
+
+- `slow_d`: MA period of slow `%D`
+
+**Formula**
+
+```math
+    \begin{align*}
+        fast\ \%K & = \frac{Close_t - \max(High_{t-n}, \dots, High_t)}
+            {\max(High_{t-n}, \dots, High_t) - \min(Low_{t-n}, \dots, Low_t)}
+            \times 100 \\
+        fast\ \%D & = SMA(fast\ \%K) \\
+        slow\ \%D & = SMA(fast\ \%D)
+    \end{align*}
+```
+
+**Reference**
+
+- [Wikipedia]
+  (https://en.wikipedia.org/wiki/Stochastic_oscillator)
+
+- [FMLabs]
+  (http://www.fmlabs.com/reference/default.htm?url=StochasticOscillator.htm)
+"""
+function stoch_osc(ohlc::TimeArray, n::Integer=14, fast_d::Integer=3,
+                   slow_d::Integer=3; h="High", l="Low", c="Close")
+    high = moving(ohlc[h], maximum, n)
+    low = moving(ohlc[l], minimum, n)
+    fast_k = rename((ohlc[c] .- low) ./ (high .- low) * 100, "fast_k")
+    fast_d = rename(sma(fast_k, fast_d), "fast_d")
+    slow_d = rename(sma(fast_d, slow_d), "slow_d")
+    merge(merge(fast_k, fast_d), slow_d)
+end

test/momentum.jl

@@ -95,4 +95,29 @@ facts("Momentum") do
         @fact ta.values[1, 4] --> roughly(23.4383, atol=.01)
         @fact ta.timestamp[1] --> Date(2000, 2, 10)
     end
+
+    context("stochastic osc") do
+        """
+        Quote from TTR
+        > stoch(x[, c("High", "Low", "Close")], maType=SMA)
+                     fastK      fastD      slowD
+         [18,] 0.671428571 0.69466667 0.67441270
+         [19,] 0.432000000 0.59342857 0.64901587
+         [20,] 0.492857143 0.53209524 0.60673016
+         [21,] 0.392857143 0.43923810 0.52158730
+         [22,] 0.217586207 0.36776683 0.44636672
+         [23,] 0.326296296 0.31224655 0.37308382
+         [24,] 0.500000000 0.34796083 0.34265807
+         [25,] 0.724444444 0.51691358 0.39237365
+         [26,] 0.754814815 0.65975309 0.50820917
+         [27,] 0.801061008 0.76010676 0.64559114
+         [28,] 0.839964633 0.79861349 0.73949111
+        """
+        ta = stoch_osc(ohlc)
+        @fact ta.colnames     --> ["fast_k", "fast_d", "slow_d"]
+        @fact ta.timestamp    --> ohlc[18:end].timestamp
+        @fact ta.values[1, 1] --> roughly(67.142857, atol=.01)
+        @fact ta.values[1, 2] --> roughly(69.466667, atol=.01)
+        @fact ta.values[1, 3] --> roughly(67.441270, atol=.01)
+    end
 end