Merge branch 'master' into ib-fix-cci

NEWS.md

@@ -3,6 +3,8 @@
 * New indicator:
   * Kaufman's Adaptive Moving Average (issue #76)
 
+  * ROC (issue #82)
+
 * doc: migrate to `Documenter.jl`, and the online doc is available at github
   pages. (issue #63, #58, #69)
 

docs/make.jl

@@ -14,6 +14,7 @@ makedocs(
         "volatility.md",
         "volume.md",
         "candlesticks.md",
+        "utils.md",
     ]
 )
 

docs/src/index.md

@@ -15,5 +15,6 @@ Pages = [
     "volatility.md",
     "volume.md",
     "candlesticks.md",
+    "utils.md",
 ]
 ```

docs/src/ma.md

@@ -25,3 +25,17 @@ using MarketTechnicals
 
 ema(cl, 10, wilder=true)
 ```
+
+## Kaufman's Adaptive Moving Average
+
+```@docs
+kama
+```
+
+
+```@repl
+using MarketData
+using MarketTechnicals
+
+kama(cl)
+```

docs/src/momentum.md

@@ -38,3 +38,16 @@ using MarketTechnicals
 
 cci(ohlc)
 ```
+
+## ROC
+
+```@docs
+roc
+```
+
+```@repl
+using MarketData
+using MarketTechnicals
+
+roc(cl, 5)
+```

docs/src/utils.md

@@ -0,0 +1,14 @@
+# Utilities
+
+## Typical Price
+
+```@docs
+typical
+```
+
+```@repl
+using MarketData
+using MarketTechnicals
+
+merge(ohlc, typical(ohlc))
+```

src/MarketTechnicals.jl

@@ -10,7 +10,7 @@ export sma, ema, kama,
        bollingerbands, truerange, atr, #keltnerbands,
        obv, vwap,
        doji,
-       rsi, macd, cci,
+       rsi, macd, cci, roc,
        floorpivots, woodiespivots,
        typical
 

src/momentum.jl

@@ -92,3 +92,24 @@ function macd{T,N}(ta::TimeArray{T,N},
 
     merge(merge(osc, dif), sig, colnames=new_cols)
 end
+
+doc"""
+    roc
+
+Rate of Change
+
+**Formula**:
+
+```math
+    roc = \frac{close_{t} - close_{t-n}}{close_{t-n}}
+```
+
+**Reference**:
+
+- [Wikipedia](https://en.wikipedia.org/wiki/Momentum_(technical_analysis))
+
+"""
+function roc(ta::TimeArray, n::Integer)
+    prev = lag(ta, n)
+    rename((ta .- prev) ./ prev, ["$c\_roc_$n" for c ∈ ta.colnames])
+end

src/utilities.jl

@@ -1,5 +1,14 @@
+doc"""
+    typical(ohlc; h="High", l="Low", c="Close")
+
+Typical Price
+
+```math
+    \text{Typical Price} = \frac{H + L + C}{3}
+```
+"""
 function typical{T,N}(ohlc::TimeArray{T,N}; h="High", l="Low", c="Close")
-    val = (ohlc[h] .+ ohlc[l] .+ ohlc[c]) ./3
+    val = (ohlc[h] .+ ohlc[l] .+ ohlc[c]) ./ 3
     TimeArray(val.timestamp, val.values, ["typical"], ohlc.meta)
 end
 

test/momentum.jl

@@ -39,9 +39,17 @@ facts("Momentum") do
 
      context("cci") do
         # TTR::CCI value is -38.931614
-        @fact cci(ohlc).values[1]      --> roughly(-38.931614, atol=01)
+        @fact cci(ohlc).values[1]      --> roughly(-38.931614, atol=.01)
         # TTR::CCI value is 46.3511339
         @fact cci(ohlc).values[end]    --> roughly(46.3511339, atol=.01)
         @fact cci(ohlc).timestamp[end] --> Date(2001, 12, 31)
      end
+
+    context("roc") do
+        ta = roc(cl, 3)
+        @fact ta.colnames      --> ["Close_roc_3"]
+        @fact ta.values[1]     --> roughly(-0.15133107021618722, atol=.01)
+        @fact ta.values[2]     --> roughly(-0.02926829268292683, atol=.01)
+        @fact ta.values[3]     --> roughly(-0.06009615384615385, atol=.01)
+    end
 end

test/runtests.jl

@@ -4,8 +4,9 @@ using MarketTechnicals
 
 include("candlesticks.jl")
 include("levels.jl")
-include("movingaverages.jl")
 include("momentum.jl")
+include("movingaverages.jl")
+include("utilities.jl")
 include("volatility.jl")
 include("volume.jl")
 

test/utilities.jl

@@ -1,14 +1,13 @@
 facts("Utilities") do
 
-    context("Base.abs returns all positive numbers") do
-        @fact sum((abs(cl .- op) .>= 0).values) --> length(cl)
-    end
+    context("typical price") do
 
-    context("pad correctly pads NaN values for non-existent values") do
-        @fact sum((abs(cl .- op) .>= 0).values) --> length(cl)
-    end
+        ts = collect(Date(2017, 5, 1):Date(2017, 5, 5))
+        ta = typical(
+                TimeArray(ts, reshape(1:15, (5, 3)), ["High", "Low", "Close"]))
 
-    context("pad correctly pads NaN values for missing values") do
-        @fact sum((abs(cl .- op) .>= 0).values) --> length(cl)
+        @fact ta.timestamp[1]   --> Date(2017, 5, 1)
+        @fact ta.timestamp[end] --> Date(2017, 5, 5)
+        @fact ta.values         --> [6, 7, 8, 9, 10]
     end
 end