Class: TechnicalAnalysis::Dlr

Inherits:
Indicator show all
Defined in:
lib/technical_analysis/indicators/dlr.rb

Overview

Daily Log Return

Class Method Summary collapse

Methods inherited from Indicator

find, roster

Class Method Details

.calculate(data, price_key: :value) ⇒ Array<DlrValue>

Calculates the daily log return (percent expressed as a decimal) for the data over the given period www.quora.com/What-are-daily-log-returns-of-an-equity en.wikipedia.org/wiki/Rate_of_return#Logarithmic_or_continuously_compounded_return



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# File 'lib/technical_analysis/indicators/dlr.rb', line 53

def self.calculate(data, price_key: :value)
  price_key = price_key.to_sym
  Validation.validate_numeric_data(data, price_key)
  Validation.validate_length(data, min_data_size({}))
  Validation.validate_date_time_key(data)

  data = data.sort_by { |row| row[:date_time] }

  output = []
  prev_price = data.first[price_key].to_f

  data.each do |v|
    current_price = v[:close].to_f

    output << DlrValue.new(date_time: v[:date_time], dlr: Math.log(current_price / prev_price))

    prev_price = current_price
  end

  output.sort_by(&:date_time).reverse
end

.indicator_name ⇒ String

Returns the name of the technical indicator



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# File 'lib/technical_analysis/indicators/dlr.rb', line 15

def self.indicator_name
  "Daily Log Return"
end

.indicator_symbol ⇒ String

Returns the symbol of the technical indicator



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# File 'lib/technical_analysis/indicators/dlr.rb', line 8

def self.indicator_symbol
  "dlr"
end

.min_data_size(**params) ⇒ Integer

Calculates the minimum number of observations needed to calculate the technical indicator



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# File 'lib/technical_analysis/indicators/dlr.rb', line 41

def self.min_data_size(**params)
  1
end

.valid_options ⇒ Array

Returns an array of valid keys for options for this technical indicator



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# File 'lib/technical_analysis/indicators/dlr.rb', line 22

def self.valid_options
  %i(price_key)
end

.validate_options(options) ⇒ Boolean

Validates the provided options for this technical indicator



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# File 'lib/technical_analysis/indicators/dlr.rb', line 31

def self.validate_options(options)
  Validation.validate_options(options, valid_options)
end