Adding first version of math.finance.

extra/math/finance/authors.txt

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+John Benediktsson

extra/math/finance/finance-docs.factor

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+! Copyright (C) 2008 John Benediktsson
+! See http://factorcode.org/license.txt for BSD license
+
+USING: help.markup help.syntax ;
+
+IN: math.finance
+
+HELP: enumerate
+{ $values { "seq" "a sequence" } { "newseq" "a sequence" } }
+{ $description "Returns a new sequence where each element is an array of { value, index }" } ;
+
+HELP: sma
+{ $values { "seq" "a sequence" } { "n" "number of periods" } { "newseq" "a sequence" } }
+{ $description "Returns the Simple Moving Average with the specified periodicity." } ;
+
+HELP: ema
+{ $values { "seq" "a sequence" } { "n" "number of periods" } { "newseq" "a sequence" } }
+{ $description 
+    "Returns the Exponential Moving Average with the specified periodicity, calculated by:\n" 
+    { $list 
+        "A = 2.0 / (N + 1)"
+        "EMA[t] = (A * SEQ[t]) + ((1-A) * EMA[t-1])" }
+} ;
+
+HELP: macd
+{ $values { "seq" "a sequence" } { "n1" "short number of periods" } { "n2" "long number of periods" } { "newseq" "a sequence" } }
+{ $description 
+    "Returns the Moving Average Converge of the sequence, calculated by:\n"
+    { $list "MACD[t] = EMA2[t] - EMA1[t]" }
+} ;
+
+HELP: momentum
+{ $values { "seq" "a sequence" } { "n" "number of periods" } { "newseq" "a sequence" } }
+{ $description
+    "Returns the Momentum of the sequence, calculated by:\n"
+    { $list "MOM[t] = SEQ[t] - SEQ[t-n]" }
+} ;
+

extra/math/finance/finance-tests.factor

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+USING: kernel math math.functions math.finance tools.test ;
+
+IN: math.finance.tests
+
+[ { 2 4 } ] [ { 1 3 5 } 2 sma ] unit-test
+
+[ { 1 3 1 } ] [ { 1 3 2 6 3 } 2 momentum ] unit-test
+

extra/math/finance/finance.factor

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+! Copyright (C) 2008 John Benediktsson
+! See http://factorcode.org/license.txt for BSD license
+
+USING: arrays kernel grouping math math.statistics sequences ;
+
+IN: math.finance
+
+: enumerate ( seq -- newseq )
+    #! Returns a sequence where each element and its index
+    -1 swap [ [ 1+ ] dip swap [ 2array ] keep swap ] { } map-as swap drop ;
+
+: ema ( seq n -- newseq )
+    #! An exponentially-weighted moving average:
+    #! A = 2.0 / (N + 1)
+    #! EMA[t] = (A * VAL[t]) + ((1-A) * EMA[t-1])
+    1+ 2.0 swap / dup 1 swap - swap rot
+    [ [ dup ] dip * ] map swap drop 0 swap
+    [ [ dup ] 2dip [ * ] dip + dup ] map 
+    [ drop drop ] dip 1 tail-slice >array ;
+
+: sma ( seq n -- newseq )
+    #! Simple moving average
+    clump [ mean ] map ;
+
+: macd ( seq n1 n2 -- newseq )
+    #! Moving Average Convergence Divergence
+    #! MACD[t] = EMA2[t] - EMA1[t]
+    rot dup ema [ swap ema ] dip [ - ] 2map ;
+
+: momentum ( seq n -- newseq )
+    #! Momentum
+    #! M[t] = P[t] - P[t-n]
+    2dup tail-slice -rot swap [ length ] keep
+    [ - neg ] dip swap head-slice [ - ] 2map ;
+
+

extra/math/finance/summary.txt

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+Moving averages and other calculations useful for finance.