Adding first version of math.finance.
parent
388bf88d0f
commit
7435df7684
|
@ -0,0 +1 @@
|
|||
John Benediktsson
|
|
@ -0,0 +1,38 @@
|
|||
! 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]" }
|
||||
} ;
|
||||
|
|
@ -0,0 +1,8 @@
|
|||
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
|
||||
|
|
@ -0,0 +1,36 @@
|
|||
! 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 ;
|
||||
|
||||
|
|
@ -0,0 +1 @@
|
|||
Moving averages and other calculations useful for finance.
|
Loading…
Reference in New Issue