Merge pull request #82 from JuliaQuant/ib-roc

momentum: implement indicator -> ROC

docs/src/momentum.md

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

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

@@ -86,3 +86,24 @@ 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

test/momentum.jl

@@ -37,9 +37,17 @@ facts("Momentum") do
         @fact ta.timestamp[end]       --> Date(2001, 12, 31)
     end
 
-     context("cci") do
+    context("cci") do
         @fact cci(ohlc).values[1]      --> roughly(360.765, atol=01)      # TTR::CCI value is -38.931614
         @fact cci(ohlc).values[end]    --> roughly(44.651, atol=.01)      # TTR::CCI value is 46.3511339
         @fact cci(ohlc).timestamp[end] --> Date(2001,12,31)
-     end
+    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