added momentum indicator

src/indicator/index.js

@@ -9,7 +9,8 @@ module.exports = function(d3) {
       atr = require('./atr')(indicatorMixin, accessor.ohlc, sma),
       circularbuffer = require('../util')().circularbuffer,
       sroc_init = require('./sroc'),
-      vwap = require('./vwap')(indicatorMixin, accessor.ohlc);
+      vwap = require('./vwap')(indicatorMixin, accessor.ohlc),
+      momentum = require('./momentum')(indicatorMixin, accessor.ohlc);
 
   return {
     atr: atr,
@@ -28,7 +29,8 @@ module.exports = function(d3) {
     williams: require('./williams')(indicatorMixin, accessor.ohlc, ema),
     adx: require('./adx')(d3.max, indicatorMixin, accessor.ohlc, ema),
     bollinger: require('./bollinger')(indicatorMixin, accessor.ohlc, sma),
-    vwap: vwap
+    vwap: vwap,
+    momentum: momentum
    };
 };
 

src/indicator/momentum.js

@@ -0,0 +1,56 @@
+'use strict';
+
+module.exports = function(indicatorMixin, accessor_ohlc) {  // Injected dependencies
+  return function() { // Closure function
+    var p = {},  // Container for private, direct access mixed in variables
+        pastSamples,
+        currentIndex;
+
+    function indicator(data) {
+        indicator.init();
+        return data.map(momentum).filter(function(d) { return d.value !== null; });
+    }
+
+    function momentum(d, i) {
+      var currentValue = p.accessor(d),
+          value = indicator.mom(currentValue);
+        //console.log({ date: p.accessor.d(d), value: value }, i, currentValue);
+        return { date: p.accessor.d(d), value: value };
+    }
+
+    indicator.mom = function(currentValue) {
+        var value = null;
+        var pastValue;
+
+        if (currentIndex+1 <= p.period) {
+            pastSamples.push(currentValue);
+        }
+        else {
+            var accessIndex = (currentIndex - p.period) % p.period;
+            pastValue = pastSamples[accessIndex];
+            pastSamples[accessIndex] = currentValue;
+        }
+
+        if (!!pastValue) {
+            value = currentValue - pastValue;
+            // round to 2 decimal points: value = Math.round((value + 0.0001) * 100) / 100;
+        }
+
+        currentIndex++;
+        return value;
+    };
+
+    indicator.init = function() {
+        pastSamples = [];
+        currentIndex = 0;
+        return indicator;
+    };
+
+    // Mixin 'superclass' methods and variables
+    indicatorMixin(indicator, p)
+      .accessor(accessor_ohlc())
+      .period(12);
+
+    return indicator;
+  };
+};

test/spec/bundle/_fixtures/data/momentum.js

@@ -1 +1,25 @@
-module.exports = [{ date: new Date(2014, 2, 5), momentum: -1.06 }];
+module.exports = {
+    input: [
+      { date: new Date("2020-05-01"), close: 44.34 }, // -5
+      { date: new Date("2020-05-02"), close: 44.09 }, // -4
+      { date: new Date("2020-05-03"), close: 44.15 }, // -3
+      { date: new Date("2020-05-04"), close: 43.61 }, // -2
+      { date: new Date("2020-05-05"), close: 44.33 }, // -1
+      { date: new Date("2020-05-06"), close: 44.83 }, // 0
+      { date: new Date("2020-05-07"), close: 43.59 }, // 1
+      { date: new Date("2020-05-08"), close: 43.33 }, // 2
+      { date: new Date("2020-05-09"), close: 42.01 }, // 3
+      { date: new Date("2020-05-10"), close: 43.21 }, // 4
+      { date: new Date("2020-05-11"), close: 43.99 }, // 5
+      { date: new Date("2020-05-12"), close: 44.32 }, // 6
+    ],
+    expected: [
+      { date: new Date("2020-05-06"), value:  0.49 },
+      { date: new Date("2020-05-07"), value: -0.50 },
+      { date: new Date("2020-05-08"), value: -0.82},
+      { date: new Date("2020-05-09"), value: -1.60},
+      { date: new Date("2020-05-10"), value: -1.12},
+      { date: new Date("2020-05-11"), value: -0.84},
+      { date: new Date("2020-05-12"), value:  0.73},
+    ]
+  };

test/spec/bundle/indicator/momentumSpec.js

@@ -0,0 +1,36 @@
+techanModule('indicator/momentum', function(specBuilder) {
+    'use strict';
+
+    var techan = require('../../../../src/techan'),
+        data = require('./../_fixtures/data/momentum');
+
+    var actualInit = function() {
+      return techan.indicator.momentum;
+    };
+
+    specBuilder.require(require('../../../../src/indicator/momentum'), function(instanceBuilder) {
+      instanceBuilder.instance('actual', actualInit, function(scope) {
+        describe('And momentum is initialised with period(5)', function () {
+          var momentum;
+
+          beforeEach(function () {
+            momentum = scope.momentum.period(5); // reduce window to 5 day (against default 12)
+          });
+
+          it('Then on default invoke, momentum should calculate correct values', function() {
+            var mom = momentum(data.input);
+            expect(mom.length).toEqual(data.expected.length);
+
+            var accessor = techan.accessor.value();
+
+            mom.forEach(function(d, i) {
+              // round to 2 decimal digits for test comparation
+              accessor.v(d, Math.round((accessor.v(d) + 0.0001) * 100) / 100);
+              //console.log("rawValue/rounded", rawValue, roundedValue);
+              expect(d).toEqual(data.expected[i]);
+            });
+          });
+        });
+      });
+    });
+  });

test/spec/common/techanSpec.js

@@ -138,6 +138,14 @@ function techanSpec(techan) {
       expect(techan.indicator.wilderma()).toBeDefined();
     });
 
+    it('Then techan.indicator.momentum should be defined', function () {
+      expect(techan.indicator.momentum).toBeDefined();
+    });
+
+    it('Then techan.indicator.momentum can be constructed', function () {
+      expect(techan.indicator.momentum()).toBeDefined();
+    });
+
     it('Then techan.plot should be defined', function () {
       expect(techan.plot).toBeDefined();
     });