gogoFortune

移動平均やボリンジャーバンドなどは、Rubyで比較的簡単に自分でも作れるのですが、RCIなど作ろうと思ったら面倒になってきたので、Rubygemで、テクニカル分析用のライブラリーを探してみました。

C++ではTA-Lib : Technical Analysis Library - Homeが有名のようです

インディケーターの数も多く、単体で使えそうなのは、indicatorsとtechnical-analysisですね。 しかし、RCIがないです。自分で作るしかなさそうですね。

テクニカル分析用のライブラリー Rubygem

• talib_ruby
  • Star54
  • 累計ダウンロード数16,181
  • 現行バージョン4,616
  • → TA-Libが必要

• indicators
  • Star50
  • 累計ダウンロード数12,494
  • 現行バージョン5,334
  • → Williams %Rなどあるが、RCIがない

• ta-indicator
  • Star57
  • 累計ダウンロード数7,627
  • 現行バージョン4,384
  • → TA-Libが必要

• signal_tools
  • Star27
  • 累計ダウンロード数7,515
  • 現行バージョン1,559
  • → RCIがない

• trading_formulas
  • 累計ダウンロード数3,324
  • 現行バージョン2,003
  • → オプション用かな

• rtalib
  • Star0
  • 累計ダウンロード数2,203
  • 現行バージョン2,203
  • → RCIがない

• technical-analysis
  • Star5
  • 累計ダウンロード数1,097
  • 現行バージョン720
  • → Williams %Rなどあるが、RCIがない

indicators

• SMA
• EMA
• Bollinger Bands
• MACD
• RSI
• STO
• CMA
• WMA
• MMA
• ROC
• CCI
• Williams %R
• ADX
• Parabolic SAR
• StochRSI

technical-analysis

• Accumulation/Distribution Index (ADI)
• Average Daily Trading Volume (ADTV)
• Average Directional Index (ADX)
• Awesome Oscillator (AO)
• Average True Range (ATR)
• Bollinger Bands (BB)
• Commodity Channel Index (CCI)
• Chaikin Money Flow (CMF)
• Cumulative Return (CR)
• Donchian Channel (DC)
• Daily Log Return (DLR)
• Detrended Price Oscillator (DPO)
• Daily Return (DR)
• Ease of Movement (EOM)
• Force Index (FI)
• Ichimoku Kinko Hyo (ICHIMOKU)
• Keltner Channel (KC)
• Know Sure Thing (KST)
• Moving Average Convergence Divergence (MACD)
• Money Flow Index (MFI)
• Mass Index (MI)
• Negative Volume Index (NVI)
• On-balance Volume (OBV)
• On-balance Volume Mean (OBV_MEAN)
• Relative Strength Index (RSI)
• Simple Moving Average (SMA)
• Stochastic Oscillator (SR)
• Triple Exponential Average (TRIX)
• True Strength Index (TSI)
• Ultimate Oscillator (UO)
• Vortex Indicator (VI)
• Volume-price Trend (VPT)
• Volume Weighted Average Price (VWAP)
• Williams %R (WR)

TA-Lib

• Chaikin A/D Line
• Chaikin A/D Oscillator
• Average Directional Movement Index
• Average Directional Movement Index Rating
• Absolute Price Oscillator
• Aroon
• Aroon Oscillator
• Average True Range
• Average Price
• Bollinger Bands
• Beta
• Balance Of Power
• Commodity Channel Index
• Two Crows
• Three Black Crows
• Three Inside Up/Down
• Three-Line Strike
• Three Outside Up/Down
• Three Stars In The South
• Three Advancing White Soldiers
• Abandoned Baby
• Advance Block
• Belt-hold
• Breakaway
• Closing Marubozu
• Concealing Baby Swallow
• Counterattack
• Dark Cloud Cover
• Doji
• Doji Star
• Dragonfly Doji
• Engulfing Pattern
• Evening Doji Star
• Evening Star
• Up/Down-gap side-by-side white lines
• Gravestone Doji
• Hammer
• Hanging Man
• Harami Pattern
• Harami Cross Pattern
• High-Wave Candle
• Hikkake Pattern
• Modified Hikkake Pattern
• Homing Pigeon
• Identical Three Crows
• In-Neck Pattern
• Inverted Hammer
• Kicking
• Kicking - bull/bear determined by the longer marubozu
• Ladder Bottom
• Long Legged Doji
• Long Line Candle
• Marubozu
• Matching Low
• Mat Hold
• Morning Doji Star
• Morning Star
• On-Neck Pattern
• Piercing Pattern
• Rickshaw Man
• Rising/Falling Three Methods
• Separating Lines
• Shooting Star
• Short Line Candle
• Spinning Top
• Stalled Pattern
• Stick Sandwich
• Takuri (Dragonfly Doji with very long lower shadow)
• Tasuki Gap
• Thrusting Pattern
• Tristar Pattern
• Unique 3 River
• Upside Gap Two Crows
• Upside/Downside Gap Three Methods
• Chande Momentum Oscillator
• Pearson’s Correlation Coefficient (r)
• Double Exponential Moving Average
• Directional Movement Index
• Exponential Moving Average
• Hilbert Transform - Dominant Cycle Period
• Hilbert Transform - Dominant Cycle Phase
• Hilbert Transform - Phasor Components
• Hilbert Transform - SineWave
• Hilbert Transform - Instantaneous Trendline
• Hilbert Transform - Trend vs Cycle Mode
• Kaufman Adaptive Moving Average
• Linear Regression
• Linear Regression Angle
• Linear Regression Intercept
• Linear Regression Slope
• All Moving Average
• Moving Average Convergence/Divergence
• MACD with controllable MA type
• Moving Average Convergence/Divergence Fix 12/26
• MESA Adaptive Moving Average
• Highest value over a specified period
• Index of highest value over a specified period
• Median Price
• Money Flow Index
• MidPoint over period
• Midpoint Price over period
• Lowest value over a specified period
• Index of lowest value over a specified period
• Lowest and highest values over a specified period
• Indexes of lowest and highest values over a specified period
• Minus Directional Indicator
• Minus Directional Movement
• Momentum
• Normalized Average True Range
• On Balance Volume
• Plus Directional Indicator
• Plus Directional Movement
• Percentage Price Oscillator
• Rate of change : ((price/prevPrice)-1)*100
• Rate of change Percentage: (price-prevPrice)/prevPrice
• Rate of change ratio: (price/prevPrice)
• Rate of change ratio 100 scale: (price/prevPrice)*100
• Relative Strength Index
• Parabolic SAR
• Parabolic SAR - Extended
• Simple Moving Average
• Standard Deviation
• Stochastic
• Stochastic Fast
• Stochastic Relative Strength Index
• Summation
• Triple Exponential Moving Average (T3)
• Triple Exponential Moving Average
• True Range
• Triangular Moving Average
• 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
• Time Series Forecast
• Typical Price
• Ultimate Oscillator
• Variance
• Weighted Close Price
• Williams %R
• Weighted Moving Average