├── .gitignore ├── .idea ├── .name ├── compiler.xml ├── misc.xml ├── modules.xml ├── scala_compiler.xml └── vcs.xml ├── .travis.yml ├── LICENSE ├── ParseIFTTStockEtf.iml ├── README.md ├── pom.xml └── src ├── data ├── sjnk.csv └── txn-no_headers.csv └── main └── scala └── com └── quant ├── Parse ├── CsvUtil.scala ├── GoogleFinanceParse.scala └── IFTTTParse.scala ├── StockEtfData.scala ├── TechAnalysis ├── Average.scala └── Fibo.scala └── Tree ├── Sort.scala └── Tree.scala /.gitignore: -------------------------------------------------------------------------------- 1 | # Scala Specific 2 | *.class 3 | *.log 4 | 5 | # Covers JetBrains IDEs: IntelliJ, RubyMine, PhpStorm, AppCode, PyCharm, CLion, Android Studio and Webstorm 6 | # Reference: https://intellij-support.jetbrains.com/hc/en-us/articles/206544839 7 | 8 | # User-specific stuff: 9 | .idea/**/workspace.xml 10 | .idea/**/tasks.xml 11 | .idea/dictionaries 12 | .idea/kotlinc.xml 13 | # Sensitive or high-churn files: 14 | .idea/**/dataSources/ 15 | .idea/**/dataSources.ids 16 | .idea/**/dataSources.xml 17 | .idea/**/dataSources.local.xml 18 | .idea/**/sqlDataSources.xml 19 | .idea/**/dynamic.xml 20 | .idea/**/uiDesigner.xml 21 | 22 | # Gradle: 23 | .idea/**/gradle.xml 24 | .idea/**/libraries 25 | 26 | #Maven 27 | target/ 28 | 29 | # Mongo Explorer plugin: 30 | .idea/**/mongoSettings.xml 31 | 32 | ## File-based project format: 33 | *.iws 34 | 35 | target/ 36 | 37 | ## Plugin-specific files: 38 | 39 | # IntelliJ 40 | /out/ 41 | 42 | # mpeltonen/sbt-idea plugin 43 | .idea_modules/ 44 | 45 | # JIRA plugin 46 | atlassian-ide-plugin.xml 47 | 48 | # Cursive Clojure plugin 49 | .idea/replstate.xml 50 | 51 | # Crashlytics plugin (for Android Studio and IntelliJ) 52 | com_crashlytics_export_strings.xml 53 | crashlytics.properties 54 | crashlytics-build.properties 55 | fabric.properties 56 | 57 | # Windows thumbnail cache files 58 | Thumbs.db 59 | ehthumbs.db 60 | ehthumbs_vista.db 61 | 62 | # Folder config file 63 | Desktop.ini 64 | 65 | # Recycle Bin used on file shares 66 | $RECYCLE.BIN/ 67 | 68 | # Windows Installer files 69 | *.cab 70 | *.msi 71 | *.msm 72 | *.msp 73 | 74 | # Windows shortcuts 75 | *.lnk 76 | 77 | /lib -------------------------------------------------------------------------------- /.idea/.name: -------------------------------------------------------------------------------- 1 | ParseIFTTStockEtf -------------------------------------------------------------------------------- /.idea/compiler.xml: -------------------------------------------------------------------------------- 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | -------------------------------------------------------------------------------- /.idea/misc.xml: -------------------------------------------------------------------------------- 1 | 2 | 3 | 4 | 9 | 10 | 11 | 12 | 13 | -------------------------------------------------------------------------------- /.idea/modules.xml: -------------------------------------------------------------------------------- 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | -------------------------------------------------------------------------------- /.idea/scala_compiler.xml: -------------------------------------------------------------------------------- 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | -------------------------------------------------------------------------------- /.idea/vcs.xml: -------------------------------------------------------------------------------- 1 | 2 | 3 | 4 | 5 | 6 | -------------------------------------------------------------------------------- /.travis.yml: -------------------------------------------------------------------------------- 1 | install: mvn install 2 | language: scala -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- 1 | MIT License 2 | 3 | Copyright (c) 2017 Frank Cash 4 | 5 | Permission is hereby granted, free of charge, to any person obtaining a copy 6 | of this software and associated documentation files (the "Software"), to deal 7 | in the Software without restriction, including without limitation the rights 8 | to use, copy, modify, merge, publish, distribute, sublicense, and/or sell 9 | copies of the Software, and to permit persons to whom the Software is 10 | furnished to do so, subject to the following conditions: 11 | 12 | The above copyright notice and this permission notice shall be included in all 13 | copies or substantial portions of the Software. 14 | 15 | THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR 16 | IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, 17 | FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE 18 | AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER 19 | LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, 20 | OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE 21 | SOFTWARE. -------------------------------------------------------------------------------- /ParseIFTTStockEtf.iml: -------------------------------------------------------------------------------- 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | 24 | 25 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | # Scala Quant 2 | 3 | This is a project to explore market data. 4 | 5 | This project is designed to work with a specific IFTTT plugin: [Keep track of a particular stock's daily closing price in a spreadsheet](https://ifttt.com/applets/117304p-keep-track-of-a-particular-stock-s-daily-closing-price-in-a-spreadsheet) 6 | 7 | This project is also designed to work with a CSV of historical data downloaded from Google Finance. 8 | 9 | ## Utilizing 10 | 11 | Download the `CSV` file for your desired Stock/ETF. 12 | 13 | 14 | ## Functions 15 | 16 | `avgResistance(data:List[List[Double]]): Double` 17 | 18 | Calculates the [average resistance](http://www.investopedia.com/articles/technical/061801.asp) based local maxes from split lists. Takes maximum values from the split lists and then generates an average using the amount of split lists. 19 | 20 | `avgSupport(data:List[List[Double]]): Double` 21 | 22 | Calculates the [average support](http://www.investopedia.com/articles/technical/061801.asp) based local maxes from split lists. Takes minimum values from the split lists and then generates an average using the amount of split lists. 23 | 24 | `movingAvg(movingAvgSize:Double, data:List[Double] ): Double` 25 | 26 | Calculates [moving average](http://www.investopedia.com/terms/m/movingaverage.asp). The amount of days is pre-defined to 10. 27 | 28 | `fibRetracementValues(high:Double, low:Double): List[Double]` 29 | 30 | Calculates [Fibonacci Retracement](http://www.investopedia.com/ask/answers/05/fibonacciretracement.asp) values for the given high and low. Predefined ratios for the retracement values are: 23.6%, 38.2%, 50.0%, 0.618%, 100%. 31 | 32 | ## Configuration 33 | 34 | It is also able to configure how many days should be grouped into the lists for calculating the average resistance and support. Edit `final val step = 5`. 35 | 36 | The moving average size can be changed. Edit ` final val movingAvgSize = 10` 37 | 38 | ### License 39 | 40 | MIT 41 | -------------------------------------------------------------------------------- /pom.xml: -------------------------------------------------------------------------------- 1 | 2 | 5 | 4.0.0 6 | quant.com.scalastock 7 | ParseIFTTStockEtf 8 | 1.0-SNAPSHOT 9 | 10 | 2.11.8 11 | 2.2.0 12 | 1.7 13 | 1.7 14 | 15 | 16 | 17 | org.scalatest 18 | scalatest_2.10 19 | ${scalaTest.version} 20 | test 21 | 22 | 23 | org.scala-lang 24 | scala-library 25 | ${scala.version} 26 | 27 | 28 | org.pegdown 29 | pegdown 30 | 1.2.1 31 | test 32 | 33 | 34 | junit 35 | junit 36 | 4.8.1 37 | test 38 | 39 | 40 | 41 | 42 | 43 | org.scala-tools 44 | maven-scala-plugin 45 | 2.15.2 46 | 47 | 48 | scala-compile 49 | 50 | compile 51 | testCompile 52 | 53 | 54 | 55 | -dependencyfile 56 | ${project.build.directory}/.scala_dependencies 57 | 58 | 59 | 60 | 61 | 62 | 76 | 77 | org.scalatest 78 | scalatest-maven-plugin 79 | 1.0-M2 80 | 81 | ${project.build.directory}/surefire-reports 82 | W 83 | 84 | 85 | 86 | scala-test 87 | 88 | test 89 | 90 | 91 | 92 | 93 | 94 | 95 | 96 | 97 | 98 | net.alchim31.maven 99 | scala-maven-plugin 100 | 101 | 102 | 103 | 104 | -------------------------------------------------------------------------------- /src/data/sjnk.csv: -------------------------------------------------------------------------------- 1 | "February 24 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,28.11,http://finance.yahoo.com/q?s=SJNK,"February 24, 2017" 2 | "February 27 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,28.13,http://finance.yahoo.com/q?s=SJNK,"February 27, 2017" 3 | "February 28 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,28.14,http://finance.yahoo.com/q?s=SJNK,"February 28, 2017" 4 | "March 01 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,28.09,http://finance.yahoo.com/q?s=SJNK,"March 01, 2017" 5 | "March 02 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,28.04,http://finance.yahoo.com/q?s=SJNK,"March 02, 2017" 6 | "March 03 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,28.06,http://finance.yahoo.com/q?s=SJNK,"March 03, 2017" 7 | "March 06 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.97,http://finance.yahoo.com/q?s=SJNK,"March 06, 2017" 8 | "March 07 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.88,http://finance.yahoo.com/q?s=SJNK,"March 07, 2017" 9 | "March 08 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.77,http://finance.yahoo.com/q?s=SJNK,"March 08, 2017" 10 | "March 09 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.69,http://finance.yahoo.com/q?s=SJNK,"March 09, 2017" 11 | "March 10 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.695,http://finance.yahoo.com/q?s=SJNK,"March 10, 2017" 12 | "March 13 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.71,http://finance.yahoo.com/q?s=SJNK,"March 13, 2017" 13 | "March 14 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.65,http://finance.yahoo.com/q?s=SJNK,"March 14, 2017" 14 | "March 15 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.89,http://finance.yahoo.com/q?s=SJNK,"March 15, 2017" 15 | "March 16 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.785,http://finance.yahoo.com/q?s=SJNK,"March 16, 2017" 16 | "March 17 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.8,http://finance.yahoo.com/q?s=SJNK,"March 17, 2017" 17 | "March 20 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.785,http://finance.yahoo.com/q?s=SJNK,"March 20, 2017" 18 | "March 21 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.6556,http://finance.yahoo.com/q?s=SJNK,"March 21, 2017" 19 | "March 22 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.715,http://finance.yahoo.com/q?s=SJNK,"March 22, 2017" 20 | "March 23 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.695,http://finance.yahoo.com/q?s=SJNK,"March 23, 2017" 21 | "March 24 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.775,http://finance.yahoo.com/q?s=SJNK,"March 24, 2017" 22 | "March 27 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.79,http://finance.yahoo.com/q?s=SJNK,"March 27, 2017" 23 | "March 28 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.87,http://finance.yahoo.com/q?s=SJNK,"March 28, 2017" 24 | "March 29 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.89,http://finance.yahoo.com/q?s=SJNK,"March 29, 2017" 25 | "March 30 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.975,http://finance.yahoo.com/q?s=SJNK,"March 30, 2017" 26 | "March 31 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.95,http://finance.yahoo.com/q?s=SJNK,"March 31, 2017" 27 | "April 03 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.82,http://finance.yahoo.com/q?s=SJNK,"April 03, 2017" 28 | "April 04 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.84,http://finance.yahoo.com/q?s=SJNK,"April 04, 2017" 29 | "April 05 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.82,http://finance.yahoo.com/q?s=SJNK,"April 05, 2017" 30 | "April 06 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.8545,http://finance.yahoo.com/q?s=SJNK,"April 06, 2017" 31 | "April 07 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.8557,http://finance.yahoo.com/q?s=SJNK,"April 07, 2017" 32 | "April 10 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.89,http://finance.yahoo.com/q?s=SJNK,"April 10, 2017" 33 | "April 11 2017",SPDR Blmbg BarclaysST HY Bd ETF,SJNK,27.88,http://finance.yahoo.com/q?s=SJNK,"April 11, 2017" -------------------------------------------------------------------------------- /src/data/txn-no_headers.csv: -------------------------------------------------------------------------------- 1 | 5/1/2017,79.25,79.5,78.4,79.29,5065496 2 | 4/28/2017,81.04,81.04,78.65,79.18,10522503 3 | 4/27/2017,80.75,81.27,80.36,80.8,5762688 4 | 4/26/2017,82.17,82.92,80.79,81.11,6763868 5 | 4/25/2017,81.3,82.43,81.12,82.36,7604096 6 | 4/24/2017,81.02,81.51,80.85,81.08,5129198 7 | 4/21/2017,79.58,80.41,79.24,79.81,6314436 8 | 4/20/2017,79.72,80.89,79.51,80.76,3586302 9 | 4/19/2017,79.96,80.66,79.28,79.37,4673843 10 | 4/18/2017,78.51,79.84,78.35,79.61,4529140 11 | 4/17/2017,78.3,78.75,78.12,78.72,4462363 12 | 4/13/2017,78.47,79.33,77.83,77.84,4658269 13 | -------------------------------------------------------------------------------- /src/main/scala/com/quant/Parse/CsvUtil.scala: -------------------------------------------------------------------------------- 1 | package com.quant.Parse 2 | 3 | import scala.collection.mutable.ArrayBuffer 4 | 5 | /** 6 | * Created by Frank Cash on 5/2/17. 7 | */ 8 | object CsvUtil { 9 | /** 10 | * 11 | * @param path Path to CSV File 12 | * @return ArrayBuffer 13 | */ 14 | def CSVParseIFTTT(path: String): ArrayBuffer[Array[String]] ={ 15 | val rows = ArrayBuffer[Array[String]]() 16 | val bufferedSource = io.Source.fromFile(path) 17 | for(line <- bufferedSource.getLines()){ 18 | rows += line.split(",").map(_.trim) 19 | } 20 | bufferedSource.close() 21 | rows 22 | } 23 | 24 | /** 25 | * 26 | * @param xs List 27 | * @param n Step size 28 | * @tparam A 29 | * @return Returns a list of stepped lists 30 | */ 31 | def split[A](xs:List[A], n:Int): List[List[A]] ={ 32 | if(xs.isEmpty) Nil 33 | else (xs take n) :: split(xs drop n, n) 34 | } 35 | 36 | } 37 | -------------------------------------------------------------------------------- /src/main/scala/com/quant/Parse/GoogleFinanceParse.scala: -------------------------------------------------------------------------------- 1 | package com.quant.Parse 2 | 3 | import scala.collection.mutable.ArrayBuffer 4 | 5 | /** 6 | * Created by Frank Cash on 5/2/17. 7 | */ 8 | object GoogleFinanceParse { 9 | 10 | /** 11 | * 12 | * @param rows Rows from CSVParse Output 13 | * @return ArrayBuffer with Closing Costs of the Stock/ETF 14 | */ 15 | def StripClosingPriceGoog(rows: ArrayBuffer[Array[String]]): ArrayBuffer[Double] ={ 16 | val closingCosts:ArrayBuffer[Double] = new ArrayBuffer[Double] 17 | rows.map(row => closingCosts.append(row(4).toDouble)) 18 | closingCosts 19 | } 20 | } 21 | -------------------------------------------------------------------------------- /src/main/scala/com/quant/Parse/IFTTTParse.scala: -------------------------------------------------------------------------------- 1 | package com.quant.Parse 2 | 3 | import scala.collection.mutable.ArrayBuffer 4 | 5 | /** 6 | * Created by Frank Cash on 5/2/17. 7 | */ 8 | object IFTTTParse { 9 | 10 | 11 | /** 12 | * 13 | * @param rows Rows from CSVParse Output 14 | * @return ArrayBuffer with Closing Costs of the Stock/ETF 15 | */ 16 | def StripClosingPriceIFTTT(rows: ArrayBuffer[Array[String]]): ArrayBuffer[Double] ={ 17 | val closingCosts:ArrayBuffer[Double] = new ArrayBuffer[Double] 18 | rows.map(row => closingCosts.append(row(3).toDouble)) 19 | closingCosts 20 | } 21 | 22 | } 23 | -------------------------------------------------------------------------------- /src/main/scala/com/quant/StockEtfData.scala: -------------------------------------------------------------------------------- 1 | /**MIT License 2 | *Copyright (c) 2017 Frank Cash 3 | *Permission is hereby granted, free of charge, to any person obtaining a copy 4 | *of this software and associated documentation files (the "Software"), to deal 5 | *in the Software without restriction, including without limitation the rights 6 | *to use, copy, modify, merge, publish, distribute, sublicense, and/or sell 7 | *copies of the Software, and to permit persons to whom the Software is 8 | *furnished to do so, subject to the following conditions: 9 | *The above copyright notice and this permission notice shall be included in all 10 | *copies or substantial portions of the Software. 11 | *THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR 12 | *IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, 13 | *FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE 14 | *AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER 15 | *LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, 16 | *OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE 17 | *SOFTWARE. 18 | */ 19 | 20 | /** 21 | * Created by Frank Cash on 4/12/2017. 22 | * Made to work CSV output from: https://ifttt.com/applets/117304p-keep-track-of-a-particular-stock-s-daily-closing-price-in-a-spreadsheet 23 | */ 24 | 25 | import com.quant.TechAnalysis.{Average, Fibo} 26 | import Tree.{Sort, Tree} 27 | import com.quant.Parse.{CsvUtil, GoogleFinanceParse, IFTTTParse} 28 | 29 | 30 | object StockEtfData { 31 | 32 | /** 33 | * Step for calculating segmentation of price data when calculating local min and max for historical support and resistance 34 | */ 35 | final val step = 5 36 | /** 37 | * Amount of days to use for Moving Average 38 | */ 39 | final val movingAvgSize = 10 40 | 41 | 42 | 43 | def IFTTT(path:String ): Unit= { 44 | println("hello World") 45 | val rows = CsvUtil.CSVParseIFTTT(path) 46 | val closingPrices = IFTTTParse.StripClosingPriceIFTTT(rows) 47 | val sorted = Sort.mergeSort(closingPrices.toList) 48 | val myTree = Tree.fromSortedList(sorted) 49 | val steppedClosingPrices = CsvUtil.split(closingPrices.toList, step) 50 | val mvAvg = Average.movingAvg(movingAvgSize.toDouble, closingPrices.takeRight(movingAvgSize.toInt).toList) 51 | val retracementLevels = Fibo.fibRetracementValues(myTree.max, myTree.min) 52 | println("Moving Average is: "+ mvAvg) 53 | 54 | println("Average Support: " + Average.avgSupport(steppedClosingPrices)) 55 | println("Average Resistance: " + Average.avgResistance(steppedClosingPrices)) 56 | 57 | 58 | println("Historical Low: " + myTree.min) 59 | println("Historical Max: " + myTree.max) 60 | retracementLevels.map(l => println("Retracement: " + l)) 61 | 62 | 63 | } 64 | 65 | def Goog(path:String ): Unit= { 66 | val rows = CsvUtil.CSVParseIFTTT(path) 67 | val closingPrices = GoogleFinanceParse.StripClosingPriceGoog(rows) 68 | val sorted = Sort.mergeSort(closingPrices.toList) 69 | val myTree = Tree.fromSortedList(sorted) 70 | val steppedClosingPrices = CsvUtil.split(closingPrices.toList, step) 71 | val mvAvg = Average.movingAvg(movingAvgSize.toDouble, closingPrices.takeRight(movingAvgSize.toInt).toList) 72 | val retracementLevels = Fibo.fibRetracementValues(myTree.max, myTree.min) 73 | println("Moving Average is: "+ mvAvg) 74 | 75 | println("Average Support: " + Average.avgSupport(steppedClosingPrices)) 76 | println("Average Resistance: " + Average.avgResistance(steppedClosingPrices)) 77 | 78 | 79 | println("Historical Low: " + myTree.min) 80 | println("Historical Max: " + myTree.max) 81 | retracementLevels.map(l => println("Retracement: " + l)) 82 | } 83 | 84 | def main(args: Array[String]): Unit= { 85 | IFTTT("/Users/majora/Code/Scala-Quant/src/data/sjnk.csv") 86 | Goog("/Users/majora/Code/Scala-Quant/src/data/txn-no_headers.csv") 87 | } 88 | 89 | 90 | } 91 | -------------------------------------------------------------------------------- /src/main/scala/com/quant/TechAnalysis/Average.scala: -------------------------------------------------------------------------------- 1 | package com.quant.TechAnalysis 2 | 3 | /** 4 | * Created by Frank Cash on 5/6/17. 5 | */ 6 | object Average { 7 | 8 | /** 9 | * Reference on Resistance 10 | * @param data List of List Double. Takes return from split(xs, n). 11 | * @return Returns the avg resistance 12 | */ 13 | def avgResistance(data:List[List[Double]]): Double = { 14 | var runTotal = 0.0; 15 | for(n <- data){ 16 | runTotal += (n.max) 17 | } 18 | return runTotal./(data.length) 19 | } 20 | 21 | 22 | /** 23 | * Reference on Support 24 | * @param data List of List Double. Takes return from split(xs, n) 25 | * @return Returns the avg support 26 | */ 27 | def avgSupport(data:List[List[Double]]): Double ={ 28 | var runTotal = 0.0 29 | for(n <- data){ 30 | runTotal += n.min 31 | } 32 | return runTotal./(data.length) 33 | } 34 | 35 | 36 | /** 37 | * Reference on Moving Average 38 | * @param data List[Double] of prices to include in moving average 39 | * @return Moving Average 40 | */ 41 | def movingAvg(movingAvgSize:Double, data:List[Double] ): Double ={ 42 | var avg = 0.0 43 | avg = data.sum / movingAvgSize 44 | return avg 45 | } 46 | 47 | } 48 | -------------------------------------------------------------------------------- /src/main/scala/com/quant/TechAnalysis/Fibo.scala: -------------------------------------------------------------------------------- 1 | package com.quant.TechAnalysis 2 | 3 | import scala.collection.mutable.ArrayBuffer 4 | 5 | /** 6 | * Created by Frank Cash on 5/6/17. 7 | */ 8 | object Fibo { 9 | /** 10 | * Fibonacci Retracement Math 11 | * High minus Low multiplied by the given ratio 12 | * Reference on Fibonacci Retracement 13 | * @param h The high value 14 | * @param l The low value 15 | * @param ratio The ratio to use, as a decimal 16 | * @return the amount for the fibonacci retracement at the given ratio 17 | */ 18 | def fibonacciRetracement(h:Double, l:Double, ratio:Double): Double={ 19 | val fib = (h - l) * ratio 20 | val res = h - fib 21 | res 22 | } 23 | 24 | /** 25 | * Reference on Fibonacci Retracement 26 | * @param high 27 | * @param low 28 | * @return List of fibonacci retracement values for [23.6%, 38.2%, 50.0%, 0.618%, 100%] 29 | */ 30 | def fibRetracementValues(high:Double, low:Double): List[Double]={ 31 | val fib:ArrayBuffer[Double] = new ArrayBuffer[Double] 32 | fib.append(fibonacciRetracement(high, low, 0.236)) 33 | fib.append(fibonacciRetracement(high, low, 0.382)) 34 | fib.append(fibonacciRetracement(high, low, 0.500)) 35 | fib.append(fibonacciRetracement(high, low, 0.618)) 36 | fib.append(fibonacciRetracement(high, low, 1.000)) 37 | fib.toList 38 | 39 | } 40 | } 41 | -------------------------------------------------------------------------------- /src/main/scala/com/quant/Tree/Sort.scala: -------------------------------------------------------------------------------- 1 | /**MIT License 2 | *Copyright (c) 2017 Frank Cash 3 | *Permission is hereby granted, free of charge, to any person obtaining a copy 4 | *of this software and associated documentation files (the "Software"), to deal 5 | *in the Software without restriction, including without limitation the rights 6 | *to use, copy, modify, merge, publish, distribute, sublicense, and/or sell 7 | *copies of the Software, and to permit persons to whom the Software is 8 | *furnished to do so, subject to the following conditions: 9 | *The above copyright notice and this permission notice shall be included in all 10 | *copies or substantial portions of the Software. 11 | *THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR 12 | *IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, 13 | *FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE 14 | *AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER 15 | *LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, 16 | *OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE 17 | *SOFTWARE. 18 | */ 19 | 20 | package Tree 21 | 22 | 23 | /** 24 | * Created by Frank Cash on 4/16/17. 25 | */ 26 | 27 | object Sort{ 28 | 29 | /** 30 | * 31 | * @param left List[Double] 32 | * @param right List[Double] 33 | * @return List[Double] 34 | */ 35 | def merge(left: List[Double], right: List[Double]):List[Double]= (left, right)match{ 36 | case(left, Nil) => left 37 | case(Nil, right) => right 38 | case(leftHead :: leftTail, rightHead :: rightTail) => 39 | if(leftHead < rightHead) leftHead::merge(leftTail, right) 40 | else rightHead :: merge(left, rightTail) 41 | } 42 | 43 | /** 44 | * Merge Sort 45 | * @param list[Double] Input 46 | * @return Returns a sorted List[Double] 47 | */ 48 | def mergeSort(list: List[Double]): List[Double] ={ 49 | val n = list.length / 2 50 | if (n == 0) list 51 | else{ 52 | val(left, right) = list.splitAt(n) 53 | merge(mergeSort(left), mergeSort(right)) 54 | } 55 | } 56 | 57 | 58 | } 59 | 60 | -------------------------------------------------------------------------------- /src/main/scala/com/quant/Tree/Tree.scala: -------------------------------------------------------------------------------- 1 | /**MIT License 2 | *Copyright (c) 2017 Frank Cash 3 | *Permission is hereby granted, free of charge, to any person obtaining a copy 4 | *of this software and associated documentation files (the "Software"), to deal 5 | *in the Software without restriction, including without limitation the rights 6 | *to use, copy, modify, merge, publish, distribute, sublicense, and/or sell 7 | *copies of the Software, and to permit persons to whom the Software is 8 | *furnished to do so, subject to the following conditions: 9 | *The above copyright notice and this permission notice shall be included in all 10 | *copies or substantial portions of the Software. 11 | *THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR 12 | *IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, 13 | *FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE 14 | *AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER 15 | *LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, 16 | *OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE 17 | *SOFTWARE. 18 | */ 19 | 20 | package Tree 21 | 22 | /** 23 | * Frank Cash 24 | * Implementation based upon Scalacaster BST 25 | */ 26 | 27 | abstract sealed class Tree[+A <% Ordered[A]] { 28 | 29 | /** 30 | * The value of this tree. 31 | */ 32 | def value: A 33 | 34 | /** 35 | * The left child of this tree. 36 | */ 37 | def left: Tree[A] 38 | 39 | /** 40 | * The right child of this tree. 41 | */ 42 | def right: Tree[A] 43 | 44 | /** 45 | * The size of this tree. 46 | */ 47 | def size: Int 48 | 49 | /** 50 | * Checks whether this tree is empty or not. 51 | */ 52 | def isEmpty: Boolean 53 | 54 | 55 | def isValid: Boolean = 56 | if (isEmpty) true 57 | else if (left.isEmpty && right.isEmpty) true 58 | else if (left.isEmpty) right.value >= value && right.isValid 59 | else if (right.isEmpty) left.value <= value && left.isValid 60 | else left.value <= value && right.value >= value && left.isValid && right.isValid 61 | 62 | 63 | def isBalanced: Boolean = { 64 | def loop(t: Tree[A]): Int = 65 | if (t.isEmpty) 0 66 | else { 67 | val l = loop(t.left) 68 | if (l == -1) -1 69 | else { 70 | val r = loop(t.right) 71 | if (r == -1) -1 72 | else if (math.abs(l - r) > 1) -1 73 | else 1 + math.max(l, r) 74 | } 75 | } 76 | 77 | !(loop(this) == -1) 78 | } 79 | 80 | 81 | def add[B >: A <% Ordered[B]](x: B): Tree[B] = 82 | if (isEmpty) Tree.make(x) 83 | else if (x < value) Tree.make(value, left.add(x), right) 84 | else if (x > value) Tree.make(value, left, right.add(x)) 85 | else this 86 | 87 | 88 | 89 | 90 | 91 | def contains[B >: A <% Ordered[B]](x: B): Boolean = { 92 | def loop(t: Tree[A], c: Option[A]): Boolean = 93 | if (t.isEmpty) check(c) 94 | else if (x < t.value) loop(t.left, c) 95 | else loop(t.right, Some(t.value)) 96 | 97 | def check(c: Option[A]): Boolean = c match { 98 | case Some(y) if y == x => true 99 | case _ => false 100 | } 101 | 102 | loop(this, None) 103 | } 104 | 105 | 106 | def foreach(f: (A) => Unit): Unit = 107 | if (!isEmpty) { 108 | left.foreach(f) 109 | f(value) 110 | right.foreach(f) 111 | } 112 | 113 | def map[B <% Ordered[B]](f: (A) => B): Tree[B] = 114 | if (isEmpty) Tree.empty 115 | else Tree.make(f(value), left.map(f), right.map(f)) 116 | 117 | 118 | /** 119 | * Searches for the minimal element of this tree. 120 | */ 121 | def min: A = { 122 | def loop(t: Tree[A], m: A): A = 123 | if (t.isEmpty) m 124 | else loop(t.left, t.value) 125 | 126 | if (isEmpty) fail("An empty tree.") 127 | else loop(left, value) 128 | } 129 | 130 | /** 131 | * Searches for the maximal element of this tree. 132 | */ 133 | def max: A = { 134 | def loop(t: Tree[A], m: A): A = 135 | if (t.isEmpty) m 136 | else loop(t.right, t.value) 137 | 138 | if (isEmpty) fail("An empty tree.") 139 | else loop(right, value) 140 | } 141 | 142 | /** 143 | * Calculates the height of this tree. 144 | */ 145 | def height: Int = 146 | if (isEmpty) 0 147 | else 1 + math.max(left.height, right.height) 148 | 149 | 150 | 151 | /** 152 | * Searches for the successor of given element 'x'. 153 | */ 154 | def successor[B >: A <% Ordered[B]](x: B): A = { 155 | def forward(t: Tree[A], p: List[Tree[A]]): A = 156 | if (t.isEmpty) fail("Can't find " + x + " in this tree.") 157 | else if (x < t.value) forward(t.left, t :: p) 158 | else if (x > t.value) forward(t.right, t :: p) 159 | else if (!t.right.isEmpty) t.right.min 160 | else backward(t, p) 161 | 162 | def backward(t: Tree[A], p: List[Tree[A]]): A = 163 | if (p.isEmpty) fail("The " + x + " doesn't have an successor.") 164 | else if (t == p.head.right) backward(p.head, p.tail) 165 | else p.head.value 166 | 167 | forward(this, Nil) 168 | } 169 | 170 | 171 | 172 | /** 173 | * Searches for the lower bound element of given 'x'. 174 | */ 175 | def lowerBound[B >: A <% Ordered[B]](x: B): A = 176 | if (isEmpty) fail("Tree is empty.") 177 | else if (x < value) 178 | if (!left.isEmpty) left.lowerBound(x) 179 | else value 180 | else if (x > value) 181 | if (!right.isEmpty) { val v = right.lowerBound(x); if (v > x) value else v } 182 | else value 183 | else value 184 | 185 | /** 186 | * Calculates the number of elements that less or equal to given 'x'. 187 | */ 188 | def rank[B >: A <% Ordered[B]](x: B): Int = 189 | if (isEmpty) 0 190 | else if (x < value) left.rank(x) 191 | else if (x > value) 1 + left.size + right.rank(x) 192 | else left.size 193 | 194 | /** 195 | * Searches for the upper bound element of given 'x'. 196 | */ 197 | def upperBound[B >: A <% Ordered[B]](x: B): A = 198 | if (isEmpty) fail("Tree is empty.") 199 | else if (x < value) 200 | if (!left.isEmpty) { val v = left.upperBound(x); if (v < x) value else v } 201 | else value 202 | else if (x > value) 203 | if (!right.isEmpty) right.upperBound(x) 204 | else value 205 | else value 206 | 207 | /** 208 | * Calculates the path for given element 'x'. 209 | */ 210 | def path[B >: A <% Ordered[B]](x: B): List[Tree[A]] = 211 | if (isEmpty) fail("Can't find " + x + " in this tree.") 212 | else if (x < value) this :: left.path(x) 213 | else if (x > value) this :: right.path(x) 214 | else List(this) 215 | 216 | 217 | /** 218 | * Performs the DFS and dumps values to the list. 219 | */ 220 | def valuesByDepth: List[A] = { 221 | def loop(s: List[Tree[A]]): List[A] = 222 | if (s.isEmpty) Nil 223 | else if (s.head.isEmpty) loop(s.tail) 224 | else s.head.value :: loop(s.head.right :: s.head.left :: s.tail) 225 | 226 | loop(List(this)) 227 | } 228 | 229 | /** 230 | * Fails with given message 'm'. 231 | */ 232 | def fail(m: String) = throw new NoSuchElementException(m) 233 | } 234 | 235 | case object Leaf extends Tree[Nothing] { 236 | def value: Nothing = fail("An empty tree.") 237 | def left: Tree[Nothing] = fail("An empty tree.") 238 | def right: Tree[Nothing] = fail("An empty tree.") 239 | def size: Int = 0 240 | 241 | def isEmpty: Boolean = true 242 | } 243 | 244 | case class Branch[A <% Ordered[A]](value: A, 245 | left: Tree[A], 246 | right: Tree[A], 247 | size: Int) extends Tree[A] { 248 | def isEmpty: Boolean = false 249 | } 250 | 251 | object Tree { 252 | 253 | /** 254 | * An empty tree. 255 | */ 256 | def empty[A]: Tree[A] = Leaf 257 | 258 | /** 259 | * A smart constructor for tree's branch. 260 | */ 261 | def make[A <% Ordered[A]](x: A, l: Tree[A] = Leaf, r: Tree[A] = Leaf): Tree[A] = 262 | Branch(x, l, r, l.size + r.size + 1) 263 | 264 | /** 265 | * Creates a new tree from given sequence 'xs'. 266 | */ 267 | def apply[A <% Ordered[A]](xs: A*): Tree[A] = { 268 | var r: Tree[A] = Tree.empty 269 | for (x <- xs) r = r.add(x) 270 | r 271 | } 272 | 273 | /** 274 | * Creates a new balanced tree from given sorted array 'a'. 275 | */ 276 | def fromSortedArray[A <% Ordered[A]](a: Array[A]): Tree[A] = { 277 | def loop(l: Int, r: Int): Tree[A] = 278 | if (l == r) Tree.empty 279 | else { 280 | val p = (l + r) / 2 281 | Tree.make(a(p), loop(l, p), loop(p + 1, r)) 282 | } 283 | 284 | loop(0, a.length) 285 | } 286 | 287 | /** 288 | * Creates a new balanced tree from given sorted list 'l'. 289 | * 290 | * http://www.geeksforgeeks.org/sorted-linked-list-to-balanced-bst/ 291 | */ 292 | def fromSortedList[A <% Ordered[A]](l: List[A]): Tree[A] = { 293 | def loop(ll: List[A], n: Int): (List[A], Tree[A]) = 294 | if (n == 0) (ll, Tree.empty) 295 | else { 296 | val (lt, left) = loop(ll, n / 2) 297 | val (rt, right) = loop(lt.tail, n - 1 - n / 2) 298 | (rt, Tree.make(lt.head, left, right)) 299 | } 300 | 301 | loop(l, l.length)._2 302 | } 303 | 304 | } 305 | --------------------------------------------------------------------------------