ninety_percent_drop_investigation.rb

# credit to this person for a js implementation of the function, http://stackoverflow.com/users/3473058/user3473058
def find_local_maxima(input_array)
	goAsc  = false # ascending move
	goDesc = false # descending move
	local_maxima = []


	index = 0
	while (index < (input_array.length - 1)) do	    

	    firstDiff = (input_array[index] - input_array[index + 1])

	    goAsc = true if firstDiff > 0 
	    goDesc = true if firstDiff < 0

	    if goAsc && goDesc
	      if (firstDiff > 0)
	      	local_maxima.push(input_array[index])
	      end
	      goAsc  = false
	      goDesc = false
	    end

	    index += 1
	end


	local_maxima

end



def find_most_recent_local_max(date, local_max)

        local_max.keys.select{|key_date| key_date < date}.sort.last

end


symbols = $client.query("select distinct symbol from adj_eod").map{|x|x['symbol']}

opportunity_list = {}
symbols.each do |symbol|
        myArray = $client.query("select date,close from adj_eod where symbol='#{symbol}'").map{|x|[x['date'], x['close']]}.to_h
        local_max_indices = find_local_maxima(myArray.values)
        local_max = local_max_indices.map{|x| [myArray.keys[x], myArray.values[x]]}.to_h
        next if local_max == {}


        opportunity_list[symbol] = []
        myPrices = $client.query("select date,close from adj_eod where symbol='#{symbol}' and date>'#{local_max.keys.first}'").map{|x|[x['date'], x['close']]}.to_h
        myPrices.each do |today, price|

                most_recent_local_max = find_most_recent_local_max(today, local_max)
                puts "#{today}: Most recent local max: #{most_recent_local_max}"
                high_price = local_max[most_recent_local_max]
                threshold_price = 0.10 * high_price
                puts "threshold_price: #{threshold_price}.  Price: #{price}"
                if price <= threshold_price
                        opportunity_list[symbol] << today
                end

        end

end


returns = {}

opportunity_list.each do |symbol, dropdate|


        date = Date.parse(dropdate.first).to_s

        prices = $client.query("select close from adj_eod where symbol='#{symbol}' and date>='#{date}' order by date asc").map{|x|x['close']}

        returns[symbol] = ((prices.last - prices.first) / prices.first).to_f


end