quantitative 0.1.10 → 0.2.1
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- checksums.yaml +4 -4
- data/Gemfile.lock +1 -1
- data/lib/quant/attributes.rb +31 -43
- data/lib/quant/config.rb +8 -0
- data/lib/quant/errors.rb +4 -0
- data/lib/quant/indicators/dominant_cycle_indicators.rb +49 -0
- data/lib/quant/indicators/dominant_cycles/acr.rb +101 -0
- data/lib/quant/indicators/dominant_cycles/band_pass.rb +85 -0
- data/lib/quant/indicators/dominant_cycles/differential.rb +21 -0
- data/lib/quant/indicators/dominant_cycles/dominant_cycle.rb +144 -0
- data/lib/quant/indicators/dominant_cycles/half_period.rb +21 -0
- data/lib/quant/indicators/dominant_cycles/homodyne.rb +28 -0
- data/lib/quant/indicators/dominant_cycles/phase_accumulator.rb +59 -0
- data/lib/quant/indicators/indicator.rb +38 -7
- data/lib/quant/indicators/indicator_point.rb +12 -2
- data/lib/quant/indicators.rb +9 -2
- data/lib/quant/indicators_proxy.rb +11 -4
- data/lib/quant/indicators_sources.rb +11 -1
- data/lib/quant/mixins/high_pass_filters.rb +98 -25
- data/lib/quant/mixins/super_smoother.rb +18 -15
- data/lib/quant/mixins/universal_filters.rb +14 -1
- data/lib/quant/series.rb +14 -0
- data/lib/quant/settings/indicators.rb +16 -6
- data/lib/quant/settings.rb +1 -1
- data/lib/quant/statistics/correlation.rb +37 -0
- data/lib/quant/version.rb +1 -1
- data/lib/quantitative.rb +1 -1
- metadata +11 -3
- data/lib/quant/indicators/ma.rb +0 -40
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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---
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SHA256:
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metadata.gz:
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data.tar.gz:
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metadata.gz: bf0aa73684247efc7bc9750c27c856a094fa362d99c1eba73bd70457da8f3a97
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data.tar.gz: 56dcaa82230328cb44149ceb957420484217e33c6f601ea135997391bfb95440
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: b674a5e4408a69039cf2c7ad2378d065e3f88b409a7530108af1bfc5a186a02690cba8ffb1c8d40a87ad69368f302d9eec0211135beec7db6a9c51c4e1be46d3
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data.tar.gz: e7d7693cd878ebe777f81ca0d90b4f305e645c8547aa9f420cccb4a4f9b53920211a2b7f49af146508756e6e38f5cc7e0c4b57f1c8abdd722f65bd3409abd02f
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data/Gemfile.lock
CHANGED
data/lib/quant/attributes.rb
CHANGED
@@ -98,85 +98,73 @@ module Quant
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module InstanceMethods
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# Makes some assumptions about the class's initialization having a +tick+ keyword argument.
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#
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#
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# If one does exist, the +tick+ is considered as a potential source for the declared defaults
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def initialize(...)
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super(...)
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initialize_attributes
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end
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# Returns an array of all classes in the hierarchy, starting with the current class
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def self_and_ancestors
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[this_class = self.class].tap do |classes|
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classes << this_class = this_class.superclass while !this_class.nil?
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end
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end
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# Iterates over all defined attributes in a child => parent hierarchy,
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# and yields the name and entry for each.
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def each_attribute(&block)
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klass
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attributes = Attributes.registry[klass]
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break if attributes.nil?
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attributes.each{ |name, entry| block.call(name, entry) }
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klass = klass.superclass
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self_and_ancestors.select{ |klass| Attributes.registry[klass] }.each do |klass|
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Attributes.registry[klass].each{ |name, entry| block.call(name, entry) }
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end
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end
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# The default value can be one of the following:
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# - A symbol that is a method
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# - A symbol that is a method the instance responds to
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# - A symbol that is a method that the instance's tick responds to
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# - A Proc that is bound to the instance
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# - An immediate value (Integer, Float, Boolean, etc.)
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def default_value_for(entry
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if entry[:default].is_a?(Symbol) && respond_to?(entry[:default])
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send(entry[:default])
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def default_value_for(entry)
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return instance_exec(&entry[:default]) if entry[:default].is_a?(Proc)
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return entry[:default] unless entry[:default].is_a?(Symbol)
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return send(entry[:default]) if respond_to?(entry[:default])
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return tick.send(entry[:default]) if tick.respond_to?(entry[:default])
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-
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current_tick.send(entry[:default])
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elsif entry[:default].is_a?(Proc)
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instance_exec(&entry[:default])
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else
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entry[:default]
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end
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entry[:default]
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end
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# Initializes the defined attributes with default values and
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# defines accessor methods for each attribute.
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# If a child class redefines a parent's attribute, the child's
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# definition will be used.
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def initialize_attributes
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def initialize_attributes
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each_attribute do |name, entry|
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# use the child's definition, skipping the parent's
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next if respond_to?(name)
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ivar_name = "@#{name}"
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-
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-
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define_singleton_method(name) do
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return instance_variable_get(ivar_name) if instance_variable_defined?(ivar_name)
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+
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# Sets the default value when accessed and ivar is not already set
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default_value_for(entry).tap { |value| instance_variable_set(ivar_name, value) }
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end
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define_singleton_method("#{name}=") { |value| instance_variable_set(ivar_name, value) }
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end
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end
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# Serializes keys that have been defined as serializeable attributes
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# Key values that are nil are
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# Key values that are nil are omitted from the hash
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# @return [Hash] The serialized attributes as a Ruby Hash.
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def to_h
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{}.tap do |key_values|
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each_attribute do |name, entry|
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next unless entry[:key]
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value = send(name)
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next unless value
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key_values[entry[:key]] = value
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key_values[entry[:key]] = value
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end
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end
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end
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data/lib/quant/config.rb
CHANGED
@@ -14,6 +14,10 @@ module Quant
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end
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end
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def self.default!
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@config = Config.new
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end
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def self.config
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@config ||= Config.new
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end
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@@ -25,6 +29,10 @@ module Quant
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Config.config
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end
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def default_configuration!
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Config.default!
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end
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def configure_indicators(**settings)
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config.apply_indicator_settings(**settings)
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yield config.indicators if block_given?
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data/lib/quant/errors.rb
CHANGED
@@ -10,6 +10,10 @@ module Quant
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10
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# {Quant::Interval} with an invalid value.
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class InvalidInterval < Error; end
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# {InvalidIndicatorSource} is raised when attempting to reference
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# an indicator through a source that has not been prepared, yet.
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class InvalidIndicatorSource < Error; end
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# {InvalidResolution} is raised when attempting to instantiate
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# an {Quant::Resolution} with a resolution value that has not been defined.
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class InvalidResolution < Error; end
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@@ -0,0 +1,49 @@
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module Quant
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# Dominant Cycles measure the primary cycle within a given range. By default, the library
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# is wired to look for cycles between 10 and 48 bars. These values can be adjusted by setting
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# the `min_period` and `max_period` configuration values in {Quant::Config}.
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#
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# Quant.configure_indicators(min_period: 8, max_period: 32)
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#
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# The default dominant cycle kind is the `half_period` filter. This can be adjusted by setting
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# the `dominant_cycle_kind` configuration value in {Quant::Config}.
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#
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# Quant.configure_indicators(dominant_cycle_kind: :band_pass)
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#
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# The purpose of these indicators is to compute the dominant cycle and underpin the various
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# indicators that would otherwise be setting an arbitrary lookback period. This makes the
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# indicators adaptive and auto-tuning to the market dynamics. Or so the theory goes!
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class DominantCycleIndicators < IndicatorsProxy
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# Auto-Correlation Reversals is a method of computing the dominant cycle
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# by correlating the data stream with itself delayed by a lag.
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def acr; indicator(Indicators::DominantCycles::Acr) end
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# The band-pass dominant cycle passes signals within a certain frequency
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# range, and attenuates signals outside that range.
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# The trend component of the signal is removed, leaving only the cyclical
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# component. Then we count number of iterations between zero crossings
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# and this is the `period` of the dominant cycle.
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def band_pass; indicator(Indicators::DominantCycles::BandPass) end
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+
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# Homodyne means the signal is multiplied by itself. More precisely,
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# we want to multiply the signal of the current bar with the complex
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# value of the signal one bar ago
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def homodyne; indicator(Indicators::DominantCycles::Homodyne) end
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# The Dual Differentiator algorithm computes the phase angle from the
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# analytic signal as the arctangent of the ratio of the imaginary
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# component to the real component. Further, the angular frequency
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# is defined as the rate change of phase. We can use these facts to
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# derive the cycle period.
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def differential; indicator(Indicators::DominantCycles::Differential) end
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+
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# The phase accumulation method of computing the dominant cycle measures
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# the phase at each sample by taking the arctangent of the ratio of the
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# quadrature component to the in-phase component. The phase is then
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# accumulated and the period is derived from the phase.
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def phase_accumulator; indicator(Indicators::DominantCycles::PhaseAccumulator) end
|
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|
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# Static, arbitrarily set period.
|
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def half_period; indicator(Indicators::DominantCycles::HalfPeriod) end
|
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end
|
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end
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@@ -0,0 +1,101 @@
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require_relative "../indicator_point"
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require_relative "dominant_cycle"
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module Quant
|
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class Indicators
|
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class DominantCycles
|
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class AcrPoint < DominantCyclePoint
|
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attribute :hp, default: 0.0
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attribute :filter, default: 0.0
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attribute :interim_period, default: 0.0
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attribute :inst_period, default: :min_period
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attribute :period, default: 0.0
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attribute :sp, default: 0.0
|
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attribute :spx, default: 0.0
|
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attribute :maxpwr, default: 0.0
|
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attribute :r1, default: -> { Hash.new(0.0) }
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attribute :corr, default: -> { Hash.new(0.0) }
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attribute :pwr, default: -> { Hash.new(0.0) }
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attribute :cospart, default: -> { Hash.new(0.0) }
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attribute :sinpart, default: -> { Hash.new(0.0) }
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attribute :sqsum, default: -> { Hash.new(0.0) }
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attribute :reversal, default: false
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end
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+
|
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# Auto-Correlation Reversals is a method of computing the dominant cycle
|
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# by correlating the data stream with itself delayed by a lag.
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# Construction of the autocorrelation periodogram starts with the
|
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# autocorrelation function using the minimum three bars of averaging.
|
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# The cyclic information is extracted using a discrete Fourier transform
|
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# (DFT) of the autocorrelation results.
|
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class Acr < DominantCycle
|
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BANDWIDTH_DEGREES = 370
|
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+
BANDWIDTH_RADIANS = BANDWIDTH_DEGREES * Math::PI / 180.0
|
34
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+
|
35
|
+
def compute_auto_correlations
|
36
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+
(min_period..max_period).each do |period|
|
37
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+
corr = Statistics::Correlation.new
|
38
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+
micro_period.times do |lookback_period|
|
39
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+
corr.add(p(lookback_period).filter, p(period + lookback_period).filter)
|
40
|
+
end
|
41
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+
p0.corr[period] = corr.coefficient
|
42
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+
end
|
43
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+
end
|
44
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+
|
45
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+
def compute_powers
|
46
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+
p0.maxpwr = 0.995 * p1.maxpwr
|
47
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+
|
48
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+
(min_period..max_period).each do |period|
|
49
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+
(micro_period..max_period).each do |n|
|
50
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+
radians = BANDWIDTH_RADIANS * n / period
|
51
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+
p0.cospart[period] += p0.corr[n] * Math.cos(radians)
|
52
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+
p0.sinpart[period] += p0.corr[n] * Math.sin(radians)
|
53
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+
end
|
54
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+
p0.sqsum[period] = p0.cospart[period]**2 + p0.sinpart[period]**2
|
55
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+
p0.r1[period] = (0.2 * p0.sqsum[period]**2) + (0.8 * p1.r1[period])
|
56
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+
p0.pwr[period] = p0.r1[period]
|
57
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+
p0.maxpwr = [p0.maxpwr, p0.r1[period]].max
|
58
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+
end
|
59
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+
return if p0.maxpwr.zero?
|
60
|
+
|
61
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+
(min_period..max_period).each do |period|
|
62
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+
p0.pwr[period] = p0.r1[period] / p0.maxpwr
|
63
|
+
end
|
64
|
+
end
|
65
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+
|
66
|
+
def compute_period
|
67
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+
(min_period..max_period).each do |period|
|
68
|
+
if p0.pwr[period] >= 0.4
|
69
|
+
p0.spx += (period * p0.pwr[period])
|
70
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+
p0.sp += p0.pwr[period]
|
71
|
+
end
|
72
|
+
end
|
73
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+
|
74
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+
p0.interim_period = p0.sp.zero? ? p1.period : p0.spx / p0.sp
|
75
|
+
p0.inst_period = two_pole_butterworth(:interim_period, previous: :period, period: min_period)
|
76
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+
p0.period = p0.inst_period.round(0)
|
77
|
+
end
|
78
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+
|
79
|
+
def compute_reversal
|
80
|
+
sum_deltas = 0
|
81
|
+
(min_period..max_period).each do |period|
|
82
|
+
sc1 = (p0.corr[period] + 1) * 0.5
|
83
|
+
sc2 = (p1.corr[period] + 1) * 0.5
|
84
|
+
sum_deltas += 1 if (sc1 > 0.5 && sc2 < 0.5) || (sc1 < 0.5 && sc2 > 0.5)
|
85
|
+
end
|
86
|
+
p0.reversal = sum_deltas > 24
|
87
|
+
end
|
88
|
+
|
89
|
+
def compute
|
90
|
+
p0.hp = two_pole_high_pass_filter(:input, period: max_period)
|
91
|
+
p0.filter = two_pole_butterworth(:hp, previous: :filter, period: min_period)
|
92
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+
|
93
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+
compute_auto_correlations
|
94
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+
compute_powers
|
95
|
+
compute_period
|
96
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+
compute_reversal
|
97
|
+
end
|
98
|
+
end
|
99
|
+
end
|
100
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+
end
|
101
|
+
end
|
@@ -0,0 +1,85 @@
|
|
1
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+
require_relative "dominant_cycle"
|
2
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+
|
3
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+
module Quant
|
4
|
+
class Indicators
|
5
|
+
class DominantCycles
|
6
|
+
class BandPassPoint < Quant::Indicators::IndicatorPoint
|
7
|
+
attribute :hp, default: 0.0
|
8
|
+
attribute :bp, default: 0.0
|
9
|
+
attribute :counter, default: 0
|
10
|
+
attribute :period, default: :half_period
|
11
|
+
attribute :peak, default: :half_period
|
12
|
+
attribute :real, default: :half_period
|
13
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+
attribute :crosses, default: false
|
14
|
+
attribute :direction, default: :flat
|
15
|
+
end
|
16
|
+
|
17
|
+
# The band-pass dominant cycle passes signals within a certain frequency
|
18
|
+
# range, and attenuates signals outside that range.
|
19
|
+
# The trend component of the signal is revoved, leaving only the cyclical
|
20
|
+
# component. Then we count number of iterations between zero crossings
|
21
|
+
# and this is the `period` of the dominant cycle.
|
22
|
+
class BandPass < DominantCycle
|
23
|
+
def bandwidth
|
24
|
+
0.75
|
25
|
+
end
|
26
|
+
|
27
|
+
# alpha2 = (Cosine(.25*Bandwidth*360 / Period) +
|
28
|
+
# Sine(.25*Bandwidth*360 / Period) - 1) / Cosine(.25*Bandwidth*360 / Period);
|
29
|
+
# HP = (1 + alpha2 / 2)*(Close - Close[1]) + (1- alpha2)*HP[1];
|
30
|
+
# beta = Cosine(360 / Period);
|
31
|
+
# gamma = 1 / Cosine(360*Bandwidth / Period);
|
32
|
+
# alpha = gamma - SquareRoot(gamma*gamma - 1);
|
33
|
+
# BP = .5*(1 - alpha)*(HP - HP[2]) + beta*(1 + alpha)*BP[1] - alpha*BP[2];
|
34
|
+
# If Currentbar = 1 or CurrentBar = 2 then BP = 0;
|
35
|
+
|
36
|
+
# Peak = .991*Peak;
|
37
|
+
# If AbsValue(BP) > If Peak <> 0 Then DC = DC[1];
|
38
|
+
# If DC < 6 Then DC counter = counter
|
39
|
+
# If Real Crosses Over 0 or Real Crosses Under 0 Then Begin
|
40
|
+
# DC = 2*counter;
|
41
|
+
# If 2*counter > 1.25*DC[1] Then DC = 1.25*DC[1];
|
42
|
+
# If 2*counter < .8*DC[1] Then DC = .8*DC[1];
|
43
|
+
# counter = 0;
|
44
|
+
# End;
|
45
|
+
|
46
|
+
def compute_high_pass
|
47
|
+
alpha = period_to_alpha(max_period, k: 0.25 * bandwidth)
|
48
|
+
p0.hp = (1 + alpha / 2) * (p0.input - p1.input) + (1 - alpha) * p1.hp
|
49
|
+
end
|
50
|
+
|
51
|
+
def compute_band_pass
|
52
|
+
radians = deg2rad(360.0 / max_period)
|
53
|
+
beta = Math.cos(radians)
|
54
|
+
gamma = 1.0 / Math.cos(bandwidth * radians)
|
55
|
+
alpha = gamma - Math.sqrt(gamma**2 - 1.0)
|
56
|
+
|
57
|
+
a = 0.5 * (1 - alpha) * (p0.hp - p2.hp)
|
58
|
+
b = beta * (1 + alpha) * p1.bp
|
59
|
+
c = alpha * p2.bp
|
60
|
+
p0.bp = a + b - c
|
61
|
+
end
|
62
|
+
|
63
|
+
def compute_period
|
64
|
+
p0.peak = [0.991 * p1.peak, p0.bp.abs].max
|
65
|
+
p0.real = p0.bp / p0.peak unless p0.peak.zero?
|
66
|
+
p0.counter = p1.counter + 1
|
67
|
+
p0.period = [p1.period, min_period].max.to_i
|
68
|
+
p0.crosses = (p0.real > 0.0 && p1.real < 0.0) || (p0.real < 0.0 && p1.real > 0.0)
|
69
|
+
if (p0.real >= 0.0 && p1.real < 0.0) || (p0.real <= 0.0 && p1.real > 0.0)
|
70
|
+
p0.period = [2 * p0.counter, 1.25 * p1.period].min.to_i
|
71
|
+
p0.period = [p0.period, 0.8 * p1.period].max.to_i
|
72
|
+
p0.counter = 0
|
73
|
+
end
|
74
|
+
p0.direction = p0.real > (p1.real + p2.real + p3.real) / 3.0 ? :up : :down
|
75
|
+
end
|
76
|
+
|
77
|
+
def compute
|
78
|
+
compute_high_pass
|
79
|
+
compute_band_pass
|
80
|
+
compute_period
|
81
|
+
end
|
82
|
+
end
|
83
|
+
end
|
84
|
+
end
|
85
|
+
end
|
@@ -0,0 +1,21 @@
|
|
1
|
+
module Quant
|
2
|
+
class Indicators
|
3
|
+
class DominantCycles
|
4
|
+
# The Dual Differentiator algorithm computes the phase angle from the
|
5
|
+
# analytic signal as the arctangent of the ratio of the imaginary
|
6
|
+
# component to the real component. Further, the angular frequency
|
7
|
+
# is defined as the rate change of phase. We can use these facts to
|
8
|
+
# derive the cycle period.
|
9
|
+
class Differential < DominantCycle
|
10
|
+
def compute_period
|
11
|
+
p0.ddd = (p0.q2 * (p0.i2 - p1.i2)) - (p0.i2 * (p0.q2 - p1.q2))
|
12
|
+
p0.inst_period = p0.ddd > 0.01 ? 6.2832 * (p0.i2**2 + p0.q2**2) / p0.ddd : 0.0
|
13
|
+
|
14
|
+
constrain_period_magnitude_change
|
15
|
+
constrain_period_bars
|
16
|
+
p0.period = p0.inst_period.round(0).to_i
|
17
|
+
end
|
18
|
+
end
|
19
|
+
end
|
20
|
+
end
|
21
|
+
end
|
@@ -0,0 +1,144 @@
|
|
1
|
+
require_relative "../indicator"
|
2
|
+
|
3
|
+
module Quant
|
4
|
+
class Indicators
|
5
|
+
# Dominant Cycles measure the primary cycle within a given range. By default, the library
|
6
|
+
# is wired to look for cycles between 10 and 48 bars. These values can be adjusted by setting
|
7
|
+
# the `min_period` and `max_period` configuration values in {Quant::Config}.
|
8
|
+
#
|
9
|
+
# Quant.configure_indicators(min_period: 8, max_period: 32)
|
10
|
+
#
|
11
|
+
# The default dominant cycle kind is the `half_period` filter. This can be adjusted by setting
|
12
|
+
# the `dominant_cycle_kind` configuration value in {Quant::Config}.
|
13
|
+
#
|
14
|
+
# Quant.configure_indicators(dominant_cycle_kind: :band_pass)
|
15
|
+
#
|
16
|
+
# The purpose of these indicators is to compute the dominant cycle and underpin the various
|
17
|
+
# indicators that would otherwise be setting an arbitrary lookback period. This makes the
|
18
|
+
# indicators adaptive and auto-tuning to the market dynamics. Or so the theory goes!
|
19
|
+
class DominantCycles
|
20
|
+
class DominantCyclePoint < Quant::Indicators::IndicatorPoint
|
21
|
+
attribute :smooth, default: 0.0
|
22
|
+
attribute :detrend, default: 0.0
|
23
|
+
attribute :inst_period, default: :min_period
|
24
|
+
attribute :period, key: "p", default: nil # intentially nil! (see: compute_period)
|
25
|
+
attribute :smooth_period, key: "sp", default: :min_period
|
26
|
+
attribute :mean_period, key: "mp", default: :min_period
|
27
|
+
attribute :ddd, default: 0.0
|
28
|
+
attribute :q1, default: 0.0
|
29
|
+
attribute :q2, default: 0.0
|
30
|
+
attribute :i1, default: 0.0
|
31
|
+
attribute :i2, default: 0.0
|
32
|
+
attribute :ji, default: 0.0
|
33
|
+
attribute :jq, default: 0.0
|
34
|
+
attribute :re, default: 0.0
|
35
|
+
attribute :im, default: 0.0
|
36
|
+
attribute :phase, default: 0.0
|
37
|
+
attribute :phase_sum, key: "ps", default: 0.0
|
38
|
+
attribute :delta_phase, default: 0.0
|
39
|
+
attribute :accumulator_phase, default: 0.0
|
40
|
+
attribute :real_part, default: 0.0
|
41
|
+
attribute :imag_part, default: 0.0
|
42
|
+
end
|
43
|
+
|
44
|
+
class DominantCycle < Indicators::Indicator
|
45
|
+
def points_class
|
46
|
+
Object.const_get "Quant::Indicators::DominantCycles::#{indicator_name}Point"
|
47
|
+
rescue NameError
|
48
|
+
DominantCyclePoint
|
49
|
+
end
|
50
|
+
|
51
|
+
# constrain between min_period and max_period bars
|
52
|
+
def constrain_period_bars
|
53
|
+
p0.inst_period = p0.inst_period.clamp(min_period, max_period)
|
54
|
+
end
|
55
|
+
|
56
|
+
attr_reader :points
|
57
|
+
|
58
|
+
# constrain magnitude of change in phase
|
59
|
+
def constrain_period_magnitude_change
|
60
|
+
p0.inst_period = [1.5 * p1.inst_period, p0.inst_period].min
|
61
|
+
p0.inst_period = [0.67 * p1.inst_period, p0.inst_period].max
|
62
|
+
end
|
63
|
+
|
64
|
+
# amplitude correction using previous period value
|
65
|
+
def compute_smooth_period
|
66
|
+
p0.inst_period = (0.2 * p0.inst_period) + (0.8 * p1.inst_period)
|
67
|
+
p0.smooth_period = (0.33333 * p0.inst_period) + (0.666667 * p1.smooth_period)
|
68
|
+
end
|
69
|
+
|
70
|
+
def compute_mean_period
|
71
|
+
ss_period = super_smoother(:smooth_period, previous: :mean_period, period: micro_period)
|
72
|
+
p0.mean_period = ss_period.clamp(min_period, max_period)
|
73
|
+
end
|
74
|
+
|
75
|
+
def dominant_cycle_period
|
76
|
+
[p0.period.to_i, min_period].max
|
77
|
+
end
|
78
|
+
|
79
|
+
def period_points(max_period)
|
80
|
+
extent = [values.size, max_period].min
|
81
|
+
values[-extent, extent]
|
82
|
+
end
|
83
|
+
|
84
|
+
def compute
|
85
|
+
compute_input_data_points
|
86
|
+
compute_quadrature_components
|
87
|
+
compute_period
|
88
|
+
compute_smooth_period
|
89
|
+
compute_mean_period
|
90
|
+
compute_phase
|
91
|
+
end
|
92
|
+
|
93
|
+
def compute_input_data_points
|
94
|
+
p0.smooth = wma :input
|
95
|
+
p0.detrend = hilbert_transform :smooth, period: p1.inst_period
|
96
|
+
end
|
97
|
+
|
98
|
+
# NOTE: The phase lag of q1 and `i1 is (360 * 7 / Period - 90)` degrees
|
99
|
+
# where Period is the dominant cycle period.
|
100
|
+
def compute_quadrature_components
|
101
|
+
# { Compute Inphase and Quadrature components }
|
102
|
+
p0.q1 = hilbert_transform :detrend, period: p1.inst_period
|
103
|
+
p0.i1 = p3.detrend
|
104
|
+
|
105
|
+
# { Advance the phase of I1 and Q1 by 90 degrees }
|
106
|
+
p0.ji = hilbert_transform :i1, period: p1.inst_period
|
107
|
+
p0.jq = hilbert_transform :q1, period: p1.inst_period
|
108
|
+
|
109
|
+
# { Smooth the I and Q components before applying the discriminator }
|
110
|
+
p0.i2 = (0.2 * (p0.i1 - p0.jq)) + 0.8 * (p1.i2 || (p0.i1 - p0.jq))
|
111
|
+
p0.q2 = (0.2 * (p0.q1 + p0.ji)) + 0.8 * (p1.q2 || (p0.q1 + p0.ji))
|
112
|
+
end
|
113
|
+
|
114
|
+
def compute_period
|
115
|
+
raise NotImplementedError
|
116
|
+
end
|
117
|
+
|
118
|
+
def compute_phase
|
119
|
+
raise "must compute period before calling!" unless p0.period
|
120
|
+
|
121
|
+
period_points(dominant_cycle_period).map(&:smooth).each_with_index do |smooth, index|
|
122
|
+
radians = deg2rad((1 + index) * 360.0 / dominant_cycle_period)
|
123
|
+
p0.real_part += smooth * Math.sin(radians)
|
124
|
+
p0.imag_part += smooth * Math.cos(radians)
|
125
|
+
end
|
126
|
+
|
127
|
+
if p0.imag_part.zero?
|
128
|
+
p0.phase = 90.0 * (p0.real_part.positive? ? 1 : 0)
|
129
|
+
else
|
130
|
+
radians = deg2rad(p0.real_part / p0.imag_part)
|
131
|
+
p0.phase = rad2deg(Math.atan(radians))
|
132
|
+
end
|
133
|
+
p0.phase += 90
|
134
|
+
# { Compensate for one bar lag of the Weighted Moving Average }
|
135
|
+
p0.phase += (360.0 / p0.inst_period)
|
136
|
+
|
137
|
+
p0.phase += 180.0 if p0.imag_part < 0.0
|
138
|
+
p0.phase -= 360.0 if p0.phase > 315.0
|
139
|
+
p0.delta_phase = [1.0, p1.phase - p0.phase].max
|
140
|
+
end
|
141
|
+
end
|
142
|
+
end
|
143
|
+
end
|
144
|
+
end
|
@@ -0,0 +1,21 @@
|
|
1
|
+
require_relative "dominant_cycle"
|
2
|
+
|
3
|
+
module Quant
|
4
|
+
class Indicators
|
5
|
+
class DominantCycles
|
6
|
+
# This dominant cycle indicator is based on the half period
|
7
|
+
# that is the midpoint of the `min_period` and `max_period`
|
8
|
+
# configured in the `Quant.config.indicators` object.
|
9
|
+
# Effectively providing a static, arbitrarily set period.
|
10
|
+
class HalfPeriodPoint < Quant::Indicators::IndicatorPoint
|
11
|
+
attribute :period, default: :half_period
|
12
|
+
end
|
13
|
+
|
14
|
+
class HalfPeriod < DominantCycle
|
15
|
+
def compute
|
16
|
+
# No-Op
|
17
|
+
end
|
18
|
+
end
|
19
|
+
end
|
20
|
+
end
|
21
|
+
end
|
@@ -0,0 +1,28 @@
|
|
1
|
+
require_relative "../indicator_point"
|
2
|
+
require_relative "dominant_cycle"
|
3
|
+
|
4
|
+
module Quant
|
5
|
+
class Indicators
|
6
|
+
class DominantCycles
|
7
|
+
# Homodyne means the signal is multiplied by itself. More precisely,
|
8
|
+
# we want to multiply the signal of the current bar with the complex
|
9
|
+
# value of the signal one bar ago
|
10
|
+
class Homodyne < DominantCycle
|
11
|
+
def compute_period
|
12
|
+
p0.re = (p0.i2 * p1.i2) + (p0.q2 * p1.q2)
|
13
|
+
p0.im = (p0.i2 * p1.q2) - (p0.q2 * p1.i2)
|
14
|
+
|
15
|
+
p0.re = (0.2 * p0.re) + (0.8 * p1.re)
|
16
|
+
p0.im = (0.2 * p0.im) + (0.8 * p1.im)
|
17
|
+
|
18
|
+
p0.inst_period = 360.0 / rad2deg(Math.atan(p0.im/p0.re)) if (p0.im != 0) && (p0.re != 0)
|
19
|
+
|
20
|
+
constrain_period_magnitude_change
|
21
|
+
constrain_period_bars
|
22
|
+
p0.mean_period = super_smoother :inst_period, previous: :mean_period, period: max_period
|
23
|
+
p0.period = p0.mean_period.round(0).to_i
|
24
|
+
end
|
25
|
+
end
|
26
|
+
end
|
27
|
+
end
|
28
|
+
end
|