quantitative 0.1.3 → 0.1.4

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@@ -1,7 +1,7 @@
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data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    quantitative (0.1.3)
+    quantitative (0.1.4)
       oj (~> 3.10)
 
 GEM

data/lib/quant/config.rb

@@ -0,0 +1,32 @@
+# frozen_string_literal: true
+
+module Quant
+  module Config
+    class Config
+      attr_reader :indicators
+
+      def initialize
+        @indicators = Settings::Indicators.defaults
+      end
+
+      def apply_indicator_settings(**settings)
+        @indicators.apply_settings(**settings)
+      end
+    end
+
+    def self.config
+      @config ||= Config.new
+    end
+  end
+
+  module_function
+
+  def config
+    Config.config
+  end
+
+  def configure_indicators(**settings)
+    config.apply_indicator_settings(**settings)
+    yield config.indicators if block_given?
+  end
+end

data/lib/quant/indicators/indicator.rb

@@ -0,0 +1,136 @@
+module Quant
+  class Indicators
+    class Indicator
+      # include Enumerable
+
+      # # include Mixins::TrendMethods
+      # include Mixins::Trig
+      # include Mixins::WeightedAverage
+      # include Mixins::HilbertTransform
+      # include Mixins::SuperSmoother
+      # include Mixins::Stochastic
+      # include Mixins::FisherTransform
+      # include Mixins::HighPassFilter
+      # include Mixins::Direction
+      # include Mixins::Filters
+
+      # def inspect
+      #   "#<#{self.class.name} #{symbol} #{interval} #{points.size} points>"
+      # end
+
+      # def compute
+      #   raise NotImplementedError
+      # end
+
+      # def [](index)
+      #   points[index]
+      # end
+
+      # def after_append
+      #   # NoOp
+      # end
+
+      # def points_class
+      #   "Quant::Indicators::#{indicator_name}Point".constantize
+      # end
+
+      # def indicator_name
+      #   self.class.name.demodulize
+      # end
+
+      # def warmed_up?
+      #   true
+      # end
+
+      # def initial_max_size
+      #   value = [series.size, series.max_size].max
+      #   value.zero? ? settings.initial_max_size : value
+      # end
+
+      attr_reader :series #, :settings, :max_size, :points, :dc_period
+      # delegate :p0, :p1, :p2, :p3, :prev, :iteration, to: :points
+      # delegate :each, :size, :[], :last, :first, to: :points
+      # delegate :oc2, :high_price, :low_price, :open_price, :close_price, :volume, to: :p0
+
+      def initialize(series:) # settings: Settings::Indicators.defaults, cloning: false)
+        @series = series
+        # @settings = settings
+        # @max_size = initial_max_size
+        # @points = Points.new(indicator: self)
+        # return if cloning
+
+        # after_initialization
+        # parent_series.each { |ohlc| append ohlc }
+        # @points_for_cache = {}
+        # @dc_period = nil
+      end
+
+      # def points_for(series:)
+      #   @points_for_cache[series] ||= self.class.new(series:, settings:, cloning: true).tap do |indicator|
+      #     series.ticks.each { |tick| indicator.points.push(tick.indicators[self]) }
+      #   end
+      # end
+
+      # # Ticks belong to the first series they're associated with always
+      # # NOTE: No provisions for series merging their ticks to one series!
+      # def parent_series
+      #   series.ticks.empty? ? series : series.ticks.first.series
+      # end
+
+      # def after_initialization
+      #   # NoOp
+      # end
+
+      # # Returns the last point of the current indicator rather than the entire series
+      # # This is used for indicators that depend on dominant cycle or other indicators
+      # # to compute their data points.
+      # def current_point
+      #   points.size - 1
+      # end
+
+      # def dominant_cycles
+      #   parent_series.indicators.dominant_cycles
+      # end
+
+      # # Override this method to change source of dominant cycle computation for an indicator
+      # def dominant_cycle_indicator
+      #   @dominant_cycle_indicator ||= dominant_cycles.band_pass
+      # end
+
+      # def ensure_not_dominant_cycler_indicator
+      #   return unless is_a? Quant::Indicators::DominantCycles::DominantCycle
+
+      #   raise 'Dominant Cycle Indicators cannot use the thing they compute!'
+      # end
+
+      # # Sets the dominant cycle period for the current indicator's point
+      # # @dc_period gets set before each #compute call.
+      # def update_dc_period
+      #   ensure_not_dominant_cycler_indicator
+      #   @dc_period = current_dominant_cycle.period
+      # end
+
+      # # Returns the dominant cycle point for the current indicator's point
+      # def current_dominant_cycle
+      #   dominant_cycle_indicator[current_point]
+      # end
+
+      # # Returns the atr point for the current indicator's point
+      # def atr_point
+      #   parent_series.indicators.atr[current_point]
+      # end
+
+      # # def dc_period
+      # #   dominant_cycle.period.round(0).to_i
+      # # end
+
+      # def <<(ohlc)
+      #   points.append(ohlc)
+      # end
+
+      # def append(ohlc)
+      #   points.append(ohlc)
+      # end
+    end
+  end
+end

data/lib/quant/indicators/indicator_point.rb

@@ -0,0 +1,36 @@
+# frozen_string_literal: true
+
+module Quant
+  class Indicators
+    class IndicatorPoint
+      extend Forwardable
+
+      attr_reader :tick, :source
+
+      def initialize(tick:, source:)
+        @tick = tick
+        @source = @tick.send(source)
+      end
+
+      def volume
+        @tick.base_volume
+      end
+
+      def timestamp
+        @tick.close_timestamp
+      end
+
+      def initialize_data_points(indicator:)
+        # NoOp
+      end
+
+      def to_h
+        raise NotImplementedError
+      end
+
+      def to_json(*args)
+        Oj.dump(to_h, *args)
+      end
+    end
+  end
+end

data/lib/quant/indicators/ma.rb

@@ -0,0 +1,46 @@
+module Quant
+  class Indicators
+    class MaPoint < IndicatorPoint
+      attr_accessor :ss, :ema, :osc
+
+      def to_h
+        {
+          "ss" => ss,
+          "ema" => delta_phase,
+          "osc" => osc
+        }
+      end
+
+      def initialize_data_points(indicator:)
+        @ss = oc2
+        @ema = oc2
+        @osc = nil
+      end
+    end
+
+    # Moving Averages
+    class Ma < Indicator
+      def self.indicator_key
+        "ma"
+      end
+
+      def alpha(period)
+        bars_to_alpha(period)
+      end
+
+      def min_period
+        settings.min_period
+      end
+
+      def period
+        settings.max_period
+      end
+
+      def compute
+        p0.ss = super_smoother p0.oc2, :ss, min_period
+        p0.ema = alpha(period) * p0.oc2 + (1 - alpha(period)) * p1.ema
+        p0.osc = p0.ss - p0.ema
+      end
+    end
+  end
+end

data/lib/quant/indicators.rb

@@ -0,0 +1,29 @@
+# frozen_string_literal: true
+
+module Quant
+  # < IndicatorsAccessor
+  class Indicators
+    # def atr;            indicator(Indicators::Atr) end
+    # def adx;            indicator(Indicators::Adx) end
+    # def cci;            indicator(Indicators::Cci) end
+    # def cdi;            indicator(Indicators::Cdi) end
+    # def decycler;       indicator(Indicators::Decycler) end
+    # def frema;          indicator(Indicators::Frema) end
+    # def hilo;           indicator(Indicators::HiLo) end
+    # def ma;             indicator(Indicators::Ma) end
+    # def mama;           indicator(Indicators::Mama) end
+    # def frama;          indicator(Indicators::Frama) end
+    # def mesa;           indicator(Indicators::Mesa) end
+    # def roofing;        indicator(Indicators::Roofing) end
+    # def rsi;            indicator(Indicators::Rsi) end
+    # def rrr;            indicator(Indicators::Rrr) end
+    # def rrsi;           indicator(Indicators::RocketRsi) end
+    # def samo;           indicator(Indicators::Samo) end
+    # def snr;            indicator(Indicators::Snr) end
+    # def ssf;            indicator(Indicators::Ssf) end
+    # def volume;         indicator(Indicators::VolumeSsf) end
+    # def vol;            indicator(Indicators::Vol) end
+    # def vrsi;           indicator(Indicators::VolumeRsi) end
+    # def weibull;        indicator(Indicators::Weibull) end
+  end
+end

data/lib/quant/settings/indicators.rb

@@ -0,0 +1,78 @@
+# frozen_string_literal: true
+
+module Quant
+  module Settings
+    # Indicator settings provide a way to configure the default settings for indicators.
+    # Many of the indicators are built in adaptive measuring of the dominant cycle and these settings
+    # provide a way to configure your choices for the indicators.  The default values come from various
+    # papers and books on the subject of technical analysis by John Ehlers where he variously suggests
+    # a minimum period of 8 or 10 and a max period of 48.
+    #
+    # The half period is the average of the max_period and min_period.
+    # The micro period comes from Ehler's writings on Swami charts and auto-correlation computations, which
+    # is a period of 3 bars.  It is useful enough in various indicators to be its own setting.
+    #
+    # The dominant cycle kind is the kind of dominant cycle to use in the indicator.  The default is +:settings+
+    # which means the dominant cycle is whatever the +max_period+ is set to.  It is not adaptive when configured
+    # this way.  The other kinds are adaptive and are computed from the series data.  The choices are:
+    # * +:settings+  - the max_period is the dominant cycle and is not adaptive
+    # * +:band_pass+ - The zero crossings of the band pass filter are used to compute the dominant cycle
+    # * +:auto_correlation_reversal+ - The dominant cycle is computed from the auto-correlation of the series.
+    # * +:homodyne+ - The dominant cycle is computed from the homodyne discriminator.
+    # * +:differential+ - The dominant cycle is computed from the differential discriminator.
+    # * +:phase_accumulator+ - The dominant cycle is computed from the phase accumulator.
+    #
+    # All of the above are adaptive and are computed from the series data and are described in John Ehlers' books
+    # and published papers.
+    #
+    # Pivot kinds are started as the classic pivot points and then expanded to include other kinds of bands that
+    # follow along with price action such as Donchian channels, Fibonacci bands, Bollinger bands, Keltner bands,
+    # etc.  The choices are as follows:
+    # * +:pivot+ - Classic pivot points
+    # * +:donchian+ - Donchian channels
+    # * +:fibbonacci+ - Fibonacci bands
+    # * +:woodie+ - Woodie's pivot points
+    # * +:classic+ - Classic pivot points
+    # * +:camarilla+ - Camarilla pivot points
+    # * +:demark+ - Demark pivot points
+    # * +:murrey+ - Murrey math pivot points
+    # * +:keltner+ - Keltner bands
+    # * +:bollinger+ - Bollinger bands
+    # * +:guppy+ - Guppy bands
+    # * +:atr+ - ATR bands
+    #
+    class Indicators
+      # Returns an instance of the settings for indicators configured with defaults derived from
+      # defined constants in the +Quant::Settings+ module.
+      def self.defaults
+        new
+      end
+
+      attr_accessor :max_period, :min_period, :half_period, :micro_period
+      attr_accessor :dominant_cycle_kind, :pivot_kind
+
+      def initialize(**settings)
+        @max_period = settings[:max_period] || Settings::MAX_PERIOD
+        @min_period = settings[:min_period] || Settings::MIN_PERIOD
+        @half_period = settings[:half_period] || compute_half_period
+        @micro_period = settings[:micro_period] || Settings::MICRO_PERIOD
+
+        @dominant_cycle_kind = settings[:dominant_cycle_kind] || Settings::DOMINANT_CYCLE_KINDS.first
+        @pivot_kind = settings[:pivot_kind] || Settings::PIVOT_KINDS.first
+      end
+
+      def apply_settings(**settings)
+        @max_period = settings.fetch(:max_period, @max_period)
+        @min_period = settings.fetch(:min_period, @min_period)
+        @half_period = settings.fetch(:half_period, @half_period || compute_half_period)
+        @micro_period = settings.fetch(:micro_period, @micro_period)
+        @dominant_cycle_kind = settings.fetch(:dominant_cycle_kind, @dominant_cycle_kind)
+        @pivot_kind = settings.fetch(:pivot_kind, @pivot_kind)
+      end
+
+      def compute_half_period
+        (max_period + min_period) / 2
+      end
+    end
+  end
+end

data/lib/quant/settings.rb

@@ -0,0 +1,48 @@
+module Quant
+  module Settings
+    MAX_PERIOD = 48
+    MIN_PERIOD = 10
+    HALF_PERIOD = (MAX_PERIOD + MIN_PERIOD) / 2
+    MICRO_PERIOD = 3
+
+    PIVOT_KINDS = %i(
+      pivot
+      donchian
+      fibbonacci
+      woodie
+      classic
+      camarilla
+      demark
+      murrey
+      keltner
+      bollinger
+      guppy
+      atr
+    ).freeze
+
+    DOMINANT_CYCLE_KINDS = %i(
+      settings
+      band_pass
+      auto_correlation_reversal
+      homodyne
+      differential
+      phase_accumulator
+    ).freeze
+
+    # ---- Risk Management Ratio Settings ----
+    #   Risk    Reward    Breakeven Win Rate %
+    #     50         1            98%
+    #     10         1            91%
+    #      5         1            83%
+    #      3         1            75%
+    #      2         1            67%
+    #      1         1            50%
+    #      1         2            33%
+    #      1         3            25%
+    #      1         5            17%
+    #      1        10             9%
+    #      1        50             2%
+    PROFIT_TARGET_PCT = 0.03
+    STOP_LOSS_PCT = 0.01
+  end
+end

data/lib/quant/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module Quant
-  VERSION = "0.1.3"
+  VERSION = "0.1.4"
 end

data/lib/quantitative.rb

@@ -12,6 +12,6 @@ quant_folder = File.join(lib_folder, "quant")
 Dir.glob(File.join(quant_folder, "*.rb")).each { |fn| require fn }
 
 # require sub-folders and their sub-folders
-%w(refinements ticks).each do |sub_folder|
+%w(refinements settings ticks indicators).each do |sub_folder|
   Dir.glob(File.join(quant_folder, sub_folder, "**/*.rb")).each { |fn| require fn }
-end
+end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: quantitative
 version: !ruby/object:Gem::Version
-  version: 0.1.3
+  version: 0.1.4
 platform: ruby
 authors:
 - Michael Lang
 autorequire:
 bindir: exe
 cert_chain: []
-date: 2024-02-15 00:00:00.000000000 Z
+date: 2024-02-21 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: oj
@@ -44,7 +44,12 @@ files:
 - LICENSE
 - README.md
 - Rakefile
+- lib/quant/config.rb
 - lib/quant/errors.rb
+- lib/quant/indicators.rb
+- lib/quant/indicators/indicator.rb
+- lib/quant/indicators/indicator_point.rb
+- lib/quant/indicators/ma.rb
 - lib/quant/interval.rb
 - lib/quant/mixins/direction.rb
 - lib/quant/mixins/filters.rb
@@ -59,6 +64,8 @@ files:
 - lib/quant/security.rb
 - lib/quant/security_class.rb
 - lib/quant/series.rb
+- lib/quant/settings.rb
+- lib/quant/settings/indicators.rb
 - lib/quant/ticks/ohlc.rb
 - lib/quant/ticks/serializers/ohlc.rb
 - lib/quant/ticks/serializers/spot.rb