quantitative 0.2.2 → 0.3.1

data/lib/quant/indicators_sources.rb

@@ -1,28 +1,54 @@
 # frozen_string_literal: true
 
 module Quant
+  # {Quant::IndicatorSources} pairs a collection of {Quant::Indicators::Indicator} with an input source.
+  # This allows us to only compute indicators for the sources that are referenced at run-time.
+  # Any source explicitly used at run-time will have its indicator computed and only those indicators
+  # will be computed.
   class IndicatorsSources
+    ALL_SOURCES = [
+      PRICE_SOURCES = %i[price open_price high_price low_price close_price].freeze,
+      VOLUME_SOURCES = %i[volume base_volume target_volume].freeze,
+      COMPUTED_SOURCES = %i[oc2 hl2 hlc3 ohlc4].freeze
+    ].flatten.freeze
+
+    attr_reader :series
+
     def initialize(series:)
       @series = series
-      @indicator_sources = {}
-    end
-
-    def new_indicator(indicator)
-      @indicator_sources[indicator.source] ||= Indicators.new(series: @series, source: indicator.source)
+      @sources = {}
     end
 
     def [](source)
-      return @indicator_sources[source] if @indicator_sources.key?(source)
+      raise invalid_source_error(source:) unless ALL_SOURCES.include?(source)
 
-      raise Quant::Errors::InvalidIndicatorSource, "Invalid source, #{source.inspect}."
+      @sources[source] ||= IndicatorsSource.new(series:, source:)
     end
 
     def <<(tick)
-      @indicator_sources.each_value { |indicator| indicator << tick }
+      @sources.each_value { |indicator| indicator << tick }
+    end
+
+    ALL_SOURCES.each do |source|
+      define_method(source) do
+        @sources[source] ||= IndicatorsSource.new(series:, source:)
+      end
     end
 
-    def oc2
-      @indicator_sources[:oc2] ||= Indicators.new(series: @series, source: :oc2)
+    def respond_to_missing?(method, *)
+      oc2.respond_to?(method)
+    end
+
+    def method_missing(method_name, *args, &block)
+      return super unless respond_to_missing?(method_name)
+
+      oc2.send(method_name, *args, &block)
+    end
+
+    private
+
+    def invalid_source_error(source:)
+      raise Errors::InvalidIndicatorSource, "Invalid indicator source: #{source.inspect}"
     end
   end
 end

data/lib/quant/mixins/filters.rb

@@ -1,8 +1,5 @@
 # frozen_string_literal: true
 
-require_relative "high_pass_filters"
-require_relative "butterworth_filters"
-require_relative "universal_filters"
 module Quant
   module Mixins
     module Filters

data/lib/quant/mixins/moving_averages.rb

@@ -1,8 +1,5 @@
 # frozen_string_literal: true
 
-require_relative "weighted_moving_average"
-require_relative "simple_moving_average"
-require_relative "exponential_moving_average"
 module Quant
   module Mixins
     module MovingAverages

data/lib/quant/pivots_source.rb

@@ -0,0 +1,28 @@
+# frozen_string_literal: true
+
+module Quant
+  class PivotsSource
+    def initialize(indicator_source:)
+      @indicator_source = indicator_source
+    end
+
+    def atr; indicator(Indicators::Pivots::Atr) end
+    def bollinger; indicator(Indicators::Pivots::Bollinger) end
+    def camarilla; indicator(Indicators::Pivots::Camarilla) end
+    def classic; indicator(Indicators::Pivots::Classic) end
+    def demark; indicator(Indicators::Pivots::Demark) end
+    def donchian; indicator(Indicators::Pivots::Donchian) end
+    def fibbonacci; indicator(Indicators::Pivots::Fibbonacci) end
+    def guppy; indicator(Indicators::Pivots::Guppy) end
+    def keltner; indicator(Indicators::Pivots::Keltner) end
+    def murrey; indicator(Indicators::Pivots::Murrey) end
+    def traditional; indicator(Indicators::Pivots::Traditional) end
+    def woodie; indicator(Indicators::Pivots::Woodie) end
+
+    private
+
+    def indicator(indicator_class)
+      @indicator_source[indicator_class]
+    end
+  end
+end

data/lib/quant/refinements/array.rb

@@ -103,6 +103,7 @@ module Quant
 
       # Computes the mean of the array.  When +n+ is specified, the mean is computed over
       # the last +n+ elements, otherwise it is computed over the entire array.
+      # If the array is empty, 0.0 is returned.
       #
       # @param n [Integer] the number of elements to compute the mean over
       # @return [Float]
@@ -113,6 +114,19 @@ module Quant
         subset.sum / subset.size.to_f
       end
 
+      # Returns the largest absolute value in the array.  When +n+ is specified, the peak is computed over
+      # the last +n+ elements, otherwise it is computed over the entire array.
+      # If the array is empty, 0.0 is returned.
+      #
+      # @param n [Integer] the number of elements to compute the peak over
+      # @return [Float]
+      def peak(n: size)
+        subset = last(n)
+        return 0.0 if subset.empty?
+
+        [subset.max.abs, subset.min.abs].max
+      end
+
       # Computes the Exponential Moving Average (EMA) of the array.  When +n+ is specified,
       # the EMA is computed over the last +n+ elements, otherwise it is computed over the entire array.
       # An Array of EMA's is returned, with the first entry always the first value in the subset.

data/lib/quant/series.rb

@@ -60,18 +60,20 @@ module Quant
       @ticks = []
     end
 
-    def limit_iterations(start_iteration, stop_iteration)
-      selected_ticks = ticks[start_iteration..stop_iteration]
+    def build_limited_series(selected_ticks)
       return self if selected_ticks.size == ticks.size
 
       self.class.from_ticks(symbol:, interval:, ticks: selected_ticks)
     end
 
+    def limit_iterations(start_iteration, stop_iteration)
+      selected_ticks = ticks[start_iteration..stop_iteration]
+      build_limited_series selected_ticks
+    end
+
     def limit(period)
       selected_ticks = ticks.select{ |tick| period.cover?(tick.close_timestamp) }
-      return self if selected_ticks.size == ticks.size
-
-      self.class.from_ticks(symbol:, interval:, ticks: selected_ticks)
+      build_limited_series selected_ticks
     end
 
     def_delegator :@ticks, :[]
@@ -80,6 +82,7 @@ module Quant
     def_delegator :@ticks, :select!
     def_delegator :@ticks, :reject!
     def_delegator :@ticks, :last
+    def_delegator :@ticks, :take
 
     def highest
       ticks.max_by(&:high_price)
@@ -101,20 +104,6 @@ module Quant
       "#<#{self.class.name} symbol=#{symbol} interval=#{interval} ticks=#{ticks.size}>"
     end
 
-    # When the first indicator is instantiated, it will also lead to instantiating
-    # the dominant cycle indicator.  The `new_indicator_lock` prevents reentrant calls
-    # to the `new_indicator` method with infinite recursion.
-    def new_indicator(indicator)
-      return if @new_indicator_lock
-
-      begin
-        @new_indicator_lock = true
-        indicators.new_indicator(indicator)
-      ensure
-        @new_indicator_lock = false
-      end
-    end
-
     def <<(tick)
       tick = Ticks::Spot.new(price: tick) if tick.is_a?(Numeric)
       indicators << tick unless tick.series?

data/lib/quant/settings/indicators.rb

@@ -59,6 +59,7 @@ module Quant
         @half_period = settings[:half_period] || compute_half_period
         @micro_period = settings[:micro_period] || Settings::MICRO_PERIOD
 
+        @dominant_cycle_indicator_class = nil
         @dominant_cycle_kind = settings[:dominant_cycle_kind] || Settings::DOMINANT_CYCLE_KINDS.first
         @pivot_kind = settings[:pivot_kind] || Settings::PIVOT_KINDS.first
       end
@@ -68,6 +69,7 @@ module Quant
         @min_period = settings.fetch(:min_period, @min_period)
         compute_half_period
         @micro_period = settings.fetch(:micro_period, @micro_period)
+        @dominant_cycle_indicator_class = nil
         @dominant_cycle_kind = settings.fetch(:dominant_cycle_kind, @dominant_cycle_kind)
         @pivot_kind = settings.fetch(:pivot_kind, @pivot_kind)
       end
@@ -83,6 +85,15 @@ module Quant
       def compute_half_period
         @half_period = (max_period + min_period) / 2
       end
+
+      def dominant_cycle_indicator_class
+        return @dominant_cycle_indicator_class if @dominant_cycle_indicator_class
+
+        base_class_name = dominant_cycle_kind.to_s.split("_").map(&:capitalize).join
+        class_name = "Quant::Indicators::DominantCycles::#{base_class_name}"
+
+        @dominant_cycle_indicator_class = Object.const_get(class_name)
+      end
     end
   end
 end

data/lib/quant/ticks/ohlc.rb

@@ -1,7 +1,5 @@
 # frozen_string_literal: true
 
-require_relative "tick"
-
 module Quant
   module Ticks
     # A {Quant::Ticks::OHLC} is a bar or candle for a point in time that

data/lib/quant/ticks/spot.rb

@@ -1,7 +1,5 @@
 # frozen_string_literal: true
 
-require_relative "tick"
-
 module Quant
   module Ticks
     # A +Spot+ is a single price point in time.  It is the most basic form of a {Quant::Ticks::Tick} and is usually used to represent

data/lib/quant/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module Quant
-  VERSION = "0.2.2"
+  VERSION = "0.3.1"
 end

data/lib/quantitative.rb

@@ -4,14 +4,31 @@ require "time"
 require "date"
 require "oj"
 require "csv"
+require "zeitwerk"
 
 lib_folder = File.expand_path(File.join(File.dirname(__FILE__)))
 quant_folder = File.join(lib_folder, "quant")
 
-# require top-level files
-Dir.glob(File.join(quant_folder, "*.rb")).each { |fn| require fn }
+# Explicitly require module functions since Zeitwerk isn't configured, yet.
+require_relative "quant/time_methods"
+require_relative "quant/config"
+require_relative "quant/experimental"
+module Quant
+  include TimeMethods
+  include Config
+  include Experimental
+end
+
+# Configure Zeitwerk to autoload the Quant module.
+loader = Zeitwerk::Loader.for_gem
+loader.push_dir(quant_folder, namespace: Quant)
+
+loader.inflector.inflect "ohlc" => "OHLC"
+loader.inflector.inflect "version" => "VERSION"
+
+loader.setup
 
-# require sub-folders and their sub-folders
-%w(refinements mixins statistics settings ticks indicators).each do |sub_folder|
+# Refinements aren't autoloaded by Zeitwerk, so we need to require them manually.
+%w(refinements).each do |sub_folder|
   Dir.glob(File.join(quant_folder, sub_folder, "**/*.rb")).each { |fn| require fn }
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: quantitative
 version: !ruby/object:Gem::Version
-  version: 0.2.2
+  version: 0.3.1
 platform: ruby
 authors:
 - Michael Lang
 autorequire:
 bindir: exe
 cert_chain: []
-date: 2024-03-17 00:00:00.000000000 Z
+date: 2024-06-01 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: oj
@@ -24,6 +24,20 @@ dependencies:
     - - "~>"
       - !ruby/object:Gem::Version
         version: '3.10'
+- !ruby/object:Gem::Dependency
+  name: zeitwerk
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '2.6'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '2.6'
 description: Quantitative and statistical tools written for Ruby 3.2+ for trading
   and finance.
 email:
@@ -48,7 +62,7 @@ files:
 - lib/quant/asset_class.rb
 - lib/quant/attributes.rb
 - lib/quant/config.rb
-- lib/quant/dominant_cycle_indicators.rb
+- lib/quant/dominant_cycles_source.rb
 - lib/quant/errors.rb
 - lib/quant/experimental.rb
 - lib/quant/indicators.rb
@@ -69,7 +83,20 @@ files:
 - lib/quant/indicators/mama.rb
 - lib/quant/indicators/mesa.rb
 - lib/quant/indicators/ping.rb
-- lib/quant/indicators_proxy.rb
+- lib/quant/indicators/pivot.rb
+- lib/quant/indicators/pivots/atr.rb
+- lib/quant/indicators/pivots/bollinger.rb
+- lib/quant/indicators/pivots/camarilla.rb
+- lib/quant/indicators/pivots/classic.rb
+- lib/quant/indicators/pivots/demark.rb
+- lib/quant/indicators/pivots/donchian.rb
+- lib/quant/indicators/pivots/fibbonacci.rb
+- lib/quant/indicators/pivots/guppy.rb
+- lib/quant/indicators/pivots/keltner.rb
+- lib/quant/indicators/pivots/murrey.rb
+- lib/quant/indicators/pivots/traditional.rb
+- lib/quant/indicators/pivots/woodie.rb
+- lib/quant/indicators_source.rb
 - lib/quant/indicators_sources.rb
 - lib/quant/interval.rb
 - lib/quant/mixins/butterworth_filters.rb
@@ -86,6 +113,7 @@ files:
 - lib/quant/mixins/super_smoother.rb
 - lib/quant/mixins/universal_filters.rb
 - lib/quant/mixins/weighted_moving_average.rb
+- lib/quant/pivots_source.rb
 - lib/quant/refinements/array.rb
 - lib/quant/series.rb
 - lib/quant/settings.rb
@@ -101,6 +129,7 @@ files:
 - lib/quant/time_period.rb
 - lib/quant/version.rb
 - lib/quantitative.rb
+- possibilities.png
 homepage: https://github.com/mwlang/quantitative
 licenses:
 - MIT
@@ -124,7 +153,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubygems_version: 3.5.6
+rubygems_version: 3.5.11
 signing_key:
 specification_version: 4
 summary: Quantitative and statistical tools written for Ruby 3.2+ for trading and

data/lib/quant/indicators_proxy.rb

@@ -1,68 +0,0 @@
-# frozen_string_literal: true
-
-module Quant
-  # The {Quant::IndicatorsProxy} class is responsible for lazily loading indicators
-  # so that not all indicators are always engaged and computing their values.
-  # If the indicator is never accessed, it's never computed, saving valuable
-  # processing CPU cycles.
-  #
-  # Indicators are generally built around the concept of a source input value and
-  # that source is designated by the source parameter when instantiating the
-  # {Quant::IndicatorsProxy} class.
-  #
-  # By design, the {Quant::Indicator} class holds the {Quant::Ticks::Tick} instance
-  # alongside the indicator's computed values for that tick.
-  class IndicatorsProxy
-    attr_reader :series, :source, :dominant_cycle, :indicators
-
-    def initialize(series:, source:)
-      @series = series
-      @source = source
-      @indicators = {}
-      @dominant_cycle = dominant_cycle_indicator
-    end
-
-    def dominant_cycle_indicator
-      kind = Quant.config.indicators.dominant_cycle_kind.to_s
-      base_class_name = kind.split("_").map(&:capitalize).join
-      class_name = "Quant::Indicators::DominantCycles::#{base_class_name}"
-      indicator_class = Object.const_get(class_name)
-      indicator_class.new(series:, source:)
-    end
-
-    # Instantiates the indicator class and stores it in the indicators hash.  Once
-    # prepared, the indicator becomes active and all ticks pushed into the series
-    # are sent to the indicator for processing.
-    def indicator(indicator_class)
-      indicators[indicator_class] ||= indicator_class.new(series:, source:)
-    end
-
-    # Adds the tick to all active indicators, triggering them to compute
-    # new values against the latest tick.
-    #
-    # NOTE:  Dominant cycle indicators must be computed first as many
-    # indicators are adaptive and require the dominant cycle period.
-    # The IndicatorsProxy class is not responsible for enforcing
-    # this order of events.
-    def <<(tick)
-      dominant_cycle << tick
-      indicators.each_value { |indicator| indicator << tick }
-    end
-
-    # Attaches a given Indicator class and defines the method for
-    # accessing it using the given name.  Indicators take care of
-    # computing their values when first attached to a populated
-    # series.
-    #
-    # The indicators shipped with the library are all wired into the framework, thus
-    # this method should be used for custom indicators not shipped with the library.
-    #
-    # @param name [Symbol] The name of the method to define for accessing the indicator.
-    # @param indicator_class [Class] The class of the indicator to attach.
-    # @example
-    #   series.indicators.oc2.attach(name: :foo, indicator_class: Indicators::Foo)
-    def attach(name:, indicator_class:)
-      define_singleton_method(name) { indicator(indicator_class) }
-    end
-  end
-end