quantitative 0.3.0 → 0.3.2

checksums.yaml

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

@@ -1,8 +1,9 @@
 PATH
   remote: .
   specs:
-    quantitative (0.3.0)
+    quantitative (0.3.2)
       oj (~> 3.10)
+      zeitwerk (~> 2.6)
 
 GEM
   remote: https://rubygems.org/
@@ -126,6 +127,7 @@ GEM
     unicode-display_width (2.5.0)
     vernier (0.5.1)
     yard (0.9.34)
+    zeitwerk (2.6.15)
 
 PLATFORMS
   arm64-darwin-22

data/lib/quant/asset.rb

@@ -1,7 +1,5 @@
 # frozen_string_literal: true
 
-require_relative "asset_class"
-
 module Quant
   # A {Quant::Asset} is a representation of a financial instrument such as a stock, option, future, or currency.
   # It is used to represent the instrument that is being traded, analyzed, or managed.

data/lib/quant/dominant_cycles_source.rb

@@ -17,40 +17,9 @@ module Quant
   class DominantCyclesSource
     def initialize(indicator_source:)
       @indicator_source = indicator_source
+      indicator_source.define_indicator_accessors(indicator_source: self)
     end
 
-    # Auto-Correlation Reversals is a method of computing the dominant cycle
-    # by correlating the data stream with itself delayed by a lag.
-    def acr; indicator(Indicators::DominantCycles::Acr) end
-
-    # The band-pass dominant cycle passes signals within a certain frequency
-    # range, and attenuates signals outside that range.
-    # The trend component of the signal is removed, leaving only the cyclical
-    # component.  Then we count number of iterations between zero crossings
-    # and this is the `period` of the dominant cycle.
-    def band_pass; indicator(Indicators::DominantCycles::BandPass) end
-
-    # The Dual Differentiator algorithm computes the phase angle from the
-    # analytic signal as the arctangent of the ratio of the imaginary
-    # component to the real component. Further, the angular frequency
-    # is defined as the rate change of phase. We can use these facts to
-    # derive the cycle period.
-    def differential; indicator(Indicators::DominantCycles::Differential) end
-
-    # Static, arbitrarily set period.
-    def half_period; indicator(Indicators::DominantCycles::HalfPeriod) end
-
-    # Homodyne means the signal is multiplied by itself. More precisely,
-    # we want to multiply the signal of the current bar with the complex
-    # value of the signal one bar ago
-    def homodyne; indicator(Indicators::DominantCycles::Homodyne) end
-
-    # The phase accumulation method of computing the dominant cycle measures
-    # the phase at each sample by taking the arctangent of the ratio of the
-    # quadrature component to the in-phase component.  The phase is then
-    # accumulated and the period is derived from the phase.
-    def phase_accumulator; indicator(Indicators::DominantCycles::PhaseAccumulator) end
-
     private
 
     def indicator(indicator_class)

data/lib/quant/experimental.rb

@@ -14,7 +14,9 @@ module Quant
     end
   end
 
-  def self.experimental(message)
+  module_function
+
+  def experimental(message)
     return if Experimental.rspec_defined?
     return if Experimental.tracker[caller.first]
 

data/lib/quant/indicators/adx.rb

@@ -1,11 +1,7 @@
 # frozen_string_literal: true
 
-require_relative "indicator_point"
-require_relative "indicator"
-require_relative "atr"
-
 module Quant
-  class Indicators
+  module Indicators
     class AdxPoint < IndicatorPoint
       attribute :dmu, default: 0.0
       attribute :dmd, default: 0.0
@@ -25,12 +21,9 @@ module Quant
     end
 
     class Adx < Indicator
+      register name: :adx
       depends_on Indicators::Atr
 
-      def alpha
-        bars_to_alpha(dc_period)
-      end
-
       def scale
         1.0
       end
@@ -75,7 +68,7 @@ module Quant
         p0.di_ema = three_pole_super_smooth(:di, period:, previous: :di_ema).clamp(-10.0, 10.0)
 
         p0.value = p0.di_ema
-        p0.inst_stoch = stochastic :di, period: dc_period
+        p0.inst_stoch = stochastic(:di, period:)
         p0.stoch = three_pole_super_smooth :inst_stoch, period:, previous: :stoch
       end
     end

data/lib/quant/indicators/atr.rb

@@ -1,10 +1,7 @@
 # frozen_string_literal: true
 
-require_relative "indicator_point"
-require_relative "indicator"
-
 module Quant
-  class Indicators
+  module Indicators
     class AtrPoint < IndicatorPoint
       attribute :tr, default: 0.0
       attribute :period, default: :min_period
@@ -28,6 +25,8 @@ module Quant
     end
 
     class Atr < Indicator
+      register name: :atr
+
       attr_reader :points
 
       def period

data/lib/quant/indicators/cci.rb

@@ -1,7 +1,7 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
+  module Indicators
     class CciPoint < IndicatorPoint
       attribute :hp, default: 0.0
       attribute :real, default: 0.0
@@ -18,6 +18,8 @@ module Quant
     #
     # SOURCE: https://www.mesasoftware.com/papers/CORRELATION%20AS%20A%20CYCLE%20INDICATOR.pdf
     class Cci < Indicator
+      register name: :cci
+
       def max_period
         [min_period, dc_period].max
       end

data/lib/quant/indicators/decycler.rb

@@ -1,7 +1,7 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
+  module Indicators
     # The decycler oscillator can be useful for determining the transition be- tween uptrends and downtrends by the crossing of the zero
     # line. Alternatively, the changes of slope of the decycler oscillator are easier to identify than the changes in slope of the
     # original decycler. Optimum cutoff periods can easily be found by experimentation.
@@ -24,6 +24,8 @@ module Quant
     end
 
     class Decycler < Indicator
+      register name: :decycler
+
       def max_period
         dc_period
       end

data/lib/quant/indicators/dominant_cycles/acr.rb

@@ -1,12 +1,9 @@
 # frozen_string_literal: true
 
-require_relative "../indicator_point"
-require_relative "dominant_cycle"
-
 module Quant
-  class Indicators
-    class DominantCycles
-      class AcrPoint < DominantCyclePoint
+  module Indicators
+    module DominantCycles
+      class AcrPoint < Quant::Indicators::IndicatorPoint
         attribute :hp, default: 0.0
         attribute :filter, default: 0.0
         attribute :interim_period, default: 0.0
@@ -31,6 +28,8 @@ module Quant
       # The cyclic information is extracted using a discrete Fourier transform
       # (DFT) of the autocorrelation results.
       class Acr < DominantCycle
+        register name: :acr
+
         BANDWIDTH_DEGREES = 370
         BANDWIDTH_RADIANS = BANDWIDTH_DEGREES * Math::PI / 180.0
 

data/lib/quant/indicators/dominant_cycles/band_pass.rb

@@ -1,10 +1,8 @@
 # frozen_string_literal: true
 
-require_relative "dominant_cycle"
-
 module Quant
-  class Indicators
-    class DominantCycles
+  module Indicators
+    module DominantCycles
       class BandPassPoint < Quant::Indicators::IndicatorPoint
         attribute :hp, default: 0.0
         attribute :bp, default: 0.0
@@ -22,6 +20,8 @@ module Quant
       # component.  Then we count number of iterations between zero crossings
       # and this is the `period` of the dominant cycle.
       class BandPass < DominantCycle
+        register name: :band_pass
+
         def bandwidth
           0.75
         end

data/lib/quant/indicators/dominant_cycles/differential.rb

@@ -1,14 +1,16 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class DominantCycles
+  module Indicators
+    module DominantCycles
       # The Dual Differentiator algorithm computes the phase angle from the
       # analytic signal as the arctangent of the ratio of the imaginary
       # component to the real component. Further, the angular frequency
       # is defined as the rate change of phase. We can use these facts to
       # derive the cycle period.
       class Differential < DominantCycle
+        register name: :differential
+
         def compute_period
           p0.ddd = (p0.q2 * (p0.i2 - p1.i2)) - (p0.i2 * (p0.q2 - p1.q2))
           p0.inst_period = p0.ddd > 0.01 ? 6.2832 * (p0.i2**2 + p0.q2**2) / p0.ddd : 0.0

data/lib/quant/indicators/dominant_cycles/dominant_cycle.rb

@@ -1,9 +1,7 @@
 # frozen_string_literal: true
 
-require_relative "../indicator"
-
 module Quant
-  class Indicators
+  module Indicators
     # Dominant Cycles measure the primary cycle within a given range.  By default, the library
     # is wired to look for cycles between 10 and 48 bars.  These values can be adjusted by setting
     # the `min_period` and `max_period` configuration values in {Quant::Config}.
@@ -18,7 +16,7 @@ module Quant
     # The purpose of these indicators is to compute the dominant cycle and underpin the various
     # indicators that would otherwise be setting an arbitrary lookback period.  This makes the
     # indicators adaptive and auto-tuning to the market dynamics.  Or so the theory goes!
-    class DominantCycles
+    module DominantCycles
       class DominantCyclePoint < Quant::Indicators::IndicatorPoint
         attribute :smooth, default: 0.0
         attribute :detrend, default: 0.0

data/lib/quant/indicators/dominant_cycles/half_period.rb

@@ -1,10 +1,8 @@
 # frozen_string_literal: true
 
-require_relative "dominant_cycle"
-
 module Quant
-  class Indicators
-    class DominantCycles
+  module Indicators
+    module DominantCycles
       # This dominant cycle indicator is based on the half period
       # that is the midpoint of the `min_period` and `max_period`
       # configured in the `Quant.config.indicators` object.
@@ -14,6 +12,8 @@ module Quant
       end
 
       class HalfPeriod < DominantCycle
+        register name: :half_period
+
         def compute
           # No-Op
         end

data/lib/quant/indicators/dominant_cycles/homodyne.rb

@@ -1,15 +1,14 @@
 # frozen_string_literal: true
 
-require_relative "../indicator_point"
-require_relative "dominant_cycle"
-
 module Quant
-  class Indicators
-    class DominantCycles
+  module Indicators
+    module DominantCycles
       # Homodyne means the signal is multiplied by itself. More precisely,
       # we want to multiply the signal of the current bar with the complex
       # value of the signal one bar ago
       class Homodyne < DominantCycle
+        register name: :homodyne
+
         def compute_period
           p0.re = (p0.i2 * p1.i2) + (p0.q2 * p1.q2)
           p0.im = (p0.i2 * p1.q2) - (p0.q2 * p1.i2)

data/lib/quant/indicators/dominant_cycles/phase_accumulator.rb

@@ -1,10 +1,8 @@
 # frozen_string_literal: true
 
-require_relative "dominant_cycle"
-
 module Quant
-  class Indicators
-    class DominantCycles
+  module Indicators
+    module DominantCycles
       # The phase accumulation method of computing the dominant cycle is perhaps
       # the easiest to comprehend. In this technique, we measure the phase
       # at each sample by taking the arctangent of the ratio of the quadrature
@@ -26,6 +24,8 @@ module Quant
       # Therefore, shorter cycle periods necessarily have a higher output
       # signal-to-noise ratio.
       class PhaseAccumulator < DominantCycle
+        register name: :phase_accumulator
+
         def compute_period
           p0.i1 = 0.15 * p0.i1 + 0.85 * p1.i1
           p0.q1 = 0.15 * p0.q1 + 0.85 * p1.q1

data/lib/quant/indicators/ema.rb

@@ -0,0 +1,67 @@
+module Quant
+  module Indicators
+    class EmaPoint < IndicatorPoint
+      attribute :ss_dc_period, default: :input
+      attribute :ss_half_dc_period, default: :input
+      attribute :ss_micro_period, default: :input
+      attribute :ss_min_period, default: :input
+      attribute :ss_half_period, default: :input
+      attribute :ss_max_period, default: :input
+
+      attribute :ema_dc_period, default: :input
+      attribute :ema_half_dc_period, default: :input
+      attribute :ema_micro_period, default: :input
+      attribute :ema_min_period, default: :input
+      attribute :ema_half_period, default: :input
+      attribute :ema_max_period, default: :input
+
+      attribute :osc_dc_period, default: 0.0
+      attribute :osc_half_dc_period, default: 0.0
+      attribute :osc_micro_period, default: 0.0
+      attribute :osc_min_period, default: 0.0
+      attribute :osc_half_period, default: 0.0
+      attribute :osc_max_period, default: 0.0
+    end
+
+    class Ema < Indicator
+      register name: :ema
+
+      def half_dc_period
+        dc_period / 2
+      end
+
+      def compute_super_smoothers
+        p0.ss_dc_period = super_smoother :input, previous: :ss_dc_period, period: dc_period
+        p0.ss_half_dc_period = super_smoother :input, previous: :ss_half_dc_period, period: half_dc_period
+        p0.ss_micro_period = super_smoother :input, previous: :ss_micro_period, period: micro_period
+        p0.ss_min_period = super_smoother :input, previous: :ss_min_period, period: min_period
+        p0.ss_half_period = super_smoother :input, previous: :ss_half_period, period: half_period
+        p0.ss_max_period = super_smoother :input, previous: :ss_max_period, period: max_period
+      end
+
+      def compute_emas
+        p0.ema_dc_period = ema :input, previous: :ema_dc_period, period: dc_period
+        p0.ema_half_dc_period = ema :input, previous: :ema_half_dc_period, period: half_dc_period
+        p0.ema_micro_period = ema :input, previous: :ema_micro_period, period: micro_period
+        p0.ema_min_period = ema :input, previous: :ema_min_period, period: min_period
+        p0.ema_half_period = ema :input, previous: :ema_half_period, period: half_period
+        p0.ema_max_period = ema :input, previous: :ema_max_period, period: max_period
+      end
+
+      def compute_oscillators
+        p0.osc_dc_period = p0.ss_dc_period - p0.ema_dc_period
+        p0.osc_half_dc_period = p0.ss_half_dc_period - p0.ema_half_dc_period
+        p0.osc_micro_period = p0.ss_micro_period - p0.ema_micro_period
+        p0.osc_min_period = p0.ss_min_period - p0.ema_min_period
+        p0.osc_half_period = p0.ss_half_period - p0.ema_half_period
+        p0.osc_max_period = p0.ss_max_period - p0.ema_max_period
+      end
+
+      def compute
+        compute_super_smoothers
+        compute_emas
+        compute_oscillators
+      end
+    end
+  end
+end

data/lib/quant/indicators/frama.rb

@@ -1,7 +1,7 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
+  module Indicators
     class FramaPoint < IndicatorPoint
       attribute :frama, default: :input
       attribute :dimension, default: 0.0
@@ -15,6 +15,7 @@ module Quant
     #
     # SOURCE: http://www.mesasoftware.com/papers/FRAMA.pdf
     class Frama < Indicator
+      register name: :frama
       using Quant
 
       # The max_period is divided into two smaller, equal periods, so must be even

data/lib/quant/indicators/indicator.rb

@@ -1,7 +1,7 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
+  module Indicators
     # The {Quant::Indicators::Indicator} class is the abstract ancestor for all Indicators.
     #
     class Indicator
@@ -15,6 +15,10 @@ module Quant
       include Mixins::FisherTransform
       # include Mixins::Direction
 
+      def self.register(name:)
+        Quant::IndicatorsSource.register(name:, indicator_class: self)
+      end
+
       # Provides a registry of dependent indicators for each indicator class.
       # NOTE: Internal use only.
       def self.dependent_indicator_classes

data/lib/quant/indicators/indicator_point.rb

@@ -1,7 +1,7 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
+  module Indicators
     class IndicatorPoint
       include Quant::Attributes
       extend Forwardable

data/lib/quant/indicators/mama.rb

@@ -1,7 +1,7 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
+  module Indicators
     class MamaPoint < IndicatorPoint
       attribute :smooth, default: 0.0
       attribute :detrend, default: 0.0
@@ -46,6 +46,8 @@ module Quant
     # dominant cycle indicator other than the homodyne for the rest
     # of your indicators.
     class Mama < Indicator
+      register name: :mama
+
       # constrain between 6 and 50 bars
       def constrain_period_bars
         p0.period = p0.period.clamp(min_period, max_period)

data/lib/quant/indicators/mesa.rb

@@ -1,7 +1,7 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
+  module Indicators
     # The MESA inidicator
     class MesaPoint < IndicatorPoint
       attribute :mama, default: :input
@@ -33,12 +33,11 @@ module Quant
     # indicators for the dominant cycle, then this version is useful
     # as it avoids extra computational steps.
     class Mesa < Indicator
-      def period
-        dc_period
-      end
+      register name: :mesa
+      depends_on DominantCycles::Homodyne
 
       def fast_limit
-        @fast_limit ||= bars_to_alpha(min_period / 2)
+        @fast_limit ||= bars_to_alpha(micro_period)
       end
 
       def slow_limit

data/lib/quant/indicators/ping.rb

@@ -1,7 +1,7 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
+  module Indicators
     # A simple point used primarily to test the indicator system in unit tests.
     # It has a simple computation that just sets the pong value to the input value
     # and increments the compute_count by 1 each time compute is called.
@@ -13,6 +13,8 @@ module Quant
 
     # A simple idicator used primarily to test the indicator system
     class Ping < Indicator
+      register name: :ping
+
       def compute
         p0.pong = input
         p0.compute_count += 1

data/lib/quant/indicators/pivots/atr.rb

@@ -1,7 +1,8 @@
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Atr < Pivot
+        register name: :atr
         depends_on Indicators::Atr
 
         def atr_point

data/lib/quant/indicators/pivots/bollinger.rb

@@ -1,9 +1,11 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Bollinger < Pivot
+        register name: :bollinger
+
         using Quant
 
         def compute_midpoint

data/lib/quant/indicators/pivots/camarilla.rb

@@ -1,8 +1,8 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       # Camarilla pivot point calculations are rather straightforward. We need to
       # input the previous day’s open, high, low and close. The formulas for each
       # resistance and support level are:
@@ -27,9 +27,7 @@ module Quant
       # S5 = S4 – 1.168 * (S3 – S4)
       # S6 = Close – (R6 – Close)
       class Camarilla < Pivot
-        def multiplier
-          1.1
-        end
+        register name: :camarilla
 
         def compute_midpoint
           p0.midpoint = t0.close_price

data/lib/quant/indicators/pivots/classic.rb

@@ -1,9 +1,11 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Classic < Pivot
+        register name: :classic
+
         def compute_midpoint
           p0.midpoint = super_smoother :input, previous: :midpoint, period: averaging_period
         end

data/lib/quant/indicators/pivots/demark.rb

@@ -1,8 +1,8 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       # The value of X in the formula below depends on where the Close of the market is.
       # If Close = Open then X = (H + L + (C * 2))
 
@@ -14,6 +14,8 @@ module Quant
       # PP = X / 4 (this is not an official DeMark number but merely a reference point based on the calculation of X)
       # S1 = X / 2 - H
       class Demark < Pivot
+        register name: :demark
+
         def averaging_period
           min_period / 2
         end

data/lib/quant/indicators/pivots/donchian.rb

@@ -1,9 +1,10 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Donchian < Pivot
+        register name: :donchian
         using Quant
 
         def st_period; min_period end

data/lib/quant/indicators/pivots/fibbonacci.rb

@@ -1,7 +1,9 @@
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Fibbonacci < Pivot
+        register name: :fibbonacci
+
         def averaging_period
           half_period
         end

data/lib/quant/indicators/pivots/guppy.rb

@@ -1,7 +1,9 @@
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Guppy < Pivot
+        register name: :guppy
+
         def guppy_ema(period, band)
           return p0.input unless p1[band]
 
@@ -15,7 +17,7 @@ module Quant
 
         # The short-term MAs are typically set at 3, 5, 8, 10, 12, and 15 periods. The
         # longer-term MAs are typically set at 30, 35, 40, 45, 50, and 60.
-        def compute
+        def compute_bands
           p0[1] = guppy_ema(5,  1)
           p0[2] = guppy_ema(8,  2)
           p0[3] = guppy_ema(10, 3)

data/lib/quant/indicators/pivots/keltner.rb

@@ -1,7 +1,8 @@
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Keltner < Pivot
+        register name: :keltner
         depends_on Indicators::Atr
 
         def atr_point