quantitative 0.2.0 → 0.2.1
Sign up to get free protection for your applications and to get access to all the features.
- checksums.yaml +4 -4
- data/Gemfile.lock +1 -1
- data/lib/quant/errors.rb +4 -0
- data/lib/quant/indicators/dominant_cycle_indicators.rb +39 -0
- data/lib/quant/indicators/dominant_cycles/acr.rb +12 -12
- data/lib/quant/indicators/dominant_cycles/band_pass.rb +5 -0
- data/lib/quant/indicators/dominant_cycles/differential.rb +5 -3
- data/lib/quant/indicators/dominant_cycles/dominant_cycle.rb +16 -0
- data/lib/quant/indicators/dominant_cycles/half_period.rb +21 -0
- data/lib/quant/indicators/dominant_cycles/homodyne.rb +3 -2
- data/lib/quant/indicators/dominant_cycles/phase_accumulator.rb +1 -1
- data/lib/quant/indicators/indicator.rb +9 -0
- data/lib/quant/indicators_proxy.rb +11 -1
- data/lib/quant/indicators_sources.rb +10 -0
- 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/version.rb +1 -1
- metadata +3 -2
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
|
|
1
1
|
---
|
2
2
|
SHA256:
|
3
|
-
metadata.gz:
|
4
|
-
data.tar.gz:
|
3
|
+
metadata.gz: bf0aa73684247efc7bc9750c27c856a094fa362d99c1eba73bd70457da8f3a97
|
4
|
+
data.tar.gz: 56dcaa82230328cb44149ceb957420484217e33c6f601ea135997391bfb95440
|
5
5
|
SHA512:
|
6
|
-
metadata.gz:
|
7
|
-
data.tar.gz:
|
6
|
+
metadata.gz: b674a5e4408a69039cf2c7ad2378d065e3f88b409a7530108af1bfc5a186a02690cba8ffb1c8d40a87ad69368f302d9eec0211135beec7db6a9c51c4e1be46d3
|
7
|
+
data.tar.gz: e7d7693cd878ebe777f81ca0d90b4f305e645c8547aa9f420cccb4a4f9b53920211a2b7f49af146508756e6e38f5cc7e0c4b57f1c8abdd722f65bd3409abd02f
|
data/Gemfile.lock
CHANGED
data/lib/quant/errors.rb
CHANGED
@@ -10,6 +10,10 @@ module Quant
|
|
10
10
|
# {Quant::Interval} with an invalid value.
|
11
11
|
class InvalidInterval < Error; end
|
12
12
|
|
13
|
+
# {InvalidIndicatorSource} is raised when attempting to reference
|
14
|
+
# an indicator through a source that has not been prepared, yet.
|
15
|
+
class InvalidIndicatorSource < Error; end
|
16
|
+
|
13
17
|
# {InvalidResolution} is raised when attempting to instantiate
|
14
18
|
# an {Quant::Resolution} with a resolution value that has not been defined.
|
15
19
|
class InvalidResolution < Error; end
|
@@ -1,10 +1,49 @@
|
|
1
1
|
module Quant
|
2
|
+
# Dominant Cycles measure the primary cycle within a given range. By default, the library
|
3
|
+
# is wired to look for cycles between 10 and 48 bars. These values can be adjusted by setting
|
4
|
+
# the `min_period` and `max_period` configuration values in {Quant::Config}.
|
5
|
+
#
|
6
|
+
# Quant.configure_indicators(min_period: 8, max_period: 32)
|
7
|
+
#
|
8
|
+
# The default dominant cycle kind is the `half_period` filter. This can be adjusted by setting
|
9
|
+
# the `dominant_cycle_kind` configuration value in {Quant::Config}.
|
10
|
+
#
|
11
|
+
# Quant.configure_indicators(dominant_cycle_kind: :band_pass)
|
12
|
+
#
|
13
|
+
# The purpose of these indicators is to compute the dominant cycle and underpin the various
|
14
|
+
# indicators that would otherwise be setting an arbitrary lookback period. This makes the
|
15
|
+
# indicators adaptive and auto-tuning to the market dynamics. Or so the theory goes!
|
2
16
|
class DominantCycleIndicators < IndicatorsProxy
|
17
|
+
# Auto-Correlation Reversals is a method of computing the dominant cycle
|
18
|
+
# by correlating the data stream with itself delayed by a lag.
|
3
19
|
def acr; indicator(Indicators::DominantCycles::Acr) end
|
20
|
+
|
21
|
+
# The band-pass dominant cycle passes signals within a certain frequency
|
22
|
+
# range, and attenuates signals outside that range.
|
23
|
+
# The trend component of the signal is removed, leaving only the cyclical
|
24
|
+
# component. Then we count number of iterations between zero crossings
|
25
|
+
# and this is the `period` of the dominant cycle.
|
4
26
|
def band_pass; indicator(Indicators::DominantCycles::BandPass) end
|
27
|
+
|
28
|
+
# Homodyne means the signal is multiplied by itself. More precisely,
|
29
|
+
# we want to multiply the signal of the current bar with the complex
|
30
|
+
# value of the signal one bar ago
|
5
31
|
def homodyne; indicator(Indicators::DominantCycles::Homodyne) end
|
6
32
|
|
33
|
+
# The Dual Differentiator algorithm computes the phase angle from the
|
34
|
+
# analytic signal as the arctangent of the ratio of the imaginary
|
35
|
+
# component to the real component. Further, the angular frequency
|
36
|
+
# is defined as the rate change of phase. We can use these facts to
|
37
|
+
# derive the cycle period.
|
7
38
|
def differential; indicator(Indicators::DominantCycles::Differential) end
|
39
|
+
|
40
|
+
# The phase accumulation method of computing the dominant cycle measures
|
41
|
+
# the phase at each sample by taking the arctangent of the ratio of the
|
42
|
+
# quadrature component to the in-phase component. The phase is then
|
43
|
+
# accumulated and the period is derived from the phase.
|
8
44
|
def phase_accumulator; indicator(Indicators::DominantCycles::PhaseAccumulator) end
|
45
|
+
|
46
|
+
# Static, arbitrarily set period.
|
47
|
+
def half_period; indicator(Indicators::DominantCycles::HalfPeriod) end
|
9
48
|
end
|
10
49
|
end
|
@@ -22,20 +22,20 @@ module Quant
|
|
22
22
|
attribute :reversal, default: false
|
23
23
|
end
|
24
24
|
|
25
|
-
# Auto-Correlation Reversals
|
25
|
+
# Auto-Correlation Reversals is a method of computing the dominant cycle
|
26
|
+
# by correlating the data stream with itself delayed by a lag.
|
27
|
+
# Construction of the autocorrelation periodogram starts with the
|
28
|
+
# autocorrelation function using the minimum three bars of averaging.
|
29
|
+
# The cyclic information is extracted using a discrete Fourier transform
|
30
|
+
# (DFT) of the autocorrelation results.
|
26
31
|
class Acr < DominantCycle
|
27
|
-
|
28
|
-
|
29
|
-
end
|
30
|
-
|
31
|
-
def bandwidth
|
32
|
-
deg2rad(370)
|
33
|
-
end
|
32
|
+
BANDWIDTH_DEGREES = 370
|
33
|
+
BANDWIDTH_RADIANS = BANDWIDTH_DEGREES * Math::PI / 180.0
|
34
34
|
|
35
35
|
def compute_auto_correlations
|
36
36
|
(min_period..max_period).each do |period|
|
37
37
|
corr = Statistics::Correlation.new
|
38
|
-
|
38
|
+
micro_period.times do |lookback_period|
|
39
39
|
corr.add(p(lookback_period).filter, p(period + lookback_period).filter)
|
40
40
|
end
|
41
41
|
p0.corr[period] = corr.coefficient
|
@@ -46,8 +46,8 @@ module Quant
|
|
46
46
|
p0.maxpwr = 0.995 * p1.maxpwr
|
47
47
|
|
48
48
|
(min_period..max_period).each do |period|
|
49
|
-
(
|
50
|
-
radians =
|
49
|
+
(micro_period..max_period).each do |n|
|
50
|
+
radians = BANDWIDTH_RADIANS * n / period
|
51
51
|
p0.cospart[period] += p0.corr[n] * Math.cos(radians)
|
52
52
|
p0.sinpart[period] += p0.corr[n] * Math.sin(radians)
|
53
53
|
end
|
@@ -98,4 +98,4 @@ module Quant
|
|
98
98
|
end
|
99
99
|
end
|
100
100
|
end
|
101
|
-
end
|
101
|
+
end
|
@@ -14,6 +14,11 @@ module Quant
|
|
14
14
|
attribute :direction, default: :flat
|
15
15
|
end
|
16
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.
|
17
22
|
class BandPass < DominantCycle
|
18
23
|
def bandwidth
|
19
24
|
0.75
|
@@ -1,9 +1,11 @@
|
|
1
1
|
module Quant
|
2
2
|
class Indicators
|
3
3
|
class DominantCycles
|
4
|
-
# The Dual Differentiator algorithm computes the phase angle from the
|
5
|
-
#
|
6
|
-
#
|
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.
|
7
9
|
class Differential < DominantCycle
|
8
10
|
def compute_period
|
9
11
|
p0.ddd = (p0.q2 * (p0.i2 - p1.i2)) - (p0.i2 * (p0.q2 - p1.q2))
|
@@ -2,6 +2,20 @@ require_relative "../indicator"
|
|
2
2
|
|
3
3
|
module Quant
|
4
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!
|
5
19
|
class DominantCycles
|
6
20
|
class DominantCyclePoint < Quant::Indicators::IndicatorPoint
|
7
21
|
attribute :smooth, default: 0.0
|
@@ -39,6 +53,8 @@ module Quant
|
|
39
53
|
p0.inst_period = p0.inst_period.clamp(min_period, max_period)
|
40
54
|
end
|
41
55
|
|
56
|
+
attr_reader :points
|
57
|
+
|
42
58
|
# constrain magnitude of change in phase
|
43
59
|
def constrain_period_magnitude_change
|
44
60
|
p0.inst_period = [1.5 * p1.inst_period, p0.inst_period].min
|
@@ -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
|
@@ -4,8 +4,9 @@ require_relative "dominant_cycle"
|
|
4
4
|
module Quant
|
5
5
|
class Indicators
|
6
6
|
class DominantCycles
|
7
|
-
# Homodyne means the signal is multiplied by itself. More precisely,
|
8
|
-
#
|
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
|
9
10
|
class Homodyne < DominantCycle
|
10
11
|
def compute_period
|
11
12
|
p0.re = (p0.i2 * p1.i2) + (p0.q2 * p1.q2)
|
@@ -8,7 +8,7 @@ module Quant
|
|
8
8
|
# at each sample by taking the arctangent of the ratio of the quadrature
|
9
9
|
# component to the in-phase component. A delta phase is generated by
|
10
10
|
# taking the difference of the phase between successive samples.
|
11
|
-
# At each
|
11
|
+
# At each sample we can then look backwards, adding up the delta
|
12
12
|
# phases. When the sum of the delta phases reaches 360 degrees,
|
13
13
|
# we must have passed through one full cycle, on average. The process
|
14
14
|
# is repeated for each new sample.
|
@@ -19,6 +19,7 @@ module Quant
|
|
19
19
|
@series = series
|
20
20
|
@source = source
|
21
21
|
@points = {}
|
22
|
+
series.new_indicator(self)
|
22
23
|
series.each { |tick| self << tick }
|
23
24
|
end
|
24
25
|
|
@@ -46,6 +47,14 @@ module Quant
|
|
46
47
|
Quant.config.indicators.pivot_kind
|
47
48
|
end
|
48
49
|
|
50
|
+
def dominant_cycle
|
51
|
+
series.indicators[source].dominant_cycle
|
52
|
+
end
|
53
|
+
|
54
|
+
def dc_period
|
55
|
+
dominant_cycle.points[t0].period
|
56
|
+
end
|
57
|
+
|
49
58
|
def ticks
|
50
59
|
@points.keys
|
51
60
|
end
|
@@ -13,12 +13,21 @@ module Quant
|
|
13
13
|
# By design, the {Quant::Indicator} class holds the {Quant::Ticks::Tick} instance
|
14
14
|
# alongside the indicator's computed values for that tick.
|
15
15
|
class IndicatorsProxy
|
16
|
-
attr_reader :series, :source, :indicators
|
16
|
+
attr_reader :series, :source, :dominant_cycle, :indicators
|
17
17
|
|
18
18
|
def initialize(series:, source:)
|
19
19
|
@series = series
|
20
20
|
@source = source
|
21
21
|
@indicators = {}
|
22
|
+
@dominant_cycle = dominant_cycle_indicator
|
23
|
+
end
|
24
|
+
|
25
|
+
def dominant_cycle_indicator
|
26
|
+
kind = Quant.config.indicators.dominant_cycle_kind.to_s
|
27
|
+
base_class_name = kind.split("_").map(&:capitalize).join
|
28
|
+
class_name = "Quant::Indicators::DominantCycles::#{base_class_name}"
|
29
|
+
indicator_class = Object.const_get(class_name)
|
30
|
+
indicator_class.new(series:, source:)
|
22
31
|
end
|
23
32
|
|
24
33
|
# Instantiates the indicator class and stores it in the indicators hash. Once
|
@@ -36,6 +45,7 @@ module Quant
|
|
36
45
|
# The IndicatorsProxy class is not responsible for enforcing
|
37
46
|
# this order of events.
|
38
47
|
def <<(tick)
|
48
|
+
dominant_cycle << tick
|
39
49
|
indicators.each_value { |indicator| indicator << tick }
|
40
50
|
end
|
41
51
|
|
@@ -7,6 +7,16 @@ module Quant
|
|
7
7
|
@indicator_sources = {}
|
8
8
|
end
|
9
9
|
|
10
|
+
def new_indicator(indicator)
|
11
|
+
@indicator_sources[indicator.source] ||= Indicators.new(series: @series, source: indicator.source)
|
12
|
+
end
|
13
|
+
|
14
|
+
def [](source)
|
15
|
+
return @indicator_sources[source] if @indicator_sources.key?(source)
|
16
|
+
|
17
|
+
raise Quant::Errors::InvalidIndicatorSource, "Invalid source, #{source.inspect}."
|
18
|
+
end
|
19
|
+
|
10
20
|
def <<(tick)
|
11
21
|
@indicator_sources.each_value { |indicator| indicator << tick }
|
12
22
|
end
|
data/lib/quant/series.rb
CHANGED
@@ -101,6 +101,20 @@ module Quant
|
|
101
101
|
"#<#{self.class.name} symbol=#{symbol} interval=#{interval} ticks=#{ticks.size}>"
|
102
102
|
end
|
103
103
|
|
104
|
+
# When the first indicator is instantiated, it will also lead to instantiating
|
105
|
+
# the dominant cycle indicator. The `new_indicator_lock` prevents reentrant calls
|
106
|
+
# to the `new_indicator` method with infinite recursion.
|
107
|
+
def new_indicator(indicator)
|
108
|
+
return if @new_indicator_lock
|
109
|
+
|
110
|
+
begin
|
111
|
+
@new_indicator_lock = true
|
112
|
+
indicators.new_indicator(indicator)
|
113
|
+
ensure
|
114
|
+
@new_indicator_lock = false
|
115
|
+
end
|
116
|
+
end
|
117
|
+
|
104
118
|
def <<(tick)
|
105
119
|
tick = Ticks::Spot.new(price: tick) if tick.is_a?(Numeric)
|
106
120
|
indicators << tick unless tick.series?
|
@@ -8,14 +8,16 @@ module Quant
|
|
8
8
|
# papers and books on the subject of technical analysis by John Ehlers where he variously suggests
|
9
9
|
# a minimum period of 8 or 10 and a max period of 48.
|
10
10
|
#
|
11
|
-
# The half period is the average of the max_period and min_period.
|
11
|
+
# The half period is the average of the max_period and min_period. It is read-only and always computed
|
12
|
+
# relative to `min_period` and `max_period`.
|
13
|
+
#
|
12
14
|
# The micro period comes from Ehler's writings on Swami charts and auto-correlation computations, which
|
13
15
|
# is a period of 3 bars. It is useful enough in various indicators to be its own setting.
|
14
16
|
#
|
15
17
|
# The dominant cycle kind is the kind of dominant cycle to use in the indicator. The default is +:settings+
|
16
18
|
# which means the dominant cycle is whatever the +max_period+ is set to. It is not adaptive when configured
|
17
19
|
# this way. The other kinds are adaptive and are computed from the series data. The choices are:
|
18
|
-
# * +:
|
20
|
+
# * +:half_period+ - the half_period is the dominant cycle and is not adaptive
|
19
21
|
# * +:band_pass+ - The zero crossings of the band pass filter are used to compute the dominant cycle
|
20
22
|
# * +:auto_correlation_reversal+ - The dominant cycle is computed from the auto-correlation of the series.
|
21
23
|
# * +:homodyne+ - The dominant cycle is computed from the homodyne discriminator.
|
@@ -48,8 +50,8 @@ module Quant
|
|
48
50
|
new
|
49
51
|
end
|
50
52
|
|
51
|
-
|
52
|
-
attr_accessor :dominant_cycle_kind, :pivot_kind
|
53
|
+
attr_reader :max_period, :min_period, :half_period
|
54
|
+
attr_accessor :micro_period, :dominant_cycle_kind, :pivot_kind
|
53
55
|
|
54
56
|
def initialize(**settings)
|
55
57
|
@max_period = settings[:max_period] || Settings::MAX_PERIOD
|
@@ -64,14 +66,22 @@ module Quant
|
|
64
66
|
def apply_settings(**settings)
|
65
67
|
@max_period = settings.fetch(:max_period, @max_period)
|
66
68
|
@min_period = settings.fetch(:min_period, @min_period)
|
67
|
-
|
69
|
+
compute_half_period
|
68
70
|
@micro_period = settings.fetch(:micro_period, @micro_period)
|
69
71
|
@dominant_cycle_kind = settings.fetch(:dominant_cycle_kind, @dominant_cycle_kind)
|
70
72
|
@pivot_kind = settings.fetch(:pivot_kind, @pivot_kind)
|
71
73
|
end
|
72
74
|
|
75
|
+
def max_period=(value)
|
76
|
+
(@max_period = value).tap { compute_half_period }
|
77
|
+
end
|
78
|
+
|
79
|
+
def min_period=(value)
|
80
|
+
(@min_period = value).tap { compute_half_period }
|
81
|
+
end
|
82
|
+
|
73
83
|
def compute_half_period
|
74
|
-
(max_period + min_period) / 2
|
84
|
+
@half_period = (max_period + min_period) / 2
|
75
85
|
end
|
76
86
|
end
|
77
87
|
end
|
data/lib/quant/settings.rb
CHANGED
data/lib/quant/version.rb
CHANGED
metadata
CHANGED
@@ -1,14 +1,14 @@
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
2
2
|
name: quantitative
|
3
3
|
version: !ruby/object:Gem::Version
|
4
|
-
version: 0.2.
|
4
|
+
version: 0.2.1
|
5
5
|
platform: ruby
|
6
6
|
authors:
|
7
7
|
- Michael Lang
|
8
8
|
autorequire:
|
9
9
|
bindir: exe
|
10
10
|
cert_chain: []
|
11
|
-
date: 2024-03-
|
11
|
+
date: 2024-03-16 00:00:00.000000000 Z
|
12
12
|
dependencies:
|
13
13
|
- !ruby/object:Gem::Dependency
|
14
14
|
name: oj
|
@@ -56,6 +56,7 @@ files:
|
|
56
56
|
- lib/quant/indicators/dominant_cycles/band_pass.rb
|
57
57
|
- lib/quant/indicators/dominant_cycles/differential.rb
|
58
58
|
- lib/quant/indicators/dominant_cycles/dominant_cycle.rb
|
59
|
+
- lib/quant/indicators/dominant_cycles/half_period.rb
|
59
60
|
- lib/quant/indicators/dominant_cycles/homodyne.rb
|
60
61
|
- lib/quant/indicators/dominant_cycles/phase_accumulator.rb
|
61
62
|
- lib/quant/indicators/indicator.rb
|