quantitative 0.3.0 → 0.3.1

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 (0.3.1)
       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/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

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

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

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.

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

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

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

@@ -1,8 +1,8 @@
 # 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

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.

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

@@ -1,11 +1,8 @@
 # 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

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

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

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

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

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

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.

data/lib/quant/indicators/pivot.rb

@@ -1,5 +1,5 @@
 module Quant
-  class Indicators
+  module Indicators
     class PivotPoint < IndicatorPoint
       attribute :high_price
       attribute :avg_high, default: :high_price

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

@@ -1,6 +1,6 @@
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Atr < Pivot
         depends_on Indicators::Atr
 

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

@@ -1,8 +1,8 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Bollinger < Pivot
         using Quant
 

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:

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

@@ -1,8 +1,8 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Classic < Pivot
         def compute_midpoint
           p0.midpoint = super_smoother :input, previous: :midpoint, period: averaging_period

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))
 

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

@@ -1,8 +1,8 @@
 # frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Donchian < Pivot
         using Quant
 

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

@@ -1,6 +1,6 @@
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Fibbonacci < Pivot
         def averaging_period
           half_period

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

@@ -1,6 +1,6 @@
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Guppy < Pivot
         def guppy_ema(period, band)
           return p0.input unless p1[band]

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

@@ -1,6 +1,6 @@
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Keltner < Pivot
         depends_on Indicators::Atr
 

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

@@ -1,8 +1,7 @@
-require_relative '../pivot'
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Murrey < Pivot
         def multiplier
           0.125

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

@@ -1,6 +1,6 @@
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       class Traditional < Pivot
         def multiplier
           2.0

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

@@ -1,8 +1,8 @@
-require_relative '../pivot'
+# frozen_string_literal: true
 
 module Quant
-  class Indicators
-    class Pivots
+  module Indicators
+    module Pivots
       # One of the key differences in calculating Woodie's Pivot Point to other pivot
       # points is that the current session's open price is used in the PP formula with
       # the previous session's high and low. At the time-of-day that we calculate the

data/lib/quant/indicators.rb

@@ -0,0 +1,6 @@
+# frozen_string_literal: true
+
+module Quant
+  module Indicators
+  end
+end

data/lib/quant/indicators_source.rb

@@ -1,6 +1,5 @@
 # frozen_string_literal: true
 
-require_relative "dominant_cycles_source"
 module Quant
   # {Quant::IndicatorSource} holds a collection of {Quant::Indicators::Indicator} for a given input source.
   # This class ensures dominant cycle computations come before other indicators that depend on them.

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/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 = "0.3.0"
+  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: 0.3.0
+  version: 0.3.1
 platform: ruby
 authors:
 - Michael Lang
 autorequire:
 bindir: exe
 cert_chain: []
-date: 2024-05-29 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:
@@ -51,6 +65,7 @@ files:
 - lib/quant/dominant_cycles_source.rb
 - lib/quant/errors.rb
 - lib/quant/experimental.rb
+- lib/quant/indicators.rb
 - lib/quant/indicators/adx.rb
 - lib/quant/indicators/atr.rb
 - lib/quant/indicators/cci.rb
@@ -115,7 +130,6 @@ files:
 - lib/quant/version.rb
 - lib/quantitative.rb
 - possibilities.png
-- quantitative.gemspec
 homepage: https://github.com/mwlang/quantitative
 licenses:
 - MIT
@@ -139,7 +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/quantitative.gemspec

@@ -1,39 +0,0 @@
-# frozen_string_literal: true
-
-require_relative "lib/quant/version"
-
-Gem::Specification.new do |spec|
-  spec.name = "quantitative"
-  spec.version = Quant::VERSION
-  spec.authors = ["Michael Lang"]
-  spec.email = ["mwlang@cybrains.net"]
-
-  spec.summary = "Quantitative and statistical tools written for Ruby 3.2+ for trading and finance."
-  spec.description = spec.summary
-  spec.homepage = "https://github.com/mwlang/quantitative"
-  spec.license = "MIT"
-  spec.required_ruby_version = ">= 3.2"
-
-  spec.metadata["allowed_push_host"] = "https://rubygems.org"
-
-  spec.metadata["homepage_uri"] = spec.homepage
-  spec.metadata["source_code_uri"] = spec.homepage
-  spec.metadata["changelog_uri"] = spec.homepage
-
-  # Specify which files should be added to the gem when it is released.
-  # The `git ls-files -z` loads the files in the RubyGem that have been added into git.
-  spec.files = Dir.chdir(__dir__) do
-    `git ls-files -z`.split("\x0").reject do |f|
-      (f == __FILE__) || f.match(%r{\A(?:(?:bin|test|spec|features)/|\.(?:git|travis|circleci)|appveyor)})
-    end
-  end
-  spec.bindir = "exe"
-  spec.executables = spec.files.grep(%r{\Aexe/}) { |f| File.basename(f) }
-  spec.require_paths = ["lib"]
-
-  # Uncomment to register a new dependency of your gem
-  spec.add_dependency "oj", "~> 3.10"
-
-  # For more information and examples about making a new gem, check out our
-  # guide at: https://bundler.io/guides/creating_gem.html
-end