quantitative 0.3.2 → 0.3.3

checksums.yaml

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

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    quantitative (0.3.2)
+    quantitative (0.3.3)
       oj (~> 3.10)
       zeitwerk (~> 2.6)
 

data/lib/quant/indicators/indicator.rb

@@ -98,9 +98,18 @@ module Quant
         series.indicators[source][dominant_cycle_indicator_class]
       end
 
-      def dc_period
+      # The adaptive period is the full dominant cycle period
+      def adaptive_period
         dominant_cycle.points[t0].period
       end
+      alias dc_period adaptive_period
+      alias dominant_cycle_period adaptive_period
+
+      def adaptive_half_period
+        adaptive_period / 2
+      end
+      alias dc_half_period adaptive_half_period
+      alias dominant_half_cycle_period adaptive_half_period
 
       def ticks
         @points.keys
@@ -193,67 +202,14 @@ module Quant
         t0.send(source)
       end
 
-      # def warmed_up?
-      #   true
-      # end
-
-      # attr_reader :dc_period
-
-      # 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
-
-      # # 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
-
-      # # Returns the dominant cycle point for the current indicator's point
-      # def current_dominant_cycle
-      #   dominant_cycle_indicator[current_point]
-      # end
+      def warmed_up?
+        ticks.size > min_period
+      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

@@ -27,6 +27,17 @@ module Quant
       def_delegator :indicator, :dominant_cycle_kind
       def_delegator :indicator, :pivot_kind
 
+      def_delegator :tick, :high_price
+      def_delegator :tick, :low_price
+      def_delegator :tick, :close_price
+      def_delegator :tick, :open_price
+      def_delegator :tick, :volume
+      def_delegator :tick, :trades
+
+      def oc2
+        tick.respond_to?(:oc2) ? tick.oc2 : tick.close_price
+      end
+
       def initialize_data_points
         # No-Op - Override in subclass if needed.
       end

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

@@ -10,31 +10,25 @@ module Quant
         end
 
         def scale
-          5.0
+          3.0
         end
 
         def atr_value
-          atr_point.slow * scale
+          atr_point.value * scale
         end
 
         def compute_midpoint
-          p0.midpoint = two_pole_super_smooth :input, previous: :midpoint, period: averaging_period
+          p0.midpoint = smoothed_average_midpoint
         end
 
-        def compute_bands
-          p0.h6 = p0.midpoint + 1.000 * atr_value
-          p0.h5 = p0.midpoint + 0.786 * atr_value
-          p0.h4 = p0.midpoint + 0.618 * atr_value
-          p0.h3 = p0.midpoint + 0.500 * atr_value
-          p0.h2 = p0.midpoint + 0.382 * atr_value
-          p0.h1 = p0.midpoint + 0.236 * atr_value
+        ATR_SERIES = [0.236, 0.382, 0.500, 0.618, 0.786, 1.0].freeze
 
-          p0.l1 = p0.midpoint - 0.236 * atr_value
-          p0.l2 = p0.midpoint - 0.382 * atr_value
-          p0.l3 = p0.midpoint - 0.500 * atr_value
-          p0.l4 = p0.midpoint - 0.618 * atr_value
-          p0.l5 = p0.midpoint - 0.786 * atr_value
-          p0.l6 = p0.midpoint - 1.000 * atr_value
+        def compute_bands
+          ATR_SERIES.each_with_index do |ratio, index|
+            offset = ratio * atr_value
+            p0[index + 1] = p0.midpoint + offset
+            p0[-index - 1] = p0.midpoint - offset
+          end
         end
       end
     end

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

@@ -9,37 +9,20 @@ module Quant
         using Quant
 
         def compute_midpoint
-          values = period_points(half_period).map(&:input)
-          alpha = bars_to_alpha(half_period)
+          values = period_points(adaptive_half_period).map(&:input)
+          alpha = bars_to_alpha(adaptive_half_period)
 
           p0.midpoint = alpha * values.mean + (1 - alpha) * p1.midpoint
           p0.std_dev = values.standard_deviation(p0.midpoint)
         end
 
-        def compute_bands
-          p0.h1 = p0.midpoint + p0.std_dev * 1.0
-          p0.l1 = p0.midpoint - p0.std_dev * 1.0
-
-          p0.h2 = p0.midpoint + p0.std_dev * 1.5
-          p0.l2 = p0.midpoint - p0.std_dev * 1.5
-
-          p0.h3 = p0.midpoint + p0.std_dev * 1.75
-          p0.l3 = p0.midpoint - p0.std_dev * 1.75
-
-          p0.h4 = p0.midpoint + p0.std_dev * 2.0
-          p0.l4 = p0.midpoint - p0.std_dev * 2.0
+        BOLLINGER_SERIES = [1.0, 1.5, 1.75, 2.0, 2.25, 2.5, 2.75, 3.0].freeze
 
-          p0.h5 = p0.midpoint + p0.std_dev * 2.25
-          p0.l5 = p0.midpoint - p0.std_dev * 2.25
-
-          p0.h6 = p0.midpoint + p0.std_dev * 2.5
-          p0.l6 = p0.midpoint - p0.std_dev * 2.5
-
-          p0.h7 = p0.midpoint + p0.std_dev * 2.75
-          p0.l7 = p0.midpoint - p0.std_dev * 2.75
-
-          p0.h8 = p0.midpoint + p0.std_dev * 3.0
-          p0.l8 = p0.midpoint - p0.std_dev * 3.0
+        def compute_bands
+          BOLLINGER_SERIES.each_with_index do |ratio, index|
+            p0[index + 1] = p0.midpoint + ratio * p0.std_dev
+            p0[-index - 1] = p0.midpoint - ratio * p0.std_dev
+          end
         end
       end
     end

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

@@ -7,51 +7,52 @@ module Quant
       # input the previous day’s open, high, low and close. The formulas for each
       # resistance and support level are:
       #
-      # R4 = Close + (High – Low) * 1.1/2
-      # R3 = Close + (High – Low) * 1.1/4
-      # R2 = Close + (High – Low) * 1.1/6
-      # R1 = Close + (High – Low) * 1.1/12
-      # S1 = Close – (High – Low) * 1.1/12
-      # S2 = Close – (High – Low) * 1.1/6
-      # S3 = Close – (High – Low) * 1.1/4
-      # S4 = Close – (High – Low) * 1.1/2
+      # R4 = Closing + ((High -Low) x 1.5000)
+      # R3 = Closing + ((High -Low) x 1.2500)
+      # R2 = Closing + ((High -Low) x 1.1666)
+      # R1 = Closing + ((High -Low x 1.0833)
+      # PP = (High + Low + Closing) / 3
+      # S1 = Closing – ((High -Low) x 1.0833)
+      # S2 = Closing – ((High -Low) x 1.1666)
+      # S3 = Closing – ((High -Low) x 1.2500)
+      # S4 = Closing – ((High-Low) x 1.5000)
+      #
+      # R5 = R4 + 1.168 * (R4 – R3)
+      # R6 = (High/Low) * Close
+      # S5 = S4 – 1.168 * (S3 – S4)
+      # S6 = Close – (R6 – Close)
       #
       # The calculation for further resistance and support levels varies from this
       # norm. These levels can come into play during strong trend moves, so it’s
       # important to understand how to identify them. For example, R5, R6, S5 and S6
       # are calculated as follows:
       #
-      # R5 = R4 + 1.168 * (R4 – R3)
-      # R6 = (High/Low) * Close
-      #
-      # S5 = S4 – 1.168 * (S3 – S4)
-      # S6 = Close – (R6 – Close)
+      # source: https://tradingstrategyguides.com/camarilla-pivot-trading-strategy/
       class Camarilla < Pivot
         register name: :camarilla
 
         def compute_midpoint
-          p0.midpoint = t0.close_price
+          p0.midpoint = t0.hlc3
         end
 
         def compute_bands
-          mp_plus_range = p0.midpoint + p0.range
-          mp_minus_range = p0.midpoint - p0.range
+          p0.h1 = t0.close_price + p0.range * 1.083
+          p0.l1 = t0.close_price - p0.range * 1.083
+
+          p0.h2 = t0.close_price + p0.range * 1.167
+          p0.l2 = t0.close_price - p0.range * 1.167
 
-          p0.h4 = mp_plus_range * (1.1 / 2.0)
-          p0.h3 = mp_plus_range * (1.1 / 4.0)
-          p0.h2 = mp_plus_range * (1.1 / 6.0)
-          p0.h1 = mp_plus_range * (1.1 / 12.0)
+          p0.h3 = t0.close_price + p0.range * 1.250
+          p0.l3 = t0.close_price - p0.range * 1.250
 
-          p0.l1 = mp_minus_range * (1.1 / 12.0)
-          p0.l2 = mp_minus_range * (1.1 / 6.0)
-          p0.l3 = mp_minus_range * (1.1 / 4.0)
-          p0.l4 = mp_minus_range * (1.1 / 2.0)
+          p0.h4 = t0.close_price + p0.range * 1.500
+          p0.l4 = t0.close_price - p0.range * 1.500
 
-          p0.h5 = p0.h4 + 1.168 * (p0.h4 - p0.h3)
-          p0.h6 = p0.midpoint * (p0.high_price / p0.low_price)
+          p0.h5 = p0.h4 + 1.68 * (p0.h4 - p0.h3)
+          p0.l5 = p0.l4 - 1.68 * (p0.l3 - p0.l4)
 
-          p0.l5 = p0.l4 - 1.168 * (p0.l3 - p0.l4)
-          p0.l6 = p0.midpoint - (p0.h6 - p0.midpoint)
+          p0.h6 = (t0.high_price / t0.low_price) * t0.close_price
+          p0.l6 = t0.close_price - (p0.h6 - t0.close_price)
         end
       end
     end

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

@@ -7,7 +7,7 @@ module Quant
         register name: :classic
 
         def compute_midpoint
-          p0.midpoint = super_smoother :input, previous: :midpoint, period: averaging_period
+          p0.midpoint = smoothed_average_midpoint
         end
 
         def compute_bands

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

@@ -36,15 +36,15 @@ module Quant
 
         def compute_midpoint
           p0.midpoint = p0.input / 4.0
-          p0.midpoint = super_smoother :midpoint, previous: :midpoint, period: averaging_period
+          p0.midpoint = three_pole_super_smooth :midpoint, previous: :midpoint, period: averaging_period
         end
 
         def compute_bands
           p0.h1 = (p0.input / 2.0) - p0.avg_high
-          p0.h1 = super_smoother :h1, previous: :h1, period: averaging_period
+          p0.h1 = three_pole_super_smooth :h1, previous: :h1, period: averaging_period
 
           p0.l1 = (p0.input / 2.0) - p0.avg_low
-          p0.l1 = super_smoother :l1, previous: :l1, period: averaging_period
+          p0.l1 = three_pole_super_smooth :l1, previous: :l1, period: averaging_period
         end
       end
     end

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

@@ -5,35 +5,31 @@ module Quant
     module Pivots
       class Donchian < Pivot
         register name: :donchian
-        using Quant
 
-        def st_period; min_period end
-        def mt_period; half_period end
-        def lt_period; max_period end
-
-        def st_highs; @st_highs ||= [].max_size!(st_period) end
-        def st_lows; @st_lows ||= [].max_size!(st_period) end
-        def mt_highs; @mt_highs ||= [].max_size!(mt_period) end
-        def mt_lows; @mt_lows ||= [].max_size!(mt_period) end
-        def lt_highs; @lt_highs ||= [].max_size!(lt_period) end
-        def lt_lows; @lt_lows ||= [].max_size!(lt_period) end
+        def compute_midpoint
+          p0.midpoint = (p0.high_price + p0.low_price) * 0.5
+        end
 
         def compute_bands
-          st_highs << p0.high_price
-          st_lows << p0.low_price
-          mt_highs << p0.high_price
-          mt_lows << p0.low_price
-          lt_highs << p0.high_price
-          lt_lows << p0.low_price
+          period_points(micro_period).tap do |period_points|
+            p0.l1 = period_points.map(&:low_price).min
+            p0.h1 = period_points.map(&:high_price).max
+          end
 
-          p0.h1 = @st_highs.maximum
-          p0.l1 = @st_lows.minimum
+          period_points(min_period).tap do |period_points|
+            p0.l2 = period_points.map(&:low_price).min
+            p0.h2 = period_points.map(&:high_price).max
+          end
 
-          p0.h2 = @mt_highs.maximum
-          p0.l2 = @mt_lows.minimum
+          period_points(half_period).tap do |period_points|
+            p0.l3 = period_points.map(&:low_price).min
+            p0.h3 = period_points.map(&:high_price).max
+          end
 
-          p0.h3 = @lt_highs.maximum
-          p0.l3 = @lt_lows.minimum
+          period_points(max_period).tap do |period_points|
+            p0.l4 = period_points.map(&:low_price).min
+            p0.h4 = period_points.map(&:high_price).max
+          end
         end
       end
     end

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

@@ -4,18 +4,19 @@ module Quant
       class Fibbonacci < Pivot
         register name: :fibbonacci
 
-        def averaging_period
-          half_period
-        end
-
-        def fibbonacci_series
-          [0.146, 0.236, 0.382, 0.5, 0.618, 0.786, 1.0, 1.146]
-        end
+        FIBBONACCI_SERIES = [0.146, 0.236, 0.382, 0.5, 0.618, 0.786, 1.0, 1.146].freeze
 
         def compute_bands
-          fibbonacci_series.each_with_index do |ratio, index|
-            p0[index + 1] = p0.midpoint + ratio * p0.avg_range
-            p0[-index - 1] = p0.midpoint - ratio * p0.avg_range
+          period_points(adaptive_period).tap do |period_points|
+            highest = period_points.map(&:high_price).max
+            lowest = period_points.map(&:low_price).min
+            p0.range = highest - lowest
+            p0.midpoint = (highest + lowest) * 0.5
+          end
+
+          FIBBONACCI_SERIES.each_with_index do |ratio, index|
+            p0[index + 1] = p0.midpoint + ratio * p0.range
+            p0[-index - 1] = p0.midpoint - ratio * p0.range
           end
         end
       end

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

@@ -10,33 +10,24 @@ module Quant
         end
 
         def scale
-          5.0
-        end
-
-        def alpha
-          bars_to_alpha(min_period)
+          3.0
         end
 
         def compute_midpoint
+          alpha = bars_to_alpha(min_period)
           p0.midpoint = alpha * p0.input + (1 - alpha) * p1.midpoint
         end
 
-        def compute_bands
-          atr_value = atr_point.slow * scale
+        KELTNER_SERIES = [0.236, 0.382, 0.500, 0.618, 0.786, 1.0].freeze
 
-          p0.h6 = p0.midpoint + 1.000 * atr_value
-          p0.h5 = p0.midpoint + 0.786 * atr_value
-          p0.h4 = p0.midpoint + 0.618 * atr_value
-          p0.h3 = p0.midpoint + 0.500 * atr_value
-          p0.h2 = p0.midpoint + 0.382 * atr_value
-          p0.h1 = p0.midpoint + 0.236 * atr_value
+        def compute_bands
+          atr_value = atr_point.value * scale
 
-          p0.l1 = p0.midpoint - 0.236 * atr_value
-          p0.l2 = p0.midpoint - 0.382 * atr_value
-          p0.l3 = p0.midpoint - 0.500 * atr_value
-          p0.l4 = p0.midpoint - 0.618 * atr_value
-          p0.l5 = p0.midpoint - 0.786 * atr_value
-          p0.l6 = p0.midpoint - 1.000 * atr_value
+          KELTNER_SERIES.each_with_index do |ratio, index|
+            offset = ratio * atr_value
+            p0[index + 1] = p0.midpoint + offset
+            p0[-index - 1] = p0.midpoint - offset
+          end
         end
       end
     end

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

@@ -14,20 +14,13 @@ module Quant
           p0.midpoint = p0.lowest + (p0.input * 4.0)
         end
 
-        def compute_bands
-          p0.h6 = p0.midpoint + p0.input * 6.0
-          p0.h5 = p0.midpoint + p0.input * 5.0
-          p0.h4 = p0.midpoint + p0.input * 4.0
-          p0.h3 = p0.midpoint + p0.input * 3.0
-          p0.h2 = p0.midpoint + p0.input * 2.0
-          p0.h1 = p0.midpoint + p0.input * 1.0
+        MURREY_SERIES = [1.0, 2.0, 3.0, 4.0, 5.0, 6.0].freeze
 
-          p0.l1 = p0.midpoint - p0.input * 1.0
-          p0.l2 = p0.midpoint - p0.input * 2.0
-          p0.l3 = p0.midpoint - p0.input * 3.0
-          p0.l4 = p0.midpoint - p0.input * 4.0
-          p0.l5 = p0.midpoint - p0.input * 5.0
-          p0.l6 = p0.midpoint - p0.input * 6.0
+        def compute_bands
+          MURREY_SERIES.each_with_index do |ratio, index|
+            p0[index + 1] = p0.midpoint + p0.input * ratio
+            p0[-index - 1] = p0.midpoint - p0.input * ratio
+          end
         end
       end
     end

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

@@ -2,11 +2,9 @@ module Quant
   module Indicators
     module Pivots
       class PivotPoint < IndicatorPoint
-        attribute :high_price
         attribute :avg_high, default: :high_price
         attribute :highest, default: :input
 
-        attribute :low_price
         attribute :avg_low, default: :low_price
         attribute :lowest, default: :input
 
@@ -61,7 +59,7 @@ module Quant
         end
 
         def period
-          dc_period
+          adaptive_period
         end
 
         def averaging_period
@@ -72,6 +70,10 @@ module Quant
           period_points(period).map(&:midpoint)
         end
 
+        def smoothed_average_midpoint
+          three_pole_super_smooth :input, previous: :midpoint, period: averaging_period
+        end
+
         def compute
           compute_extents
           compute_value
@@ -93,14 +95,12 @@ module Quant
 
         def compute_extents
           period_midpoints.tap do |midpoints|
-            p0.high_price = t0.high_price
-            p0.low_price = t0.low_price
             p0.highest = midpoints.max
             p0.lowest = midpoints.min
             p0.range = p0.high_price - p0.low_price
-            p0.avg_low = super_smoother(:low_price, previous: :avg_low, period: averaging_period)
-            p0.avg_high = super_smoother(:high_price, previous: :avg_high, period: averaging_period)
-            p0.avg_range = super_smoother(:range, previous: :avg_range, period: averaging_period)
+            p0.avg_low = three_pole_super_smooth(:low_price, previous: :avg_low, period: averaging_period)
+            p0.avg_high = three_pole_super_smooth(:high_price, previous: :avg_high, period: averaging_period)
+            p0.avg_range = three_pole_super_smooth(:range, previous: :avg_range, period: averaging_period)
           end
         end
       end

data/lib/quant/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module Quant
-  VERSION = "0.3.2"
+  VERSION = "0.3.3"
 end

data/lib/quantitative.rb

@@ -18,6 +18,7 @@ module Quant
   include Config
   include Experimental
 end
+Quantitative = Quant
 
 # Configure Zeitwerk to autoload the Quant module.
 loader = Zeitwerk::Loader.for_gem

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: quantitative
 version: !ruby/object:Gem::Version
-  version: 0.3.2
+  version: 0.3.3
 platform: ruby
 authors:
 - Michael Lang
 autorequire:
 bindir: exe
 cert_chain: []
-date: 2024-06-02 00:00:00.000000000 Z
+date: 2024-06-08 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: oj