sqa 0.0.1 → 0.0.3

data/lib/sqa/indicator/momentum.rb

@@ -1,6 +1,6 @@
 # lib/sqa/indicator/momentum.rb
 
-module SQA::Indicator; class << self
+class SQA::Indicator; class << self
 
   # @param prices [Array]
   # @param period [Integer]
@@ -11,14 +11,16 @@ module SQA::Indicator; class << self
         prices, # Array of prices
         period  # Integer number of entries to consider
       )
-    return 0.0 if prices.length <= period
 
-    current_price = prices.last
-    past_price    = prices.last(period).first
-    change        = (current_price - past_price) / past_price.to_f
-    momentum      = change * 100.0
+    momentums = []
 
-    momentum  # Float expressed as a percentage change
+    prices.each_cons(period) do |window|
+      current_price = window.last.to_f
+      past_price    = window.first.to_f
+      momentums    << 10.0 * ( (current_price - past_price) / past_price)
+    end
+
+    momentums  # Array
   end
   alias_method :m, :momentum
 

data/lib/sqa/indicator/moving_average_convergence_divergence.rb

@@ -1,6 +1,6 @@
 # lib/sqa/indicator/moving_average_convergence_divergence.rb
 
-module SQA::Indicator; class << self
+class SQA::Indicator; class << self
 
   def moving_average_convergence_divergence(
         prices,
@@ -11,8 +11,12 @@ module SQA::Indicator; class << self
 
     short_ma    = simple_moving_average(prices, short_period)
     long_ma     = simple_moving_average(prices, long_period)
-    macd_line   = short_ma.last - long_ma.last
-    signal_line = simple_moving_average(short_ma, signal_period).last
+    signal_line = simple_moving_average(short_ma, signal_period)
+    macd_line   = []
+
+    prices.size.times do |x|
+      macd_line << short_ma[x] - long_ma[x]
+    end
 
     {
       macd:   macd_line,  # Array

data/lib/sqa/indicator/peaks_and_valleys.rb

@@ -0,0 +1,29 @@
+
+class SQA::Indicator; class << self
+
+  def peaks_and_valleys(
+        prices,   # Array of prices
+        delta     # Integer distance delta (# of higher or lower prices to either side)
+      )
+    peaks   = []
+    valleys = []
+    period  = 2 * delta + 1
+
+    prices.each_cons(period) do |window|
+      price    = window[delta]
+
+      next if window.count(price) == period
+
+      peaks   << price if window.max == price
+      valleys << price if window.min == price
+    end
+
+    {
+      period:   period,
+      peaks:    peaks,
+      valleys:  valleys
+    }
+  end
+  alias_method :pav, :peaks_and_valleys
+
+end; end

data/lib/sqa/indicator/{relative_strength_index.md.rb → relative_strength_index.rb}

@@ -1,12 +1,12 @@
 # lib/sqa/indicator/relative_strength_index.rb
 
-module SQA::Indicator; class << self
+class SQA::Indicator; class << self
 
   def relative_strength_index(
         prices,             # Array of prices
         period,             # Integer how many to consider at a time
         over_sold   = 30.0, # Float break over point in trend
-        over_boufht = 70.0  # Float break over point in trend
+        over_bought = 70.0  # Float break over point in trend
       )
     gains   = []
     losses  = []

data/lib/sqa/indicator/simple_moving_average.rb

@@ -1,6 +1,6 @@
 # lib/sqa/indicator/simple_moving_average.rb
 
-module SQA::Indicator; class << self
+class SQA::Indicator; class << self
 
   def simple_moving_average(
         prices, # Array of prices
@@ -8,9 +8,12 @@ module SQA::Indicator; class << self
       )
     moving_averages = []
 
+    (0..period-2).to_a.each do |x|
+      moving_averages << prices[0..x].mean
+    end
+
     prices.each_cons(period) do |window|
-      moving_average   = window.sum / period.to_f
-      moving_averages << moving_average
+      moving_averages << window.mean
     end
 
     moving_averages # Array

data/lib/sqa/indicator/simple_moving_average_trend.rb

@@ -1,28 +1,29 @@
 # lib/sqa/indicator/simple_moving_average_trend.rb
 
-module SQA::Indicator; class << self
+class SQA::Indicator; class << self
 
   def simple_moving_average_trend(
-        closing_prices,   # Array of closing prices
+        prices,           # Array of prices
         period,           # Integer number of entries to consider
-        delta = 0.0005    # Float defines a :nutria trend range.
+        delta = 1.0       # Float defines the angle range(+/-) for :neutral trend
       )
-    sma       = simple_moving_average(closing_prices, period)
+    sma       = simple_moving_average(prices, period)
     last_sma  = sma.last
-    prev_sma  = sma[-2]
+    prev_sma  = sma.last(period).first
     angle     = Math.atan((last_sma - prev_sma) / period) * (180 / Math::PI)
 
-    if angle > 0.0
-      trend = :up
-    elsif angle < 0.0
-      trend = :down
-    else
-      trend = :neutral
-    end
+    trend = if angle > delta
+              :up
+            elsif angle < -delta
+              :down
+            else
+              :neutral
+            end
 
     {
-      trend: trend, # Symbol :up, :down, :neutral
-      angle: angle  # Float how step the trend
+      sma:    sma,    # Array
+      trend:  trend,  # Symbol :up, :down, :neutral
+      angle:  angle   # Float how step the trend
     }
   end
   alias_method :sma_trend, :simple_moving_average_trend

data/lib/sqa/indicator/stochastic_oscillator.rb

@@ -1,6 +1,6 @@
 # lib/sqa/indicator/stochastic_oscillator.rb
 
-module SQA::Indicator; class << self
+class SQA::Indicator; class << self
 
   # @param high_prices [Array]
   # @param low_prices [Array]
@@ -20,10 +20,10 @@ module SQA::Indicator; class << self
     k_values = []
     d_values = []
 
-    closing_prices.each_cons(period) do |closing_prices_subset|
+    closing_prices.each_cons(period) do |window|
       highest_high  = high_prices.max(period)
       lowest_low    = low_prices.min(period)
-      current_close = closing_prices_subset.last
+      current_close = window.last
       k_values     << (current_close - lowest_low) / (highest_high - lowest_low) * 100 # Calculate the k_value
     end
 
@@ -35,5 +35,34 @@ module SQA::Indicator; class << self
   end
   alias_method :so, :stochastic_oscillator
 
+
+  def stochastic_oscillator2(
+        prices, # Array of prices
+        period  # Integer number of events to consider
+      )
+    k_values = []
+    d_values = []
+
+    prices.each_cons(period) do |window|
+      low           = window.min  # Lowest  price in the period
+      high          = window.max  # Highest price in the period
+      current_price = window.last # Current closing price
+
+      k_values << (current_price - low) * 100 / (high - low)
+    end
+
+    k_values.each_cons(period) do |window|
+      d_values << window.mean
+    end
+
+    {
+      k: k_values,
+      d: d_values
+    }
+  end
+  alias_method :so2, :stochastic_oscillator2
+
+
+
 end; end
 

data/lib/sqa/indicator/true_range.rb

@@ -2,7 +2,7 @@
 
 # See Also: average_true_range
 
-module SQA::Indicator; class << self
+class SQA::Indicator; class << self
 
   # @param high_prices [Array]
   # @param low_prices [Array]
@@ -13,21 +13,23 @@ module SQA::Indicator; class << self
   def true_range(
         high_prices,    # Array of high prices
         low_prices,     # Array of low prices
-        previous_closes # Array of previous closing prices
+        closing_prices  # Array of closing prices
       )
     true_ranges = []
 
     high_prices.each_with_index do |high, index|
-      low = low_prices[index]
-      previous_close = previous_closes[index]
-
-      true_range = [
-        high  - low,
-        (high - previous_close).abs,
-        (low  - previous_close).abs
-      ].max
-
-      true_ranges << true_range
+      if index > 0
+        low             = low_prices[index]
+        previous_close  = closing_prices[index - 1]
+
+        true_range = [
+          high  - low,
+          (high - previous_close).abs,
+          (low  - previous_close).abs
+        ].max
+
+        true_ranges << true_range
+      end
     end
 
     true_ranges # Array of True Range values

data/lib/sqa/indicator.rb

@@ -1,11 +1,11 @@
-# lib/sqa/indicators.rb
+# lib/sqa/indicator.rb
 
-module SQA::Indicator
+class SQA::Indicator
 end
 
 # setup a shortcut for the namespace
 SQAI = SQA::Indicator
 
-Dir["indicator/*.rb"].each do |file|
-  require_relative file
+Dir[__dir__ + "/indicator/*.rb"].each do |file|
+  load file
 end

data/lib/sqa/stock.rb

@@ -1,26 +1,19 @@
 # lib/sqa/stock.rb
 
-require_relative 'indicators'
-require_relative 'datastore'
-
-class SQA::Stock < ActiveRecord::Base
-  include SQA::Indicators
-
-  # has_many :activities using ticker as the foreign key
-  # primary id is ticker  it is unique
-
+class SQA::Stock
   attr_accessor :company_name
-  attr_accessor :data
+  attr_accessor :df             # The DataFrane
   attr_accessor :ticker
 
-  def initialize(ticker, datastore = SQA::Datastore::CSV)
+  def initialize(ticker:, source: :yahoo_finance, type: :csv)
     @ticker       = ticker
     @company_name = "Company Name"
-    @data         = datastore.new(ticker)
+    klass         = "SQA::DataFrame::#{source.to_s.camelize}".constantize
+    @df           = klass.send("from_#{type.downcase}", ticker)
   end
 
   def to_s
-    "#{ticker} with #{@data.size} data points."
+    "#{ticker} with #{@df.size} data points from #{@df.timestamp.first} to #{@df.timestamp.last}"
   end
 end
 

data/lib/sqa/strategy.rb

@@ -0,0 +1,65 @@
+# lib/sqa/strategy.rb
+
+class SQA::Strategy
+  attr_accessor :strategies
+
+  def initialize
+    @strategies = []
+  end
+
+  def add(a_proc=nil, &block)
+    @strategies << a_proc unless a_proc.nil?
+    @strategies << block  if a_proc.nil? && block_given?
+  end
+
+  def execute(v)
+    result = []
+    # TODO: Can do this in parallel ...
+    @strategies.each { |signal| result << signal.call(v) }
+    result
+  end
+end
+
+__END__
+
+Example Usage
+=============
+
+ss = SQA::Strategy.new
+
+ss.add do |vector|
+  case rand(10)
+  when (8..)
+    :buy
+  when (..3)
+    :sell
+  else
+    :hold
+  end
+end
+
+
+ss.add do |vector|
+  case rand(10)
+  when (8..)
+    :sell
+  when (..3)
+    :buy
+  else
+    :keep
+  end
+end
+
+def magic(vector)
+  0 == rand(2) ? :spend : :save
+end
+
+ss.add method(:magic)
+
+class MyClass
+  def self.my_method(vector)
+    vector.rsi[:rsi]
+  end
+end
+
+ss.add MyClass.method(:my_method)

data/lib/sqa/version.rb

@@ -1,5 +1,7 @@
 # frozen_string_literal: true
 
 module SQA
-  VERSION = "0.0.1"
+  module Version
+    VERSION = "0.0.3"
+  end
 end

data/lib/sqa.rb

@@ -1,12 +1,50 @@
 # frozen_string_literal: true
 
-module SQA
-end
-
-require 'csv'
+require 'active_support'
+require 'active_support/core_ext/string'
+require 'daru'
 require 'date'
-require 'json'
+
+require 'debug_me'
+include DebugMe
+
+require 'descriptive_statistics'
+require 'mixlib/config'
+require 'nenv'
 require 'pathname'
+require "version_gem"
 
-require_relative "sqa/version"
+unless defined?(HOME)
+	HOME = Pathname.new(Nenv.home)
+end
+
+
+module SQA
+	module Config
+    extend Mixlib::Config
+    config_strict_mode true
+
+    default :data_dir,  				HOME + "sqa_data"
+    default :plotting_library, 	:gruff
+    default :lazy_update,  			false
+	end
+
+	def self.init
+		Daru.lazy_update 			= Config.lazy_update
+		Daru.plotting_library = Config.plotting_library
+
+		nil
+	end
+end
+
+require_relative "sqa/data_frame"
 require_relative "sqa/errors"
+require_relative "sqa/indicator"
+require_relative "sqa/strategy"
+require_relative "sqa/stock"
+require_relative "sqa/version"
+
+
+SQA::Version.class_eval do
+  extend VersionGem::Basic
+end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: sqa
 version: !ruby/object:Gem::Version
-  version: 0.0.1
+  version: 0.0.3
 platform: ruby
 authors:
 - Dewayne VanHoozer
 autorequire:
 bindir: bin
 cert_chain: []
-date: 2023-08-12 00:00:00.000000000 Z
+date: 2023-08-17 00:00:00.000000000 Z
 dependencies: []
 description: Simplistic playpen (e.g. not for serious use) for doing technical analysis
   of stock prices.
@@ -20,61 +20,66 @@ extensions: []
 extra_rdoc_files: []
 files:
 - ".envrc"
+- ".irbrc"
 - CHANGELOG.md
 - LICENSE
 - README.md
 - Rakefile
 - bin/sqa
 - checksums/sqa-0.0.1.gem.sha512
+- checksums/sqa-0.0.2.gem.sha512
+- docs/README.md
+- docs/average_true_range.md
+- docs/bollinger_bands.md
+- docs/candlestick_pattern_recognizer.md
+- docs/data_frame.md
+- docs/donchian_channel.md
+- docs/double_top_bottom_pattern.md
+- docs/exponential_moving_average.md
+- docs/fibonacci_retracement.md
+- docs/head_and_shoulders_pattern.md
+- docs/identify_wave_condition.md
+- docs/market_profile.md
+- docs/mean_reversion.md
+- docs/momentum.md
+- docs/moving_average_convergence_divergence.md
+- docs/peaks_and_valleys.md
+- docs/relative_strength_index.md
 - docs/requirements.md
+- docs/simple_moving_average.md
+- docs/stochastic_oscillator.md
+- docs/strategy.md
+- docs/true_range.md
 - lib/sqa.rb
 - lib/sqa/activity.rb
 - lib/sqa/cli.rb
-- lib/sqa/datastore.rb
-- lib/sqa/datastore/active_record.rb
-- lib/sqa/datastore/csv.rb
-- lib/sqa/datastore/csv/yahoo_finance.rb
-- lib/sqa/datastore/sqlite.rb
+- lib/sqa/data_frame.rb
+- lib/sqa/data_frame/yahoo_finance.rb
 - lib/sqa/errors.rb
 - lib/sqa/indicator.rb
-- lib/sqa/indicator/README.md
-- lib/sqa/indicator/average_true_range.md
 - lib/sqa/indicator/average_true_range.rb
-- lib/sqa/indicator/bollinger_bands.md
 - lib/sqa/indicator/bollinger_bands.rb
-- lib/sqa/indicator/candlestick_pattern_recognizer.md
 - lib/sqa/indicator/candlestick_pattern_recognizer.rb
-- lib/sqa/indicator/classify_market_profile.md
-- lib/sqa/indicator/classify_market_profile.rb
-- lib/sqa/indicator/donchian_channel.md
 - lib/sqa/indicator/donchian_channel.rb
-- lib/sqa/indicator/double_top_bottom_pattern.md
 - lib/sqa/indicator/double_top_bottom_pattern.rb
-- lib/sqa/indicator/ema_analysis.md
-- lib/sqa/indicator/ema_analysis.rb
-- lib/sqa/indicator/fibonacci_retracement.md
+- lib/sqa/indicator/elliott_wave_theory.rb
+- lib/sqa/indicator/exponential_moving_average.rb
+- lib/sqa/indicator/exponential_moving_average_trend.rb
 - lib/sqa/indicator/fibonacci_retracement.rb
-- lib/sqa/indicator/head_and_shoulders_pattern.md
 - lib/sqa/indicator/head_and_shoulders_pattern.rb
-- lib/sqa/indicator/identify_wave_condition.md
-- lib/sqa/indicator/identify_wave_condition.rb
-- lib/sqa/indicator/mean_reversion.md
+- lib/sqa/indicator/market_profile.rb
 - lib/sqa/indicator/mean_reversion.rb
-- lib/sqa/indicator/momentum.md
 - lib/sqa/indicator/momentum.rb
-- lib/sqa/indicator/moving_average_convergence_divergence.md
 - lib/sqa/indicator/moving_average_convergence_divergence.rb
-- lib/sqa/indicator/relative_strength_index.md
-- lib/sqa/indicator/relative_strength_index.md.rb
-- lib/sqa/indicator/simple_moving_average.md
+- lib/sqa/indicator/peaks_and_valleys.rb
+- lib/sqa/indicator/relative_strength_index.rb
 - lib/sqa/indicator/simple_moving_average.rb
 - lib/sqa/indicator/simple_moving_average_trend.rb
-- lib/sqa/indicator/stochastic_oscillator.md
 - lib/sqa/indicator/stochastic_oscillator.rb
-- lib/sqa/indicator/true_range.md
 - lib/sqa/indicator/true_range.rb
 - lib/sqa/protfolio.rb
 - lib/sqa/stock.rb
+- lib/sqa/strategy.rb
 - lib/sqa/version.rb
 homepage: https://github.com/MadBomber/sqa
 licenses:

data/lib/sqa/datastore/active_record.rb

@@ -1,89 +0,0 @@
-# lib/sqa/datastore/active_record.rb
-
-
-require 'active_record'
-require 'sqlite3'
-
-
-module SQA::Datastore
-  class ActiveRecord
-    def initialize(ticker); end
-  end
-end
-
-
-__END__
-
-# An example of how to use active record with sqlite3 ...
-
-#!/usr/bin/env ruby
-# See: https://gist.github.com/unnitallman/944011
-
-require 'active_record'
-require 'sqlite3'
-
-ActiveRecord::Base.logger = Logger.new(STDERR)
-# TDV ActiveRecord::Base.colorize_logging = false
-
-ActiveRecord::Base.establish_connection(
-    adapter:  "sqlite3",
-    database: './database.db'
-)
-
-ActiveRecord::Schema.define do
-    create_table :albums do |table|
-        table.column :title, :string
-        table.column :performer, :string
-    end
-
-    create_table :tracks do |table|
-        table.column :album_id, :integer
-        table.column :track_number, :integer
-        table.column :title, :string
-    end
-end
-
-class Album < ActiveRecord::Base
-    has_many :tracks
-end
-
-class Track < ActiveRecord::Base
-    belongs_to :album
-end
-
-album = Album.create(:title => 'Black and Blue',
-    :performer => 'The Rolling Stones')
-album.tracks.create(:track_number => 1, :title => 'Hot Stuff')
-album.tracks.create(:track_number => 2, :title => 'Hand Of Fate')
-album.tracks.create(:track_number => 3, :title => 'Cherry Oh Baby ')
-album.tracks.create(:track_number => 4, :title => 'Memory Motel ')
-album.tracks.create(:track_number => 5, :title => 'Hey Negrita')
-album.tracks.create(:track_number => 6, :title => 'Fool To Cry')
-album.tracks.create(:track_number => 7, :title => 'Crazy Mama')
-album.tracks.create(:track_number => 8,
-    :title => 'Melody (Inspiration By Billy Preston)')
-
-album = Album.create(:title => 'Sticky Fingers',
-    :performer => 'The Rolling Stones')
-album.tracks.create(:track_number => 1, :title => 'Brown Sugar')
-album.tracks.create(:track_number => 2, :title => 'Sway')
-album.tracks.create(:track_number => 3, :title => 'Wild Horses')
-album.tracks.create(:track_number => 4,
-    :title => 'Can\'t You Hear Me Knocking')
-album.tracks.create(:track_number => 5, :title => 'You Gotta Move')
-album.tracks.create(:track_number => 6, :title => 'Bitch')
-album.tracks.create(:track_number => 7, :title => 'I Got The Blues')
-album.tracks.create(:track_number => 8, :title => 'Sister Morphine')
-album.tracks.create(:track_number => 9, :title => 'Dead Flowers')
-album.tracks.create(:track_number => 10, :title => 'Moonlight Mile')
-
-puts Album.find(1).tracks.length
-puts Album.find(2).tracks.length
-
-puts Album.find_by_title('Sticky Fingers').title
-puts Track.find_by_title('Fool To Cry').album_id
-
-
-
-
-