sqa 0.0.22 → 0.0.31

data/lib/sqa/analysis.rb

@@ -1,306 +0,0 @@
-# lib/sqa/command/analysis.rb
-
-module SQA
-	class Analysis < CLI
-    include TTY::Option
-
-    command "Analysis"
-
-    desc "Provide an Analysis of a Portfolio"
-
-
-		def initialize
-      # TODO: something
-		end
-	end
-end
-
-__END__
-
-
-
-###################################################
-## This is the old thing that got me started ...
-
-#!/usr/bin/env ruby
-# experiments/stocks/analysis.rb
-#
-# Some technical indicators from FinTech gem
-#
-# optional date CLI option in format YYYY-mm-dd
-# if not present uses Date.today
-#
-
-
-INVEST = 1000.00
-
-require 'pathname'
-
-require_relative 'stock'
-require_relative 'datastore'
-
-
-STOCKS = Pathname.pwd + "stocks.txt"
-TRADES = Pathname.pwd + "trades.csv"
-
-TRADES_FILE = File.open(TRADES, 'a')
-
-unless STOCKS.exist?
-  puts
-  puts "ERROR: The 'stocks.txt' file does not exist."
-  puts
-  exot(-1)
-end
-
-require 'debug_me'
-include DebugMe
-
-require 'csv'
-require 'date'
-require 'tty-table'
-
-require 'fin_tech'
-require 'previous_dow'
-
-class NilClass
-  def blank?() = true
-end
-
-class String
-  def blank?() = strip().empty?
-end
-
-class Array
-  def blank?() = empty?
-end
-
-
-def tickers
-  return @tickers unless @tickers.blank?
-
-  @tickers = []
-
-  STOCKS.readlines.each do |a_line|
-    ticker_symbol = a_line.chomp.strip.split()&.first&.downcase
-    next if ticker_symbol.blank? || '#' == ticker_symbol
-    @tickers << ticker_symbol unless @tickers.include?(ticker_symbol)
-  end
-
-  @tickers.sort!
-end
-
-given_date = ARGV.first ? Date.parse(ARGV.first) : Date.today
-
-start_date  = Date.new(2019, 1, 1)
-end_date    = previous_dow(:friday, given_date)
-
-ASOF = end_date.to_s.tr('-','')
-
-
-#######################################################################
-# download a CSV file from https://query1.finance.yahoo.com
-# given a stock ticker symbol as a String
-# start and end dates
-#
-# For ticker "aapl" the downloaded file will be named "aapl.csv"
-# That filename will be renamed to "aapl_YYYYmmdd.csv" where the
-# date suffix is the end_date of the historical data.
-#
-def download_historical_prices(ticker, start_date, end_date)
-  data_path       = Pathname.pwd + "#{ticker}_#{ASOF}.csv"
-  return if data_path.exist?
-
-  mew_path        = Pathname.pwd + "#{ticker}.csv"
-
-  start_timestamp = start_date.to_time.to_i
-  end_timestamp   = end_date.to_time.to_i
-  ticker_upcase   = ticker.upcase
-  filename        = "#{ticker.downcase}.csv"
-
-  `curl -o #{filename} "https://query1.finance.yahoo.com/v7/finance/download/#{ticker_upcase}?period1=#{start_timestamp}&period2=#{end_timestamp}&interval=1d&events=history&includeAdjustedClose=true"`
-
-  mew_path.rename data_path
-end
-
-
-#######################################################################
-# Read the CSV file associated with the give ticker symbol
-# and the ASOF date.
-#
-def read_csv(ticker)
-  filename  = "#{ticker.downcase}_#{ASOF}.csv"
-  data      = []
-
-  CSV.foreach(filename, headers: true) do |row|
-    data << row.to_h
-  end
-
-  data
-end
-
-##########################
-# record a recommend trade
-
-def trade(ticker, signal, shares, price)
-  TRADES_FILE.puts "#{ticker},#{ASOF},#{signal},#{shares},#{price}"
-end
-
-#######################################################################
-###
-##  Main
-#
-
-
-tickers.each do |ticker|
-  download_historical_prices(ticker, start_date, end_date)
-end
-
-result = {}
-
-mwfd = 14 # moving_window_forcast_days
-
-headers = %w[ Ticker AdjClose Trend Slope M'tum RSI Analysis MACD Target Signal $]
-values  = []
-
-tickers.each do |ticker|
-
-  data            = read_csv ticker
-  prices          = data.map{|r| r["Adj Close"].to_f}
-  volumes         = data.map{|r| r["volume"].to_f}
-
-  if data.blank?
-    puts
-    puts "ERROR: cannot get data for #{ticker}"
-    puts
-    next
-  end
-
-
-  result[ticker]  = {
-    date:       data.last["Date"],
-    adj_close:  data.last["Adj Close"].to_f
-  }
-
-  result[ticker][:market] = FinTech.classify_market_profile(
-                                      volumes.last(mwfd),
-                                      prices.last(mwfd),
-                                      prices.last(mwfd).first,
-                                      prices.last
-                                    )
-
-  fr = FinTech.fibonacci_retracement( prices.last(mwfd).first,
-                                      prices.last).map{|x| x.round(3)}
-
-
-  puts "\n#{result[ticker][:market]} .. #{ticker}\t#{fr}"
-  print "\t"
-  print FinTech.head_and_shoulders_pattern?(prices.last(mwfd))
-  print "\t"
-  print FinTech.double_top_bottom_pattern?(prices.last(mwfd))
-  print "\t"
-  mr = FinTech.mean_reversion?(prices, mwfd, 0.5)
-  print mr
-
-  if mr
-    print "\t"
-    print FinTech.mr_mean(prices, mwfd).round(3)
-  end
-
-  print "\t"
-  print FinTech.identify_wave_condition?(prices, 2*mwfd, 1.0)
-  puts
-
-  print "\t"
-  print FinTech.ema_analysis(prices, mwfd).except(:ema_values)
-
-  puts
-
-  row  = [ ticker ]
-
-  # result[ticker][:moving_averages]  = FinTech.sma(data, mwfd)
-  result[ticker][:trend]              = FinTech.sma_trend(data, mwfd)
-  result[ticker][:momentum]           = FinTech.momentum(prices, mwfd)
-  result[ticker][:rsi]                = FinTech.rsi(data, mwfd)
-  result[ticker][:bollinger_bands]    = FinTech.bollinger_bands(data, mwfd, 2)
-  result[ticker][:macd]               = FinTech.macd(data, mwfd, 2*mwfd, mwfd/2)
-
-  price = result[ticker][:adj_close].round(3)
-
-  row << price
-  row << result[ticker][:trend][:trend]
-  row << result[ticker][:trend][:angle].round(3)
-  row << result[ticker][:momentum].round(3)
-  row << result[ticker][:rsi][:rsi].round(3)
-  row << result[ticker][:rsi][:meaning]
-  row << result[ticker][:macd].first.round(3)
-  row << result[ticker][:macd].last.round(3)
-
-  analysis  = result[ticker][:rsi][:meaning]
-
-  signal    = ""
-  macd_diff = result[ticker][:macd].first
-  target    = result[ticker][:macd].last
-  current   = result[ticker][:adj_close]
-
-  trend_down = "down" == result[ticker][:trend][:trend]
-
-  if current < target
-    signal = "buy" unless "Over Bought" == analysis
-  elsif (current > target) && trend_down
-    signal = "sell" unless "Over Sold" == analysis
-  end
-
-  if "buy" == signal
-    pps     = target - price
-    shares  = INVEST.to_i / price.to_i
-    upside  = (shares * pps).round(2)
-    trade(ticker, signal, shares, price)
-  elsif "sell" == signal
-    pps     = target - price
-    shares  = INVEST.to_i / price.to_i
-    upside  = (shares * pps).round(2)
-    trade(ticker, signal, shares, price)
-  else
-    upside = ""
-  end
-
-  row << signal
-  row << upside
-
-  values << row
-end
-
-# debug_me{[
-#   :result
-# ]}
-
-
-the_table = TTY::Table.new(headers, values)
-
-puts
-puts "Analysis as of Friday Close: #{end_date}"
-
-puts  the_table.render(
-        :unicode,
-        {
-          padding:    [0, 0, 0, 0],
-          alignments: [
-            :left,    # ticker
-            :right,   # adj close
-            :center,  # trend
-            :right,   # slope
-            :right,   # momentum
-            :right,   # rsi
-            :center,  # meaning / analysis
-            :right,   # macd
-            :right,   # target
-            :center,  # signal
-            :right    # upside
-          ],
-        }
-      )
-puts
-
-TRADES_FILE.close
-
-

data/lib/sqa/cli.rb

@@ -1,173 +0,0 @@
-# lib/sqa/cli.rb
-
-
-require_relative '../sqa'
-
-# SMELL:  Architectyre has become confused between CLI and Command
-
-# TODO: Fix the mess between CLI and Command
-
-
-module SQA
-	class CLI
-    include TTY::Option
-
-    header "Stock Quantitative Analysis (SQA)"
-    footer "WARNING: This is a toy, a play thing, not intended for serious use."
-
-    program "sqa"
-    desc    "A collection of things"
-
-    example "sqa -c ~/.sqa.yml -p portfolio.csv -t trades.csv --data-dir ~/sqa_data"
-
-
-    option :config_file do
-      short "-c string"
-      long  "--config string"
-      desc  "Path to the config file"
-    end
-
-    option :log_level do
-      short   "-l string"
-      long    "--log_level string"
-      # default SQA.config.log_level
-      desc    "Set the log level (debug, info, warn, error, fatal)"
-    end
-
-    option :portfolio do
-      short   "-p string"
-      long    "--portfolio string"
-      # default SQA.config.portfolio_filename
-      desc    "Set the filename of the portfolio"
-    end
-
-
-    option :trades do
-      short   "-t string"
-      long    "--trades string"
-      # default SQA.config.trades_filename
-      desc    "Set the filename into which trades are stored"
-    end
-
-
-    option :data_dir do
-      long    "--data-dir string"
-      # default SQA.config.data_dir
-      desc    "Set the directory for the SQA data"
-    end
-
-    option :dump_config do
-      long "--dump-config path_to_file"
-      desc "Dump the current configuration"
-    end
-
-    flag :help do
-      short "-h"
-      long "--help"
-      desc "Print usage"
-    end
-
-    flag :version do
-      long "--version"
-      desc "Print version"
-    end
-
-    flag :debug do
-      short   "-d"
-      long    "--debug"
-      # default SQA.config.debug
-      desc    "Turn on debugging output"
-    end
-
-    flag :verbose do
-      short   "-v"
-      long    "--verbose"
-      # default SQA.config.debug
-      desc    "Print verbosely"
-    end
-
-    class << self
-      @@subclasses          = []
-      @@commands_available  = []
-
-      def names
-        '['+ @@commands_available.join('|')+']'
-      end
-
-      def inherited(subclass)
-        super
-        @@subclasses          << subclass
-        @@commands_available  << subclass.command.join
-      end
-
-      def command_descriptions
-        help_block = "Optional Command Available:"
-
-        @@commands_available.size.times do |x|
-          klass = @@subclasses[x]
-          help_block << "\n  " + @@commands_available[x] + " - "
-          help_block << klass.desc.join
-        end
-
-        help_block
-      end
-
-
-      ##################################################
-      def run(argv = ARGV)
-        cli    = new
-        parser = cli.parse(argv)
-        params = parser.params
-
-        if params[:help]
-          print parser.help
-          exit(0)
-
-        elsif params.errors.any?
-          puts params.errors.summary
-          exit(1)
-
-        elsif params[:version]
-          puts SQA.version
-          exit(0)
-
-        elsif params[:dump_config]
-          SQA.config.config_file  = params[:dump_config]
-          `touch #{SQA.config.config_file}`
-          SQA.config.dump_file
-          exit(0)
-
-        elsif params[:config_file]
-          # Override the defaults <- envars <- config file content
-          params[:config_file]   = SQA.homify params[:config_file]
-          SQA.config.config_file = params[:config_file]
-          SQA.config.from_file
-        end
-
-        # Override the defaults <- envars <- config file <- cli parameters
-        SQA.config.merge!(remove_temps params.to_h)
-
-        if SQA.debug? || SQA.verbose?
-          debug_me("config after CLI parameters"){[
-            "SQA.config"
-          ]}
-        end
-      end
-
-      def remove_temps(a_hash)
-        temps = %i[ help version dump ]
-        # debug_me{[ :a_hash ]}
-        a_hash.reject{|k, _| temps.include? k}
-      end
-    end
-	end
-end
-
-require_relative 'analysis'
-require_relative 'web'
-
-# First Load TTY-Option's command content with all available commands
-# then these have access to the entire ObjectSpace ...
-SQA::CLI.command SQA::CLI.names
-SQA::CLI.example SQA::CLI.command_descriptions
-

data/lib/sqa/constants.rb

@@ -1,23 +0,0 @@
-# lib/sqa/constants.rb
-
-module SQA
-	module Constants
-		Signal = {
-			hold: 0,
-			buy: 	1,
-			sell: 2
-		}.freeze
-
-		Trend = {
-			up: 	0,
-			down: 1
-		}.freeze
-
-		Swing = {
-			valley: 0,
-			peak: 	1,
-		}.freeze
-	end
-
-	include Constants
-end

data/lib/sqa/indicator/average_true_range.rb

@@ -1,43 +0,0 @@
-# lib/sqa/indicator/average_true_range.rb
-
-# See Also: true_range
-
-class SQA::Indicator; class << self
-
-  def average_true_range(
-        high_prices,  # Array of the day's high price
-        low_prices,   # Array of the day's low price
-        close_prices, # Array of the day's closing price
-        period        # Integer the number of days to consider
-      )
-    true_ranges = true_range(high_prices, low_prices, close_prices)
-    atr_values  = []
-
-    # debug_me{[ :period, :true_ranges ]}
-
-    window_span = period - 1
-
-    true_ranges.size.times do |inx|
-      start_inx = inx - window_span
-      end_inx   = start_inx + window_span
-
-      start_inx = 0 if start_inx < 0
-
-      window    = true_ranges[start_inx..end_inx]
-
-      # debug_me{[
-      #   :inx,
-      #   :start_inx,
-      #   :end_inx,
-      #   :window,
-      #   "window.mean"
-      # ]}
-
-      atr_values << window.mean
-    end
-
-    atr_values # Array
-  end
-  alias_method :atr, :average_true_range
-
-end; end

data/lib/sqa/indicator/bollinger_bands.rb

@@ -1,28 +0,0 @@
-# lib/sqa/indicator/bollinger_bands.rb
-
-class SQA::Indicator; class << self
-
-  def bollinger_bands(
-        prices,         # Array of prices
-        period,         # Integer number of entries to consider
-        num_std_devs=2  # Integer number of standard deviations
-      )
-    moving_averages     = simple_moving_average(prices, period)
-    standard_deviations = []
-
-    prices.each_cons(period) do |window|
-      standard_deviation = Math.sqrt(window.map { |price| (price - moving_averages.last) ** 2 }.sum / period)
-      standard_deviations << standard_deviation
-    end
-
-    upper_band = moving_averages.last + (num_std_devs * standard_deviations.last)
-    lower_band = moving_averages.last - (num_std_devs * standard_deviations.last)
-
-    {
-      upper_band: upper_band, # Array
-      lower_band: lower_band  # Array
-    }
-  end
-  alias_method :bb, :bollinger_bands
-
-end; end

data/lib/sqa/indicator/candlestick_pattern_recognizer.rb

@@ -1,60 +0,0 @@
-# lib/sqa/indicator/candlestick_pattern_recognizer.rb
-
-class SQA::Indicator; class << self
-
-  def candlestick_pattern_recognizer(
-        open_prices,  # Array day's ppen price
-        high_prices,  # Array day's high price
-        low_prices,   # Array day's low price
-        close_prices  # Array day's closing price
-      )
-    patterns = []
-
-    close_prices.each_with_index do |close, index|
-      if index >= 2
-        previous_close  = close_prices[index  - 1]
-        previous_open   = open_prices[index   - 1]
-        previous_high   = high_prices[index   - 1]
-        previous_low    = low_prices[index    - 1]
-
-        second_previous_close = close_prices[index  - 2]
-        second_previous_open  = open_prices[index   - 2]
-        second_previous_high  = high_prices[index   - 2]
-        second_previous_low   = low_prices[index    - 2]
-
-        if  close           > previous_close  &&
-            previous_close  < previous_open   &&
-            close           < previous_open   &&
-            close           > previous_low    &&
-            close           > second_previous_close
-          patterns << :bullish_engulfing
-
-        elsif close           < previous_close  &&
-              previous_close  > previous_open   &&
-              close           > previous_open   &&
-              close           < previous_high   &&
-              close           < second_previous_close
-          patterns << :bearish_engulfing
-
-        elsif close           > previous_close  &&
-              previous_close  < previous_open   &&
-              close           < previous_open   &&
-              close           < previous_low    &&
-              close           < second_previous_close
-          patterns << :bearish_harami
-
-        elsif close           < previous_close  &&
-              previous_close  > previous_open   &&
-              close           > previous_open   &&
-              close           > previous_high   &&
-              close           > second_previous_close
-          patterns << :bullish_harami
-        end
-      end
-    end
-
-    patterns
-  end
-
-end; end
-

data/lib/sqa/indicator/donchian_channel.rb

@@ -1,29 +0,0 @@
-# lib/sqa/indicator/donchian_channel.rb
-
-class SQA::Indicator; class << self
-
-  def donchian_channel(
-        prices,   # Array of prices
-        period    # Integer number of entries to consider
-      )
-    max               = -999999999
-    min               = 999999999
-    donchian_channel  = []
-
-    prices.each_with_index do |value, index|
-      value = value.to_f
-      max   = value if value > max
-      min   = value if value < min
-
-      if index >= period - 1
-        donchian_channel << [max, min, (max + min) / 2]
-        max = -999999999
-        min = 999999999
-      end
-    end
-
-    donchian_channel
-  end
-
-end; end
-

data/lib/sqa/indicator/double_top_bottom_pattern.rb

@@ -1,34 +0,0 @@
-# lib/sqa/indicator/double_top_bottom_pattern.rb
-
-class SQA::Indicator; class << self
-
-  def double_top_bottom_pattern(
-        prices  # Array of prices
-      )
-    return :no_pattern if prices.length < 5
-
-    data                = prices.last(5)
-
-    first_peak          = data[0]
-    valley              = data[1]
-    second_peak         = data[2]
-    neckline            = data[3]
-    confirmation_price  = data[4]
-
-    if  first_peak          < second_peak &&
-        valley              > first_peak  &&
-        valley              > second_peak &&
-        confirmation_price  < neckline
-      :double_top
-    elsif first_peak          > second_peak &&
-          valley              < first_peak  &&
-          valley              < second_peak &&
-          confirmation_price  > neckline
-      :double_bottom
-    else
-      :no_pattern
-    end
-  end
-
-end; end
-