sqa 0.0.22 → 0.0.31

data/lib/sqa/indicator/elliott_wave_theory.rb

@@ -1,57 +0,0 @@
-# lib/sqa/indicator/elliott_wave_theory.rb
-
-# TIDI: This is very simplistic.  It may be completely wrong even
-#       as simplistic as it is.  Consider using the sma_trend to
-#       acquire the up and down patterns.  Run those through a
-#       classifier.  Might even have to review the concept of a
-#       trend with regard to varying the periods to turn
-#       many small patterns into fewer larger patterns.  Then
-#       maybe the 12345 and abc patterns will be extractable.
-#       On the whole I think the consensus is that EWT is not
-#       that useful for predictive trading.
-
-class SQA::Indicator; class << self
-
-  def elliott_wave_theory(
-        prices       # Array of prices
-      )
-    waves       = []
-    wave_start  = 0
-
-    (1..prices.length-2).each do |x|
-      turning_point = prices[x] > prices[x-1] && prices[x] > prices[x+1] ||
-                      prices[x] < prices[x-1] && prices[x] < prices[x+1]
-
-      if turning_point
-        waves << prices[wave_start..x]
-        wave_start = x + 1
-      end
-    end
-
-    analysis = []
-
-    waves.each do |wave|
-      analysis << {
-        wave:     wave,
-        pattern:  ewt_identify_pattern(wave)
-      }
-    end
-
-    analysis
-  end
-
-
-  private def ewt_identify_pattern(wave)
-    if wave.length == 5
-      :impulse
-    elsif wave.length == 3
-      :corrective_zigzag
-    elsif wave.length > 5
-      :corrective_complex
-    else
-      :unknown
-    end
-  end
-
-end; end
-

data/lib/sqa/indicator/exponential_moving_average.rb

@@ -1,25 +0,0 @@
-# lib/sqa/indicator/exponential_moving_average.rb
-
-class SQA::Indicator; class << self
-
-  def exponential_moving_average(
-        prices, # Array of prices
-        period  # Integer number of entries to consider
-      )
-
-    ema_values = []
-    ema_values << prices.first
-
-    multiplier = (2.0 / (period + 1))
-
-    (1...prices.length).each do |x|
-      ema = (prices[x] - ema_values.last) * multiplier + ema_values.last
-      ema_values << ema
-    end
-
-    ema_values
-  end
-  alias_method :ema, :exponential_moving_average
-
-end; end
-

data/lib/sqa/indicator/exponential_moving_average_trend.rb

@@ -1,36 +0,0 @@
-# lib/sqa/indicator/exponential_moving_average_trend.rb
-
-class SQA::Indicator; class << self
-
-  def exponential_moving_average_trend(
-        prices, # Array of prices
-        period  # Integer number of entries to consider
-      )
-
-    ema_values  = exponential_moving_average(
-                    prices,
-                    period
-                  )
-
-    last_ema      = ema_values.last
-    previous_ema  = ema_values[-2]
-
-    trend = if last_ema > previous_ema
-              :up
-            elsif last_ema < previous_ema
-              :down
-            else
-              :neutral
-            end
-
-    {
-      ema:        ema_values,
-      trend:      trend,
-      support:    ema_values.min,
-      resistance: ema_values.max
-    }
-  end
-  alias_method :ema_trend, :exponential_moving_average_trend
-
-end; end
-

data/lib/sqa/indicator/fibonacci_retracement.rb

@@ -1,23 +0,0 @@
-# lib/sqa/indicator/fibonacci_retracement.rb
-
-class SQA::Indicator; class << self
-
-  def fibonacci_retracement(
-        swing_high,   # Float peak price in a period - peak
-        swing_low     # Float bottom price in a period - valley
-      )
-    retracement_levels = []
-
-    fibonacci_levels = [0.236, 0.382, 0.5, 0.618, 0.786]
-
-    fibonacci_levels.each do |level|
-      retracement_levels << swing_low + (swing_high - swing_low) * level
-    end
-
-
-    retracement_levels # Array
-  end
-  alias_method :fr, :fibonacci_retracement
-
-end; end
-

data/lib/sqa/indicator/head_and_shoulders_pattern.rb

@@ -1,26 +0,0 @@
-# lib/sqa/indicator/head_and_shoulders_pattern.rb
-
-class SQA::Indicator; class << self
-
-
-  def head_and_shoulders_pattern?(
-        prices  # Array of prices
-      )
-
-    return false if prices.length < 5
-
-    data            = prices.last(5)
-
-    left_shoulder   = data[0]
-    head            = data[1]
-    right_shoulder  = data[2]
-    neckline        = data[3]
-    right_peak      = data[4]
-
-    head        > left_shoulder   &&
-    head        > right_shoulder  &&
-    right_peak  < neckline
-  end
-
-end; end
-

data/lib/sqa/indicator/market_profile.rb

@@ -1,32 +0,0 @@
-# lib/sqa/indicator/market_profile.rb
-
-class SQA::Indicator; class << self
-
-  def market_profile(
-        volumes,              # Array of volumes
-        prices,               # Array of prices
-        support_threshold,    # Float stock's support price estimate
-        resistance_threshold  # Float stock's resistance price estimate
-      )
-    total_volume    = volumes.sum
-    average_volume  = volumes.mean
-    max_volume      = volumes.max
-
-    support_levels    = prices.select { |price| price <= support_threshold }
-    resistance_levels = prices.select { |price| price >= resistance_threshold }
-
-    if  support_levels.empty?     &&
-        resistance_levels.empty?
-      :neutral
-    elsif support_levels.empty?
-      :resistance
-    elsif resistance_levels.empty?
-      :support
-    else
-      :mixed
-    end
-  end
-  alias_method :mp, :market_profile
-
-end; end
-

data/lib/sqa/indicator/mean_reversion.rb

@@ -1,37 +0,0 @@
-# lib/sqa/indicator/mean_reversion.rb
-
-class SQA::Indicator; class << self
-
-  # @param prices [Array]
-  # @param lookback_period [Integer]
-  # @param deviation_threshold [Float]
-  #
-  # @return [Boolean] True if the stock exhibits mean reversion behavior,
-  #                   false otherwise.
-  #
-  def mean_reversion?(
-        prices,             # Array of prices
-        lookback_period,    # Integer number of events to consider
-        deviation_threshold # Float delta change at which a price is considered to be over extended
-      )
-
-    return false if prices.length < lookback_period
-
-    mean      = mr_mean(prices, lookback_period)
-    deviation = prices[-1] - mean
-
-    if deviation.abs > deviation_threshold
-      return true
-    else
-      return false
-    end
-  end
-
-
-  def mr_mean(prices, lookback_period)
-    prices.last(lookback_period).sum / lookback_period.to_f
-  end
-
-end; end
-
-

data/lib/sqa/indicator/momentum.rb

@@ -1,28 +0,0 @@
-# lib/sqa/indicator/momentum.rb
-
-class SQA::Indicator; class << self
-
-  # @param prices [Array]
-  # @param period [Integer]
-  #
-  # @return [Float]
-  #
-  def momentum(
-        prices, # Array of prices
-        period  # Integer number of entries to consider
-      )
-
-    momentums = []
-
-    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
-
-end; end
-

data/lib/sqa/indicator/moving_average_convergence_divergence.rb

@@ -1,29 +0,0 @@
-# lib/sqa/indicator/moving_average_convergence_divergence.rb
-
-class SQA::Indicator; class << self
-
-  def moving_average_convergence_divergence(
-        prices,
-        short_period,
-        long_period,
-        signal_period
-      )
-
-    short_ma    = simple_moving_average(prices, short_period)
-    long_ma     = simple_moving_average(prices, long_period)
-    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
-      signal: signal_line # Array
-    }
-  end
-  alias_method :macd, :moving_average_convergence_divergence
-
-end; end
-

data/lib/sqa/indicator/peaks_and_valleys.rb

@@ -1,29 +0,0 @@
-
-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/predict_next_value.rb

@@ -1,202 +0,0 @@
-# lib/sqa/indicator/predict_next_values.rb
-
-module SQA
-end
-
-class SQA::Indicator; class << self
-
-  # Produce a Table show actual values and forecasted values
-  #
-  # actual .... Array of Float
-  # forecast .. Array of Float or Array of Array of Float
-  #             entry is either a single value or
-  #             an Array [high, guess, low]
-  #
-  def prediction_test(actual, forecast)
-
-    unless actual.size == forecast.size
-      debug_me("== ERROR =="){[
-        "actual.size",
-        "forecast.size"
-      ]}
-    end
-
-    # Method Under Test (MUT)
-    mut     = caller[0][/`([^']*)'/, 1]
-    window  = actual.size
-    hgl     = forecast.first.is_a?(Array)
-
-    if hgl
-      headers = %w[ Actual Forecast Diff %off InRange? High Low ]
-    else
-      headers = %w[ Actual Forecast Diff %off ]
-    end
-
-    diff    = []
-    percent = []
-    values  = []
-
-    actual.map!{|v| v.round(3)}
-
-    if hgl
-      high  = forecast.map{|v| v[0].round(3)}
-      guess = forecast.map{|v| v[1].round(3)}
-      low   = forecast.map{|v| v[2].round(3)}
-    else
-      guess = forecast.map{|v| v.round(3)}
-    end
-
-    window.times do |x|
-      diff    << (actual[x] - guess[x]).round(3)
-      percent << ((diff.last / guess[x])*100.0).round(3)
-
-      entry = [
-        actual[x], guess[x],
-        diff[x], percent[x],
-      ]
-
-      if hgl
-        entry << ( (high[x] >= actual[x] && actual[x] >= low[x]) ? "Yes" : "" )
-        entry << high[x]
-        entry << low[x]
-      end
-
-      values << entry
-    end
-
-    the_table = TTY::Table.new(headers, values)
-
-    puts "\n#{mut} Result Validation"
-
-    puts  the_table.render(
-            :unicode,
-            {
-              padding:    [0, 0, 0, 0],
-              alignments:  [:right]*values.first.size,
-            }
-          )
-    puts
-  end
-
-
-  def predict_next_values(stock, window, testing=false)
-    prices  = stock.df.adj_close_price.to_a
-    known   = prices.pop(window) if testing
-    result  = []
-
-    prices.each_cons(2) do |a, b|
-      result << b + (b - a)
-    end
-
-    if window > 0
-      (1..window).each do |_|
-        last_two_values = result.last(2)
-        delta           = last_two_values.last - last_two_values.first
-        next_value      = last_two_values.last + delta
-        result         << next_value
-      end
-    end
-
-    prediction_test(known, result.last(window)) if testing
-
-    result.last(window)
-  end
-  alias_method :pnv, :predict_next_values
-
-
-  def pnv2(stock, window, testing=false)
-    prices  = stock.df.adj_close_price.to_a
-    known   = prices.pop(window) if testing
-
-    result    = []
-    last_inx  = prices.size - 1 # indexes are zero based
-
-    window.times do |x|
-      x += 1 # forecasting 1 day into the future needs 2 days of near past data
-
-      # window is the near past values
-      window  = prices[last_inx-x..]
-
-      high      = window.max
-      low       = window.min
-      midpoint  = (high + low) / 2.0
-
-      result   << [high, midpoint, low]
-    end
-
-    prediction_test(known, result) if testing
-
-    result
-  end
-
-
-  def pnv3(stock, window, testing=false)
-    prices  = stock.df.adj_close_price.to_a
-    known   = prices.pop(window) if testing
-
-    result  = []
-    known   = prices.last(window)
-
-    last_inx = prices.size - 1
-
-    (0..window-1).to_a.reverse.each do |x|
-      curr_inx          = last_inx - x
-      prev_inx          = curr_inx - 1
-      current_price     = prices[curr_inx]
-      percentage_change = (current_price - prices[prev_inx]) / prices[prev_inx]
-
-      result << current_price + (current_price * percentage_change)
-    end
-
-    prediction_test(known, result) if testing
-
-    result
-  end
-
-
-  def pnv4(stock, window, testing=false)
-    prices  = stock.df.adj_close_price.to_a
-    known   = prices.pop(window) if testing
-
-    result        = []
-    known         = prices.last(window).dup
-    current_price = known.last
-
-    # Loop through the prediction window size
-    (1..window).each do |x|
-
-      # Calculate the percentage change between the current price and its previous price
-      percentage_change = (current_price - prices[-x]) / prices[-x]
-
-      result << current_price + (current_price * percentage_change)
-    end
-
-    prediction_test(known, result) if testing
-
-    result
-  end
-
-
-  def pnv5(stock, window, testing=false)
-    prices  = stock.df.adj_close_price.to_a
-    known   = prices.pop(window) if testing
-
-    result            = []
-    current_price     = prices.last
-
-    rate              = 0.9 # convert angle into percentage
-    sma_trend         = stock.indicators.sma_trend
-    percentage_change = 1 + (sma_trend[:angle] / 100.0) * rate
-
-    # Assumes the SMA trend will continue
-    window.times do |_|
-      result       << current_price * percentage_change
-      current_price = result.last
-    end
-
-    prediction_test(known, result) if testing
-
-    result
-  end
-
-end; end

data/lib/sqa/indicator/relative_strength_index.rb

@@ -1,47 +0,0 @@
-# lib/sqa/indicator/relative_strength_index.rb
-
-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_bought = 70.0  # Float break over point in trend
-      )
-    gains   = []
-    losses  = []
-
-    prices.each_cons(2) do |pair|
-      change = pair[1] - pair[0]
-
-      if change > 0
-        gains   << change
-        losses  << 0
-      else
-        gains   << 0
-        losses  << change.abs
-      end
-    end
-
-    avg_gain  = gains.last(period).sum  / period.to_f
-    avg_loss  = losses.last(period).sum / period.to_f
-    rs        = avg_gain / avg_loss
-    rsi       = 100 - (100 / (1 + rs))
-
-    trend = if rsi >= over_bought
-              :over_bought
-            elsif rsi <= over_sold
-              :over_sold
-            else
-              :normal
-            end
-
-    {
-      rsi:    rsi,  # Float
-      trend:  trend # Symbol :normal, :over_bought, :over+sold
-    }
-  end
-  alias_method :rsi, :relative_strength_index
-
-end; end
-

data/lib/sqa/indicator/simple_moving_average.rb

@@ -1,24 +0,0 @@
-# lib/sqa/indicator/simple_moving_average.rb
-
-class SQA::Indicator; class << self
-
-  def simple_moving_average(
-        prices, # Array of prices
-        period  # Integer how many to consider at a time
-      )
-    moving_averages = []
-
-    (0..period-2).to_a.each do |x|
-      moving_averages << prices[0..x].mean
-    end
-
-    prices.each_cons(period) do |window|
-      moving_averages << window.mean
-    end
-
-    moving_averages # Array
-  end
-  alias_method :sma, :simple_moving_average
-
-end; end
-

data/lib/sqa/indicator/simple_moving_average_trend.rb

@@ -1,32 +0,0 @@
-# lib/sqa/indicator/simple_moving_average_trend.rb
-
-class SQA::Indicator; class << self
-
-  def simple_moving_average_trend(
-        prices,           # Array of prices
-        period,           # Integer number of entries to consider
-        delta = 1.0       # Float defines the angle range(+/-) for :neutral trend
-      )
-    sma       = simple_moving_average(prices, period)
-    last_sma  = sma.last
-    prev_sma  = sma.last(period).first
-    angle     = Math.atan((last_sma - prev_sma) / period) * (180 / Math::PI)
-
-    trend = if angle > delta
-              :up
-            elsif angle < -delta
-              :down
-            else
-              :neutral
-            end
-
-    {
-      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
-
-end; end
-