sqa 0.0.24 → 0.0.31

data/examples/fpop_analysis_example.rb

@@ -0,0 +1,191 @@
+#!/usr/bin/env ruby
+# frozen_string_literal: true
+
+# Example: Using FPL (Future Period Loss/Profit) Analysis
+#
+# This example demonstrates how to use the FPOP utilities to analyze
+# potential future price movements and filter trading opportunities by
+# risk and directional bias.
+
+require 'sqa'
+
+SQA.init
+
+puts "=" * 70
+puts "FPL (Future Period Loss/Profit) Analysis Example"
+puts "=" * 70
+puts
+
+# Example 1: Basic FPL Calculation
+puts "\n" + "=" * 70
+puts "Example 1: Basic FPL Calculation"
+puts "=" * 70
+puts
+
+# Simple price series
+prices = [100, 102, 98, 105, 110, 115, 120, 118, 125, 130]
+
+puts "Price series: #{prices.inspect}"
+puts
+
+# Calculate FPL with 3-day future period
+fpl_data = SQA::FPOP.fpl(prices, fpop: 3)
+
+puts "FPL Analysis (fpop=3):"
+puts "-" * 70
+fpl_data.each_with_index do |(min_delta, max_delta), idx|
+  puts "Index #{idx} (Price: #{prices[idx]}): " \
+       "Min: #{min_delta.round(2)}%, Max: #{max_delta.round(2)}%"
+end
+puts
+
+# Example 2: Detailed FPL Analysis with Risk Metrics
+puts "\n" + "=" * 70
+puts "Example 2: Detailed FPL Analysis with Risk Metrics"
+puts "=" * 70
+puts
+
+analysis = SQA::FPOP.fpl_analysis(prices, fpop: 3)
+
+puts "Detailed Analysis:"
+puts "-" * 70
+analysis.each_with_index do |result, idx|
+  puts "Index #{idx}: #{result[:interpretation]}"
+  puts "  Direction: #{result[:direction]}"
+  puts "  Magnitude: #{result[:magnitude].round(2)}%"
+  puts "  Risk (Volatility): #{result[:risk].round(2)}%"
+  puts "  Range: #{result[:min_delta].round(2)}% to #{result[:max_delta].round(2)}%"
+  puts
+end
+
+# Example 3: Filtering by Quality
+puts "\n" + "=" * 70
+puts "Example 3: Filtering High-Quality Opportunities"
+puts "=" * 70
+puts
+
+# Find low-risk, high-magnitude, bullish opportunities
+quality_indices = SQA::FPOP.filter_by_quality(
+  analysis,
+  min_magnitude: 5.0,      # At least 5% average movement
+  max_risk: 10.0,          # At most 10% volatility
+  directions: [:UP]        # Only bullish movements
+)
+
+puts "High-quality bullish opportunities (magnitude ≥ 5%, risk ≤ 10%):"
+puts "-" * 70
+quality_indices.each do |idx|
+  result = analysis[idx]
+  puts "Index #{idx} (Price: #{prices[idx]}): #{result[:interpretation]}"
+end
+puts
+
+# Example 4: Real Stock Data Analysis
+puts "\n" + "=" * 70
+puts "Example 4: Real Stock Data FPL Analysis"
+puts "=" * 70
+puts
+
+if ENV['RUN_INTEGRATION_TESTS']
+  # Load real stock data
+  puts "Loading stock data for AAPL..."
+  stock = SQA::Stock.new(ticker: 'AAPL')
+  puts "Loaded #{stock.df.size} days of price history"
+  puts
+
+  # Use DataFrame convenience method
+  stock_fpl_analysis = stock.df.fpl_analysis(fpop: 14)
+
+  # Analyze recent data (last 10 points)
+  puts "FPL Analysis for last 10 trading days (fpop=14):"
+  puts "-" * 70
+  stock_fpl_analysis.last(10).each_with_index do |result, idx|
+    actual_idx = stock_fpl_analysis.size - 10 + idx
+    puts "Day #{actual_idx}: #{result[:interpretation]}"
+  end
+  puts
+
+  # Find all high-quality opportunities in entire history
+  quality_indices = SQA::FPOP.filter_by_quality(
+    stock_fpl_analysis,
+    min_magnitude: 8.0,
+    max_risk: 15.0,
+    directions: [:UP, :DOWN]
+  )
+
+  puts "Found #{quality_indices.size} high-quality opportunities"
+  puts "  (magnitude ≥ 8%, risk ≤ 15%, clear direction)"
+  puts
+
+  # Distribution of directions
+  directions_dist = stock_fpl_analysis.map { |r| r[:direction] }.tally
+  puts "Direction distribution across all #{stock_fpl_analysis.size} points:"
+  directions_dist.each do |direction, count|
+    pct = (count.to_f / stock_fpl_analysis.size * 100).round(2)
+    puts "  #{direction}: #{count} (#{pct}%)"
+  end
+  puts
+
+  # Risk-reward analysis
+  ratios = SQA::FPOP.risk_reward_ratios(stock_fpl_analysis)
+  avg_ratio = ratios.sum / ratios.size
+  puts "Average risk-reward ratio: #{avg_ratio.round(3)}"
+else
+  puts "Skipping real stock analysis (set RUN_INTEGRATION_TESTS=1 to enable)"
+end
+
+# Example 5: Using FPL with Strategy Generator
+puts "\n" + "=" * 70
+puts "Example 5: FPL-Enhanced Strategy Generator"
+puts "=" * 70
+puts
+
+if ENV['RUN_INTEGRATION_TESTS']
+  puts "Generating strategies with FPL quality filtering..."
+  puts
+
+  # Create generator with FPL quality filters
+  generator = SQA::StrategyGenerator.new(
+    stock: stock,
+    min_gain_percent: 10.0,
+    fpop: 10,
+    max_fpl_risk: 20.0,           # NEW: Filter high-volatility points
+    required_fpl_directions: [:UP] # NEW: Only consider bullish patterns
+  )
+
+  patterns = generator.discover_patterns(min_pattern_frequency: 2)
+
+  if patterns.any?
+    puts "Discovered #{patterns.size} patterns from FPL-filtered opportunities"
+    puts
+
+    # Show quality metrics of discovered patterns
+    profitable_points = generator.profitable_points
+    if profitable_points.first.fpl_direction
+      avg_risk = profitable_points.map(&:fpl_risk).compact.sum / profitable_points.size
+      avg_magnitude = profitable_points.map(&:fpl_magnitude).compact.sum / profitable_points.size
+
+      puts "FPL Quality Metrics of Discovered Patterns:"
+      puts "  Average risk: #{avg_risk.round(2)}%"
+      puts "  Average magnitude: #{avg_magnitude.round(2)}%"
+      puts "  All patterns are #{generator.required_fpl_directions.inspect} direction"
+    end
+  else
+    puts "No patterns found with current FPL filters"
+    puts "Try relaxing max_fpl_risk or removing direction requirements"
+  end
+else
+  puts "Skipping FPL-enhanced strategy generation (set RUN_INTEGRATION_TESTS=1)"
+end
+
+puts
+puts "=" * 70
+puts "FPL Analysis Complete!"
+puts "=" * 70
+puts
+puts "Key Takeaways:"
+puts "- FPL shows potential upside (max_delta) and downside (min_delta)"
+puts "- Risk metric measures volatility during the future period"
+puts "- Direction classification helps identify clear trends vs uncertain markets"
+puts "- Use quality filters to find high-probability, low-risk opportunities"
+puts "- Integrate with Strategy Generator for risk-aware pattern discovery"

data/examples/genetic_programming_example.rb

@@ -0,0 +1,148 @@
+#!/usr/bin/env ruby
+# frozen_string_literal: true
+
+# Example: Using Genetic Programming to Evolve Trading Strategy Parameters
+#
+# This example shows how to use SQA::GeneticProgram to automatically
+# find optimal parameters for a trading strategy through evolution.
+
+require 'sqa'
+
+SQA.init
+
+puts "=" * 60
+puts "Genetic Programming Strategy Evolution"
+puts "=" * 60
+puts
+
+# Load stock data
+puts "Loading stock data for AAPL..."
+stock = SQA::Stock.new(ticker: 'AAPL')
+puts "Loaded #{stock.df.data.height} days of price history"
+puts
+
+# Define a simple RSI-based strategy factory
+def create_rsi_strategy(period:, buy_threshold:, sell_threshold:)
+  Class.new do
+    define_singleton_method(:trade) do |vector|
+      return :hold unless vector.respond_to?(:prices) && vector.prices&.size >= period
+
+      # Calculate RSI with evolved period
+      prices = vector.prices
+      rsi = SQAI.rsi(prices, period: period)
+      current_rsi = rsi.last
+
+      # Use evolved thresholds
+      if current_rsi < buy_threshold
+        :buy
+      elsif current_rsi > sell_threshold
+        :sell
+      else
+        :hold
+      end
+    rescue => e
+      puts "  Strategy error: #{e.message}"
+      :hold
+    end
+  end
+end
+
+# Create genetic program
+gp = SQA::GeneticProgram.new(
+  stock: stock,
+  population_size: 20,     # Small population for faster example
+  generations: 10,         # Few generations for demo
+  mutation_rate: 0.15,
+  crossover_rate: 0.7
+)
+
+# Define gene constraints (parameter space to explore)
+puts "Defining gene constraints..."
+gp.define_genes(
+  period: (7..30).to_a,           # RSI period: 7-30 days
+  buy_threshold: (20..40).to_a,   # Buy when RSI below this
+  sell_threshold: (60..80).to_a   # Sell when RSI above this
+)
+puts "  RSI Period: 7-30"
+puts "  Buy Threshold: 20-40"
+puts "  Sell Threshold: 60-80"
+puts
+
+# Define fitness function (how to evaluate a strategy)
+puts "Defining fitness function (backtest total return)..."
+gp.fitness do |genes|
+  # Create strategy with these genes
+  strategy = create_rsi_strategy(
+    period: genes[:period],
+    buy_threshold: genes[:buy_threshold],
+    sell_threshold: genes[:sell_threshold]
+  )
+
+  # Backtest the strategy
+  backtest = SQA::Backtest.new(
+    stock: stock,
+    strategy: strategy,
+    initial_capital: 10_000.0,
+    commission: 1.0
+  )
+
+  results = backtest.run
+  results.total_return # Higher return = higher fitness
+rescue => e
+  puts "  Backtest failed for #{genes}: #{e.message}"
+  -100.0 # Poor fitness for failed backtests
+end
+puts
+
+# Run evolution
+puts "Starting evolution..."
+puts "-" * 60
+best = gp.evolve
+puts "-" * 60
+puts
+
+# Display results
+puts "Evolution Results:"
+puts "=" * 60
+puts "Best Parameters Found:"
+puts "  RSI Period: #{best.genes[:period]}"
+puts "  Buy Threshold: #{best.genes[:buy_threshold]}"
+puts "  Sell Threshold: #{best.genes[:sell_threshold]}"
+puts "  Fitness (Total Return): #{best.fitness.round(2)}%"
+puts
+
+# Show evolution history
+puts "Evolution History:"
+puts "-" * 60
+gp.history.each do |gen|
+  puts "Generation #{gen[:generation]}: Best=#{gen[:best_fitness].round(2)}%, Avg=#{gen[:avg_fitness].round(2)}%"
+end
+puts
+
+# Test the best strategy
+puts "Testing Best Strategy:"
+puts "-" * 60
+best_strategy = create_rsi_strategy(
+  period: best.genes[:period],
+  buy_threshold: best.genes[:buy_threshold],
+  sell_threshold: best.genes[:sell_threshold]
+)
+
+backtest = SQA::Backtest.new(
+  stock: stock,
+  strategy: best_strategy,
+  initial_capital: 10_000.0,
+  commission: 1.0
+)
+
+results = backtest.run
+
+puts "Backtest Results:"
+puts "  Total Return: #{results.total_return.round(2)}%"
+puts "  Sharpe Ratio: #{results.sharpe_ratio.round(2)}"
+puts "  Max Drawdown: #{results.max_drawdown.round(2)}%"
+puts "  Win Rate: #{results.win_rate.round(2)}%"
+puts "  Total Trades: #{results.total_trades}"
+puts
+
+puts "Example complete!"

data/examples/kbs_strategy_example.rb

@@ -0,0 +1,208 @@
+#!/usr/bin/env ruby
+# frozen_string_literal: true
+
+# Example: Using Knowledge-Based Strategy with RETE Forward Chaining
+#
+# This example shows how to use SQA::Strategy::KBS to create
+# sophisticated rule-based trading systems.
+
+require 'sqa'
+
+SQA.init
+
+puts "=" * 60
+puts "Knowledge-Based Strategy (RETE) Example"
+puts "=" * 60
+puts
+
+# Load stock data
+puts "Loading stock data for AAPL..."
+stock = SQA::Stock.new(ticker: 'AAPL')
+puts "Loaded #{stock.df.data.height} days of price history"
+puts
+
+# Example 1: Using Default Rules
+puts "\n" + "=" * 60
+puts "Example 1: KBS with Default Rules"
+puts "=" * 60
+puts
+
+strategy = SQA::Strategy::KBS.new(load_defaults: true)
+
+puts "Loaded rules:"
+strategy.print_rules
+puts
+
+# Prepare data vector
+prices = stock.df["adj_close_price"].to_a
+volumes = stock.df["volume"].to_a
+highs = stock.df["high_price"].to_a
+lows = stock.df["low_price"].to_a
+
+require 'ostruct'
+vector = OpenStruct.new(
+  prices: prices,
+  volumes: volumes,
+  highs: highs,
+  lows: lows,
+  rsi: SQAI.rsi(prices, period: 14),
+  macd: SQAI.macd(prices),
+  stoch_k: SQAI.stoch(highs, lows, prices).first,
+  stoch_d: SQAI.stoch(highs, lows, prices).last,
+  bb_upper: SQAI.bbands(prices).first,
+  bb_middle: SQAI.bbands(prices)[1],
+  bb_lower: SQAI.bbands(prices)[2]
+)
+
+signal = strategy.execute(vector)
+puts "Generated Signal: #{signal.upcase}"
+puts
+
+# Show what facts were asserted
+puts "Market Facts Asserted:"
+strategy.print_facts
+puts
+
+# Example 2: Custom Rules
+puts "\n" + "=" * 60
+puts "Example 2: KBS with Custom Rules"
+puts "=" * 60
+puts
+
+custom_strategy = SQA::Strategy::KBS.new(load_defaults: false)
+
+# Add custom rule: Aggressive buy on multiple confirmations
+custom_strategy.add_rule :aggressive_buy do
+  on :rsi, { level: :oversold }
+  on :stochastic, { zone: :oversold }
+  on :bollinger, { position: :below }
+  perform do
+    kb.assert(:signal, {
+      action: :buy,
+      confidence: :high,
+      reason: :triple_confirmation
+    })
+  end
+end
+
+# Add custom rule: Conservative sell
+custom_strategy.add_rule :conservative_sell do
+  on :rsi, { level: :overbought }
+  on :trend, { short_term: :down }
+  perform do
+    kb.assert(:signal, {
+      action: :sell,
+      confidence: :medium,
+      reason: :overbought_downtrend
+    })
+  end
+end
+
+# Add custom rule: Volume-confirmed breakout
+custom_strategy.add_rule :volume_breakout do
+  on :trend, { short_term: :up, strength: :strong }
+  on :volume, { level: :high }
+  perform do
+    kb.assert(:signal, {
+      action: :buy,
+      confidence: :high,
+      reason: :volume_breakout
+    })
+  end
+end
+
+puts "Custom rules defined:"
+custom_strategy.print_rules
+puts
+
+signal = custom_strategy.execute(vector)
+puts "Generated Signal: #{signal.upcase}"
+puts
+
+# Example 3: Backtesting KBS Strategy
+puts "\n" + "=" * 60
+puts "Example 3: Backtesting KBS Strategy"
+puts "=" * 60
+puts
+
+backtest = SQA::Backtest.new(
+  stock: stock,
+  strategy: SQA::Strategy::KBS,
+  initial_capital: 10_000.0,
+  commission: 1.0
+)
+
+results = backtest.run
+
+puts "Backtest Results:"
+puts "-" * 60
+puts "Total Return: #{results.total_return.round(2)}%"
+puts "Annualized Return: #{results.annualized_return.round(2)}%"
+puts "Sharpe Ratio: #{results.sharpe_ratio.round(2)}"
+puts "Max Drawdown: #{results.max_drawdown.round(2)}%"
+puts "Total Trades: #{results.total_trades}"
+puts "Win Rate: #{results.win_rate.round(2)}%"
+puts "Profit Factor: #{results.profit_factor.round(2)}"
+puts
+
+# Example 4: Interactive Rule Building
+puts "\n" + "=" * 60
+puts "Example 4: Interactive Rule Builder"
+puts "=" * 60
+puts
+
+interactive_strategy = SQA::Strategy::KBS.new(load_defaults: false)
+
+# Build complex multi-condition rules
+interactive_strategy.add_rule :golden_opportunity do
+  desc "Perfect storm: Multiple bullish indicators align"
+
+  # Multiple conditions
+  on :rsi, { level: :oversold }
+  on :macd, { crossover: :bullish }
+  on :stochastic, { zone: :oversold, crossover: :bullish }
+  on :trend, { short_term: :up, strength: :strong }
+  on :volume, { level: :high }
+
+  # Negation: Don't buy if already overbought elsewhere
+  without :rsi, { level: :overbought }
+
+  # Action
+  perform do
+    kb.assert(:signal, {
+      action: :buy,
+      confidence: :high,
+      reason: :golden_opportunity,
+      strength: 10
+    })
+    puts "  🎯 Golden opportunity detected!"
+  end
+end
+
+interactive_strategy.add_rule :disaster_warning do
+  desc "Red flags: Multiple bearish indicators"
+
+  on :rsi, { level: :overbought }
+  on :macd, { crossover: :bearish }
+  on :trend, { short_term: :down }
+
+  perform do
+    kb.assert(:signal, {
+      action: :sell,
+      confidence: :high,
+      reason: :disaster_warning,
+      urgency: :high
+    })
+    puts "  ⚠️  Disaster warning detected!"
+  end
+end
+
+puts "Interactive rules defined:"
+interactive_strategy.print_rules
+puts
+
+signal = interactive_strategy.execute(vector)
+puts "Final Signal: #{signal.upcase}"
+puts
+
+puts "Example complete!"