sqa 0.0.24 → 0.0.31

data/examples/rails_app/app/controllers/api/v1/stocks_controller.rb

@@ -0,0 +1,227 @@
+# frozen_string_literal: true
+
+module Api
+  module V1
+    class StocksController < ActionController::API
+      before_action :set_ticker, except: []
+
+      # GET /api/v1/stock/:ticker
+      def show
+        stock = SQA::Stock.new(ticker: @ticker)
+        df = stock.df
+
+        # Get price data
+        dates = df['date'].to_a.map(&:to_s)
+        opens = df['open_price'].to_a
+        highs = df['high_price'].to_a
+        lows = df['low_price'].to_a
+        closes = df['adj_close_price'].to_a
+        volumes = df['volume'].to_a
+
+        # Calculate basic stats
+        current_price = closes.last
+        prev_price = closes[-2]
+        change = current_price - prev_price
+        change_pct = (change / prev_price) * 100
+
+        render json: {
+          ticker: @ticker,
+          current_price: current_price,
+          change: change,
+          change_percent: change_pct,
+          high_52w: closes.last(252).max,
+          low_52w: closes.last(252).min,
+          dates: dates,
+          open: opens,
+          high: highs,
+          low: lows,
+          close: closes,
+          volume: volumes
+        }
+      rescue => e
+        render json: { error: e.message }, status: :internal_server_error
+      end
+
+      # GET /api/v1/indicators/:ticker
+      def indicators
+        stock = SQA::Stock.new(ticker: @ticker)
+        df = stock.df
+
+        prices = df['adj_close_price'].to_a
+        highs = df['high_price'].to_a
+        lows = df['low_price'].to_a
+        dates = df['date'].to_a.map(&:to_s)
+
+        # Calculate indicators
+        rsi = SQAI.rsi(prices, period: 14)
+        macd_result = SQAI.macd(prices)
+        bb_result = SQAI.bbands(prices)
+        sma_20 = SQAI.sma(prices, period: 20)
+        sma_50 = SQAI.sma(prices, period: 50)
+        ema_20 = SQAI.ema(prices, period: 20)
+
+        render json: {
+          dates: dates,
+          rsi: rsi,
+          macd: macd_result[0],
+          macd_signal: macd_result[1],
+          macd_hist: macd_result[2],
+          bb_upper: bb_result[0],
+          bb_middle: bb_result[1],
+          bb_lower: bb_result[2],
+          sma_20: sma_20,
+          sma_50: sma_50,
+          ema_20: ema_20
+        }
+      rescue => e
+        render json: { error: e.message }, status: :internal_server_error
+      end
+
+      # POST /api/v1/backtest/:ticker
+      def backtest
+        stock = SQA::Stock.new(ticker: @ticker)
+        strategy_name = params[:strategy] || 'RSI'
+
+        strategy = resolve_strategy(strategy_name)
+
+        backtest_runner = SQA::Backtest.new(
+          stock: stock,
+          strategy: strategy,
+          initial_capital: 10_000.0,
+          commission: 1.0
+        )
+
+        results = backtest_runner.run
+
+        render json: {
+          total_return: results.total_return,
+          annualized_return: results.annualized_return,
+          sharpe_ratio: results.sharpe_ratio,
+          max_drawdown: results.max_drawdown,
+          win_rate: results.win_rate,
+          total_trades: results.total_trades,
+          profit_factor: results.profit_factor,
+          avg_win: results.avg_win,
+          avg_loss: results.avg_loss
+        }
+      rescue => e
+        render json: { error: e.message }, status: :internal_server_error
+      end
+
+      # GET /api/v1/analyze/:ticker
+      def analyze
+        stock = SQA::Stock.new(ticker: @ticker)
+        prices = stock.df['adj_close_price'].to_a
+
+        # Market regime
+        regime = SQA::MarketRegime.detect(stock)
+
+        # Seasonal analysis
+        seasonal = SQA::SeasonalAnalyzer.analyze(stock)
+
+        # FPOP analysis
+        fpop_data = SQA::FPOP.fpl_analysis(prices, fpop: 10)
+        recent_fpop = fpop_data.last(10).map do |f|
+          {
+            direction: f[:direction],
+            magnitude: f[:magnitude],
+            risk: f[:risk],
+            interpretation: f[:interpretation]
+          }
+        end
+
+        # Risk metrics
+        returns = prices.each_cons(2).map { |a, b| (b - a) / a }
+        var_95 = SQA::RiskManager.var(returns, confidence: 0.95)
+        sharpe = SQA::RiskManager.sharpe_ratio(returns)
+        max_dd = SQA::RiskManager.max_drawdown(prices)
+
+        render json: {
+          regime: {
+            type: regime[:type],
+            volatility: regime[:volatility],
+            strength: regime[:strength],
+            trend: regime[:trend]
+          },
+          seasonal: {
+            best_months: seasonal[:best_months],
+            worst_months: seasonal[:worst_months],
+            best_quarters: seasonal[:best_quarters],
+            has_pattern: seasonal[:has_seasonal_pattern]
+          },
+          fpop: recent_fpop,
+          risk: {
+            var_95: var_95,
+            sharpe_ratio: sharpe,
+            max_drawdown: max_dd[:max_drawdown]
+          }
+        }
+      rescue => e
+        render json: { error: e.message }, status: :internal_server_error
+      end
+
+      # POST /api/v1/compare/:ticker
+      def compare
+        stock = SQA::Stock.new(ticker: @ticker)
+
+        strategies = {
+          'RSI' => SQA::Strategy::RSI,
+          'SMA' => SQA::Strategy::SMA,
+          'EMA' => SQA::Strategy::EMA,
+          'MACD' => SQA::Strategy::MACD,
+          'BollingerBands' => SQA::Strategy::BollingerBands
+        }
+
+        results = strategies.map do |name, strategy_class|
+          backtest_runner = SQA::Backtest.new(
+            stock: stock,
+            strategy: strategy_class,
+            initial_capital: 10_000.0,
+            commission: 1.0
+          )
+
+          result = backtest_runner.run
+
+          {
+            strategy: name,
+            return: result.total_return,
+            sharpe: result.sharpe_ratio,
+            drawdown: result.max_drawdown,
+            win_rate: result.win_rate,
+            trades: result.total_trades
+          }
+        rescue => e
+          nil
+        end.compact
+
+        results.sort_by! { |r| -r[:return] }
+        render json: results
+      rescue => e
+        render json: { error: e.message }, status: :internal_server_error
+      end
+
+      private
+
+      def set_ticker
+        @ticker = params[:ticker].upcase
+      end
+
+      def resolve_strategy(name)
+        case name.upcase
+        when 'RSI' then SQA::Strategy::RSI
+        when 'SMA' then SQA::Strategy::SMA
+        when 'EMA' then SQA::Strategy::EMA
+        when 'MACD' then SQA::Strategy::MACD
+        when 'BOLLINGERBANDS' then SQA::Strategy::BollingerBands
+        when 'STOCHASTIC' then SQA::Strategy::Stochastic
+        when 'VOLUMEBREAKOUT' then SQA::Strategy::VolumeBreakout
+        when 'KBS' then SQA::Strategy::KBS
+        when 'CONSENSUS' then SQA::Strategy::Consensus
+        when 'RANDOM' then SQA::Strategy::Random
+        else
+          SQA::Strategy::RSI
+        end
+      end
+    end
+  end
+end

data/examples/rails_app/app/controllers/application_controller.rb

@@ -0,0 +1,22 @@
+# frozen_string_literal: true
+
+class ApplicationController < ActionController::Base
+  # Prevent CSRF attacks by raising an exception
+  protect_from_forgery with: :exception
+
+  helper_method :format_percent, :format_currency, :format_number
+
+  private
+
+  def format_percent(value)
+    format('%.2f%%', value)
+  end
+
+  def format_currency(value)
+    format('$%.2f', value)
+  end
+
+  def format_number(value)
+    value.to_s.reverse.gsub(/(\d{3})(?=\d)/, '\\1,').reverse
+  end
+end

data/examples/rails_app/app/controllers/backtest_controller.rb

@@ -0,0 +1,11 @@
+# frozen_string_literal: true
+
+class BacktestController < ApplicationController
+  def show
+    @ticker = params[:ticker].upcase
+    @stock = SQA::Stock.new(ticker: @ticker)
+  rescue => e
+    @error = "Failed to load data for #{@ticker}: #{e.message}"
+    render 'errors/show', status: :unprocessable_entity
+  end
+end

data/examples/rails_app/app/controllers/dashboard_controller.rb

@@ -0,0 +1,21 @@
+# frozen_string_literal: true
+
+class DashboardController < ApplicationController
+  def index
+    # Landing page
+  end
+
+  def show
+    @ticker = params[:ticker].upcase
+    load_stock_data
+  rescue => e
+    @error = "Failed to load data for #{@ticker}: #{e.message}"
+    render 'errors/show', status: :unprocessable_entity
+  end
+
+  private
+
+  def load_stock_data
+    @stock = SQA::Stock.new(ticker: @ticker)
+  end
+end

data/examples/rails_app/app/controllers/portfolio_controller.rb

@@ -0,0 +1,7 @@
+# frozen_string_literal: true
+
+class PortfolioController < ApplicationController
+  def index
+    # Portfolio optimization page
+  end
+end

data/examples/rails_app/app/views/analysis/show.html.erb

@@ -0,0 +1,209 @@
+<div class="dashboard">
+  <div class="dashboard-header">
+    <div class="ticker-info">
+      <h1><%= @ticker %> - Market Analysis</h1>
+    </div>
+    <div class="header-actions">
+      <%= link_to stock_dashboard_path(@ticker), class: "btn btn-secondary" do %>
+        <i class="fas fa-chart-line"></i> Dashboard
+      <% end %>
+      <%= link_to stock_backtest_path(@ticker), class: "btn btn-secondary" do %>
+        <i class="fas fa-history"></i> Backtest
+      <% end %>
+    </div>
+  </div>
+
+  <!-- Market Regime Analysis -->
+  <div class="chart-container">
+    <div class="chart-header">
+      <h2><i class="fas fa-chart-area"></i> Market Regime Analysis</h2>
+    </div>
+    <div id="regimeAnalysis" class="analysis-content">
+      <p class="loading"><i class="fas fa-spinner fa-spin"></i> Loading market regime data...</p>
+    </div>
+  </div>
+
+  <!-- Seasonal Pattern Analysis -->
+  <div class="chart-container">
+    <div class="chart-header">
+      <h2><i class="fas fa-calendar-alt"></i> Seasonal Pattern Analysis</h2>
+    </div>
+    <div id="seasonalAnalysis" class="analysis-content">
+      <p class="loading"><i class="fas fa-spinner fa-spin"></i> Loading seasonal data...</p>
+    </div>
+  </div>
+
+  <!-- FPOP Analysis -->
+  <div class="chart-container">
+    <div class="chart-header">
+      <h2><i class="fas fa-crystal-ball"></i> Future Period Analysis (FPOP)</h2>
+      <p class="chart-subtitle">Potential future price movements based on historical patterns</p>
+    </div>
+    <div id="fpopAnalysis" class="analysis-content">
+      <p class="loading"><i class="fas fa-spinner fa-spin"></i> Loading FPOP analysis...</p>
+    </div>
+  </div>
+
+  <!-- Risk Metrics -->
+  <div class="chart-container">
+    <div class="chart-header">
+      <h2><i class="fas fa-shield-alt"></i> Risk Metrics</h2>
+    </div>
+    <div id="riskMetrics" class="analysis-content">
+      <p class="loading"><i class="fas fa-spinner fa-spin"></i> Loading risk metrics...</p>
+    </div>
+  </div>
+</div>
+
+<%= javascript_tag do %>
+const ticker = '<%= @ticker %>';
+
+document.addEventListener('DOMContentLoaded', async function() {
+  await loadAnalysisData();
+});
+
+async function loadAnalysisData() {
+  try {
+    const response = await fetch(`/api/v1/analyze/${ticker}`);
+    const data = await response.json();
+
+    renderRegimeAnalysis(data.regime);
+    renderSeasonalAnalysis(data.seasonal);
+    renderFPOPAnalysis(data.fpop);
+    renderRiskMetrics(data.risk);
+  } catch (error) {
+    console.error('Error loading analysis data:', error);
+  }
+}
+
+function renderRegimeAnalysis(regime) {
+  const regimeType = regime.type.toUpperCase();
+  const regimeClass = regimeType === 'BULL' ? 'signal-buy' :
+                      regimeType === 'BEAR' ? 'signal-sell' : 'signal-neutral';
+
+  const html = `
+    <div class="analysis-grid">
+      <div class="analysis-card">
+        <h3>Current Market Regime</h3>
+        <div class="analysis-stat">
+          <span class="stat-label">Type</span>
+          <span class="stat-value ${regimeClass}">${regimeType}</span>
+        </div>
+        <div class="analysis-stat">
+          <span class="stat-label">Volatility</span>
+          <span class="stat-value">${regime.volatility.toUpperCase()}</span>
+        </div>
+        <div class="analysis-stat">
+          <span class="stat-label">Strength</span>
+          <span class="stat-value">${regime.strength.toFixed(2)}</span>
+        </div>
+        <div class="analysis-stat">
+          <span class="stat-label">Trend</span>
+          <span class="stat-value">${regime.trend.toFixed(2)}%</span>
+        </div>
+      </div>
+    </div>
+  `;
+
+  document.getElementById('regimeAnalysis').innerHTML = html;
+}
+
+function renderSeasonalAnalysis(seasonal) {
+  const monthNames = ['', 'Jan', 'Feb', 'Mar', 'Apr', 'May', 'Jun', 'Jul', 'Aug', 'Sep', 'Oct', 'Nov', 'Dec'];
+  const bestMonths = seasonal.best_months.map(m => monthNames[m]).join(', ');
+  const worstMonths = seasonal.worst_months.map(m => monthNames[m]).join(', ');
+
+  const html = `
+    <div class="analysis-grid">
+      <div class="analysis-card">
+        <h3>Monthly Patterns</h3>
+        <div class="analysis-stat">
+          <span class="stat-label">Best Months</span>
+          <span class="stat-value signal-buy">${bestMonths}</span>
+        </div>
+        <div class="analysis-stat">
+          <span class="stat-label">Worst Months</span>
+          <span class="stat-value signal-sell">${worstMonths}</span>
+        </div>
+      </div>
+      <div class="analysis-card">
+        <h3>Quarterly Patterns</h3>
+        <div class="analysis-stat">
+          <span class="stat-label">Best Quarters</span>
+          <span class="stat-value signal-buy">Q${seasonal.best_quarters.join(', Q')}</span>
+        </div>
+        <div class="analysis-stat">
+          <span class="stat-label">Has Seasonal Pattern</span>
+          <span class="stat-value">${seasonal.has_pattern ? 'Yes' : 'No'}</span>
+        </div>
+      </div>
+    </div>
+  `;
+
+  document.getElementById('seasonalAnalysis').innerHTML = html;
+}
+
+function renderFPOPAnalysis(fpop) {
+  if (!fpop || fpop.length === 0) {
+    document.getElementById('fpopAnalysis').innerHTML = '<p class="hint">No FPOP data available.</p>';
+    return;
+  }
+
+  let tableHTML = `
+    <table class="fpop-table">
+      <thead>
+        <tr>
+          <th>Direction</th>
+          <th>Magnitude</th>
+          <th>Risk</th>
+          <th>Interpretation</th>
+        </tr>
+      </thead>
+      <tbody>
+  `;
+
+  fpop.forEach(f => {
+    const dirClass = f.direction === 'UP' ? 'signal-buy' :
+                     f.direction === 'DOWN' ? 'signal-sell' : 'signal-neutral';
+
+    tableHTML += `
+      <tr>
+        <td><span class="${dirClass}">${f.direction}</span></td>
+        <td>${f.magnitude.toFixed(2)}%</td>
+        <td>${f.risk.toFixed(2)}%</td>
+        <td>${f.interpretation}</td>
+      </tr>
+    `;
+  });
+
+  tableHTML += '</tbody></table>';
+  document.getElementById('fpopAnalysis').innerHTML = tableHTML;
+}
+
+function renderRiskMetrics(risk) {
+  const html = `
+    <div class="analysis-grid">
+      <div class="analysis-card">
+        <h3>Value at Risk (VaR)</h3>
+        <div class="analysis-stat">
+          <span class="stat-label">95% Confidence</span>
+          <span class="stat-value signal-sell">${(risk.var_95 * 100).toFixed(2)}%</span>
+        </div>
+      </div>
+      <div class="analysis-card">
+        <h3>Performance Metrics</h3>
+        <div class="analysis-stat">
+          <span class="stat-label">Sharpe Ratio</span>
+          <span class="stat-value">${risk.sharpe_ratio.toFixed(2)}</span>
+        </div>
+        <div class="analysis-stat">
+          <span class="stat-label">Max Drawdown</span>
+          <span class="stat-value signal-sell">${(risk.max_drawdown * 100).toFixed(2)}%</span>
+        </div>
+      </div>
+    </div>
+  `;
+
+  document.getElementById('riskMetrics').innerHTML = html;
+}
+<% end %>

data/examples/rails_app/app/views/backtest/show.html.erb

@@ -0,0 +1,171 @@
+<div class="dashboard">
+  <div class="dashboard-header">
+    <div class="ticker-info">
+      <h1><%= @ticker %> - Strategy Backtesting</h1>
+    </div>
+    <div class="header-actions">
+      <%= link_to stock_dashboard_path(@ticker), class: "btn btn-secondary" do %>
+        <i class="fas fa-chart-line"></i> Dashboard
+      <% end %>
+      <%= link_to stock_analysis_path(@ticker), class: "btn btn-secondary" do %>
+        <i class="fas fa-analytics"></i> Analysis
+      <% end %>
+    </div>
+  </div>
+
+  <!-- Strategy Selection -->
+  <div class="chart-container">
+    <div class="chart-header">
+      <h2><i class="fas fa-cogs"></i> Select Strategy</h2>
+    </div>
+    <div class="strategy-selector">
+      <div class="strategy-grid">
+        <div class="strategy-option" onclick="selectStrategy('RSI')">
+          <div class="strategy-icon"><i class="fas fa-wave-square"></i></div>
+          <h3>RSI</h3>
+          <p>Relative Strength Index</p>
+        </div>
+        <div class="strategy-option" onclick="selectStrategy('MACD')">
+          <div class="strategy-icon"><i class="fas fa-signal"></i></div>
+          <h3>MACD</h3>
+          <p>Moving Average Convergence Divergence</p>
+        </div>
+        <div class="strategy-option" onclick="selectStrategy('SMA')">
+          <div class="strategy-icon"><i class="fas fa-chart-line"></i></div>
+          <h3>SMA</h3>
+          <p>Simple Moving Average</p>
+        </div>
+        <div class="strategy-option" onclick="selectStrategy('EMA')">
+          <div class="strategy-icon"><i class="fas fa-chart-area"></i></div>
+          <h3>EMA</h3>
+          <p>Exponential Moving Average</p>
+        </div>
+        <div class="strategy-option" onclick="selectStrategy('BollingerBands')">
+          <div class="strategy-icon"><i class="fas fa-chart-candlestick"></i></div>
+          <h3>Bollinger Bands</h3>
+          <p>Volatility-based bands</p>
+        </div>
+        <div class="strategy-option" onclick="selectStrategy('KBS')">
+          <div class="strategy-icon"><i class="fas fa-brain"></i></div>
+          <h3>KBS</h3>
+          <p>Knowledge-Based Strategy</p>
+        </div>
+      </div>
+    </div>
+  </div>
+
+  <!-- Backtest Results -->
+  <div class="chart-container">
+    <div class="chart-header">
+      <h2><i class="fas fa-chart-bar"></i> Backtest Results</h2>
+    </div>
+    <div id="backtestResults" class="backtest-results">
+      <p class="hint">Select a strategy above to run backtest</p>
+    </div>
+  </div>
+
+  <!-- Strategy Comparison -->
+  <div class="chart-container">
+    <div class="chart-header">
+      <h2><i class="fas fa-trophy"></i> Compare All Strategies</h2>
+      <button onclick="compareStrategies()" class="btn btn-primary">
+        <i class="fas fa-play"></i> Run Comparison
+      </button>
+    </div>
+    <div id="comparisonResults" class="comparison-results">
+      <p class="hint">Click "Run Comparison" to backtest all strategies</p>
+    </div>
+  </div>
+</div>
+
+<%= javascript_tag do %>
+const ticker = '<%= @ticker %>';
+
+async function selectStrategy(strategy) {
+  event.currentTarget.style.borderColor = 'var(--primary-color)';
+  await runBacktest(strategy);
+}
+
+async function runBacktest(strategy) {
+  const resultsDiv = document.getElementById('backtestResults');
+  resultsDiv.innerHTML = '<p class="loading"><i class="fas fa-spinner fa-spin"></i> Running backtest...</p>';
+
+  try {
+    const response = await fetch(`/api/v1/backtest/${ticker}`, {
+      method: 'POST',
+      headers: {
+        'Content-Type': 'application/json',
+        'X-CSRF-Token': document.querySelector('[name="csrf-token"]').content
+      },
+      body: JSON.stringify({ strategy: strategy })
+    });
+
+    const results = await response.json();
+
+    const html = `
+      <h3 style="margin-bottom: 1.5rem">${strategy} Strategy Results</h3>
+      <div class="results-metrics">
+        <div class="result-metric">
+          <div class="result-metric-label">Total Return</div>
+          <div class="result-metric-value ${results.total_return >= 0 ? 'positive' : 'negative'}">
+            ${results.total_return.toFixed(2)}%
+          </div>
+        </div>
+        <div class="result-metric">
+          <div class="result-metric-label">Sharpe Ratio</div>
+          <div class="result-metric-value">${results.sharpe_ratio.toFixed(2)}</div>
+        </div>
+        <div class="result-metric">
+          <div class="result-metric-label">Max Drawdown</div>
+          <div class="result-metric-value negative">${results.max_drawdown.toFixed(2)}%</div>
+        </div>
+        <div class="result-metric">
+          <div class="result-metric-label">Win Rate</div>
+          <div class="result-metric-value">${results.win_rate.toFixed(2)}%</div>
+        </div>
+      </div>
+    `;
+
+    resultsDiv.innerHTML = html;
+  } catch (error) {
+    console.error('Error running backtest:', error);
+    resultsDiv.innerHTML = '<p class="error">Failed to run backtest.</p>';
+  }
+}
+
+async function compareStrategies() {
+  const resultsDiv = document.getElementById('comparisonResults');
+  resultsDiv.innerHTML = '<p class="loading"><i class="fas fa-spinner fa-spin"></i> Comparing strategies...</p>';
+
+  try {
+    const response = await fetch(`/api/v1/compare/${ticker}`, {
+      method: 'POST',
+      headers: {
+        'X-CSRF-Token': document.querySelector('[name="csrf-token"]').content
+      }
+    });
+    const results = await response.json();
+
+    let html = '<table class="results-table"><thead><tr>';
+    html += '<th>Strategy</th><th>Return</th><th>Sharpe</th><th>Drawdown</th><th>Win Rate</th>';
+    html += '</tr></thead><tbody>';
+
+    results.forEach((result, i) => {
+      const rank = i === 0 ? '<i class="fas fa-trophy" style="color: #FFD700;"></i> ' : '';
+      html += `<tr>
+        <td>${rank}${result.strategy}</td>
+        <td class="${result.return >= 0 ? 'positive' : 'negative'}">${result.return.toFixed(2)}%</td>
+        <td>${result.sharpe.toFixed(2)}</td>
+        <td>${result.drawdown.toFixed(2)}%</td>
+        <td>${result.win_rate.toFixed(2)}%</td>
+      </tr>`;
+    });
+
+    html += '</tbody></table>';
+    resultsDiv.innerHTML = html;
+  } catch (error) {
+    console.error('Error comparing strategies:', error);
+    resultsDiv.innerHTML = '<p class="error">Failed to compare strategies.</p>';
+  }
+}
+<% end %>