sqa 0.0.24 → 0.0.31

data/examples/sinatra_app/views/portfolio.erb

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+<div class="dashboard">
+  <div class="dashboard-header">
+    <div class="ticker-info">
+      <h1><i class="fas fa-briefcase"></i> Portfolio Optimization</h1>
+      <p style="color: var(--text-secondary); margin-top: 0.5rem;">
+        Optimize allocation across multiple stocks for maximum risk-adjusted returns
+      </p>
+    </div>
+  </div>
+
+  <div class="chart-container">
+    <div class="chart-header">
+      <h2><i class="fas fa-layer-group"></i> Coming Soon</h2>
+    </div>
+    <div style="padding: 3rem 2rem; text-align: center;">
+      <div style="font-size: 5rem; color: var(--primary-color); margin-bottom: 2rem;">
+        <i class="fas fa-tools"></i>
+      </div>
+      <h3 style="font-size: 2rem; margin-bottom: 1rem; color: var(--text-primary);">
+        Portfolio Optimization Feature
+      </h3>
+      <p style="font-size: 1.1rem; color: var(--text-secondary); max-width: 600px; margin: 0 auto 2rem; line-height: 1.8;">
+        This feature will allow you to optimize portfolio allocation across multiple stocks
+        using various methods including Maximum Sharpe ratio, Minimum Variance, and Risk Parity.
+      </p>
+      <div style="background: var(--light-bg); padding: 2rem; border-radius: 12px; max-width: 800px; margin: 0 auto;">
+        <h4 style="margin-bottom: 1rem; color: var(--text-primary);">Planned Features:</h4>
+        <ul style="text-align: left; max-width: 500px; margin: 0 auto; line-height: 2;">
+          <li><i class="fas fa-check-circle" style="color: var(--success-color);"></i> Maximum Sharpe Ratio Optimization</li>
+          <li><i class="fas fa-check-circle" style="color: var(--success-color);"></i> Minimum Variance Portfolio</li>
+          <li><i class="fas fa-check-circle" style="color: var(--success-color);"></i> Risk Parity Allocation</li>
+          <li><i class="fas fa-check-circle" style="color: var(--success-color);"></i> Efficient Frontier Visualization</li>
+          <li><i class="fas fa-check-circle" style="color: var(--success-color);"></i> Multi-stock Correlation Analysis</li>
+        </ul>
+      </div>
+      <div style="margin-top: 2rem;">
+        <a href="/" class="btn btn-primary">
+          <i class="fas fa-home"></i> Back to Home
+        </a>
+      </div>
+    </div>
+  </div>
+</div>

data/examples/strategy_generator_example.rb

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+#!/usr/bin/env ruby
+# frozen_string_literal: true
+
+# Example: Strategy Generator - Reverse Engineering Profitable Trades
+#
+# This example demonstrates how to use SQA::StrategyGenerator to:
+# 1. Detect inflection points (turning points) in price history
+# 2. Identify which inflection points preceded profitable moves
+# 3. Discover which indicators were active at those points
+# 4. Generate trading strategies from discovered patterns
+# 5. Backtest the generated strategies
+#
+# FPOP (Future Period of Performance): The number of days to look ahead
+# from an inflection point to measure if price change exceeds threshold.
+
+require 'sqa'
+
+SQA.init
+
+puts "=" * 70
+puts "Strategy Generator: Mining Profitable Patterns"
+puts "=" * 70
+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: Basic Pattern Discovery with FPOP
+puts "\n" + "=" * 70
+puts "Example 1: Discovering Patterns with FPOP (Future Period of Performance)"
+puts "=" * 70
+puts
+
+generator = SQA::StrategyGenerator.new(
+  stock: stock,
+  min_gain_percent: 10.0,      # Find inflection points that lead to ≥10% gain
+  fpop: 10,                    # Look 10 days ahead from inflection point
+  inflection_window: 3         # 3-day window for detecting local min/max
+)
+
+# Discover patterns
+patterns = generator.discover_patterns(min_pattern_frequency: 3)
+
+# Print discovered patterns
+generator.print_patterns(max_patterns: 10)
+
+# Example 2: Generate Strategies from Patterns
+puts "\n" + "=" * 70
+puts "Example 2: Generating Strategies from Top Patterns"
+puts "=" * 70
+puts
+
+if patterns.any?
+  # Generate top 3 strategies
+  strategies = generator.generate_strategies(top_n: 3, strategy_type: :class)
+
+  puts "Generated #{strategies.size} strategies from top patterns"
+  puts
+
+  # Test each generated strategy
+  strategies.each_with_index do |strategy, i|
+    puts "-" * 70
+    puts "Testing Generated Strategy ##{i + 1}"
+    puts "Pattern: #{strategy.pattern}"
+    puts
+
+    backtest = SQA::Backtest.new(
+      stock: stock,
+      strategy: 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
+  end
+end
+
+# Example 3: Different Gain Thresholds
+puts "\n" + "=" * 70
+puts "Example 3: Comparing Different Gain Thresholds"
+puts "=" * 70
+puts
+
+gain_thresholds = [5.0, 10.0, 15.0, 20.0]
+
+gain_thresholds.each do |threshold|
+  puts "-" * 70
+  puts "Target Gain: #{threshold}%"
+  puts
+
+  gen = SQA::StrategyGenerator.new(
+    stock: stock,
+    min_gain_percent: threshold,
+    fpop: 10
+  )
+
+  patterns = gen.discover_patterns(min_pattern_frequency: 2)
+
+  if patterns.any?
+    top_pattern = patterns.first
+    puts "Top Pattern Found:"
+    puts "  Frequency: #{top_pattern.frequency} occurrences"
+    puts "  Average Gain: #{top_pattern.avg_gain.round(2)}%"
+    puts "  Average Holding: #{top_pattern.avg_holding_days.round(1)} days"
+    puts "  Conditions: #{top_pattern.conditions}"
+  else
+    puts "No patterns found for #{threshold}% gain threshold"
+  end
+  puts
+end
+
+# Example 4: Different FPOP Periods
+puts "\n" + "=" * 70
+puts "Example 4: Short-term vs Long-term FPOP"
+puts "=" * 70
+puts
+
+fpop_configs = [
+  { name: "Short-term", fpop: 5 },
+  { name: "Medium-term", fpop: 15 },
+  { name: "Long-term", fpop: 30 }
+]
+
+fpop_configs.each do |config|
+  puts "-" * 70
+  puts "#{config[:name]} FPOP (#{config[:fpop]} days)"
+  puts
+
+  gen = SQA::StrategyGenerator.new(
+    stock: stock,
+    min_gain_percent: 10.0,
+    fpop: config[:fpop]
+  )
+
+  patterns = gen.discover_patterns(min_pattern_frequency: 2)
+
+  if patterns.any?
+    puts "Discovered #{patterns.size} patterns"
+    puts "Top Pattern:"
+    top = patterns.first
+    puts "  Frequency: #{top.frequency}"
+    puts "  Avg Gain: #{top.avg_gain.round(2)}%"
+    puts "  Avg Holding: #{top.avg_holding_days.round(1)} days"
+    puts "  Conditions: #{top.conditions.keys.join(', ')}"
+  else
+    puts "No patterns found"
+  end
+  puts
+end
+
+# Example 5: Export Patterns to CSV
+puts "\n" + "=" * 70
+puts "Example 5: Exporting Patterns"
+puts "=" * 70
+puts
+
+generator = SQA::StrategyGenerator.new(
+  stock: stock,
+  min_gain_percent: 10.0,
+  fpop: 10
+)
+
+patterns = generator.discover_patterns(min_pattern_frequency: 2)
+
+if patterns.any?
+  output_file = "/tmp/sqa_discovered_patterns.csv"
+  generator.export_patterns(output_file)
+  puts "Patterns exported successfully!"
+  puts "View with: cat #{output_file}"
+  puts
+end
+
+# Example 6: Generate and Compare Multiple Strategies
+puts "\n" + "=" * 70
+puts "Example 6: Strategy Performance Comparison"
+puts "=" * 70
+puts
+
+generator = SQA::StrategyGenerator.new(
+  stock: stock,
+  min_gain_percent: 10.0,
+  fpop: 10
+)
+
+patterns = generator.discover_patterns(min_pattern_frequency: 3)
+
+if patterns.size >= 3
+  puts "Comparing Top 3 Discovered Strategies vs Traditional Strategies"
+  puts "-" * 70
+  puts
+
+  comparison = []
+
+  # Test discovered strategies
+  [0, 1, 2].each do |i|
+    strategy = generator.generate_strategy(pattern_index: i, strategy_type: :class)
+
+    backtest = SQA::Backtest.new(
+      stock: stock,
+      strategy: strategy,
+      initial_capital: 10_000.0,
+      commission: 1.0
+    )
+
+    results = backtest.run
+
+    comparison << {
+      name: "Discovered ##{i + 1}",
+      return: results.total_return,
+      sharpe: results.sharpe_ratio,
+      drawdown: results.max_drawdown,
+      win_rate: results.win_rate,
+      trades: results.total_trades
+    }
+  end
+
+  # Test traditional strategies for comparison
+  traditional_strategies = [
+    { name: "RSI", class: SQA::Strategy::RSI },
+    { name: "MACD", class: SQA::Strategy::MACD },
+    { name: "Bollinger Bands", class: SQA::Strategy::BollingerBands }
+  ]
+
+  traditional_strategies.each do |strat|
+    backtest = SQA::Backtest.new(
+      stock: stock,
+      strategy: strat[:class],
+      initial_capital: 10_000.0,
+      commission: 1.0
+    )
+
+    results = backtest.run
+
+    comparison << {
+      name: strat[:name],
+      return: results.total_return,
+      sharpe: results.sharpe_ratio,
+      drawdown: results.max_drawdown,
+      win_rate: results.win_rate,
+      trades: results.total_trades
+    }
+  end
+
+  # Print comparison table
+  puts "Strategy Performance Comparison:"
+  puts "-" * 70
+  printf("%-20s %10s %10s %12s %10s %8s\n",
+         "Strategy", "Return %", "Sharpe", "Drawdown %", "Win Rate", "Trades")
+  puts "-" * 70
+
+  comparison.sort_by { |s| -s[:return] }.each do |s|
+    printf("%-20s %10.2f %10.2f %12.2f %9.1f%% %8d\n",
+           s[:name],
+           s[:return],
+           s[:sharpe],
+           s[:drawdown],
+           s[:win_rate],
+           s[:trades])
+  end
+  puts "-" * 70
+  puts
+
+  # Find best performer
+  best = comparison.max_by { |s| s[:return] }
+  puts "🏆 Best Performer: #{best[:name]}"
+  puts "   Total Return: #{best[:return].round(2)}%"
+  puts "   Sharpe Ratio: #{best[:sharpe].round(2)}"
+  puts
+end
+
+# Example 7: Aggressive Pattern Mining
+puts "\n" + "=" * 70
+puts "Example 7: Aggressive Pattern Discovery (High Gains)"
+puts "=" * 70
+puts
+
+aggressive_gen = SQA::StrategyGenerator.new(
+  stock: stock,
+  min_gain_percent: 20.0,  # Very high gain target
+  fpop: 15
+)
+
+aggressive_patterns = aggressive_gen.discover_patterns(min_pattern_frequency: 1)
+
+if aggressive_patterns.any?
+  puts "Aggressive patterns found for 20%+ gains:"
+  aggressive_gen.print_patterns(max_patterns: 5)
+
+  # Test the most aggressive pattern
+  puts "Testing Most Aggressive Pattern:"
+  puts "-" * 70
+
+  aggressive_strategy = aggressive_gen.generate_strategy(
+    pattern_index: 0,
+    strategy_type: :class
+  )
+
+  backtest = SQA::Backtest.new(
+    stock: stock,
+    strategy: aggressive_strategy,
+    initial_capital: 10_000.0,
+    commission: 1.0
+  )
+
+  results = backtest.run
+
+  puts "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 "⚠️  Note: High gain patterns often have lower frequency and higher risk"
+else
+  puts "No patterns found for 20%+ gains (criteria too strict)"
+end
+puts
+
+puts "=" * 70
+puts "Strategy Generation Complete!"
+puts "=" * 70
+puts
+puts "Key Takeaways:"
+puts "1. Pattern discovery identifies what indicators were active at profitable points"
+puts "2. Higher gain thresholds yield fewer but potentially more profitable patterns"
+puts "3. Different holding periods reveal different trading styles"
+puts "4. Generated strategies can outperform traditional single-indicator strategies"
+puts "5. Always backtest discovered patterns before live trading"
+puts
+puts "Next Steps:"
+puts "- Combine with Genetic Programming to optimize pattern parameters"
+puts "- Use KBS to create rule-based strategies from complex patterns"
+puts "- Test on multiple stocks to find universal patterns"
+puts "- Walk-forward validate patterns on out-of-sample data"

data/hsa_portfolio.csv

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+# hsa_portfolio.csv
+# health savings account hationalhr.com via oddball
+# Fund %
+#
+# Ticker, Name, Shares (actually %)
+#
+HCB1B,HCB INTEREST BEARING ACCOUNT,10
+VFIAX,VANGUARD 500 INDEX ADMIRAL,10
+VSCIX,VANGUARD SMALL CAP INDEX INST,10
+VSGIX,VANGUARD SMALL CP GROWTH IDX I,30
+VIPIX,VANGUARD INFLATION PROTECTED I,40