sqa 0.0.24 → 0.0.32

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
-

data/lib/sqa/indicator/stochastic_oscillator.rb

@@ -1,68 +0,0 @@
-# lib/sqa/indicator/stochastic_oscillator.rb
-
-class SQA::Indicator; class << self
-
-  # @param high_prices [Array]
-  # @param low_prices [Array]
-  # @param close_prices [Array]
-  # @param period [Integer]
-  # @param smoothing_period [Integer]
-  #
-  # @return [Array] An array of %K and %D values.
-  #
-  def stochastic_oscillator(
-        high_prices,      # Array of high prices
-        low_prices,       # Array of low prices
-        closing_prices,   # Array of closing prices
-        period,           # Integer The period for calculating the Stochastic Oscillator
-        smoothing_period  # Integer The smoothing period for %K line
-      )
-    k_values = []
-    d_values = []
-
-    closing_prices.each_cons(period) do |window|
-      highest_high  = high_prices.max(period)
-      lowest_low    = low_prices.min(period)
-      current_close = window.last
-      k_values     << (current_close - lowest_low) / (highest_high - lowest_low) * 100 # Calculate the k_value
-    end
-
-    k_values.each_cons(smoothing_period) do |k_values_subset|
-      d_values << k_values_subset.sum / smoothing_period.to_f # Calculate the d_value
-    end
-
-    [k_values, d_values]
-  end
-  alias_method :so, :stochastic_oscillator
-
-
-  def stochastic_oscillator2(
-        prices, # Array of prices
-        period  # Integer number of events to consider
-      )
-    k_values = []
-    d_values = []
-
-    prices.each_cons(period) do |window|
-      low           = window.min  # Lowest  price in the period
-      high          = window.max  # Highest price in the period
-      current_price = window.last # Current closing price
-
-      k_values << (current_price - low) * 100 / (high - low)
-    end
-
-    k_values.each_cons(period) do |window|
-      d_values << window.mean
-    end
-
-    {
-      k: k_values,
-      d: d_values
-    }
-  end
-  alias_method :so2, :stochastic_oscillator2
-
-
-
-end; end
-

data/lib/sqa/indicator/true_range.rb

@@ -1,39 +0,0 @@
-# lib/sqa/indicator/true_range.rb
-
-# See Also: average_true_range
-
-class SQA::Indicator; class << self
-
-  # @param high_prices [Array]
-  # @param low_prices [Array]
-  # @param previous_closes [Array]
-  #
-  # @return [Array]
-  #
-  def true_range(
-        high_prices,    # Array of high prices
-        low_prices,     # Array of low prices
-        closing_prices  # Array of closing prices
-      )
-    true_ranges = []
-
-    high_prices.each_with_index do |high, index|
-      if index > 0
-        low             = low_prices[index]
-        previous_close  = closing_prices[index - 1]
-
-        true_range = [
-          high  - low,
-          (high - previous_close).abs,
-          (low  - previous_close).abs
-        ].max
-
-        true_ranges << true_range
-      end
-    end
-
-    true_ranges # Array of True Range values
-  end
-  alias_method :tr, :true_range
-
-end; end

data/lib/sqa/trade.rb

@@ -1,26 +0,0 @@
-# lib/sqa/trade.rb
-
-
-class SQA::Trade
-	attr_accessor :df
-
-	def initialize(
-				filename = SQA::Config.trades_filename
-			)
-		@df = SQA::DataFrame.load(filename)
-	end
-
-	def place(signal, ticker, shares, price=nil)
-		# TODO: insert row into @df
-
-		uuid = rand(100000) # FIXME: place holder
-	end
-
-	def confirm(uuid, shares, price)
-		# TODO: update the row in the data frame
-	end
-
-	def save
-		# TODO: save the data frame
-	end
-end