sqa 0.0.32 → 0.0.38

data/docs/api-reference/sqa_portfolio_trade.md

@@ -0,0 +1,332 @@
+# 📦 SQA::Portfolio::Trade
+
+!!! note "Description"
+    Represents a single trade
+
+!!! abstract "Source Information"
+    **Defined in:** [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+    
+    **Inherits from:** `Struct`
+
+## 🔨 Instance Methods
+
+### `#ticker=(value)`
+
+Sets the attribute ticker
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `value` | `Object` | the value to set the attribute ticker to. |
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the newly set value
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#ticker()`
+
+Returns the value of attribute ticker
+
+
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the current value of ticker
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#action=(value)`
+
+Sets the attribute action
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `value` | `Object` | the value to set the attribute action to. |
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the newly set value
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#action()`
+
+Returns the value of attribute action
+
+
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the current value of action
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#shares=(value)`
+
+Sets the attribute shares
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `value` | `Object` | the value to set the attribute shares to. |
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the newly set value
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#shares()`
+
+Returns the value of attribute shares
+
+
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the current value of shares
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#price=(value)`
+
+Sets the attribute price
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `value` | `Object` | the value to set the attribute price to. |
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the newly set value
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#price()`
+
+Returns the value of attribute price
+
+
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the current value of price
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#date=(value)`
+
+Sets the attribute date
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `value` | `Object` | the value to set the attribute date to. |
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the newly set value
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#date()`
+
+Returns the value of attribute date
+
+
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the current value of date
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#total=(value)`
+
+Sets the attribute total
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `value` | `Object` | the value to set the attribute total to. |
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the newly set value
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#total()`
+
+Returns the value of attribute total
+
+
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the current value of total
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#commission=(value)`
+
+Sets the attribute commission
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `value` | `Object` | the value to set the attribute commission to. |
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the newly set value
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#commission()`
+
+Returns the value of attribute commission
+
+
+!!! success "Returns"
+
+    **Type:** `Object`
+
+    
+
+    the current value of commission
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:27`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L27)
+
+---
+
+### `#to_h()`
+
+
+
+
+??? info "Source Location"
+    [`lib/sqa/portfolio.rb:28`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio.rb#L28)
+
+---
+
+## 📝 Attributes
+
+### 🔄 `ticker` <small>read/write</small>
+
+Returns the value of attribute ticker
+
+### 🔄 `action` <small>read/write</small>
+
+Returns the value of attribute action
+
+### 🔄 `shares` <small>read/write</small>
+
+Returns the value of attribute shares
+
+### 🔄 `price` <small>read/write</small>
+
+Returns the value of attribute price
+
+### 🔄 `date` <small>read/write</small>
+
+Returns the value of attribute date
+
+### 🔄 `total` <small>read/write</small>
+
+Returns the value of attribute total
+
+### 🔄 `commission` <small>read/write</small>
+
+Returns the value of attribute commission
+

data/docs/api-reference/sqa_portfoliooptimizer.md

@@ -0,0 +1,248 @@
+# 📦 SQA::PortfolioOptimizer
+
+!!! note "Description"
+    PortfolioOptimizer - Multi-objective portfolio optimization
+    
+    Provides methods for:
+    - Mean-Variance Optimization (Markowitz)
+    - Multi-objective optimization (return vs risk vs drawdown)
+    - Efficient Frontier calculation
+    - Risk Parity allocation
+    - Minimum Variance portfolio
+    - Maximum Sharpe portfolio
+
+!!! abstract "Source Information"
+    **Defined in:** [`lib/sqa/portfolio_optimizer.rb:25`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L25)
+    
+    **Inherits from:** `Object`
+
+## 🏭 Class Methods
+
+### `.portfolio_returns(returns_matrix, weights)`
+
+Calculate portfolio returns given weights
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `returns_matrix` | `Array<Array<Float>>` | Returns for each asset (rows = assets, cols = periods) |
+    | `weights` | `Array<Float>` | Portfolio weights (must sum to 1.0) |
+!!! success "Returns"
+
+    **Type:** `Array<Float>`
+
+    
+
+    Portfolio returns over time
+
+??? info "Source Location"
+    [`lib/sqa/portfolio_optimizer.rb:34`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L34)
+
+---
+
+### `.portfolio_variance(returns_matrix, weights)`
+
+Calculate portfolio variance
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `returns_matrix` | `Array<Array<Float>>` | Returns for each asset |
+    | `weights` | `Array<Float>` | Portfolio weights |
+!!! success "Returns"
+
+    **Type:** `Float`
+
+    
+
+    Portfolio variance
+
+??? info "Source Location"
+    [`lib/sqa/portfolio_optimizer.rb:51`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L51)
+
+---
+
+### `.maximum_sharpe(returns_matrix, risk_free_rate: = 0.02, constraints: = {})`
+
+Find Maximum Sharpe Ratio portfolio
+
+Uses numerical optimization to find weights that maximize Sharpe ratio.
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `returns_matrix` | `Array<Array<Float>>` | Returns for each asset |
+    | `risk_free_rate` | `Float` | Risk-free rate (default: 0.02) |
+    | `constraints` | `Hash` | Optimization constraints |
+!!! success "Returns"
+
+    **Type:** `Hash`
+
+    
+
+    { weights: Array, sharpe: Float, return: Float, volatility: Float }
+
+??? info "Source Location"
+    [`lib/sqa/portfolio_optimizer.rb:75`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L75)
+
+---
+
+### `.minimum_variance(returns_matrix, constraints: = {})`
+
+Find Minimum Variance portfolio
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `returns_matrix` | `Array<Array<Float>>` | Returns for each asset |
+    | `constraints` | `Hash` | Optimization constraints |
+!!! success "Returns"
+
+    **Type:** `Hash`
+
+    
+
+    { weights: Array, variance: Float, volatility: Float }
+
+??? info "Source Location"
+    [`lib/sqa/portfolio_optimizer.rb:114`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L114)
+
+---
+
+### `.risk_parity(returns_matrix)`
+
+Calculate Risk Parity portfolio
+
+Allocate weights so each asset contributes equally to portfolio risk.
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `returns_matrix` | `Array<Array<Float>>` | Returns for each asset |
+!!! success "Returns"
+
+    **Type:** `Hash`
+
+    
+
+    { weights: Array, volatility: Float }
+
+??? info "Source Location"
+    [`lib/sqa/portfolio_optimizer.rb:146`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L146)
+
+---
+
+### `.efficient_frontier(returns_matrix, num_portfolios: = 50)`
+
+Calculate Efficient Frontier
+
+Generate portfolios along the efficient frontier.
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `returns_matrix` | `Array<Array<Float>>` | Returns for each asset |
+    | `num_portfolios` | `Integer` | Number of portfolios to generate |
+!!! success "Returns"
+
+    **Type:** `Array<Hash>`
+
+    
+
+    Array of portfolio hashes
+
+??? info "Source Location"
+    [`lib/sqa/portfolio_optimizer.rb:175`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L175)
+
+---
+
+### `.multi_objective(returns_matrix, objectives: = {})`
+
+Multi-objective optimization
+
+Optimize portfolio for multiple objectives simultaneously.
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `returns_matrix` | `Array<Array<Float>>` | Returns for each asset |
+    | `objectives` | `Hash` | Objectives with weights |
+!!! success "Returns"
+
+    **Type:** `Hash`
+
+    
+
+    Optimal portfolio
+!!! example "Usage Examples"
+
+    ```ruby
+    result = SQA::PortfolioOptimizer.multi_objective(
+      returns_matrix,
+      objectives: {
+        maximize_return: 0.4,
+        minimize_volatility: 0.3,
+        minimize_drawdown: 0.3
+      }
+    )
+    ```
+??? info "Source Location"
+    [`lib/sqa/portfolio_optimizer.rb:217`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L217)
+
+---
+
+### `.equal_weight(num_assets)`
+
+Equal weight portfolio (1/N rule)
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `num_assets` | `Integer` | Number of assets |
+!!! success "Returns"
+
+    **Type:** `Array<Float>`
+
+    
+
+    Equal weights
+
+??? info "Source Location"
+    [`lib/sqa/portfolio_optimizer.rb:285`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L285)
+
+---
+
+### `.rebalance(current_values:, target_weights:, total_value:, prices:)`
+
+Rebalance portfolio to target weights
+
+!!! info "Parameters"
+
+    | Name | Type | Description |
+    |------|------|-------------|
+    | `current_values` | `Hash` | Current holdings { ticker => value } |
+    | `target_weights` | `Hash` | Target weights { ticker => weight } |
+    | `total_value` | `Float` | Total portfolio value |
+!!! success "Returns"
+
+    **Type:** `Hash`
+
+    
+
+    Rebalancing trades { ticker => { action: :buy/:sell, shares: N, value: $ } }
+
+??? info "Source Location"
+    [`lib/sqa/portfolio_optimizer.rb:298`](https://github.com/madbomber/sqa/blob/main/lib/sqa/portfolio_optimizer.rb#L298)
+
+---
+
+## 📝 Attributes
+