sqa 0.0.32 → 0.0.38
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +4 -4
- data/CHANGELOG.md +154 -1
- data/README.md +4 -0
- data/Rakefile +52 -10
- data/docs/advanced/index.md +1 -13
- data/docs/api/index.md +547 -61
- data/docs/api-reference/alphavantageapi.md +1057 -0
- data/docs/api-reference/apierror.md +31 -0
- data/docs/api-reference/index.md +221 -0
- data/docs/api-reference/notimplemented.md +27 -0
- data/docs/api-reference/sqa.md +267 -0
- data/docs/api-reference/sqa_backtest.md +171 -0
- data/docs/api-reference/sqa_backtest_results.md +530 -0
- data/docs/api-reference/sqa_badparametererror.md +13 -0
- data/docs/api-reference/sqa_config.md +538 -0
- data/docs/api-reference/sqa_configurationerror.md +13 -0
- data/docs/api-reference/sqa_datafetcherror.md +56 -0
- data/docs/api-reference/sqa_dataframe.md +779 -0
- data/docs/api-reference/sqa_dataframe_alphavantage.md +30 -0
- data/docs/api-reference/sqa_dataframe_data.md +325 -0
- data/docs/api-reference/sqa_dataframe_yahoofinance.md +25 -0
- data/docs/api-reference/sqa_ensemble.md +413 -0
- data/docs/api-reference/sqa_fpop.md +211 -0
- data/docs/api-reference/sqa_geneticprogram.md +325 -0
- data/docs/api-reference/sqa_geneticprogram_individual.md +114 -0
- data/docs/api-reference/sqa_marketregime.md +212 -0
- data/docs/api-reference/sqa_multitimeframe.md +227 -0
- data/docs/api-reference/sqa_patternmatcher.md +195 -0
- data/docs/api-reference/sqa_pluginmanager.md +55 -0
- data/docs/api-reference/sqa_portfolio.md +512 -0
- data/docs/api-reference/sqa_portfolio_position.md +220 -0
- data/docs/api-reference/sqa_portfolio_trade.md +332 -0
- data/docs/api-reference/sqa_portfoliooptimizer.md +248 -0
- data/docs/api-reference/sqa_riskmanager.md +388 -0
- data/docs/api-reference/sqa_seasonalanalyzer.md +121 -0
- data/docs/api-reference/sqa_sectoranalyzer.md +163 -0
- data/docs/api-reference/sqa_stock.md +661 -0
- data/docs/api-reference/sqa_strategy.md +178 -0
- data/docs/api-reference/sqa_strategy_bollingerbands.md +26 -0
- data/docs/api-reference/sqa_strategy_common.md +29 -0
- data/docs/api-reference/sqa_strategy_consensus.md +129 -0
- data/docs/api-reference/sqa_strategy_ema.md +41 -0
- data/docs/api-reference/sqa_strategy_kbs.md +154 -0
- data/docs/api-reference/sqa_strategy_macd.md +26 -0
- data/docs/api-reference/sqa_strategy_mp.md +41 -0
- data/docs/api-reference/sqa_strategy_mr.md +41 -0
- data/docs/api-reference/sqa_strategy_random.md +41 -0
- data/docs/api-reference/sqa_strategy_rsi.md +41 -0
- data/docs/api-reference/sqa_strategy_sma.md +41 -0
- data/docs/api-reference/sqa_strategy_stochastic.md +26 -0
- data/docs/api-reference/sqa_strategy_volumebreakout.md +26 -0
- data/docs/api-reference/sqa_strategygenerator.md +298 -0
- data/docs/api-reference/sqa_strategygenerator_pattern.md +264 -0
- data/docs/api-reference/sqa_strategygenerator_patterncontext.md +326 -0
- data/docs/api-reference/sqa_strategygenerator_profitablepoint.md +424 -0
- data/docs/api-reference/sqa_stream.md +256 -0
- data/docs/api-reference/sqa_ticker.md +175 -0
- data/docs/api-reference/string.md +135 -0
- data/docs/assets/images/advanced-workflow.svg +89 -0
- data/docs/assets/images/architecture.svg +107 -0
- data/docs/assets/images/data-flow.svg +138 -0
- data/docs/assets/images/getting-started-workflow.svg +88 -0
- data/docs/assets/images/strategy-flow.svg +78 -0
- data/docs/assets/images/system-architecture.svg +150 -0
- data/docs/concepts/index.md +292 -19
- data/docs/file_formats.md +250 -0
- data/docs/getting-started/index.md +1 -14
- data/docs/index.md +26 -23
- data/docs/llms.txt +109 -0
- data/docs/strategies/kbs.md +15 -14
- data/docs/strategy.md +381 -3
- data/docs/terms_of_use.md +1 -1
- data/examples/README.md +10 -0
- data/lib/api/alpha_vantage_api.rb +3 -7
- data/lib/sqa/backtest.rb +32 -0
- data/lib/sqa/config.rb +109 -28
- data/lib/sqa/data_frame/data.rb +13 -1
- data/lib/sqa/data_frame.rb +193 -26
- data/lib/sqa/errors.rb +79 -17
- data/lib/sqa/init.rb +70 -15
- data/lib/sqa/pattern_matcher.rb +4 -4
- data/lib/sqa/portfolio.rb +55 -1
- data/lib/sqa/sector_analyzer.rb +3 -11
- data/lib/sqa/stock.rb +180 -15
- data/lib/sqa/strategy.rb +62 -4
- data/lib/sqa/ticker.rb +106 -48
- data/lib/sqa/version.rb +1 -1
- data/lib/sqa.rb +4 -4
- data/mkdocs.yml +69 -81
- metadata +89 -21
- data/docs/README.md +0 -43
- data/examples/sinatra_app/Gemfile +0 -42
- data/examples/sinatra_app/Gemfile.lock +0 -268
- data/examples/sinatra_app/QUICKSTART.md +0 -169
- data/examples/sinatra_app/README.md +0 -471
- data/examples/sinatra_app/RUNNING_WITHOUT_TALIB.md +0 -90
- data/examples/sinatra_app/TROUBLESHOOTING.md +0 -95
- data/examples/sinatra_app/app.rb +0 -404
- data/examples/sinatra_app/config.ru +0 -5
- data/examples/sinatra_app/public/css/style.css +0 -723
- data/examples/sinatra_app/public/debug_macd.html +0 -82
- data/examples/sinatra_app/public/js/app.js +0 -107
- data/examples/sinatra_app/start.sh +0 -53
- data/examples/sinatra_app/views/analyze.erb +0 -306
- data/examples/sinatra_app/views/backtest.erb +0 -325
- data/examples/sinatra_app/views/dashboard.erb +0 -831
- data/examples/sinatra_app/views/error.erb +0 -58
- data/examples/sinatra_app/views/index.erb +0 -118
- data/examples/sinatra_app/views/layout.erb +0 -61
- data/examples/sinatra_app/views/portfolio.erb +0 -43
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# File Formats
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This document describes the CSV file formats used by SQA for data import and export.
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## Portfolio CSV Formats
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The `SQA::Portfolio` class supports two CSV file formats for different purposes: positions (holdings) and trade history.
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### Portfolio Positions CSV
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This format is used to save and load current portfolio holdings.
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**Methods:**
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- `portfolio.save_to_csv(filename)` - Save positions
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- `SQA::Portfolio.load_from_csv(filename)` - Load positions
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**Schema:**
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| Column | Type | Description |
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|--------|------|-------------|
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| `ticker` | String | Stock ticker symbol (e.g., 'AAPL', 'MSFT') |
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| `shares` | Integer | Number of shares currently held |
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| `avg_cost` | Float | Average cost per share (cost basis) |
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| `total_cost` | Float | Total cost basis for the entire position |
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**Example File (`portfolio.csv`):**
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```csv
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ticker,shares,avg_cost,total_cost
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AAPL,100,150.0,15000.0
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MSFT,50,300.0,15000.0
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GOOG,25,120.0,3000.0
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```
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**Usage:**
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```ruby
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# Save current positions to CSV
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portfolio = SQA::Portfolio.new(initial_cash: 100_000)
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portfolio.buy('AAPL', shares: 100, price: 150.0)
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portfolio.buy('MSFT', shares: 50, price: 300.0)
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portfolio.save_to_csv('my_portfolio.csv')
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# Load positions from CSV
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loaded_portfolio = SQA::Portfolio.load_from_csv('my_portfolio.csv')
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loaded_portfolio.position('AAPL').shares # => 100
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```
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**Notes:**
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- The CSV includes only current positions (open holdings)
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- Cash balance is NOT saved in the CSV (set via `initial_cash` parameter when loading)
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- Use this format for portfolio snapshots and position tracking
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---
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### Trade History CSV
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This format is used to export the complete log of all buy and sell transactions.
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**Methods:**
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- `portfolio.save_trades_to_csv(filename)` - Export trade history
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**Schema:**
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| Column | Type | Description |
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|--------|------|-------------|
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| `date` | Date | Trade execution date (YYYY-MM-DD format) |
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| `ticker` | String | Stock ticker symbol |
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| `action` | Symbol | Trade type: `buy` or `sell` |
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| `shares` | Integer | Number of shares traded |
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| `price` | Float | Price per share at execution |
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| `total` | Float | Total transaction value (shares × price) |
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| `commission` | Float | Commission paid for the trade |
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**Example File (`trades.csv`):**
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```csv
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date,ticker,action,shares,price,total,commission
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2024-01-15,AAPL,buy,100,150.0,15000.0,1.0
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2024-01-20,MSFT,buy,50,300.0,15000.0,1.0
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2024-02-05,AAPL,sell,50,160.0,8000.0,1.0
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2024-02-15,GOOG,buy,25,120.0,3000.0,1.0
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2024-03-01,MSFT,sell,25,310.0,7750.0,1.0
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```
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**Usage:**
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```ruby
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# Execute some trades
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portfolio = SQA::Portfolio.new(initial_cash: 100_000, commission: 1.0)
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portfolio.buy('AAPL', shares: 100, price: 150.0, date: Date.parse('2024-01-15'))
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portfolio.buy('MSFT', shares: 50, price: 300.0, date: Date.parse('2024-01-20'))
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portfolio.sell('AAPL', shares: 50, price: 160.0, date: Date.parse('2024-02-05'))
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# Export complete trade history
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portfolio.save_trades_to_csv('trade_history.csv')
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```
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**Notes:**
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- This format is write-only (no corresponding `load_trades_from_csv()` method)
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- Use for audit trails, tax reporting, and performance analysis
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- Each row represents a single executed trade
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- The `total` column does NOT include commission (commission is tracked separately)
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---
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## Stock Data CSV Format
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Stock price and volume data is stored in CSV format with the following schema:
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**Schema:**
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| Column | Type | Description |
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|--------|------|-------------|
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| `timestamp` | String | Date in YYYY-MM-DD format |
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| `open_price` | Float | Opening price |
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| `high_price` | Float | Highest price during the period |
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| `low_price` | Float | Lowest price during the period |
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| `close_price` | Float | Closing price |
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| `adj_close_price` | Float | Adjusted closing price (accounts for splits/dividends) |
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| `volume` | Integer | Trading volume |
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**Example File (`aapl.csv`):**
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```csv
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timestamp,open_price,high_price,low_price,close_price,adj_close_price,volume
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2023-01-03,130.28,130.90,124.17,125.07,124.38,112117500
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2023-01-04,126.89,128.66,125.08,126.36,125.66,89113600
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2023-01-05,127.13,127.77,124.76,125.02,124.33,80962700
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```
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**Location:**
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- Stock CSV files are stored in `~/sqa_data/` by default (configurable via `SQA::Config`)
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- File naming convention: `{ticker}.csv` (e.g., `aapl.csv`, `msft.csv`)
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**Data Ordering:**
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- **CRITICAL:** Data MUST be in ascending chronological order (oldest first, newest last)
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- This ordering is required for TA-Lib compatibility
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- Index [0] = oldest data point, Index [last] = newest data point
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**Usage:**
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```ruby
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# Stock data is automatically loaded/saved
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stock = SQA::Stock.new(ticker: 'AAPL')
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stock.df.to_csv('aapl_export.csv') # Export to custom location
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# Load from custom CSV
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df = SQA::DataFrame.load(source: 'path/to/custom.csv')
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```
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**Notes:**
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- Data is automatically fetched from Alpha Vantage or Yahoo Finance on first load
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- Updates are appended and deduplicated using `concat_and_deduplicate!`
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- Use `adj_close_price` for calculations that need to account for corporate actions
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---
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## Stock Metadata JSON Format
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Stock metadata (company information) is stored in JSON format alongside CSV files.
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**Location:** `~/sqa_data/{ticker}.json`
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**Example File (`aapl.json`):**
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```json
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{
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"ticker": "aapl",
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"name": "Apple Inc.",
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"exchange": "NASDAQ",
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"source": "alpha_vantage",
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"indicators": {},
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"overview": {
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"symbol": "AAPL",
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"asset_type": "Common Stock",
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"name": "Apple Inc.",
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"exchange": "NASDAQ",
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"currency": "USD",
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"country": "USA",
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"sector": "TECHNOLOGY",
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"industry": "ELECTRONIC COMPUTERS",
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"market_capitalization": 2500000000000,
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"pe_ratio": 28.5,
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"eps": 6.05,
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"dividend_per_share": 0.92,
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"dividend_yield": 0.0055
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}
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}
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```
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**Usage:**
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```ruby
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stock = SQA::Stock.new(ticker: 'AAPL')
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stock.data.overview['market_capitalization'] # => 2500000000000
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stock.data.overview['pe_ratio'] # => 28.5
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```
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---
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## Configuration File Format
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SQA supports YAML and TOML configuration files.
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**Location:** `~/.sqa.yml` or `~/.sqa.toml`
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**Example YAML (`~/.sqa.yml`):**
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```yaml
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data_dir: ~/sqa_data
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lazy_update: false
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log_level: info
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plotting_library: gnuplot
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```
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**Example TOML (`~/.sqa.toml`):**
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```toml
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data_dir = "~/sqa_data"
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lazy_update = false
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log_level = "info"
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plotting_library = "gnuplot"
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```
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**Available Configuration Options:**
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| Option | Type | Default | Description |
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|--------|------|---------|-------------|
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| `data_dir` | String | `~/sqa_data` | Directory for storing stock data files |
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| `lazy_update` | Boolean | `false` | If true, skip automatic data updates |
|
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|
+
| `log_level` | Symbol | `:info` | Logging level (`:debug`, `:info`, `:warn`, `:error`) |
|
|
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|
+
| `plotting_library` | Symbol | `:gnuplot` | Plotting library to use |
|
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|
+
|
|
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|
+
**Usage:**
|
|
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|
+
|
|
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|
+
```ruby
|
|
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|
+
# Load custom configuration
|
|
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+
config = SQA::Config.new(data_dir: '/path/to/data', lazy_update: true)
|
|
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|
+
SQA.init(config)
|
|
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|
+
```
|
|
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|
+
|
|
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|
+
---
|
|
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|
+
|
|
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|
+
## See Also
|
|
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|
+
|
|
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|
+
- [API Reference - Portfolio](api-reference/sqa_portfolio.md)
|
|
248
|
+
- [API Reference - Stock](api-reference/sqa_stock.md)
|
|
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|
+
- [API Reference - DataFrame](api-reference/sqa_dataframe.md)
|
|
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|
+
- [Data Frame Documentation](data_frame.md)
|
|
@@ -46,20 +46,7 @@ Before you begin, make sure you have:
|
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46
46
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|
47
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|
Here's the typical workflow when using SQA:
|
|
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48
|
|
|
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|
-
|
|
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|
-
graph LR
|
|
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|
-
A[Install SQA] --> B[Configure API Keys]
|
|
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|
-
B --> C[Load Stock Data]
|
|
53
|
-
C --> D[Calculate Indicators]
|
|
54
|
-
D --> E[Apply Strategies]
|
|
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|
-
E --> F{Analysis Type}
|
|
56
|
-
F -->|Backtest| G[Run Backtest]
|
|
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|
-
F -->|Live| H[Stream Real-Time]
|
|
58
|
-
F -->|Research| I[Explore in Console]
|
|
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|
-
G --> J[Review Results]
|
|
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|
-
H --> J
|
|
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|
-
I --> J
|
|
62
|
-
```
|
|
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|
+

|
|
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50
|
|
|
64
51
|
## What's Next?
|
|
65
52
|
|
data/docs/index.md
CHANGED
|
@@ -1,8 +1,25 @@
|
|
|
1
1
|
# SQA - Simple Qualitative Analysis
|
|
2
2
|
|
|
3
|
-
<
|
|
4
|
-
<
|
|
5
|
-
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|
3
|
+
<div style="display: flex; align-items: flex-start; gap: 2rem; margin-bottom: 2rem;">
|
|
4
|
+
<div style="flex: 0 0 400px;">
|
|
5
|
+
<img src="assets/images/sqa.jpg" alt="SQA - Simple Qualitative Analysis" style="width: 100%; border-radius: 8px; box-shadow: 0 4px 6px rgba(0,0,0,0.1);">
|
|
6
|
+
</div>
|
|
7
|
+
<div style="flex: 1;">
|
|
8
|
+
<h2 style="margin-top: 0;">Key Features</h2>
|
|
9
|
+
<ul>
|
|
10
|
+
<li><strong>High Performance</strong> - Rust-backed Polars DataFrames (30x faster)</li>
|
|
11
|
+
<li><strong>150+ Technical Indicators</strong> - TA-Lib integration via sqa-tai</li>
|
|
12
|
+
<li><strong>13+ Trading Strategies</strong> - RSI, MACD, Bollinger Bands, and more</li>
|
|
13
|
+
<li><strong>Portfolio Management</strong> - Track positions, P&L, commissions</li>
|
|
14
|
+
<li><strong>Backtesting Framework</strong> - Comprehensive performance metrics</li>
|
|
15
|
+
<li><strong>Real-Time Streaming</strong> - Live price data with callbacks</li>
|
|
16
|
+
<li><strong>Strategy Generation</strong> - Discover patterns from profitable trades</li>
|
|
17
|
+
<li><strong>Genetic Programming</strong> - Evolve optimal parameters</li>
|
|
18
|
+
<li><strong>Risk Management</strong> - VaR, CVaR, position sizing</li>
|
|
19
|
+
<li><strong>Pattern Matching</strong> - Find similar historical patterns</li>
|
|
20
|
+
</ul>
|
|
21
|
+
</div>
|
|
22
|
+
</div>
|
|
6
23
|
|
|
7
24
|
---
|
|
8
25
|
|
|
@@ -97,26 +114,7 @@ puts "Max Drawdown: #{results.max_drawdown}%"
|
|
|
97
114
|
|
|
98
115
|
## Architecture
|
|
99
116
|
|
|
100
|
-
|
|
101
|
-
graph TD
|
|
102
|
-
A[Stock Data] --> B[SQA::DataFrame]
|
|
103
|
-
B --> C[Technical Indicators]
|
|
104
|
-
C --> D[Trading Strategies]
|
|
105
|
-
D --> E{Strategy Type}
|
|
106
|
-
E -->|Simple| F[SMA/EMA/RSI]
|
|
107
|
-
E -->|Advanced| G[MACD/Bollinger]
|
|
108
|
-
E -->|Rule-Based| H[KBS Strategy]
|
|
109
|
-
D --> I[Portfolio Management]
|
|
110
|
-
I --> J[Backtesting]
|
|
111
|
-
J --> K[Performance Metrics]
|
|
112
|
-
|
|
113
|
-
L[Real-Time Data] --> M[SQA::Stream]
|
|
114
|
-
M --> D
|
|
115
|
-
|
|
116
|
-
N[Pattern Discovery] --> O[StrategyGenerator]
|
|
117
|
-
O --> P[Generated Strategies]
|
|
118
|
-
P --> D
|
|
119
|
-
```
|
|
117
|
+

|
|
120
118
|
|
|
121
119
|
## Getting Started
|
|
122
120
|
|
|
@@ -143,10 +141,15 @@ Ready to dive in? Check out our guides:
|
|
|
143
141
|
- [Data Sources](data-sources/index.md) - Working with data
|
|
144
142
|
- [Terms of Use](terms_of_use.md) - Important legal information
|
|
145
143
|
|
|
144
|
+
## Demo Application
|
|
145
|
+
|
|
146
|
+
Want to see SQA in action? Check out the **[sqa_demo-sinatra](https://github.com/MadBomber/sqa_demo-sinatra)** gem - a web-based demonstration application that provides a visual interface for exploring stock analysis, technical indicators, and trading strategies.
|
|
147
|
+
|
|
146
148
|
## Community & Support
|
|
147
149
|
|
|
148
150
|
- **GitHub**: [github.com/madbomber/sqa](https://github.com/madbomber/sqa)
|
|
149
151
|
- **RubyGems**: [rubygems.org/gems/sqa](https://rubygems.org/gems/sqa)
|
|
152
|
+
- **Demo App**: [sqa_demo-sinatra](https://github.com/MadBomber/sqa_demo-sinatra) - Web-based SQA demonstration
|
|
150
153
|
- **Issues**: Report bugs or request features on [GitHub Issues](https://github.com/madbomber/sqa/issues)
|
|
151
154
|
|
|
152
155
|
## License
|
data/docs/llms.txt
ADDED
|
@@ -0,0 +1,109 @@
|
|
|
1
|
+
# SQA - Simple Qualitative Analysis
|
|
2
|
+
|
|
3
|
+
> A powerful Ruby library for stock market technical analysis and trading strategy development
|
|
4
|
+
|
|
5
|
+
SQA (Simple Qualitative Analysis) is an educational Ruby library designed for stock market technical analysis and trading strategy development. Built with high-performance data structures and seamlessly integrated with TA-Lib, SQA provides a comprehensive toolkit for analyzing historical stock data, implementing trading strategies, and backtesting your ideas.
|
|
6
|
+
|
|
7
|
+
SQA is designed for educational purposes only. It should not be used for actual trading without extensive testing and professional financial advice. Trading stocks involves substantial risk of loss.
|
|
8
|
+
|
|
9
|
+
- Polars DataFrames: Rust-backed data structures providing 30x faster operations than pure Ruby - TA-Lib Integration: Access to 150+ battle-tested technical indicators via the sqa-tai gem - Efficient Algorithms: Optimized for large historical datasets
|
|
10
|
+
|
|
11
|
+
## Getting Started
|
|
12
|
+
|
|
13
|
+
- [Index](https://madbomber.github.io/sqa/getting-started/index): Welcome to SQA! This guide will help you get up and running with stock market technical analysis in just a few minutes.
|
|
14
|
+
- [Installation](https://madbomber.github.io/sqa/getting-started/installation): This guide walks you through installing SQA and all its dependencies.
|
|
15
|
+
- [Quick Start](https://madbomber.github.io/sqa/getting-started/quick-start): Get up and running with SQA in just a few minutes!
|
|
16
|
+
|
|
17
|
+
## Core Concepts
|
|
18
|
+
|
|
19
|
+
- [Index](https://madbomber.github.io/sqa/concepts/index): Understanding the fundamental building blocks of SQA.
|
|
20
|
+
- [Dataframes](https://madbomber.github.io/sqa/data_frame): The SQA::DataFrame class is a high-performance wrapper around the Polars DataFrame library, specifically designed for time series financial data...
|
|
21
|
+
- [Technical Indicators](https://madbomber.github.io/sqa/indicators/index): SQA provides access to 150+ technical indicators via the sqa-tai gem, which wraps the industry-standard TA-Lib library.
|
|
22
|
+
- [Trading Strategies](https://madbomber.github.io/sqa/strategy): A strategy is a recipe that cooks all the indicators together to make a decision on a potential trade. The SQA::Strategy class provides the...
|
|
23
|
+
|
|
24
|
+
## Technical Indicators
|
|
25
|
+
|
|
26
|
+
- [Index](https://madbomber.github.io/sqa/indicators/index): SQA provides access to 150+ technical indicators via the sqa-tai gem, which wraps the industry-standard TA-Lib library.
|
|
27
|
+
- [Overview](https://madbomber.github.io/sqa/indicators): ## The Philosophy of Indicators
|
|
28
|
+
|
|
29
|
+
|
|
30
|
+
|
|
31
|
+
## Trading Strategies
|
|
32
|
+
|
|
33
|
+
- [Index](https://madbomber.github.io/sqa/strategies/index): Explore SQA's comprehensive suite of trading strategies.
|
|
34
|
+
|
|
35
|
+
### Built-in Strategies
|
|
36
|
+
|
|
37
|
+
- [Bollinger Bands Strategy](https://madbomber.github.io/sqa/strategies/bollinger-bands): The Bollinger Bands strategy uses volatility bands to identify oversold and overbought conditions. The strategy generates buy signals when price...
|
|
38
|
+
- [Rsi Strategy](https://madbomber.github.io/sqa/strategies/rsi): The Relative Strength Index (RSI) strategy identifies overbought and oversold conditions using momentum oscillators. It generates signals when RSI...
|
|
39
|
+
- [Macd Strategy](https://madbomber.github.io/sqa/strategies/macd): Moving Average Convergence Divergence (MACD) is a trend-following momentum indicator that shows the relationship between two moving averages.
|
|
40
|
+
- [Sma Strategy](https://madbomber.github.io/sqa/strategies/sma): The SMA strategy uses crossovers of short-term and long-term simple moving averages to identify trend changes and generate trading signals.
|
|
41
|
+
- [Ema Strategy](https://madbomber.github.io/sqa/strategies/ema): Similar to SMA but gives more weight to recent prices, making it more responsive to price changes.
|
|
42
|
+
- [Stochastic Strategy](https://madbomber.github.io/sqa/strategies/stochastic): Compares closing price to the price range over a period to identify overbought/oversold conditions and momentum changes.
|
|
43
|
+
- [Volume Breakout](https://madbomber.github.io/sqa/strategies/volume-breakout): Identifies price breakouts confirmed by high trading volume for stronger signal reliability.
|
|
44
|
+
- [Mean Reversion](https://madbomber.github.io/sqa/strategies/mean-reversion): Based on the theory that prices tend to return to their average over time. Buys when price is below average and sells when above.
|
|
45
|
+
- [Market Profile](https://madbomber.github.io/sqa/strategies/market-profile): Uses market profile analysis to identify support and resistance levels, generating signals when price reaches these key levels.
|
|
46
|
+
- [Consensus Strategy](https://madbomber.github.io/sqa/strategies/consensus): Aggregates signals from multiple strategies and makes trading decisions based on majority vote. Reduces risk of acting on single false signals.
|
|
47
|
+
|
|
48
|
+
### Advanced Strategies
|
|
49
|
+
|
|
50
|
+
- [Knowledge Based Strategy (kbs)](https://madbomber.github.io/sqa/strategies/kbs): Advanced rule-based trading system using RETE forward-chaining inference engine. Combines multiple indicators with custom logic rules.
|
|
51
|
+
- [Custom Strategies](https://madbomber.github.io/sqa/strategies/custom): Learn how to create your own trading strategies in the SQA framework.
|
|
52
|
+
|
|
53
|
+
## Advanced Features
|
|
54
|
+
|
|
55
|
+
- [Index](https://madbomber.github.io/sqa/advanced/index): Explore SQA's advanced capabilities for professional-grade analysis.
|
|
56
|
+
- [Portfolio Management](https://madbomber.github.io/sqa/advanced/portfolio): The Portfolio class tracks positions, calculates P&L, manages commissions, and monitors portfolio performance over time.
|
|
57
|
+
- [Backtesting](https://madbomber.github.io/sqa/advanced/backtesting): Simulate trading strategies on historical data to evaluate performance before risking real capital.
|
|
58
|
+
- [Strategy Generator](https://madbomber.github.io/sqa/advanced/strategy-generator): Reverse-engineer profitable trades to discover patterns and automatically generate executable trading strategies.
|
|
59
|
+
- [Genetic Programming](https://madbomber.github.io/sqa/genetic_programming): ### Overview of Genetic Programming (GP)
|
|
60
|
+
- [Real Time Streaming](https://madbomber.github.io/sqa/advanced/streaming): Process live price data with event callbacks and parallel strategy execution for real-time trading signals.
|
|
61
|
+
- [Fpop Analysis](https://madbomber.github.io/sqa/advanced/fpop): Calculate future returns, risk metrics, and direction classification to evaluate trading opportunities.
|
|
62
|
+
- [Risk Management](https://madbomber.github.io/sqa/advanced/risk-management): Comprehensive risk management tools including VaR, position sizing, and risk metrics.
|
|
63
|
+
- [Portfolio Optimizer](https://madbomber.github.io/sqa/advanced/portfolio-optimizer): Multi-objective portfolio optimization for optimal asset allocation and rebalancing.
|
|
64
|
+
- [Ensemble Strategies](https://madbomber.github.io/sqa/advanced/ensemble): Combine multiple strategies with voting and meta-learning.
|
|
65
|
+
- [Multi Timeframe Analysis](https://madbomber.github.io/sqa/advanced/multi-timeframe): Analyze multiple timeframes simultaneously for better trade timing.
|
|
66
|
+
- [Pattern Matcher](https://madbomber.github.io/sqa/advanced/pattern-matcher): Pattern recognition and similarity search for forecasting.
|
|
67
|
+
|
|
68
|
+
## AI & Machine Learning
|
|
69
|
+
|
|
70
|
+
- [Ai And Ml](https://madbomber.github.io/sqa/ai_and_ml): ## AI and ML in Trading -- Advancing Decision-Making
|
|
71
|
+
- [Mean Reversion](https://madbomber.github.io/sqa/mean_reversion): Determines if a stock exhibits mean reversion behavior based on a given price series.
|
|
72
|
+
- [Predict Next Value](https://madbomber.github.io/sqa/predict_next_value): As a stock quantitative analyst, having a predict next value method on a timeseries array of closing day stock price data would be extremely helpful....
|
|
73
|
+
- [Identify Wave Condition](https://madbomber.github.io/sqa/identify_wave_condition): The Elliott Wave Theory is a popular method used in stock technical analysis to predict future price movements in financial markets. It is based on...
|
|
74
|
+
- [Libsvm Format](https://madbomber.github.io/sqa/libsvm_file_format): This file format is used by rumale.
|
|
75
|
+
|
|
76
|
+
## API Reference
|
|
77
|
+
|
|
78
|
+
- [Index](https://madbomber.github.io/sqa/api/index): Complete API documentation for SQA classes and modules.
|
|
79
|
+
- [Dataframe Class](https://madbomber.github.io/sqa/api/dataframe): SQA::DataFrame is a high-performance wrapper around the Polars DataFrame library, specifically optimized for time series financial data manipulation....
|
|
80
|
+
|
|
81
|
+
## Data Sources
|
|
82
|
+
|
|
83
|
+
- [Index](https://madbomber.github.io/sqa/data-sources/index): SQA supports multiple data sources for historical stock price data.
|
|
84
|
+
|
|
85
|
+
## Resources
|
|
86
|
+
|
|
87
|
+
- [Tags](https://madbomber.github.io/sqa/tags): Browse documentation by topic.
|
|
88
|
+
- [Requirements](https://madbomber.github.io/sqa/requirements): ... otherwise know as what I want to do. Some people would call it a roadmap; but, where I'm going "we don't need no stinking roads!"
|
|
89
|
+
- [Terms Of Use](https://madbomber.github.io/sqa/terms_of_use): Some sections of these Terms of Use are aspirational. If found to be so, they shall not invalidate any other section which shall remain in full...
|
|
90
|
+
- [Trading Ideas](https://madbomber.github.io/sqa/i_gotta_an_idea): ... based upon my prior work with sports outcome predictions and sensor net architecture.
|
|
91
|
+
- [Factor Analysis](https://madbomber.github.io/sqa/factors_that_impact_price): ## Factors that Impact Price
|
|
92
|
+
|
|
93
|
+
### External Tools
|
|
94
|
+
|
|
95
|
+
- [Finviz](https://madbomber.github.io/sqa/finviz): The original finviz unofficial gem has been untouched for 3 years. I just forked it in the hope that I can bring it forward to current versions of...
|
|
96
|
+
- [Fx Pro Bit](https://madbomber.github.io/sqa/fx_pro_bit): FXProBot is a new trading software by Avenix Fzco, a major fintech firm located in Dubai that specializes in automated trading. This advanced robot...
|
|
97
|
+
- [Options Trading](https://madbomber.github.io/sqa/options): https://www.youtube.com/watch?v=A5w-dEgIU1M
|
|
98
|
+
|
|
99
|
+
## Contributing
|
|
100
|
+
|
|
101
|
+
- [Index](https://madbomber.github.io/sqa/contributing/index): Thank you for your interest in contributing to SQA!
|
|
102
|
+
|
|
103
|
+
## Optional
|
|
104
|
+
|
|
105
|
+
These resources provide supplementary information that may be skipped for shorter context:
|
|
106
|
+
|
|
107
|
+
- [Tags](https://madbomber.github.io/sqa/tags): Browse documentation by topic.
|
|
108
|
+
- [Requirements](https://madbomber.github.io/sqa/requirements): ... otherwise know as what I want to do. Some people would call it a roadmap; but, where I'm going "we don't need no stinking roads!"
|
|
109
|
+
- [Terms of Use](https://madbomber.github.io/sqa/terms_of_use): Some sections of these Terms of Use are aspirational. If found to be so, they shall not invalidate any other section which shall remain in full...
|
data/docs/strategies/kbs.md
CHANGED
|
@@ -2,7 +2,7 @@
|
|
|
2
2
|
|
|
3
3
|
## Overview
|
|
4
4
|
|
|
5
|
-
Advanced rule-based trading system using RETE forward-chaining inference engine. Combines multiple indicators with custom logic rules.
|
|
5
|
+
Advanced rule-based trading system using RETE forward-chaining inference engine. Combines multiple indicators with custom logic rules using the `kbs` (knowledge-based system) ruby gem. A complete [documentation website for the `kbs` ruby gem is available.](https://madbomber.github.io/kbs)
|
|
6
6
|
|
|
7
7
|
## How It Works
|
|
8
8
|
|
|
@@ -29,6 +29,7 @@ end
|
|
|
29
29
|
## Default Rules
|
|
30
30
|
|
|
31
31
|
The KBS strategy includes 10 default rules:
|
|
32
|
+
|
|
32
33
|
1. Buy on RSI oversold in uptrend
|
|
33
34
|
2. Sell on RSI overbought in downtrend
|
|
34
35
|
3. Buy on bullish MACD crossover
|
|
@@ -71,10 +72,10 @@ strategy.add_rule :strong_buy do
|
|
|
71
72
|
without :position # Don't buy if already holding
|
|
72
73
|
|
|
73
74
|
perform do
|
|
74
|
-
kb.assert(:signal, {
|
|
75
|
-
action: :buy,
|
|
75
|
+
kb.assert(:signal, {
|
|
76
|
+
action: :buy,
|
|
76
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|
confidence: :high,
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reason: :triple_confirmation
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reason: :triple_confirmation
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})
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end
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end
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## Strengths
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✅ Highly customizable
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✅ Combines multiple indicators
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✅ Confidence scoring
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✅ Forward-chaining inference
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✅ Can encode expert knowledge
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- ✅ Highly customizable
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- ✅ Combines multiple indicators
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- ✅ Confidence scoring
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- ✅ Forward-chaining inference
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- ✅ Can encode expert knowledge
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## Weaknesses
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❌ Complex to configure
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❌ Requires domain knowledge
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❌ Can be slow with many rules
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❌ Overfitting risk
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- ❌ Complex to configure
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- ❌ Requires domain knowledge
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+
- ❌ Can be slow with many rules
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- ❌ Overfitting risk
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## Tips
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## Available Facts
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The KBS strategy processes these fact types:
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+
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- `:rsi` - RSI indicator data
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- `:macd` - MACD crossovers
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- `:trend` - Price trend analysis
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@@ -161,4 +163,3 @@ end
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- [Strategy Generator](../advanced/strategy-generator.md) - Auto-generate rules
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- [Genetic Programming](../genetic_programming.md) - Optimize rule parameters
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-
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