sqa 0.0.6 → 0.0.8

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data/bin/sqa CHANGED
@@ -3,4 +3,4 @@
3
3
  require 'sqa'
4
4
  require 'sqa/cli'
5
5
 
6
- SQA::CLI.new.run
6
+ SQA.init
@@ -1 +1 @@
1
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data/docs/.gitignore ADDED
@@ -0,0 +1 @@
1
+ *.html
data/docs/data_frame.md CHANGED
@@ -13,6 +13,8 @@ There will be Daru extensions and patches made to adapt it to the specific needs
13
13
 
14
14
  Frankly, Ruby has lost the battle to Python w/r/t data analysis. The Python equivalent library to Daru is Pandas. It is actively maintained. There is a Ruby gem that uses PyCall to access Pandas but it is a few years out of date with open issues.
15
15
 
16
+ I am considering extracting the Daru::DataFrame class into a new gem `sqa-Ddata_frame` so that I can more easily make upgrades and refactor the old thing. It really could use a facelift and a better plugin strategy. The lib/daru/data_frame.rb is over 3,000 lines long. There is a lot of method documentation; but, I not really sure that all of those methods are really needed. We could at least extract each of the methods out into its own file.
17
+
16
18
  ## Creating a DataFrame from a CSV File
17
19
 
18
20
  A common activity is to use financial websites such as https://finance.yahoo.com to download historical price data for a stock.
@@ -21,6 +23,10 @@ Here is how to create a DataFrame from a CSV file downloaded from Finance.yahoo.
21
23
 
22
24
  ```ruby
23
25
  df = Daru::DataFrame.from_csv('aapl.csv')
26
+
27
+ # The SQA way uses the file's type to invoke the
28
+ # correct method.
29
+ df = SQA::DataFrame.load(filename)
24
30
  ```
25
31
 
26
32
  The Daru::DataFrame class can be created from many different sources including an ActiveRecord relation -- e.g. you can get you data from a database.
@@ -156,9 +162,3 @@ puts df.ai("Yes; but, should I buy this stock now?")
156
162
  ```
157
163
  Consulting the magic eight ball cluster.... The future looks cloudy. You should have bought it 14 days ago when I told you it was on its way up! Do you ever listen to me? No! I slave over these numbers night and day. I consult the best magic eight ball sources available. What do I get for my efforts? Nothing!
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-
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-
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-
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-
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-
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-
@@ -0,0 +1,47 @@
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+ # libsvm File Format
2
+
3
+ This file format is used by rumale.
4
+
5
+ We're choosing the "Adj Close" column as the one that we want to predict.
6
+
7
+ The libsvm file format is simple. All values are numberic.
8
+
9
+ The first entry on a line is the thing that we want to predict. In this case it is the adjusted closing price. This is followed by a space.
10
+
11
+ What follows is a series of data pairs seperated by spaces in the form:
12
+
13
+ * index:value
14
+
15
+ where index is the column number and value is the value for that item.
16
+
17
+
18
+ ```ruby
19
+ require 'csv'
20
+
21
+ # Read CSV file
22
+ data = CSV.read('input.csv', headers: true)
23
+
24
+ # Open output file
25
+ output_file = File.open('output.txt', 'w')
26
+
27
+ # Convert data into libsvm format and write to output file
28
+ data.each do |row|
29
+ # Get the label (the "close" value)
30
+ label = row['Adj Close']
31
+
32
+ # Start building the libsvm formatted line
33
+ libsvm_line = "#{label} "
34
+
35
+ # Add feature indices and values
36
+ row.each_with_index do |(column, value), index|
37
+ next if column == 'Date' || column == 'Adj Close' # Skip irrelevant columns
38
+ libsvm_line += "#{index}:#{value} "
39
+ end
40
+
41
+ # Write the libsvm formatted line to the output file
42
+ output_file.puts(libsvm_line)
43
+ end
44
+
45
+ # Close files
46
+ output_file.close
47
+ ```
@@ -0,0 +1,15 @@
1
+ # Predict Next Value
2
+
3
+ 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. This method would enable us to forecast the future values of stock prices based on historical data patterns.
4
+
5
+ - **Forecasting**: The predict next value method would allow us to predict the future movement of stock prices. By analyzing trends and patterns in the historical data, we can estimate the potential direction and magnitude of future price movements. This forecast can help in making informed investment decisions and developing trading strategies.
6
+
7
+ - **Risk Management**: Predicting the next value in a timeseries array of stock prices can assist in assessing and managing risks. By having an idea of the potential future price movements, we can identify potential pitfalls and take appropriate measures to mitigate losses. This method would enable us to set stop loss orders or implement hedging strategies to protect our investments.
8
+
9
+ - **Trading Strategies**: A predict next value method would be invaluable in developing trading strategies. By accurately forecasting future stock price movements, we can identify profitable trading opportunities. For example, if the model predicts an uptrend, we may consider buying stocks, or if it predicts a downtrend, we may consider selling or shorting stocks. This method can help optimize entry and exit points, resulting in improved trading performance.
10
+
11
+ - **Quantitative Analysis**: As a quantitative analyst, this predictive method provides a quantitative approach to analyzing stock prices. By utilizing mathematical models and statistical techniques, we can determine the probability of various price scenarios. This adds rigor and objectivity to the analysis process, giving us a deeper understanding of the underlying data.
12
+
13
+ - **Automation and Efficiency**: Automating the predict next value method allows for efficient analysis of large datasets. Instead of manually analyzing each data point, the algorithm can quickly process the time series array of prices and generate predictions. This saves significant time and effort, allowing us to focus on interpreting and using the predictions for decision-making purposes.
14
+
15
+ In summary, having a predict next value method on a timeseries array of closing day stock price data would be an invaluable tool for a stock quantitative analyst. It would aid in forecasting, risk management, trading strategy development, quantitative analysis, and automation, ultimately enhancing the accuracy and efficiency of our analysis and decision-making processes.
@@ -0,0 +1,19 @@
1
+ # lib/patches/daru/category.rb
2
+
3
+ module Daru
4
+ module Category
5
+
6
+ def plotting_lig lib
7
+ if :svg_graph = lib
8
+ @plotting_library = lib
9
+ if Daru.send("has_#{lib}?".to_sym)
10
+ extend Module.const_get(
11
+ "Daru::Plotting::Category::#{lib.to_s.capitalize}Library"
12
+ )
13
+ end
14
+ else
15
+ super
16
+ end
17
+ end
18
+ end
19
+ end
@@ -0,0 +1,19 @@
1
+ # lib/patches/daru/data_frame.rb
2
+
3
+ module Daru
4
+ module DataFrame
5
+
6
+ def plotting_lig lib
7
+ if :svg_graph = lib
8
+ @plotting_library = lib
9
+ if Daru.send("has_#{lib}?".to_sym)
10
+ extend Module.const_get(
11
+ "Daru::Plotting::DataFrame::#{lib.to_s.capitalize}Library"
12
+ )
13
+ end
14
+ else
15
+ super
16
+ end
17
+ end
18
+ end
19
+ end
@@ -0,0 +1,55 @@
1
+ # lib/patches/daru/plotting/svg-graph/category.rb
2
+
3
+ # NOTE: Code originally from Gruff
4
+ # TODO: Tailor the code to SvgGraph
5
+
6
+ module Daru
7
+ module Plotting
8
+ module Category
9
+ module SvgGraphLibrary
10
+ def plot opts={}
11
+ type = opts[:type] || :bar
12
+ size = opts[:size] || 500
13
+ case type
14
+ when :bar, :pie, :sidebar
15
+ plot = send("category_#{type}_plot".to_sym, size, opts[:method])
16
+ else
17
+ raise ArgumentError, 'This type of plot is not supported.'
18
+ end
19
+ yield plot if block_given?
20
+ plot
21
+ end
22
+
23
+ private
24
+
25
+ def category_bar_plot size, method
26
+ plot = SvgGraph::Bar.new size
27
+ method ||= :count
28
+ dv = frequencies(method)
29
+ plot.labels = size.times.to_a.zip(dv.index.to_a).to_h
30
+ plot.data name || :vector, dv.to_a
31
+ plot
32
+ end
33
+
34
+ def category_pie_plot size, method
35
+ plot = SvgGraph::Pie.new size
36
+ method ||= :count
37
+ frequencies(method).each_with_index do |data, index|
38
+ plot.data index, data
39
+ end
40
+ plot
41
+ end
42
+
43
+ def category_sidebar_plot size, method
44
+ plot = SvgGraph::SideBar.new size
45
+ plot.labels = {0 => (name.to_s || 'vector')}
46
+ method ||= :count
47
+ frequencies(method).each_with_index do |data, index|
48
+ plot.data index, data
49
+ end
50
+ plot
51
+ end
52
+ end
53
+ end
54
+ end
55
+ end
@@ -0,0 +1,105 @@
1
+ # lib/patches/daru/plotting/svg-graph/dataframe.rb
2
+
3
+ # NOTE: Code originally from Gruff
4
+ # TODO: Tailor the code to SvgGraph
5
+
6
+ module Daru
7
+ module Plotting
8
+ module DataFrame
9
+ module SvgGraphLibrary
10
+ def plot opts={}
11
+ opts[:type] ||= :line
12
+ opts[:size] ||= 500
13
+
14
+ x = extract_x_vector opts[:x]
15
+ y = extract_y_vectors opts[:y]
16
+
17
+ opts[:type] = process_type opts[:type], opts[:categorized]
18
+
19
+ type = opts[:type]
20
+
21
+ if %o[line bar scatter].include? type
22
+ graph = send("#{type}_plot", size, x, y)
23
+
24
+ elsif :scatter_categorized == type
25
+ graph = scatter_with_category(size, x, y, opts[:categorized])
26
+
27
+ else
28
+ raise ArgumentError, 'This type of plot is not supported.'
29
+ end
30
+
31
+ yield graph if block_given?
32
+ graph
33
+ end
34
+
35
+ private
36
+
37
+ def process_type type, categorized
38
+ type == :scatter && categorized ? :scatter_categorized : type
39
+ end
40
+
41
+ ##########################################################
42
+ def line_plot size, x, y
43
+ plot = SvgGraph::Line.new size
44
+ plot.labels = size.times.to_a.zip(x).to_h
45
+ y.each do |vec|
46
+ plot.data vec.name || :vector, vec.to_a
47
+ end
48
+ plot
49
+ end
50
+
51
+ ##########################################################
52
+ def bar_plot size, x, y
53
+ plot = SvgGraph::Bar.new size
54
+ plot.labels = size.times.to_a.zip(x).to_h
55
+ y.each do |vec|
56
+ plot.data vec.name || :vector, vec.to_a
57
+ end
58
+ plot
59
+ end
60
+
61
+ ##########################################################
62
+ def scatter_plot size, x, y
63
+ plot = SvgGraph::Scatter.new size
64
+ y.each do |vec|
65
+ plot.data vec.name || :vector, x, vec.to_a
66
+ end
67
+ plot
68
+ end
69
+
70
+ ##########################################################
71
+ def scatter_with_category size, x, y, opts
72
+ x = Daru::Vector.new x
73
+ y = y.first
74
+ plot = SvgGraph::Scatter.new size
75
+ cat_dv = self[opts[:by]]
76
+
77
+ cat_dv.categories.each do |cat|
78
+ bools = cat_dv.eq cat
79
+ plot.data cat, x.where(bools).to_a, y.where(bools).to_a
80
+ end
81
+
82
+ plot
83
+ end
84
+
85
+ def extract_x_vector x_name
86
+ x_name && self[x_name].to_a || index.to_a
87
+ end
88
+
89
+ def extract_y_vectors y_names
90
+ y_names =
91
+ case y_names
92
+ when nil
93
+ vectors.to_a
94
+ when Array
95
+ y_names
96
+ else
97
+ [y_names]
98
+ end
99
+
100
+ y_names.map { |y| self[y] }.select(&:numeric?)
101
+ end
102
+ end
103
+ end
104
+ end
105
+ end
@@ -0,0 +1,102 @@
1
+ # lib/patches/daru/plotting/svg-graph/vector.rb
2
+
3
+ # NOTE: Code originally from Gruff
4
+ # TODO: Tailor the code to SvgGraph
5
+
6
+ module Daru
7
+ module Plotting
8
+ module Vector
9
+ module SvgGraphLibrary
10
+ def plot opts={}
11
+ opts[:type] ||= :line
12
+ opts[:size] ||= 500 # SMELL: What is this?
13
+ opts[:height] ||= 720
14
+ opts[:width] ||= 720
15
+ opts[:title] ||= name || :vector
16
+
17
+ debug_me{[
18
+ :opts,
19
+ :self
20
+ ]}
21
+
22
+ if %i[line bar pie scatter sidebar].include? type
23
+ graph = send("#{type}_plot", opts)
24
+ else
25
+ raise ArgumentError, 'This type of plot is not supported.'
26
+ end
27
+
28
+ yield graph if block_given?
29
+
30
+ graph
31
+ end
32
+
33
+ private
34
+
35
+ ####################################################
36
+ def line_plot opts={}
37
+ graph = SVG::Graph::Line.new opts
38
+
39
+ graph.add_data(
40
+ data: to_a,
41
+ title: opts[:title]
42
+ )
43
+
44
+ graph
45
+ end
46
+
47
+
48
+ ####################################################
49
+ def bar_plot opts
50
+ graph = SVG::Graph::Bar.new opts
51
+
52
+ graph.add_data(
53
+ data: to_a,
54
+ title: opts[:title]
55
+ )
56
+
57
+ graph
58
+ end
59
+
60
+
61
+ ####################################################
62
+ def pie_plot opts
63
+ graph = SVG::Graph::Pie.new opts
64
+
65
+ graph.add_data(
66
+ data: to_a,
67
+ title: opts[:title]
68
+ )
69
+
70
+ graph
71
+ end
72
+
73
+
74
+ ####################################################
75
+ def scatter_plot size
76
+ graph = SVG::Graph::Plot.new opts
77
+
78
+
79
+ graph.add_data(
80
+ data: to_a.zip(index.to_a)
81
+ title: opts[:title]
82
+ )
83
+
84
+ graph
85
+ end
86
+
87
+
88
+ ####################################################
89
+ def sidebar_plot size
90
+ graph = SVG::Graph::BarHorizontal.new opts
91
+
92
+ graph.add_data(
93
+ data: to_a,
94
+ title: opts[:title]
95
+ )
96
+
97
+ graph
98
+ end
99
+ end
100
+ end
101
+ end
102
+ end
@@ -0,0 +1,7 @@
1
+ # lib/patches/daru/plotting/svg-graph.rb
2
+
3
+ require 'svg-graph'
4
+
5
+ require_relative 'SvgGraph/category.rb'
6
+ require_relative 'SvgGraph/vector.rb'
7
+ require_relative 'SvgGraph/dataframe.rb'
@@ -0,0 +1,19 @@
1
+ # lib/patches/daru/vector.rb
2
+
3
+ module Daru
4
+ module Vector
5
+
6
+ def plotting_lig lib
7
+ if :svg_graph = lib
8
+ @plotting_library = lib
9
+ if Daru.send("has_#{lib}?".to_sym)
10
+ extend Module.const_get(
11
+ "Daru::Plotting::Vector::#{lib.to_s.capitalize}Library"
12
+ )
13
+ end
14
+ else
15
+ super
16
+ end
17
+ end
18
+ end
19
+ end
@@ -0,0 +1,19 @@
1
+ # lib/patches/daru.rb
2
+
3
+ require_relative 'daru/category'
4
+ require_relative 'daru/data_frame'
5
+ require_relative 'daru/vector'
6
+
7
+ module Daru
8
+ create_has_library :svg_graph
9
+
10
+ class << self
11
+ def plotting_library lib
12
+ if :svg_graph = lib
13
+ @plotting_library = lib
14
+ else
15
+ super
16
+ end
17
+ end
18
+ end
19
+ end