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global: 4y zscore + 200d sma + mayer's multiple

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This commit is contained in:
nym21
2025-06-17 10:01:49 +02:00
parent 7e1fb6472d
commit bbe9f1bad2
8 changed files with 945 additions and 295 deletions
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crates/brk_computer/src/vecs/grouped/ratio_from_dateindex.rs
+101 -21
View File
@@ -24,8 +24,10 @@ pub struct ComputedRatioVecsFromDateIndex {
pub ratio_1w_sma: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_1m_sma: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_1y_sma: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_4y_sma: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_1y_sma_momentum_oscillator: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_standard_deviation: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_sd: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_4y_sd: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_p99_9: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_p99_5: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_p99: ComputedVecsFromDateIndex<StoredF32>,
@@ -51,6 +53,7 @@ pub struct ComputedRatioVecsFromDateIndex {
pub ratio_m2sd_as_price: ComputedVecsFromDateIndex<Dollars>,
pub ratio_m3sd_as_price: ComputedVecsFromDateIndex<Dollars>,
pub ratio_zscore: ComputedVecsFromDateIndex<StoredF32>,
pub ratio_4y_zscore: ComputedVecsFromDateIndex<StoredF32>,
}
const VERSION: Version = Version::ZERO;
@@ -116,6 +119,14 @@ impl ComputedRatioVecsFromDateIndex {
format,
options,
)?,
ratio_4y_sma: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_4y_sma"),
true,
version + VERSION + Version::ZERO,
format,
options,
)?,
ratio_1y_sma_momentum_oscillator: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_1y_sma_momentum_oscillator"),
@@ -124,9 +135,17 @@ impl ComputedRatioVecsFromDateIndex {
format,
options,
)?,
ratio_standard_deviation: ComputedVecsFromDateIndex::forced_import(
ratio_sd: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_standard_deviation"),
&format!("{name}_ratio_sd"),
true,
version + VERSION + Version::ZERO,
format,
options,
)?,
ratio_4y_sd: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_4y_sd"),
true,
version + VERSION + Version::ZERO,
format,
@@ -332,6 +351,14 @@ impl ComputedRatioVecsFromDateIndex {
format,
options,
)?,
ratio_4y_zscore: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_4y_zscore"),
true,
version + VERSION + Version::ZERO,
format,
options,
)?,
})
}
@@ -476,6 +503,22 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_4y_sma.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|v, _, _, starting_indexes, exit| {
v.compute_sma_(
starting_indexes.dateindex,
self.ratio.dateindex.as_ref().unwrap(),
4 * 365,
exit,
Some(min_ratio_date),
)
},
)?;
self.ratio_1y_sma_momentum_oscillator.compute_all(
indexer,
indexes,
@@ -528,6 +571,8 @@ impl ComputedRatioVecsFromDateIndex {
let mut sma_iter = self.ratio_sma.dateindex.as_ref().unwrap().into_iter();
let mut _4y_sma_iter = self.ratio_4y_sma.dateindex.as_ref().unwrap().into_iter();
let nan = StoredF32::from(f32::NAN);
self.ratio
.dateindex
@@ -566,7 +611,12 @@ impl ComputedRatioVecsFromDateIndex {
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_standard_deviation
self.ratio_sd
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_4y_sd
.dateindex
.as_mut()
.unwrap()
@@ -645,12 +695,26 @@ impl ComputedRatioVecsFromDateIndex {
.sqrt(),
);
self.ratio_standard_deviation
self.ratio_sd
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, sd, exit)?;
let _4y_avg = _4y_sma_iter.unwrap_get_inner(index);
let _4y_sd = StoredF32::from(
(sorted.iter().map(|v| (**v - *_4y_avg).powi(2)).sum::<f32>()
/ (index.unwrap_to_usize() + 1) as f32)
.sqrt(),
);
self.ratio_4y_sd
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, _4y_sd, exit)?;
self.ratio_p1sd.dateindex.as_mut().unwrap().forced_push_at(
index,
avg + sd,
@@ -726,7 +790,13 @@ impl ComputedRatioVecsFromDateIndex {
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_standard_deviation.compute_rest(
self.ratio_sd.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_4y_sd.compute_rest(
indexes,
starting_indexes,
exit,
@@ -1007,21 +1077,27 @@ impl ComputedRatioVecsFromDateIndex {
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut sma_iter = self.ratio_sma.dateindex.as_ref().unwrap().into_iter();
let mut sd_iter = self
.ratio_standard_deviation
.dateindex
.as_ref()
.unwrap()
.into_iter();
vec.compute_transform(
vec.compute_zscore(
starting_indexes.dateindex,
self.ratio.dateindex.as_ref().unwrap(),
|(i, ratio, ..)| {
let sma = sma_iter.unwrap_get_inner(i);
let sd = sd_iter.unwrap_get_inner(i);
(i, (ratio - sma) / sd)
},
self.ratio_sma.dateindex.as_ref().unwrap(),
self.ratio_sd.dateindex.as_ref().unwrap(),
exit,
)
},
)?;
self.ratio_4y_zscore.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
vec.compute_zscore(
starting_indexes.dateindex,
self.ratio.dateindex.as_ref().unwrap(),
self.ratio_4y_sma.dateindex.as_ref().unwrap(),
self.ratio_4y_sd.dateindex.as_ref().unwrap(),
exit,
)
},
@@ -1032,7 +1108,8 @@ impl ComputedRatioVecsFromDateIndex {
fn mut_ratio_vecs(&mut self) -> Vec<&mut EagerVec<DateIndex, StoredF32>> {
vec![
self.ratio_standard_deviation.dateindex.as_mut().unwrap(),
self.ratio_sd.dateindex.as_mut().unwrap(),
self.ratio_4y_sd.dateindex.as_mut().unwrap(),
self.ratio_p99_9.dateindex.as_mut().unwrap(),
self.ratio_p99_5.dateindex.as_mut().unwrap(),
self.ratio_p99.dateindex.as_mut().unwrap(),
@@ -1056,8 +1133,10 @@ impl ComputedRatioVecsFromDateIndex {
self.ratio_1w_sma.vecs(),
self.ratio_1m_sma.vecs(),
self.ratio_1y_sma.vecs(),
self.ratio_4y_sma.vecs(),
self.ratio_1y_sma_momentum_oscillator.vecs(),
self.ratio_standard_deviation.vecs(),
self.ratio_sd.vecs(),
self.ratio_4y_sd.vecs(),
self.ratio_p99_9.vecs(),
self.ratio_p99_5.vecs(),
self.ratio_p99.vecs(),
@@ -1083,6 +1162,7 @@ impl ComputedRatioVecsFromDateIndex {
self.ratio_m2sd_as_price.vecs(),
self.ratio_m3sd_as_price.vecs(),
self.ratio_zscore.vecs(),
self.ratio_4y_zscore.vecs(),
]
.into_iter()
.flatten()
crates/brk_computer/src/vecs/market.rs
+78 -1
View File
@@ -36,11 +36,15 @@ pub struct Vecs {
pub indexes_to_55d_sma: ComputedRatioVecsFromDateIndex,
pub indexes_to_89d_sma: ComputedRatioVecsFromDateIndex,
pub indexes_to_144d_sma: ComputedRatioVecsFromDateIndex,
pub indexes_to_200d_sma: ComputedRatioVecsFromDateIndex,
pub indexes_to_1y_sma: ComputedRatioVecsFromDateIndex,
pub indexes_to_2y_sma: ComputedRatioVecsFromDateIndex,
pub indexes_to_200w_sma: ComputedRatioVecsFromDateIndex,
pub indexes_to_4y_sma: ComputedRatioVecsFromDateIndex,
pub indexes_to_200d_sma_x2_4: ComputedVecsFromDateIndex<Dollars>,
pub indexes_to_200d_sma_x0_8: ComputedVecsFromDateIndex<Dollars>,
pub price_1d_ago: ComputedVecsFromDateIndex<Dollars>,
pub price_1w_ago: ComputedVecsFromDateIndex<Dollars>,
pub price_1m_ago: ComputedVecsFromDateIndex<Dollars>,
@@ -306,6 +310,14 @@ impl Vecs {
format,
StorableVecGeneatorOptions::default().add_last(),
)?,
indexes_to_200d_sma: ComputedRatioVecsFromDateIndex::forced_import(
path,
"200d_sma",
true,
version + VERSION + Version::ZERO,
format,
StorableVecGeneatorOptions::default().add_last(),
)?,
indexes_to_1y_sma: ComputedRatioVecsFromDateIndex::forced_import(
path,
"1y_sma",
@@ -1215,6 +1227,23 @@ impl Vecs {
format,
StorableVecGeneatorOptions::default().add_last(),
)?,
indexes_to_200d_sma_x2_4: ComputedVecsFromDateIndex::forced_import(
path,
"200d_sma_x2_4",
true,
version + VERSION + Version::ZERO,
format,
StorableVecGeneatorOptions::default().add_last(),
)?,
indexes_to_200d_sma_x0_8: ComputedVecsFromDateIndex::forced_import(
path,
"200d_sma_x0_8",
true,
version + VERSION + Version::ZERO,
format,
StorableVecGeneatorOptions::default().add_last(),
)?,
})
}
@@ -1771,6 +1800,7 @@ impl Vecs {
(&mut self.indexes_to_55d_sma, 55),
(&mut self.indexes_to_89d_sma, 89),
(&mut self.indexes_to_144d_sma, 144),
(&mut self.indexes_to_200d_sma, 200),
(&mut self.indexes_to_1y_sma, 365),
(&mut self.indexes_to_2y_sma, 2 * 365),
(&mut self.indexes_to_200w_sma, 200 * 7),
@@ -1797,7 +1827,51 @@ impl Vecs {
});
});
Ok(())
})
})?;
self.indexes_to_200d_sma_x0_8.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|v, _, _, starting_indexes, exit| {
v.compute_transform(
starting_indexes.dateindex,
self.indexes_to_200d_sma
.price
.as_ref()
.unwrap()
.dateindex
.as_ref()
.unwrap(),
|(i, v, ..)| (i, v * 0.8),
exit,
)
},
)?;
self.indexes_to_200d_sma_x2_4.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|v, _, _, starting_indexes, exit| {
v.compute_transform(
starting_indexes.dateindex,
self.indexes_to_200d_sma
.price
.as_ref()
.unwrap()
.dateindex
.as_ref()
.unwrap(),
|(i, v, ..)| (i, v * 2.4),
exit,
)
},
)?;
Ok(())
}
pub fn vecs(&self) -> Vec<&dyn AnyCollectableVec> {
@@ -1817,10 +1891,13 @@ impl Vecs {
self.indexes_to_55d_sma.vecs(),
self.indexes_to_89d_sma.vecs(),
self.indexes_to_144d_sma.vecs(),
self.indexes_to_200d_sma.vecs(),
self.indexes_to_1y_sma.vecs(),
self.indexes_to_2y_sma.vecs(),
self.indexes_to_200w_sma.vecs(),
self.indexes_to_4y_sma.vecs(),
self.indexes_to_200d_sma_x0_8.vecs(),
self.indexes_to_200d_sma_x2_4.vecs(),
self.price_1d_ago.vecs(),
self.price_1w_ago.vecs(),
self.price_1m_ago.vecs(),