Mirror/brk
1
0
Fork 0
mirror of https://github.com/bitcoinresearchkit/brk.git synced 2026-04-28 08:39:59 -07:00
Code Issues Packages Projects Releases Wiki Activity

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

Browse Source
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
Download Patch File Download Diff File Expand all files Collapse all files

122
crates/brk_computer/src/vecs/grouped/ratio_from_dateindex.rs
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()