Module: SQA::MarketRegime

Defined in:
lib/sqa/market_regime.rb

Class Method Summary collapse

Class Method Details

.detect(stock, lookback: nil, window: nil) ⇒ Hash

Detect current market regime for a stock

Parameters:

  • stock (SQA::Stock) —

    Stock to analyze

  • lookback (Integer) (defaults to: nil) —

    Days to look back for regime detection

  • window (Integer) (defaults to: nil) —

    Alias for lookback (for backward compatibility)

Returns:

  • (Hash) —

    Regime metadata with both symbolic and numeric values



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# File 'lib/sqa/market_regime.rb', line 26

def detect(stock, lookback: nil, window: nil)
  # Accept both lookback and window for backward compatibility
  # lookback takes precedence if both provided
  period = lookback || window || 60

  prices = stock.df["adj_close_price"].to_a
  return { type: :unknown } if prices.size < period

  recent_prices = prices.last(period)

  # Get both symbolic and numeric classifications
  trend_data = detect_trend_with_score(recent_prices)
  volatility_data = detect_volatility_with_score(recent_prices)
  strength_data = detect_strength_with_score(recent_prices)

  {
    type: trend_data[:type],
    trend_score: trend_data[:score],
    volatility: volatility_data[:type],
    volatility_score: volatility_data[:score],
    strength: strength_data[:type],
    strength_score: strength_data[:score],
    lookback_days: period,
    detected_at: Time.now
  }
end

.detect_history(stock, window: 60) ⇒ Array<Hash>

Detect market regimes across entire history

Splits historical data into regime periods

Parameters:

  • stock (SQA::Stock) —

    Stock to analyze

  • window (Integer) (defaults to: 60) —

    Rolling window for regime detection

Returns:

  • (Array<Hash>) —

    Array of regime periods



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# File 'lib/sqa/market_regime.rb', line 61

def detect_history(stock, window: 60)
  prices = stock.df["adj_close_price"].to_a
  regimes = []
  current_regime = nil
  regime_start = 0

  (window...prices.size).each do |i|
    window_prices = prices[(i - window)..i]
    regime_type = detect_trend(window_prices)
    volatility = detect_volatility(window_prices)

    # Check if regime changed
    if current_regime != regime_type
      # Save previous regime
      if current_regime
        regimes << {
          type: current_regime,
          start_index: regime_start,
          end_index: i - 1,
          duration: i - regime_start,
          volatility: volatility
        }
      end

      current_regime = regime_type
      regime_start = i
    end
  end

  # Add final regime
  if current_regime
    regimes << {
      type: current_regime,
      start_index: regime_start,
      end_index: prices.size - 1,
      duration: prices.size - regime_start,
      volatility: detect_volatility(prices[regime_start..-1])
    }
  end

  regimes
end

.detect_strength(prices) ⇒ Symbol

Detect trend strength (backward compatibility)

Parameters:

  • prices (Array<Float>) —

    Price array

Returns:

  • (Symbol) —

    :weak, :moderate, or :strong



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# File 'lib/sqa/market_regime.rb', line 211

def detect_strength(prices)
  detect_strength_with_score(prices)[:type]
end

.detect_strength_with_score(prices) ⇒ Hash

Detect trend strength with numeric score

Parameters:

  • prices (Array<Float>) —

    Price array

Returns:

  • (Hash) —

    { type: Symbol, score: Float }



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# File 'lib/sqa/market_regime.rb', line 179

def detect_strength_with_score(prices)
  return { type: :unknown, score: 0.0 } if prices.size < 20

  # Look at consistency of direction
  up_days = 0
  down_days = 0

  prices.each_cons(2) do |prev, curr|
    if curr > prev
      up_days += 1
    else
      down_days += 1
    end
  end

  total_days = up_days + down_days
  directional_pct = [up_days, down_days].max.to_f / total_days * 100

  if directional_pct > 70
    { type: :strong, score: directional_pct }
  elsif directional_pct > 55
    { type: :moderate, score: directional_pct }
  else
    { type: :weak, score: directional_pct }
  end
end

.detect_trend(prices) ⇒ Symbol

Classify regime type based on trend (backward compatibility)

Parameters:

  • prices (Array<Float>) —

    Price array

Returns:

  • (Symbol) —

    :bull, :bear, or :sideways



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# File 'lib/sqa/market_regime.rb', line 136

def detect_trend(prices)
  detect_trend_with_score(prices)[:type]
end

.detect_trend_with_score(prices) ⇒ Hash

Classify regime type based on trend with numeric score

Parameters:

  • prices (Array<Float>) —

    Price array

Returns:

  • (Hash) —

    { type: Symbol, score: Float }



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# File 'lib/sqa/market_regime.rb', line 109

def detect_trend_with_score(prices)
  return { type: :unknown, score: 0.0 } if prices.size < 20

  # Simple moving averages
  sma_short = prices.last(20).sum / 20.0
  sma_long = prices.last(60).sum / 60.0 rescue sma_short

  # Price vs moving averages
  current_price = prices.last

  # Calculate trend strength (percentage above/below SMA)
  pct_above_sma = ((current_price - sma_long) / sma_long * 100.0)

  if pct_above_sma > 5 && sma_short > sma_long
    { type: :bull, score: pct_above_sma }
  elsif pct_above_sma < -5 && sma_short < sma_long
    { type: :bear, score: pct_above_sma }
  else
    { type: :sideways, score: pct_above_sma }
  end
end

.detect_volatility(prices) ⇒ Symbol

Detect volatility regime (backward compatibility)

Parameters:

  • prices (Array<Float>) —

    Price array

Returns:

  • (Symbol) —

    :low, :medium, or :high



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# File 'lib/sqa/market_regime.rb', line 170

def detect_volatility(prices)
  detect_volatility_with_score(prices)[:type]
end

.detect_volatility_with_score(prices) ⇒ Hash

Detect volatility regime with numeric score

Parameters:

  • prices (Array<Float>) —

    Price array

Returns:

  • (Hash) —

    { type: Symbol, score: Float }



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# File 'lib/sqa/market_regime.rb', line 145

def detect_volatility_with_score(prices)
  return { type: :unknown, score: 0.0 } if prices.size < 20

  # Calculate daily returns
  returns = []
  prices.each_cons(2) do |prev, curr|
    returns << ((curr - prev) / prev * 100.0).abs
  end

  avg_volatility = returns.sum / returns.size

  if avg_volatility < 1.0
    { type: :low, score: avg_volatility }
  elsif avg_volatility < 2.5
    { type: :medium, score: avg_volatility }
  else
    { type: :high, score: avg_volatility }
  end
end

.split_by_regime(stock) ⇒ Hash

Split data by regime

Parameters:

Returns:

  • (Hash) —

    Data grouped by regime type



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# File 'lib/sqa/market_regime.rb', line 220

def split_by_regime(stock)
  regimes = detect_history(stock)
  prices = stock.df["adj_close_price"].to_a

  grouped = { bull: [], bear: [], sideways: [] }

  regimes.each do |regime|
    regime_prices = prices[regime[:start_index]..regime[:end_index]]
    grouped[regime[:type]] << {
      prices: regime_prices,
      start_index: regime[:start_index],
      end_index: regime[:end_index],
      duration: regime[:duration]
    }
  end

  grouped
end