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WIP: Add Indicators.jl functionality with TSFrames #155

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WIP: Add Indicators.jl functionality with TSFrames #155

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50c9a5f
test indicators with TSFrames
smishr Mar 3, 2023
3a443b0
Update src/indicators.jl
smishr Mar 23, 2023
50d85ca
Add package extension for Indicators
smishr Sep 14, 2023
2e8c7f2
Add test for indicators
smishr Sep 14, 2023
69b331d
Add indicators test
smishr Sep 14, 2023
328fb2e
Updated integration
smishr Sep 15, 2023
cd7281d
fixed dependency structure
smishr Sep 15, 2023
f7122c6
Abstracted code for arbitrary cols
smishr Sep 16, 2023
f0a2154
save default close and vol funcs
smishr Sep 16, 2023
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9 changes: 8 additions & 1 deletion Project.toml
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Expand Up @@ -14,8 +14,15 @@ Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
Tables = "bd369af6-aec1-5ad0-b16a-f7cc5008161c"

[weakdeps]
Indicators = "70c4c096-89a6-5ec6-8236-da8aa3bd86fd"

[extensions]
IndicatorsExt = "Indicators"

[compat]
DataFrames = "1.3.2"
Indicators = "0.8.2"
RecipesBase = "1.2.1"
RollingFunctions = "0.6.2, 0.7"
ShiftedArrays = "1.0.0, 2"
Expand All @@ -27,4 +34,4 @@ julia = "1.7"
Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

[targets]
test = ["Test"]
test = ["Test", "MarketData", "Indicators"]
157 changes: 157 additions & 0 deletions ext/IndicatorsExt.jl
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@@ -0,0 +1,157 @@
"""
Methods for using Indicators.jl functions on TSFrame objects from TSFrames.jl package.
See respective documentation on Indicators.jl for full description of the methods
"""
module IndicatorsExt

using TSFrames, Indicators

"""
Abstracted function for Indicators.jl methods that take a single input, such as SMA, EMA, etc.
"""
function apply_func(X::TSFrame, f::Function, input_flds::Symbol, rename_flds::Vector{Symbol}; kwargs...)
return TSFrames.rename!(TSFrame(f(X[:, input_flds]; kwargs...), index(X)), rename_flds)
end

"""
Abstracted function for Indicators.jl methods that take multiple input columns as Matrix, such as VWMA, VWAP, etc.
"""
function apply_func(X::TSFrame, f::Function, input_flds::Vector{Symbol}, rename_flds::Vector{Symbol}; kwargs...)
return TSFrames.rename!(TSFrame(f(Matrix(X[:, input_flds]); kwargs...), index(X)), rename_flds)
end

##########################################################################################
### Dispatches to allow user to specify Symbol or Vector{Symbol} for input arguments

# Indicators.jl/src/ma.jl
Indicators.runmean(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.runmean, x, [:RUNMEAN]; kwargs...)
Indicators.sma(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.sma, x, [:SMA]; kwargs...)
Indicators.trima(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.trima, x, [:TRIMA]; kwargs...)
Indicators.wma(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.wma, x, [:WMA]; kwargs...)
Indicators.ema(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.ema, x, [:EMA]; kwargs...)
Indicators.mma(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mma, x, [:MMA]; kwargs...)
Indicators.dema(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.dema, x, [:DEMA]; kwargs...)
Indicators.tema(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.tema, x, [:TEMA]; kwargs...)
Indicators.mama(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mama, x, [:MAMA, :FAMA]; kwargs...)
Indicators.hma(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.hma, x, [:HMA]; kwargs...)
Indicators.swma(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.swma, x, [:SWMA]; kwargs...)
Indicators.kama(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.kama, x, [:KAMA]; kwargs...)
Indicators.alma(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.alma, x, [:ALMA]; kwargs...)
Indicators.zlema(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.zlema, x, [:ZLEMA]; kwargs...)
Indicators.hama(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.hama, x, [:HammingMA]; kwargs...)
Indicators.vwma(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.vwma, x, [:VWMA]; kwargs...)
Indicators.vwap(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.vwap, x, [:VWAP]; kwargs...)

# Indicators.jl/src/reg.jl
Indicators.mlr_beta(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mlr_beta, x, [:Intercept, :Slope]; kwargs...)
Indicators.mlr_slope(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mlr_slope, x, [:Slope]; kwargs...)
Indicators.mlr_intercept(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mlr_intercept, x, [:Intercept]; kwargs...)
Indicators.mlr(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mlr, x, [:MLR]; kwargs...)
Indicators.mlr_se(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mlr_se, x, [:StdErr]; kwargs...)
Indicators.mlr_ub(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mlr_ub, x, [:MLRUB]; kwargs...)
Indicators.mlr_lb(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mlr_lb, x, [:MLRLB]; kwargs...)'
Indicators.mlr_bands(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mlr_bands, x, [:MLRLB, :MLR, :MLRUB]; kwargs...)
Indicators.mlr_rsq(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.mlr_rsq, x, [:RSquared]; kwargs...)

# Indicators.jl/src/mom.jl
Indicators.aroon(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.aroon, x, [:AroonUp, :AroonDn, :AroonOsc]; kwargs...)
Indicators.donch(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.donch, x, [:Low, :Mid, :High]; kwargs...)
Indicators.ichimoku(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.ichimoku, x, [:Tenkan, :Kijun, :SenkouA, :SenkouB, :Chikou]; kwargs...)
Indicators.momentum(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.momentum, x, [:Momentum]; kwargs...)
Indicators.roc(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.roc, x, [:ROC]; kwargs...)
Indicators.macd(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.macd, x, [:MACD, :Signal, :Histogram]; kwargs...)
Indicators.rsi(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.rsi, x, [:RSI]; kwargs...)
Indicators.adx(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.adx, x, [:DiPlus, :DiMinus, :ADX]; kwargs...)
Indicators.heikinashi(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.heikinashi, x, [:Open, :High, :Low, :Close]; kwargs...)
Indicators.psar(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.psar, x, [:PSAR]; kwargs...)
Indicators.kst(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.kst, x, [:KST]; kwargs...)
Indicators.wpr(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.wpr, x, [:WPR]; kwargs...)
Indicators.cci(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.cci, x, [:CCI]; kwargs...)
Indicators.stoch(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.stoch, x, [:Stochastic, :Signal]; kwargs...)
Indicators.smi(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.smi, x, [:SMI, :Signal]; kwargs...)

# Indicators.jl/src/vol.jl
Indicators.bbands(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.bbands, x, [:LB, :MA, :UB]; kwargs...)
Indicators.tr(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.tr, x, [:TR]; kwargs...)
Indicators.atr(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.atr, x, [:ATR]; kwargs...)
Indicators.keltner(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.keltner, x, [:KeltnerLower, :KeltnerMiddle, :KeltnerUpper]; kwargs...)

#Indicators.jl/src/trendy.jl
Indicators.maxima(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.maxima, x, [:Maxima]; kwargs...)
Indicators.minima(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.minima, x, [:Minima]; kwargs...)
Indicators.support(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.support, x, [:Support]; kwargs...)
Indicators.resistance(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.resistance, x, [:Resistance]; kwargs...)

# Indicators.jl/src/utils.jl
## Assumes both x and y are in same TSFrame object
Indicators.crossover(X::TSFrame, x::Symbol, y::Symbol) = apply_func(X, Indicators.crossover, [x, y], [:CrossOver])
Indicators.crossunder(X::TSFrame, x::Symbol, y::Symbol) = apply_func(X, Indicators.crossunder, [x, y], [:CrossUnder])

# Indicators.jl/src/chaos.jl
Indicators.hurst(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.hurst, x, [:Hurst]; kwargs...)
Indicators.rsrange(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.rsrange, x, [:RS]; kwargs...)

##########################################################################################
### Multiple dispatches for "default" column labels, e.g. :Close, :High, :Low, :Open, :Volume
close = :Close
high = :High
low = :Low
open = :Open
volume = :Volume

has_close(X::TSFrame)::Bool = :Close in propertynames(X.coredata)
close_error = error("Argument must have Close field")
has_close_volume(X::TSFrame)::Bool = all(fld -> fld in propertynames(X.coredata), [:Close, :Volume])
close_vol_error = error("Argument must have Close and Volume field")

# Indicators.jl/src/ma.jl
Indicators.runmean(X::TSFrame; kwargs...) = has_close(X) ? Indicators.runmean(X, close; kwargs...) : close_error
Indicators.sma(X::TSFrame; kwargs...) = has_close(X) ? Indicators.sma(X, close; kwargs...) : close_error
Indicators.trima(X::TSFrame; kwargs...) = has_close(X) ? Indicators.trima(X, close; kwargs...) : close_error
Indicators.wma(X::TSFrame; kwargs...) = has_close(X) ? Indicators.wma(X, close; kwargs...) : close_error
Indicators.ema(X::TSFrame; kwargs...) = has_close(X) ? Indicators.ema(X, close; kwargs...) : close_error
Indicators.mma(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mma(X, close; kwargs...) : close_error
Indicators.dema(X::TSFrame; kwargs...) = has_close(X) ? Indicators.dema(X, close; kwargs...) : close_error
Indicators.tema(X::TSFrame; kwargs...) = has_close(X) ? Indicators.tema(X, close; kwargs...) : close_error
Indicators.mama(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mama(X, close; kwargs...) : close_error
Indicators.hma(X::TSFrame; kwargs...) = has_close(X) ? Indicators.hma(X, close; kwargs...) : close_error
Indicators.swma(X::TSFrame; kwargs...) = has_close(X) ? Indicators.swma(X, close; kwargs...) : close_error
Indicators.kama(X::TSFrame; kwargs...) = has_close(X) ? Indicators.kama(X, close; kwargs...) : close_error
Indicators.alma(X::TSFrame; kwargs...) = has_close(X) ? Indicators.alma(X, close; kwargs...) : close_error
Indicators.zlema(X::TSFrame; kwargs...) = has_close(X) ? Indicators.zlema(X, close; kwargs...) : close_error
Indicators.hama(X::TSFrame; kwargs...) = has_close(X) ? Indicators.hama(X, close; kwargs...) : close_error
Indicators.vwma(X::TSFrame; kwargs...) = has_close_volume(X) ? Indicators.vwma(X, [close, volume]; kwargs...) : close_vol_error
Indicators.vwap(X::TSFrame; kwargs...) = has_close_volume(X) ? Indicators.vwap(X, [close, volume]; kwargs...) : close_vol_error

# Indicators.jl/src/reg.jl
Indicators.mlr_beta(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mlr_beta(X, close; kwargs...) : close_error
Indicators.mlr_slope(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mlr_slope(X, close; kwargs...) : close_error
Indicators.mlr_intercept(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mlr_intercept(X, close; kwargs...) : close_error
Indicators.mlr(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mlr(X, close; kwargs...) : close_error
Indicators.mlr_se(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mlr_se(X, close; kwargs...) : close_error
Indicators.mlr_ub(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mlr_ub(X, close; kwargs...) : close_error
Indicators.mlr_lb(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mlr_lb(X, close; kwargs...) : close_error
Indicators.mlr_bands(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mlr_bands(X, close; kwargs...) : close_error
Indicators.mlr_rsq(X::TSFrame; kwargs...) = has_close(X) ? Indicators.mlr_rsq(X, close; kwargs...) : close_error

# Indicators.jl/src/mom.jl
Indicators.aroon(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.aroon, x, [:AroonUp, :AroonDn, :AroonOsc]; kwargs...)
Indicators.donch(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.donch, x, [:Low, :Mid, :High]; kwargs...)
Indicators.ichimoku(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.ichimoku, x, [:Tenkan, :Kijun, :SenkouA, :SenkouB, :Chikou]; kwargs...)
Indicators.momentum(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.momentum, x, [:Momentum]; kwargs...)
Indicators.roc(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.roc, x, [:ROC]; kwargs...)
Indicators.macd(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.macd, x, [:MACD, :Signal, :Histogram]; kwargs...)
Indicators.rsi(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.rsi, x, [:RSI]; kwargs...)
Indicators.adx(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.adx, x, [:DiPlus, :DiMinus, :ADX]; kwargs...)
Indicators.heikinashi(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.heikinashi, x, [:Open, :High, :Low, :Close]; kwargs...)
Indicators.psar(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.psar, x, [:PSAR]; kwargs...)
Indicators.kst(X::TSFrame, x::Symbol; kwargs...) = apply_func(X, Indicators.kst, x, [:KST]; kwargs...)
Indicators.wpr(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.wpr, x, [:WPR]; kwargs...)
Indicators.cci(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.cci, x, [:CCI]; kwargs...)
Indicators.stoch(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.stoch, x, [:Stochastic, :Signal]; kwargs...)
Indicators.smi(X::TSFrame, x::Vector{Symbol}; kwargs...) = apply_func(X, Indicators.smi, x, [:SMI, :Signal]; kwargs...)



end

5 changes: 4 additions & 1 deletion src/TSFrames.jl
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@@ -1,6 +1,6 @@
module TSFrames

using DataFrames, Dates, ShiftedArrays, RecipesBase, RollingFunctions, Tables
using DataFrames, Dates, ShiftedArrays, RecipesBase, RollingFunctions, Tables # , Indicators
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import Base.convert
import Base.diff
Expand Down Expand Up @@ -76,6 +76,8 @@ export TSFrame,
vcat,
DataFrame,
Date
# sma,
# runmean

include("TSFrame.jl")
include("utils.jl")
Expand All @@ -97,5 +99,6 @@ include("to_period.jl")
include("vcat.jl")
include("broadcasting.jl")
include("tables.jl")
# include("indicators.jl")
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rm comments


end # END module TSFrames
23 changes: 23 additions & 0 deletions test/indicators.jl
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@@ -0,0 +1,23 @@
using MarketData

@testset "indicators_integration" begin
sp500 = TSFrame(MarketData.yahoo("^GSPC"))
date_from = Date(2021, 03, 1)
date_to = Date(2023, 03, 1)
sp500_2y = TSFrames.subset(sp500, date_from, date_to)
@test sma(sp500_2y, :AdjClose) |> typeof == TSFrame
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make tests more diverse and meaningful, by using kwargs from upstream method

@test runmean(sp500_2y, :Close) |> typeof == TSFrame
@test trima(sp500_2y, :Close) |> typeof == TSFrame
@test wma(sp500_2y, :AdjClose) |> typeof == TSFrame
@test ema(sp500_2y, :AdjClose) |> typeof == TSFrame
@test mma(sp500_2y, :AdjClose) |> typeof == TSFrame
@test dema(sp500_2y, :AdjClose) |> typeof == TSFrame
@test tema(sp500_2y, :AdjClose) |> typeof == TSFrame
@test mama(sp500_2y, :AdjClose) |> typeof == TSFrame
@test hma(sp500_2y, :AdjClose) |> typeof == TSFrame
@test swma(sp500_2y, :AdjClose) |> typeof == TSFrame
@test kama(sp500_2y, :AdjClose) |> typeof == TSFrame
@test alma(sp500_2y, :AdjClose) |> typeof == TSFrame
@test zlema(sp500_2y, :AdjClose) |> typeof == TSFrame
@test hama(sp500_2y, :AdjClose) |> typeof == TSFrame
end