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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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1 change: 1 addition & 0 deletions Project.toml
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Expand Up @@ -6,6 +6,7 @@ version = "0.2.0"
[deps]
DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
Indicators = "70c4c096-89a6-5ec6-8236-da8aa3bd86fd"
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This should be in [weakdeps]

Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
RecipesBase = "3cdcf5f2-1ef4-517c-9805-6587b60abb01"
RollingFunctions = "b0e4dd01-7b14-53d8-9b45-175a3e362653"
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7 changes: 5 additions & 2 deletions src/TSFrames.jl
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
module TSFrames

using DataFrames, Dates, ShiftedArrays, RecipesBase, RollingFunctions, Tables
using DataFrames, Dates, ShiftedArrays, RecipesBase, RollingFunctions, Tables, Indicators

import Base.convert
import Base.diff
Expand Down Expand Up @@ -75,7 +75,9 @@ export TSFrame,
to_nanoseconds,
vcat,
DataFrame,
Date
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")

end # END module TSFrames
4 changes: 4 additions & 0 deletions src/indicators.jl
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@@ -0,0 +1,4 @@
# Methods for porting Indicators.jl functions to TSFrame objects from TSFrames.jl package
# See their respective documentation on Indicators.jl
runmean(X::TSFrame, x::Symbol; args...) = TSFrame(Indicators.runmean(X[:,x]; args...))
sma(X::TSFrame, x::Symbol; args...) = TSFrame(Indicators.sma(X[:,x]; args...))
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@asinghvi17 asinghvi17 Mar 13, 2023 •
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Suggested change
runmean(X::TSFrame, x::Symbol; args...) = TSFrame(Indicators.runmean(X[:,x]; args...))
sma(X::TSFrame, x::Symbol; args...) = TSFrame(Indicators.sma(X[:,x]; args...))
Indicators.runmean(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.runmean(X[:,x]; kwargs...))
Indicators.sma(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.sma(X[:,x]; kwargs...))

Probably better to be explicit when adding a method like this, things become easier to interpret. Also, conventionally keyword arguments are splatted into kwargs... (not a major thing, but is easier to read).

Also, should this somehow preserve the index of ts?

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cool

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@smishr smishr Sep 14, 2023 •
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I see what you meant by preserving the index of ts?

julia> sp500_2y = TSFrames.subset(sp500, date_from, date_to)
505×6 TSFrame with Date Index
 Index       Open     High     Low      Close    AdjClose  Volume    
 Date        Float64  Float64  Float64  Float64  Float64   Float64   
─────────────────────────────────────────────────────────────────────
 2021-03-01  3842.51  3914.5   3842.51  3901.82   3901.82  5.11482e9
 2021-03-02  3903.64  3906.41  3868.57  3870.29   3870.29  5.53601e9
 2021-03-03  3863.99  3874.47  3818.86  3819.72   3819.72  6.17366e9
 2021-03-04  3818.53  3843.67  3723.34  3768.47   3768.47  7.1954e9
 2021-03-05  3793.58  3851.69  3730.19  3841.94   3841.94  6.85107e9
     ⋮          ⋮        ⋮        ⋮        ⋮        ⋮          ⋮
 2023-02-23  4018.6   4028.3   3969.19  4012.32   4012.32  3.95294e9
 2023-02-24  3973.24  3978.25  3943.08  3970.04   3970.04  3.8777e9
 2023-02-27  3992.36  4018.05  3973.55  3982.24   3982.24  3.83695e9
 2023-02-28  3977.19  3997.5   3968.98  3970.15   3970.15  5.0434e9
 2023-03-01  3963.34  3971.73  3939.05  3951.39   3951.39  4.24948e9
                                                     495 rows omitted
...
...

julia> using Indicators

julia> sma(sp500_2y, :AdjClose)
505×1 TSFrame with Int64 Index
 Index  x1      
 Int64  Float64 
────────────────
     1   NaN
     2   NaN
     3   NaN
     4   NaN
     5   NaN
   ⋮       ⋮
   501  4076.32
   502  4065.17
   503  4054.35
   504  4037.64
   505  4019.16
495 rows omitted

Should index of "Date" remain preserved? I think for most Technical Indicators it makes some to preserve.

But there could also be some where the Timestamp is not meaningful. Also there is "burn in" for n number of observations in rolling statistics and trading indicators.

I'll proceed backwards from a TDD paradigm, dev and test and will see works

10 changes: 10 additions & 0 deletions test/indicators.jl
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@@ -0,0 +1,10 @@
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
end