WIP: Add Indicators.jl functionality with TSFrames #155

smishr · 2023-03-03T09:26:46Z

Been looking to use methods defined in Indicators.jl with TSFrame objects. Since Indicators.jl defines its methods using simple AbstractArray and Matrix types, it is relatively easy to integrate the two packages.

I tried integrating the runmean and sma (simple moving average) method with TSFrames, and its relatively easy to integrate. It will be great to have those moving average and momentum based operations working out of box with TSFrames.

codecov-commenter · 2023-03-03T09:32:35Z

Codecov Report

Merging #155 (50c9a5f) into main (30902da) will decrease coverage by 0.45%.
The diff coverage is 0.00%.

@@            Coverage Diff             @@
##             main     #155      +/-   ##
==========================================
- Coverage   91.41%   90.97%   -0.45%     
==========================================
  Files          20       21       +1     
  Lines         431      432       +1     
==========================================
- Hits          394      393       -1     
- Misses         37       39       +2

Impacted Files	Coverage Δ
src/TSFrames.jl	`100.00% <ø> (ø)`
src/indicators.jl	`0.00% <0.00%> (ø)`
src/utils.jl	`86.36% <0.00%> (-0.21%)`	⬇️

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asinghvi17 · 2023-03-10T08:54:35Z

Should we make this a package extension and use Requires.jl for Julia < 1.9, to avoid adding another dependency?

smishr · 2023-03-12T11:45:04Z

Should we make this a package extension and use Requires.jl for Julia < 1.9, to avoid adding another dependency?

Sure. im not too familiar with how package extensions will work in Julia, but there is blog post here.

asinghvi17 · 2023-03-13T03:11:59Z

src/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...))


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?

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

Co-authored-by: Anshul Singhvi <[email protected]>

smishr · 2023-09-14T17:45:02Z

Project.toml

@@ -6,6 +6,8 @@ version = "0.2.0"
 [deps]
 DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
 Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
+Indicators = "70c4c096-89a6-5ec6-8236-da8aa3bd86fd"


This should be in [weakdeps]

smishr · 2023-09-14T17:46:10Z

ext/IndicatorsExt.jl

+
+# Methods for porting Indicators.jl functions to TSFrame objects from TSFrames.jl package
+# See their respective documentation on Indicators.jl
+Indicators.runmean(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.runmean(X[:, x]; kwargs...), X[:, :Index])


Preserving Index. Is there better way to integrate to TSFrame? More optimised way to avoid extra Construction operations?

smishr · 2023-09-14T17:46:43Z

ext/IndicatorsExt.jl

+Indicators.kama(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.kama(X[:, x]; kwargs...), X[:, :Index])
+Indicators.alma(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.alma(X[:, x]; kwargs...), X[:, :Index])
+Indicators.zlema(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.zlema(X[:, x]; kwargs...), X[:, :Index])
+# VWMA is defined on Matrix, not Array


Still thinking how to adapt methods that work on AbstractMatrix, not Array

smishr · 2023-09-14T17:46:54Z

src/TSFrames.jl

@@ -1,6 +1,6 @@
 module TSFrames

-using DataFrames, Dates, ShiftedArrays, RecipesBase, RollingFunctions, Tables
+using DataFrames, Dates, ShiftedArrays, RecipesBase, RollingFunctions, Tables # , Indicators


To remove comment

smishr · 2023-09-14T17:47:04Z

src/TSFrames.jl

@@ -97,5 +99,6 @@ include("to_period.jl")
 include("vcat.jl")
 include("broadcasting.jl")
 include("tables.jl")
+# include("indicators.jl")


rm comments

smishr · 2023-09-14T17:47:31Z

test/indicators.jl

+    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


make tests more diverse and meaningful, by using kwargs from upstream method

test indicators with TSFrames

50c9a5f

smishr changed the title ~~Add Indicators.jl functionality with TSFrames~~ WIP: Add Indicators.jl functionality with TSFrames Mar 3, 2023

smishr added enhancement New feature or request good first issue Good for newcomers labels Mar 3, 2023

smishr requested review from ayushpatnaikgit, chiraganand and codetalker7 March 3, 2023 09:27

smishr marked this pull request as draft March 3, 2023 09:45

asinghvi17 reviewed Mar 13, 2023

View reviewed changes

smishr linked an issue Mar 15, 2023 that may be closed by this pull request

Integration and documentation with Indicators.jl #153

Open

smishr and others added 4 commits March 23, 2023 14:16

Update src/indicators.jl

3a443b0

Co-authored-by: Anshul Singhvi <[email protected]>

Add package extension for Indicators

50d85ca

Add test for indicators

2e8c7f2

Add indicators test

69b331d

smishr commented Sep 14, 2023

View reviewed changes

smishr mentioned this pull request Sep 15, 2023

Discussion for integration with TSFrame dysonance/Indicators.jl#51

Open

smishr added 4 commits September 15, 2023 14:21

Updated integration

328fb2e

fixed dependency structure

cd7281d

Abstracted code for arbitrary cols

f7122c6

save default close and vol funcs

f0a2154

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WIP: Add Indicators.jl functionality with TSFrames #155

WIP: Add Indicators.jl functionality with TSFrames #155

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smishr Sep 14, 2023

		runmean(X::TSFrame, x::Symbol; args...) = TSFrame(Indicators.runmean(X[:,x]; args...))
		sma(X::TSFrame, x::Symbol; args...) = TSFrame(Indicators.sma(X[:,x]; args...))

WIP: Add Indicators.jl functionality with TSFrames #155

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