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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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6 changes: 6 additions & 0 deletions Project.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -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"
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This should be in [weakdeps]

MarketData = "945b72a4-3b13-509d-9b46-1525bb5c06de"
Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
RecipesBase = "3cdcf5f2-1ef4-517c-9805-6587b60abb01"
RollingFunctions = "b0e4dd01-7b14-53d8-9b45-175a3e362653"
Expand All @@ -14,8 +16,12 @@ Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
Tables = "bd369af6-aec1-5ad0-b16a-f7cc5008161c"

[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"
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26 changes: 26 additions & 0 deletions ext/IndicatorsExt.jl
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@@ -0,0 +1,26 @@
module IndicatorsExt

using TSFrames, Indicators

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

Indicators.sma(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.sma(X[:, x]; kwargs...), X[:, :Index])
Indicators.trima(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.trima(X[:, x]; kwargs...), X[:, :Index])
Indicators.wma(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.wma(X[:, x]; kwargs...), X[:, :Index])
Indicators.ema(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.ema(X[:, x]; kwargs...), X[:, :Index])
Indicators.mma(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.mma(X[:, x]; kwargs...), X[:, :Index])
Indicators.dema(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.dema(X[:, x]; kwargs...), X[:, :Index])
Indicators.tema(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.tema(X[:, x]; kwargs...), X[:, :Index])
Indicators.mama(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.dema(X[:, x]; kwargs...), X[:, :Index])
Indicators.hma(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.hma(X[:, x]; kwargs...), X[:, :Index])
Indicators.swma(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.swma(X[:, x]; kwargs...), X[:, :Index])
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
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Still thinking how to adapt methods that work on AbstractMatrix, not Array

# VWAP is defined on Matrix, not Array
Indicators.hama(X::TSFrame, x::Symbol; kwargs...) = TSFrame(Indicators.hama(X[:, x]; kwargs...), X[:, :Index])


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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To remove comment


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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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