Updated module for Julia v1.5 (#122)

Co-authored-by: shivchawla <shivchawla2001@gmail.com>
Co-authored-by: Iblis Lin <iblis@hs.ntnu.edu.tw>

.gitignore

@@ -1,3 +1,5 @@
 *.swp
 docs/build
 src/.rc.jl
+*.cov
+Manifest.toml

.travis.yml

@@ -1,10 +1,13 @@
 language: julia
 
 os:
+  - osx
   - linux
 
 julia:
-  - 0.6
+  - 1.1
+  - 1.4
+  - 1.5
 
 notifications:
   email: false
@@ -19,12 +22,20 @@ branches:
 
 script:
   - if [[ -a .git/shallow ]]; then git fetch --unshallow; fi
-  - julia -e 'Pkg.clone(pwd()); Pkg.build("MarketTechnicals"); Pkg.test("MarketTechnicals", coverage=true)'
+  - julia --project -e 'using Pkg; Pkg.build(); Pkg.test(; coverage=true)';
 
 after_success:
-  - julia -e 'Pkg.add("Documenter")'
-  - julia -e 'Pkg.add("MarketData")'
-  - julia -e 'cd(Pkg.dir("MarketTechnicals", "docs")); include("make.jl")'
-
-  - julia -e 'Pkg.add("Coverage")'
-  - julia -e 'cd(Pkg.dir("MarketTechnicals")); using Coverage; Codecov.submit(process_folder())'
+  - julia -e 'using Pkg; Pkg.add("Coverage"); using Coverage; Codecov.submit(Codecov.process_folder())';
+
+jobs:
+  allow_failures:
+  - julia: nightly
+  include:
+    - stage: "Documentation"
+      julia: 1.5
+      os: linux
+      script:
+        - julia --project=docs/ -e 'using Pkg; Pkg.instantiate();
+                                    Pkg.develop(PackageSpec(path=pwd()))'
+        - julia --project=docs/ docs/make.jl
+      after_success: skip

Project.toml

@@ -0,0 +1,10 @@
+name = "MarketTechnicals"
+uuid = "4f8c86c6-9e40-5506-9807-98571cb48bc8"
+
+[deps]
+MarketData = "945b72a4-3b13-509d-9b46-1525bb5c06de"
+Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
+Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
+StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
+Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
+TimeSeries = "9e3dc215-6440-5c97-bce1-76c03772f85e"

src/MarketTechnicals.jl

@@ -4,17 +4,54 @@ module MarketTechnicals
 
 using Reexport
 using StatsBase
+using Statistics
 
 @reexport using TimeSeries
 
 export sma, ema, kama, env,
        bollingerbands, truerange, atr, keltnerbands, chaikinvolatility, donchianchannels,
-       obv, vwap, adl,
+       obv, vwap, adl, chaikinmoneyflow, forceindex, easeofmovement, volumepricetrend, 
        doji,
-       rsi, macd, cci, roc, adx, stochasticoscillator, chaikinoscillator, aroon,
+       rsi, macd, cci, roc, adx, stochasticoscillator, chaikinoscillator, aroon, vortex,
+       trix, massindex, dpo, kst, ichimoku, moneyflowindex, tsi, ultimateoscillator, williamsr,
+       awesomeoscillator,
        floorpivots, woodiespivots,
        typical
 
+_nanmean(x) = mean(filter(!isnan, x))
+nanmean(x; dims = 1) = ndims(x) > 1 ? mapslices(_nanmean, x, dims = dims) : _nanmean(x)
+
+_nansum(x) = sum(filter(!isnan,x))
+nansum(x; dims = 1) = ndims(x) > 1 ? mapslices(_nansum, x, dims = dims) : _nansum(x)
+
+_nanstd(x) = std(filter(!isnan,x))
+nanstd(x; dims = 1) = ndims(x) > 1 ? mapslices(_nanstd, x, dims = dims) : _nanstd(x)
+
+function nancumsum(x)
+	x[isnan.(x)] .= 0
+	cumsum(x)
+end
+
+function nanargmax(x) 
+	x[isnan.(x)] .= -Inf
+	argmax(x)
+end
+
+function nanargmin(x) 
+	x[isnan.(x)] .= Inf
+	argmin(x)
+end
+
+function nanmax(x) 
+	x[isnan.(x)] .= -Inf
+	maximum(x)
+end
+
+function nanmin(x) 
+	x[isnan.(x)] .= Inf
+	minimum(x)
+end
+
 include("candlesticks.jl")
 include("levels.jl")
 include("movingaverages.jl")

src/candlesticks.jl

@@ -1,6 +1,6 @@
-function doji(ohlc::TimeArray{T,N}; width=.01, op="Open", hi="High", lo="Low", cl="Close") where {T,N}
+function doji(ohlc::TimeArray{T,N}; width=.01, op=:Open, hi=:High, lo=:Low, cl=:Close) where {T,N}
   res = @. abs((ohlc[op] - ohlc[cl])) / (ohlc[hi] - ohlc[lo]) < width
-  TimeArray(res.timestamp, res.values, ["doji"], ohlc.meta)
+  TimeArray(timestamp(res), values(res), [:doji], meta(ohlc))
 end
 
 function hammer(x)

src/levels.jl

@@ -1,49 +1,48 @@
 # an idea: create one method named pivots with kwargs
-
-doc"""
+"""
     floorpivots(ohlc)
 
 Floor Trader Pivots
 
 ```math
-\begin{align*}
+'begin{align*}
 
     R3 & = Pivot_t + (R2 - S1) \\
     R2 & = Pivot_t + (R1 - S1) \\
     R1 & = 2 Pivot_t - P^{low}_{t-1} \\
     Pivot_t & = Price^{typical}_{t-1} =
-        \frac{P^{high}_{t-1} + P^{low}_{t-1} + P^{close}_{t-1}}{3} \\
+        frac{P^{high}_{t-1} + P^{low}_{t-1} + P^{close}_{t-1}}{3} \\
     S1 & = 2 Pivot_t - P^{high}_{t-1} \\
     S2 & = Pivot_t - (R1 - S1) \\
     S3 & = Pivot_t - (R2 - S1)
 
-\end{align*}
+end{align*}'
 ```
 """
 function floorpivots(ohlc::TimeArray{T,N}) where {T,N}
 
     p  = lag(typical(ohlc))
-    s1 = 2.*p .- lag(ohlc["High"])
-    r1 = 2.*p .- lag(ohlc["Low"])
+    s1 = 2 .*p .- lag(ohlc[:High])
+    r1 = 2 .*p .- lag(ohlc[:Low])
     s2 = p .- (r1 .- s1)
     r2 = (p .- s1) .+ r1
     s3 = p .- (r2 .- s1)
     r3 = (p .- s1) .+ r2
 
     TimeArray(
-        s1.timestamp,
-        [s3.values s2.values s1.values p.values r1.values r2.values r3.values],
-        ["s3", "s2", "s1", "pivot", "r1", "r2", "r3"], ohlc.meta)
+        timestamp(s1),
+        [values(s3) values(s2) values(s1) values(p) values(r1) values(r2) values(r3)],
+        [:s3, :s2, :s1, :pivot, :r1, :r2, :r3], meta(ohlc))
 
 end
 
-doc"""
+"""
     woodiespivots(ohlc)
 
 Woodie's Pivot
 
 ```math
-\begin{align*}
+'begin{align*}
 
     Range & = Price^{high}_{t-1} - Price^{low}_{t-1} \\
 
@@ -52,22 +51,22 @@ Woodie's Pivot
     R2 & = Pivot_t + Range \\
     R1 & = 2 Pivot_t - Price^{low}_{t-1} \\
     Pivot_t & =
-        \frac{Price^{high}_{t-1} + Price^{low}_{t-1} + 2 Price^{open}_t}{4} \\
+        frac{Price^{high}_{t-1} + Price^{low}_{t-1} + 2 Price^{open}_t}{4} \\
     S1 & = 2 Pivot_t - Price^{high}_{t-1} \\
     S2 & = Pivot_t - Range \\
     S3 & = S1 - Range \\
     S4 & = S3 - Range \tag{not implemented}
 
-\end{align*}
+end{align*}'
 ```
 """
 function woodiespivots(ohlc::TimeArray{T,N}) where {T,N}
 
-    rng = lag(ohlc["High"]) .- lag(ohlc["Low"])
+    rng = lag(ohlc[:High]) .- lag(ohlc[:Low])
 
-    p  = (lag(ohlc["High"]) .+ lag(ohlc["Low"]) .+ 2.*ohlc["Open"]) ./ 4
-    s1 = 2.*p .- lag(ohlc["High"])
-    r1 = 2.*p .- lag(ohlc["Low"])
+    p  = (lag(ohlc[:High]) .+ lag(ohlc[:Low]) .+ 2 .*ohlc[:Open]) ./ 4
+    s1 = 2 .*p .- lag(ohlc[:High])
+    r1 = 2 .*p .- lag(ohlc[:Low])
     s2 = p .- rng
     r2 = p .+ rng
     s3 = s1 .- rng
@@ -76,9 +75,9 @@ function woodiespivots(ohlc::TimeArray{T,N}) where {T,N}
     # r4 = r3 + range
 
     TimeArray(
-        s1.timestamp,
-        [s3.values s2.values s1.values p.values r1.values r2.values r3.values],
-        ["s3", "s2", "s1", "pivot", "r1", "r2", "r3"], ohlc.meta)
+        timestamp(s1),
+        [values(s3) values(s2) values(s1) values(p) values(r1) values(r2) values(r3)],
+        [:s3, :s2, :s1, :pivot, :r1, :r2, :r3], meta(ohlc))
 end
 #
 # function camarillapivots{T,V}(hi::Array{SeriesPair{T,V},1},