milktrader

Document indexing semantics

2

I'm curious why the API has this indexing syntax and why it's different from standard Julia array indexing. ``` julia julia> A = AxisArray(reshape(1:60, 12, 5), (.1:.1:1.2, .1:.1:.5)); julia> A[Axis{:col}(2)]...

List of tests common to time series analysis

18

- [x] Augmented Dickey-Fuller (unit root) - [ ] Phillips-Perron (unit root) - [ ] KPSS (unit root) - [ ] Shapiro-Wilks (normality) - [x] Jaques-Berra (3rd and 4th moments...

Create constructor for random time series

1

User supplies the date range and the method uses a `RNG` to create a random walk time series.

Support DataFrames and Timestamps with Requires package

2

This allows these conversion methods without requiring the other packages with Quandl.

Dispatch on now

3

Add a `TimeType` argument to all the indicators that produces a scalar (or boolean) result. For example, the `sma` method would look like this: ``` julia function sma{T,N}(ta::TimeArray{T,N}, n::Int, now::TimeType)...

Implement padding=true option on all consumption algorithms

6

This package currently chops off and throws away time values where an algorithm consumes values. The `padding=true` option will allow users to preserve consumed dates and will use `NaN` as...

Implement more technical analysis algorithms

7

- [x] adx - [x] aroon - [x] cci - [x] chaikan volatility - [x] donchian channel - [x] kelter bands - [x] stochastic oscillator - [ ] ehlers http://www.davenewberg.com/Trading/EhlersCodes.html

adds Compat package and fixes tuplecopalyse errors and Dict warnings

3

You don't need to merge this if it's a distraction, I just submitted it because I'm on bleeding-edge Julia and this fixes the load failures and the deprecation warnings. I've...

Write tests for results from sample trading strategies

5

List of housekeeping items: - [x] decide on standardized data set to test against - [x] store data in TimeArray - [x] store data in xts - [x] store data...

Identify statistical tests to be implemented

5

Another placeholder for future implementations. Any that overlap with StatsBase should be removed. - [ ] Augmented Dickey-Fuller (unit root) - [ ] Phillips-Perron (unit root) - [ ] KPSS...