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milktrader/goldencross.jl

Created March 24, 2014 02:07
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How many golden crosses in SPX since 1950?
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goldencross.jl
julia> @> Cl sma(50) x->merge(x,sma(Cl,200)) x->x["sma50"] .> x["sma200"] discretesignal
65x1 TimeArray{Int64,1} 1950-10-18 to 2012-01-31
signals
1950-10-18 | 1.0
1953-05-11 | 0.0
1953-12-21 | 1.0
1956-10-26 | 0.0
⋮
2010-07-02 | 0.0
2010-10-22 | 1.0
2011-08-12 | 0.0
2012-01-31 | 1.0
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This is actually faster code and much simpler (omitting merge)

julia> @time @> sma(Cl,50) .> sma(Cl,200) discretesignal
elapsed time: 1.529454278 seconds (46937668 bytes allocated)
65x1 TimeArray{Int64,1} 1950-10-18 to 2012-01-31

             signal
1950-10-18 | 1.0
1953-05-11 | 0.0
1953-12-21 | 1.0
1956-10-26 | 0.0
⋮
2010-07-02 | 0.0
2010-10-22 | 1.0
2011-08-12 | 0.0
2012-01-31 | 1.0

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