milktrader

macro select(ex::Expr, sym1::Symbol, ex1::Expr, sym2::Symbol, ex3::Expr)
    ex.args, sym1, ex1.args, sym2, ex3.args
end

julia> @select open, high, close in  ohlcv where close > open when day=Friday
(Any[:open,:high,:(close in ohlcv)],:where,Any[:>,:close,:open],:when,Any[:day,:Friday])

# would be nice to do this instead of a one-liner

@select open, high, close

milktrader

type Foo
  f::Function
end

bar = Foo(x->2x)

bar.f(2)

4
  

milktrader

julia> using TradeModels, MarketData

julia>  @long cl rsi (.>) 50 nextday op

0.3999243140318183

milktrader

julia> using Series, MarketData, FactCheck

julia> @time fast = fastmoving(Cl, mean, 60);
elapsed time: 0.305857977 seconds (72646744 bytes allocated)

julia> @time slow = moving(Cl, mean, 60);
elapsed time: 4.925385985 seconds (2079575504 bytes allocated)

julia> @fact fast[end].value => roughly(slow[end].value)
Success :: :(fast[end].value) => :(roughly(slow[end].value))

milktrader

julia> using Series, MarketData, Lazy

julia> d1 = date(1999,1,1);

julia> d2 = date(1999,2,15);

julia> @> Op percentchange x->x[[d1:d2]] value sum expm1
0.017947448312809502

milktrader

julia> using Lazy, Series, MarketData

julia> head(cl)
1-element Array{SeriesPair{Date{ISOCalendar},Float64},1}:
 1980-01-03  105.220

julia> @> cl value log diff cumsum expm1 x -> x+1 x -> x[size(x,1)]
1.1647025280364955

milktrader

julia> plot(cumsum(value(when(lead(percentchange(Op, method="log"), 2), index(istrue(sma(Cl,10) .> sma(Cl,30)))))))

milktrader

julia> using Series, MarketTechnicals, Jig.Quant

julia> fast = [5:15]; slow = [20:2:40];

julia> dailyreturn = percentchange(cl, method="log");

julia> for f in fast
       for s in slow
       sig = sma(cl,f) .> sma(cl,s)
       when(dailyreturn, index(istrue(sig))) |> x -> sum(value(x)) |> expm1 |> x -> print(f," ",s," ",round(x,2), " -- ")

milktrader

julia> using Series, MarketTechnicals, Jig.Quant

julia> fast = sma(cl, 10);

julia> slow = sma(cl, 30);

julia> sig = fast .> slow;

julia> dailyreturn = percentchange(cl, method="log");

milktrader

# this works but might be difficult to humanely parse

# can you guess what it means?

# answer below

julia> doji(op,hi,lo,cl) |> istrue |> index |> x -> when(cl, x)