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)

milktrader

julia> doji(op,hi,lo,cl) |> istrue |> index
13-element Array{Date{ISOCalendar},1}:
 1970-03-31
 1970-06-02
 1970-06-09
 1970-08-05
 1970-09-02
 1971-02-02
 1971-02-04
 1971-03-25

milktrader

julia> Pkg.checkout("MarketTechnicals", "series")

julia> using MarketTechnicals

julia> op  = readseries(Pkg.dir("MarketTechnicals/test/data/spx.csv"), value=2);

julia> hi  = readseries(Pkg.dir("MarketTechnicals/test/data/spx.csv"), value=3);

julia> lo  = readseries(Pkg.dir("MarketTechnicals/test/data/spx.csv"), value=4);

milktrader

julia> using Series

julia> op  = readseries(Pkg.dir("Series/test/data/spx.csv"), value=2);

julia> hi  = readseries(Pkg.dir("Series/test/data/spx.csv"), value=3);

julia> lo  = readseries(Pkg.dir("Series/test/data/spx.csv"), value=4);

julia> cl  = readseries(Pkg.dir("Series/test/data/spx.csv"), value=5);

milktrader

julia> using Series

julia> high  = readseries(Pkg.dir("Series/test/data/spx.csv"), value=3);

julia> low  = readseries(Pkg.dir("Series/test/data/spx.csv"), value=4);

julia> percentrange  = (high .- close) ./ high;

julia> head(ans)
3-element Array{SeriesPair{Date{ISOCalendar},Float64},1}:

milktrader

abstract AbstractSeries

immutable SerialPair{T, V} <: AbstractSeries
  index::T
  value::V
end

type SerialArray{T,V} <: AbstractSeries
  collection::Array{SerialPair{T,V},1} # this prevents arrays of mixed types
  idxname::String

milktrader

require(quantmod)
getSymbols("^GSPC", from = '1900-01-01')
s = yearlyReturn(GSPC)
dens = density(s)
plot(dens)
redfill = "#d66661"
redstroke = "#c93d39"  #not used
greenfill = "#6bab5b"
greenstroke = "#3b972e"  #not used
purplefill = "#aa7dc0"

milktrader

julia> log_return(indexdow(GSPC, 5)["Close"]);

julia> foo = ecdf(ans);

julia> foo(-0.10)
0.0012492192379762648