Start working on #52: sma

src/MarketTechnicals.jl

@@ -14,11 +14,12 @@ export sma, ema, kama,
        floorpivots, woodiespivots,
        typical
 
+include("utilities.jl")  # we need macro in compiling stage
+
 include("candlesticks.jl")
 include("levels.jl")
 include("movingaverages.jl")
 include("momentum.jl")
-include("utilities.jl")
 include("volatility.jl")
 include("volume.jl")
 

src/movingaverages.jl

@@ -1,21 +1,5 @@
-function sma{T,N}(ta::TimeArray{T,N}, n::Int)
-
-    tstamps = ta.timestamp[n:end]
-
-    vals = zeros(size(ta.values,1) - (n-1), size(ta.values,2))
-    for i in 1:size(ta.values,1) - (n-1)
-        for j in 1:size(ta.values,2)
-            vals[i,j] = mean(ta.values[i:i+(n-1),j])
-        end
-    end
-
-    cname   = String[]
-    cols    = colnames(ta)
-    for c in 1:length(cols)
-        push!(cname, string(cols[c], "_sma_", n))
-    end
-
-    TimeArray(tstamps, vals, cname, ta.meta)
+@padding function sma{T,N}(ta::TimeArray{T,N}, n::Int)
+    rename(moving(ta, mean, n), gen_colnames(ta.colnames, "sma_$n"))
 end
 
 function ema{T,N}(ta::TimeArray{T,N}, n::Int; wilder=false)

src/utilities.jl

@@ -42,3 +42,67 @@ julia> gen_colnames(["Open", "Close"], ["macd", "dif", "sig"])
 function gen_colnames(orig::Vector{String}, suffix::Vector{String})
    vec(["$o\_$s" for o ∈ orig, s ∈ suffix])
 end
+
+gen_colnames(orig::Vector{String}, suffix::String) = gen_colnames(orig, [suffix])
+
+function add_padding_call(expr::Expr)
+    if expr.head != :call
+        return [add_padding_call(arg) for arg ∈ expr.args if isa(arg, Expr)]
+    end
+
+    func = expr.args[1]
+    if func ∈ (:diff, :lag, :lead, :moving, :percentchange)
+        push!(expr.args, Expr(:kw, :padding, :padding))
+    end
+
+    return [add_padding_call(arg)
+            for arg ∈ expr.args[2:end-1] if isa(arg, Expr)]
+end
+
+"""
+This macro will append a keyword argument `padding=true` to
+function parameters, and append `padding` to all related call
+in function body. For the listed related call, please check out
+`add_padding_call`.
+
+e.g.
+
+```
+@padding function f(ta, n)
+    ...
+    moving(...)
+    ...
+    lag(...)
+    ...
+end
+```
+
+will make `f` compiled as following
+
+```
+function sma(ta, n; padding=false)
+    ...
+    moving(..., padding=padding)
+    ....
+    lag(..., padding=padding)
+    ...
+end
+```
+
+"""
+macro padding(f)
+    @assert f.head == :function
+
+    # add :padding keyword argument in function signature
+    params_ast = f.args[1]
+    kw_node = Expr(:kw, :padding, false)
+
+    if (length(params_ast.args) < 2) || (params_ast.args[2].head != :parameters)
+        insert!(params_ast.args, 2, Expr(:parameters, kw_node))
+    else
+        push!(params_ast.args[2], kw_node)
+    end
+
+    add_padding_call(f.args[2])
+    return f
+end

test/movingaverages.jl

@@ -17,6 +17,15 @@ facts("Moving averages on TimeArrays") do
         @fact sma(ohlc, 10).timestamp[491] --> Date(2001,12,31)
     end
 
+    context("sma padding=true") do
+        ta = sma(cl, 5, padding=true)
+        @fact ta.meta             --> cl.meta
+        @fact ta.timestamp[1]     --> Date(2000, 1, 3)
+        @fact isnan(ta.values[1]) --> true
+        @fact isnan(ta.values[4]) --> true
+        @fact isnan(ta.values[5]) --> false
+    end
+
     context("ema") do
         @fact ema(cl, 10).values[1]        --> roughly(98.782, atol=.01)   # TTR value 98.78200
         @fact ema(cl, 10).values[2]        --> roughly(99.719, atol=.01)   # TTR value 99.71982