Incremental Technical Indicators

[femtotrader]

Hello,

I wonder what is your opinion about implementing incremental technical indicators ie using O(1) memory Somethink like https://github.com/nardew/talipp could be great I haven't found any comparable library in Julia.

Let's try for exemple with a simple SMA ?

Here is some sample data for testing

close   sma5
34,5    
34,5    
34,37   
34,56   
34,5    34,486
34,37   34,46
34,31   34,422
34,31   34,41
34,25   34,348
34,37   34,322

I think building something on top of OnlineStats could be interesting

a MovingWindow is required and a Sum also.

Pinging @joshday @tbreloff @Hua-Zhou

Maybe we could start a list from simpler to implement to harder.

Kind regards

[femtotrader]

I did some months ago https://femtotrader.github.io/OnlineTechnicalIndicators.jl/ (previously known as IncTA.jl)

This project implements some Technical Analysis Indicators in Julia in an incremental approach.

It's inspired by Python project talipp which is used as "reference implementation" for unit tests.

It depends especially on OnlineStatsBase.jl and on Tables.jl.

Currently more than 50 technical analysis indicators are supported (SMA, EMA, SMMA, RSI, MeanDev, StdDev, ROC, WMA, KAMA, HMA, DPO, CoppockCurve, DEMA, TEMA, ALMA, McGinleyDynamic, ZLEMA, T3, TRIX, TSI ; BB, MACD, StochRSI, KST ; AccuDist, BOP, CCI, ChaikinOsc, VWMA, VWAP, AO, ATR, ForceIndex, OBV, SOBV, EMV, MassIndex, CHOP, KVO, UO ; Stoch, ADX, SuperTrend, VTX, DonchianChannels, KeltnerChannels, Aroon, ChandeKrollStop, ParabolicSAR, SFX, TTM, PivotsHL ; STC)

I can move it to https://github.com/JuliaQuant/ if there's some interest for some other members of JuliaQuant

Pinging @almostintuitive @Arkoniak @iblislin @multidis

Just let me know about it... and probably more globaly about JuliaQuant "roadmap"