Merge branch 'master' into ib-keltner

NEWS.md

@@ -1,7 +1,9 @@
 ### 0.6.0
 
+* Drop 0.4 support (issue #86)
+
 * New indicator:
-  * Kaufman's Adaptive Moving Average (issue #76)
+  * Kaufman's Adaptive Moving Average (issue #76, #83)
 
   * ROC (issue #82)
 

src/MarketTechnicals.jl

@@ -1,4 +1,4 @@
-VERSION >= v"0.4.0-dev+6521" && __precompile__(true)
+__precompile__(true)
 
 using TimeSeries, StatsBase
 

src/movingaverages.jl

@@ -56,7 +56,7 @@ function kama{T,N}(ta::TimeArray{T,N}, n::Int=10, fn::Int=2, sn::Int=30)
     sc = (er .* (2 / (fn + 1) - 2 / (sn + 1)) .+ 2 / (sn + 1)).^2
 
     cl = ta[n+1:end]
-    vals = similar(cl.values)
+    vals = similar(Array{Float64}, indices(cl.values))
     # using simple moving average as initial kama
     pri_kama = mean(ta[1:n].values, 1)
 
@@ -68,7 +68,14 @@ function kama{T,N}(ta::TimeArray{T,N}, n::Int=10, fn::Int=2, sn::Int=30)
             pri_kama .+ sc[idx].values .* (cl[idx].values .- pri_kama)
     end
 
-    TimeArray(cl.timestamp, vals, ["$c\_kama" for c in ta.colnames])
+    cols =
+    if length(ta.colnames) == 1
+        ["kama"]
+    else
+        ["$c\_kama" for c in ta.colnames]
+    end
+
+    TimeArray(cl.timestamp, vals, cols)
 end
 
 # Array dispatch for use by other algorithms

src/volatility.jl

@@ -13,16 +13,15 @@ Bollinger Bands
 \end{align*}
 ```
 """
-function bollingerbands{T,N}(ta::TimeArray{T,N}, ma::Int, width::Float64)
+function bollingerbands{T,N}(ta::TimeArray{T,N}, ma::Integer=20,
+                             width::AbstractFloat=2.0)
     tama   = sma(ta, ma)
     upband = tama .+ moving(ta, std, ma) .* width .* sqrt((ma-1)/ma) # take out Bessel correction, per algorithm
     dnband = tama .- moving(ta, std, ma) .* width .* sqrt((ma-1)/ma)
     bands  =  merge(upband, dnband)
     merge(bands, tama, colnames = ["up", "down", "mean"])
 end
 
-bollingerbands{T,N}(ta::TimeArray{T,N}) = bollingerbands(ta, 20, 2.0)
-
 doc"""
     truerange(ohlc; h="High", l="Low", c="Close")
 
@@ -53,7 +52,8 @@ It's the exponential moving average of [`truerange`](@ref)
 ```
 
 """
-function atr{T,N}(ohlc::TimeArray{T,N}, n::Int; h="High", l="Low", c="Close")
+function atr{T,N}(ohlc::TimeArray{T,N}, n::Integer=14;
+                  h="High", l="Low", c="Close")
     # atr was invented by Wilder, so only his ema is currently supported
     res = ema(truerange(ohlc), n, wilder=true)
     TimeArray(res.timestamp, res.values, ["atr"], ohlc.meta)

test/movingaverages.jl

@@ -53,10 +53,14 @@ facts("Moving averages on TimeArrays") do
         @fact ta.values[2]        --> roughly(99.0098, atol=.01)
         @fact ta.values[3]        --> roughly(99.4499, atol=.01)
         @fact ta.timestamp[1]     --> Date(2000, 1, 18)
+        @fact ta.colnames         --> ["kama"]
 
         ta = kama(ohlc)
         @fact length(ta.colnames) --> 4
         @fact ta.timestamp[1]     --> Date(2000, 1, 18)
+
+        ta = kama(TimeArray(collect(Date(2011, 1, 1):Date(2011, 1, 20)), 1:20))
+        @fact ta.timestamp[end]   --> Date(2011, 1, 20)
     end
 end