indicators

package

v0.7.0 Latest Latest Go to latest Published: Dec 1, 2023 License: Apache-2.0 Imports: 6 Imported by: 0

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github.com/penny-vault/pv-api

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Documentation ¶

Index ¶

Variables
func Momentum12631(prices *dataframe.DataFrame) *dataframe.DataFrame
func Momentum631(prices *dataframe.DataFrame, riskFreeRate *dataframe.DataFrame) *dataframe.DataFrame
type Indicator
type Momentum
- func (m *Momentum) IndicatorForPeriod(_ context.Context, start time.Time, end time.Time) (*dataframe.DataFrame, error)

Constants ¶

This section is empty.

Variables ¶

View Source

var (
	SeriesName = "indicator"
)

Functions ¶

func Momentum12631 ¶ added in v0.5.0

func Momentum12631(prices *dataframe.DataFrame) *dataframe.DataFrame

Momentum12631 computes the equal weighted average momentum score over 1-, 3-, 6-, and 12-month periods

func Momentum631 ¶ added in v0.5.0

func Momentum631(prices *dataframe.DataFrame, riskFreeRate *dataframe.DataFrame) *dataframe.DataFrame

Momentum631 computes the 6-3-1 momentum of each column in df momentum(period) = (df / lag(df, period) - 1) * 100 - riskFreeRate

Types ¶

type Indicator ¶

type Indicator interface {
	IndicatorForPeriod(ctx context.Context, start time.Time, end time.Time) (*dataframe.DataFrame, error)
}

type Momentum ¶

type Momentum struct {
	Securities []*data.Security
	Periods    []int
}

Momentum calculates the average momentum for each security listed in `Securities` for each lookback period in `Periods` and calculates an indicator based on the max momentum of all securities

func (*Momentum) IndicatorForPeriod ¶

func (m *Momentum) IndicatorForPeriod(_ context.Context, start time.Time, end time.Time) (*dataframe.DataFrame, error)

Source Files ¶

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