added trailing linear regression helper

clojure-quant · Apr 2, 2024 · 7ca6564 · 7ca6564
1 parent 0cfd04d
commit 7ca6564
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Showing 2 changed files with 27 additions and 9 deletions.
diff --git a/lib/indicator/src/ta/indicator/rolling.clj b/lib/indicator/src/ta/indicator/rolling.clj
@@ -69,6 +69,22 @@
                             :datatype :float64})
                          n (:close bar-ds)))
 
+(defn trailing-linear-regression
+  "trailing simple linear regression"
+  [n v]
+  (let [ds (tc/dataset {:col v})]
+    (:out (r/rolling ds {:window-type :fixed
+                         :window-size n
+                         :relative-window-position :left
+                         :edge-mode :zero}
+                     {:out {:column-name [:col]
+                            :reducer (fn [w]
+                                       (let [y (into [] (drop-while #(= % 0.0) w))
+                                             c (count y)
+                                             x (range 1 (inc c))
+                                             regressor (dfn/linear-regressor x y)]
+                                         (regressor c)))}}))))
+
 (defn prior-window
   "this does not work!"
   [ds]

diff --git a/lib/indicator/test/ta/indicator/stats_test.clj b/lib/indicator/test/ta/indicator/stats_test.clj
@@ -3,8 +3,7 @@
             [ta.indicator.util.fuzzy :refer [all-fuzzy= nthrest-fuzzy=]]
             [ta.indicator.util.ta4j :as ta4j]
             [ta.indicator.util.data :refer [ds]]
-            [ta.indicator.rolling :as roll]
-            [tech.v3.datatype.functional :as dfn]))
+            [ta.indicator.rolling :as roll]))
 
 (deftest test-mad-2
   (is (all-fuzzy=
@@ -18,7 +17,7 @@
 
 (deftest test-mad-4
   (is (nthrest-fuzzy= 4
-        (ta4j/close ds :statistics/MeanDeviation 4) 
+        (ta4j/close ds :statistics/MeanDeviation 4)
         (roll/trailing-mad 4 (:close ds)))))
 
 (deftest test-variance
@@ -32,6 +31,12 @@
            (ta4j/close ds :statistics/StandardDeviation 3)
            (roll/trailing-stddev 3 (:close ds)))))
 
+(deftest test-linear-regression
+  (is (nthrest-fuzzy= 1
+          (ta4j/close ds :statistics/SimpleLinearRegression 3)
+          (roll/trailing-linear-regression 3 (:close ds)))))
+
+
 (comment
   (:close ds)
 
@@ -41,16 +46,13 @@
   (ta4j/close ds :statistics/Variance 4)
   (roll/trailing-variance 4 (:close ds))
 
-
-
   (roll/trailing-stddev 3 (:close ds))
   (ta4j/close ds :statistics/StandardDeviation 3)
 
+  (ta4j/close ds :statistics/SimpleLinearRegression 3)
+  (roll/trailing-linear-regression 3 (:close ds))
 
-
-
-
-;  
+;
   )