empty!

docs/src/api.md

@@ -12,6 +12,13 @@ CurrentModule = OnlinePortfolioAnalytics
 OnlinePortfolioAnalytics.OnlinePortfolioAnalytics
 ```
 
+### Functions
+
+```@docs
+OnlineStats.fit!
+Base.empty!
+```
+
 ### Asset return
 
 ```@docs

src/asset_return.jl

@@ -60,10 +60,19 @@ function OnlineStatsBase._fit!(stat::SimpleAssetReturn, data)
     end
 end
 
+function Base.empty!(stat::SimpleAssetReturn{T}) where {T}
+    stat.value = missing
+    stat.n = 0
+    stat.ready = false
+    stat.input_values.value = []
+    stat.input_values.n = 0
+end
+
 function expected_return_types(::Type{SimpleAssetReturn{T}}) where {T}
     (Union{Missing,T},)
 end
 
+
 @doc """
 $(TYPEDEF)
 
@@ -114,7 +123,7 @@ function OnlineStatsBase._fit!(stat::LogAssetReturn, data)
     stat.n += 1
     if stat.n > stat.period
         data_prev = stat.input_values[end-stat.period]
-        stat.value = log(data / data_prev)  # log=ln (Neperian log not decimal log)
+        stat.value = log(data / data_prev)  # log=ln (natural log not decimal log)
         return stat.value
     else
         stat.ready = true
@@ -123,6 +132,14 @@ function OnlineStatsBase._fit!(stat::LogAssetReturn, data)
     end
 end
 
+function Base.empty!(stat::LogAssetReturn{T}) where {T}
+    stat.value = missing
+    stat.n = 0
+    stat.ready = false
+    stat.input_values.value = []
+    stat.input_values.n = 0
+end
+
 function expected_return_types(::Type{LogAssetReturn{T}}) where {T}
     (Union{Missing,T},)
 end

src/cumulative_return.jl

@@ -23,3 +23,9 @@ function OnlineStatsBase._fit!(stat::CumulativeReturn, data)
     stat.n += 1
     stat.value = value(stat.prod)
 end
+
+function Base.empty!(stat::CumulativeReturn{T}) where {T}
+    stat.value = zero(T)
+    stat.n = 0
+    stat.prod = Prod(T)
+end

src/drawdowns.jl

@@ -30,6 +30,13 @@ function OnlineStatsBase._fit!(stat::DrawDowns, ret)
     stat.value = ddowns
 end
 
+function Base.empty!(stat::DrawDowns{T}) where {T}
+    stat.value = zero(T)
+    stat.n = 0
+    stat.prod = Prod(T)
+    stat.extrema = Extrema(T)
+end
+
 
 @doc """
 $(TYPEDEF)
@@ -59,3 +66,10 @@ function OnlineStatsBase._fit!(stat::ArithmeticDrawDowns, ret)
     ddowns = (r1 / max_cumulative_returns) - 1
     stat.value = ddowns
 end
+
+function Base.empty!(stat::ArithmeticDrawDowns{T}) where {T}
+    stat.value = zero(T)
+    stat.n = 0
+    stat.sum = Sum(T)
+    stat.extrema = Extrema(T)
+end

src/moments.jl

@@ -28,6 +28,12 @@ function OnlineStatsBase._fit!(stat::AssetReturnMoments, ret)
     )
 end
 
+function Base.empty!(stat::AssetReturnMoments{T}) where {T}
+    stat.value = (mean = zero(T), std = zero(T), skewness = zero(T), kurtosis = zero(T))
+    stat.n = 0
+    stat.moments = Moments()
+end
+
 function expected_return_types(::Type{AssetReturnMoments{T}}) where {T}
     #return NamedTuple{
     #    (:mean, :std, :skewness, :kurtosis),

src/sharpe.jl

@@ -21,7 +21,7 @@ mutable struct Sharpe{T} <: PortfolioAnalyticsSingleOutput{T}
     risk_free::T
 
     function Sharpe{T}(; period = 252, risk_free = 0) where {T}
-        new{T}(zero(T), 0, Mean(), StdDev{T}(), period, risk_free)
+        new{T}(zero(T), 0, Mean(T), StdDev{T}(), period, risk_free)
     end
 end
 
@@ -34,3 +34,10 @@ function OnlineStatsBase._fit!(stat::Sharpe, data)
     sharpe = sqrt(stat.period) * (mean_return - stat.risk_free) / std_dev
     stat.value = sharpe
 end
+
+function Base.empty!(stat::Sharpe{T}) where {T}
+    stat.value = zero(T)
+    stat.n = 0
+    stat.mean = Mean(T)
+    stat.stddev = StdDev(T)
+end

src/std_dev.jl

@@ -12,8 +12,8 @@ mutable struct StdDev{T} <: PortfolioAnalyticsSingleOutput{T}
     variance::Variance
 
     function StdDev{T}() where {T}
-        variance = Variance()
-        new{T}(1, 0, variance)
+        variance = Variance(T)
+        new{T}(one(T), 0, variance)
     end
 end
 
@@ -22,3 +22,9 @@ function OnlineStatsBase._fit!(stat::StdDev, data)
     stat.n += 1
     stat.value = sqrt(value(stat.variance))
 end
+
+function Base.empty!(stat::StdDev{T}) where {T}
+    stat.value = one(T)
+    stat.n = 0
+    stat.variance = Variance(T)
+end

test/runtests.jl

@@ -61,6 +61,11 @@ const ATOL = 0.0001
                 ]
                 @test sum(ismissing.(returns)) == sum(ismissing.(expected_returns))
                 @test all(isapprox.(returns[2:end], expected_returns[2:end], atol = ATOL))
+
+                empty!(stat)
+                @test ismissing(value(stat))
+                @test stat.n == 0
+
             end
         end
 
@@ -104,6 +109,10 @@ const ATOL = 0.0001
                 ]
                 @test sum(ismissing.(returns)) == sum(ismissing.(expected_returns))
                 @test all(isapprox.(returns[2:end], expected_returns[2:end], atol = ATOL))
+
+                empty!(stat)
+                @test ismissing(value(stat))
+                @test stat.n == 0
             end
         end
 
@@ -134,6 +143,11 @@ const ATOL = 0.0001
                 end
                 subscribe!(mapped_source, observer)
                 @test isapprox(stddev_returns[end], 0.1496, atol = ATOL)
+
+                empty!(_stddev)
+                @test value(_stddev) == 1
+                @test _stddev.n == 0
+                @test value(_stddev.variance) == 1
             end
         end
 
@@ -220,6 +234,10 @@ const ATOL = 0.0001
             ]
             @test all(isapprox.(cum_returns, expected_cum_returns, atol = ATOL))
 
+            empty!(cum_ret)
+            @test cum_ret.n == 0
+            @test value(cum_ret) == 0.0
+            @test value(cum_ret.prod) == 1.0
         end
 
         @testset "DrawDowns" begin
@@ -259,6 +277,12 @@ const ATOL = 0.0001
                     -0.0768,
                 ]
                 @test all(isapprox.(drawdowns, expected_drawdowns, atol = ATOL))
+
+                empty!(_ddowns)
+                @test _ddowns.n == 0
+                @test value(_ddowns) == 0.0
+                @test value(_ddowns.prod) == 1.0
+                @test _ddowns.extrema == Extrema()
             end
 
             @testset "Arithmetic" begin
@@ -297,6 +321,12 @@ const ATOL = 0.0001
                     -0.0482,
                 ]
                 @test all(isapprox.(drawdowns, expected_drawdowns, atol = ATOL))
+
+                empty!(_ddowns)
+                @test _ddowns.n == 0
+                @test value(_ddowns) == 0.0
+                @test value(_ddowns.sum) == 0.0
+                @test _ddowns.extrema == Extrema()
             end
 
         end
@@ -333,6 +363,14 @@ const ATOL = 0.0001
             @test isapprox(moments_latest.std, 0.1496, atol = ATOL)
             @test isapprox(moments_latest.skewness, 1.3688, atol = ATOL)
             @test isapprox(moments_latest.kurtosis, 2.1968, atol = ATOL)
+
+            empty!(_moments)
+            @test _moments.n == 0
+            @test value(_moments).mean == 0.0
+            @test value(_moments).std == 0.0
+            @test value(_moments).skewness == 0.0
+            @test value(_moments).kurtosis == 0.0
+            @test _moments.moments == Moments()
         end
 
         @testset "Sharpe" begin
@@ -357,6 +395,12 @@ const ATOL = 0.0001
             subscribe!(mapped_source, observer)
 
             @test isapprox(sharpes[end], 0.2886, atol = ATOL)
+
+            #empty!(_sharpe)
+            #@test _sharpe.n == 0
+            #@test value(_sharpe) == 0.0
+            #@test _sharpe.mean == Mean()
+            #@test _sharpe.stddev == StdDev()
         end
 
         @testset "Sortino" begin
@@ -381,6 +425,13 @@ const ATOL = 0.0001
             subscribe!(mapped_source, observer)
 
             @test isapprox(sortinos[end], 11.4992, atol = ATOL)
+
+            #empty!(_sortino)
+            #@test _sortino.n == 0
+            #@test value(_sortino) == 0.0
+            #@test _sortino.mean == Mean()
+            #@test _sortino.stddev == StdDev()
+
         end
     end