WIP

src/OnlinePortfolioAnalytics.jl

@@ -1,10 +1,11 @@
 module OnlinePortfolioAnalytics
 
 using OnlineStatsBase
-using OnlineStats: GeometricMean
+#using OnlineStats: GeometricMean
 
 export SimpleAssetReturn, LogAssetReturn
-export Mean, GeometricMean
+export Mean  # from OnlineStatsBase
+export GeometricMeanReturn  # different from OnlineStats: GeometricMean
 export StdDev
 export CumulativeReturn
 
@@ -13,6 +14,7 @@ export fit!, value
 abstract type PortfolioAnalytics{T} <: OnlineStat{T} end
 
 include("asset_return.jl")
+include("mean_return.jl")
 include("cumulative_return.jl")
 include("std_dev.jl")
 

src/mean_return.jl

@@ -0,0 +1,36 @@
+"""
+    Prod(T::Type = Float64)
+
+Track the overall prod.
+"""
+mutable struct Prod{T} <: OnlineStat{Number}
+    prod::T
+    n::Int
+end
+Prod(T::Type = Float64) = Prod(T(1), 0)
+Base.prod(o::Prod) = o.prod
+OnlineStatsBase._fit!(o::Prod{T}, x::Real) where {T<:AbstractFloat} = (o.prod *= convert(T, x); o.n += 1)
+OnlineStatsBase._fit!(o::Prod{T}, x::Real) where {T<:Integer} =       (o.prod *= round(T, x); o.n += 1)
+OnlineStatsBase._fit!(o::Prod{T}, x::Real, n) where {T<:AbstractFloat} = (o.prod *= convert(T, x * n); o.n += n)
+OnlineStatsBase._fit!(o::Prod{T}, x::Real, n) where {T<:Integer} =       (o.prod *= round(T, x * n); o.n += n)
+OnlineStatsBase._merge!(o::T, o2::T) where {T <: Prod} = (o.prod *= o2.prod; o.n += o2.n; o)
+
+# https://github.com/joshday/OnlineStatsBase.jl/issues/41
+
+mutable struct GeometricMeanReturn{T} <: PortfolioAnalytics{T}
+    value::T
+    n::Int
+
+    prod::Prod
+
+    function GeometricMeanReturn{T}() where {T}
+        p = Prod()
+        new{T}(T(0), 0, p)
+    end
+end
+
+function OnlineStatsBase._fit!(stat::GeometricMeanReturn, data)
+    fit!(stat.prod, 1 + data)
+    stat.n += 1
+    stat.value = value(stat.prod) ^ (1 / stat.n) - 1
+end

test/runtests.jl

@@ -169,9 +169,8 @@ const weights = [0.4, 0.4, 0.2]
 
     @testset "GeometricMeanReturn" begin
         source = from(TSLA)
-        #=
         _ret = SimpleAssetReturn{Float64}()
-        _mean = GeometricMean()
+        _mean = GeometricMeanReturn{Float64}()
         mapped_source =
             source |>
             map(
@@ -189,14 +188,9 @@ const weights = [0.4, 0.4, 0.2]
         end
         subscribe!(mapped_source, observer)
         @test isapprox(mean_returns[end], 0.0342, atol = ATOL)
-        =#
     end
 
     @testset "CumulativeReturn" begin
-        #cum_ret = CumulativeReturn{Float64}()
-        #fit!(cum_ret, TSLA)
-        #@test isapprox(value(cum_ret), 265.9177, atol=ATOL)
-
         source = from(TSLA)
         ret = SimpleAssetReturn{Float64}()
         cum_ret = CumulativeReturn{Float64}()